Analysis of order book and order flow : evidence on the stock exchange of Thailand in 1997 crisis

• Main Authors: Charoenwong, Charlie, Ding, David Kuan Yong, Visaltanachoti, Nuttawat
• Other Authors: Nanyang Business School
• Format: Research Report
• Language: English
• Published: 2008
• Subjects: DRNTU::Business::Finance::Stock exchanges
• Online Access: http://hdl.handle.net/10356/14557
• Institution: Nanyang Technological University

This study explores order book, order flow and regularity patterns of returns for stocks traded on the Stock Exchange of Thailand (SET) during the 1997 financial crisis. Similar to Chordia, Roll, and Subrahmanyam (2002), the findings suggest that the aggregate investors behave as contrarian traders...