Trading costs on the stock exchange of Thailand

• Main Authors: Jenwittayaroje, Nattawut, Charoenwong, Charlie, Ding, David K., Yang, Yung Chiang
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2015
• Subjects: DRNTU::Business::Accounting::Financial statements and analysis
• Online Access: https://hdl.handle.net/10356/98115; http://hdl.handle.net/10220/38526
• Institution: Nanyang Technological University

This study examines the components of trading costs incurred in trading large and liquid stocks listed on the Stock Exchange of Thailand. We find that aggressive orders pay an immediacy price measured by price impact, whereas executed passive orders gain the immediacy price. We also find a sizable o...