Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market

This study examines trade sizes used by informed traders. The selected sample includes 73 active stocks from the Stock Exchange of Thailand (SET), a pure limit order market, that cover two distinct market conditions of a bull and bear market. Using intraday data, the study finds that large sized tra...

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Main Authors: DING, David K., Charoenwong, C., Jenwittayaroje, Nattawut
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Language:English
Published: Institutional Knowledge at Singapore Management University 2008
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1220
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spelling sg-smu-ink.lkcsb_research-22192010-09-23T06:24:04Z Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market DING, David K. Charoenwong, C. Jenwittayaroje, Nattawut This study examines trade sizes used by informed traders. The selected sample includes 73 active stocks from the Stock Exchange of Thailand (SET), a pure limit order market, that cover two distinct market conditions of a bull and bear market. Using intraday data, the study finds that large sized trades (i.e., larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. This finding compares with the results of studies conducted on U.S. markets that show informed traders employ trade sizes falling between the 40th and 95th percentiles (Barclay and Warner 1993; Chakravarty 2001). Our results support the hypothesis that informed traders on a pure limit order market such as the SET, where there are no market makers, are able to use larger sized trades than those employed by informed traders on U.S. markets. 2008-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/1220 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University informed traders pure limit order market trade size bull and bear markets Thailand Finance and Financial Management Portfolio and Security Analysis
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic informed traders
pure limit order market
trade size
bull and bear markets
Thailand
Finance and Financial Management
Portfolio and Security Analysis
spellingShingle informed traders
pure limit order market
trade size
bull and bear markets
Thailand
Finance and Financial Management
Portfolio and Security Analysis
DING, David K.
Charoenwong, C.
Jenwittayaroje, Nattawut
Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market
description This study examines trade sizes used by informed traders. The selected sample includes 73 active stocks from the Stock Exchange of Thailand (SET), a pure limit order market, that cover two distinct market conditions of a bull and bear market. Using intraday data, the study finds that large sized trades (i.e., larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. This finding compares with the results of studies conducted on U.S. markets that show informed traders employ trade sizes falling between the 40th and 95th percentiles (Barclay and Warner 1993; Chakravarty 2001). Our results support the hypothesis that informed traders on a pure limit order market such as the SET, where there are no market makers, are able to use larger sized trades than those employed by informed traders on U.S. markets.
format text
author DING, David K.
Charoenwong, C.
Jenwittayaroje, Nattawut
author_facet DING, David K.
Charoenwong, C.
Jenwittayaroje, Nattawut
author_sort DING, David K.
title Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market
title_short Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market
title_full Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market
title_fullStr Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market
title_full_unstemmed Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market
title_sort price movers on the stock exchange of thailand: evidence from a fully automated order-driven market
publisher Institutional Knowledge at Singapore Management University
publishDate 2008
url https://ink.library.smu.edu.sg/lkcsb_research/1220
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