Price movers on the stock exchange of Thailand: Evidence from a fully automated order-driven market

• Main Authors: Charoenwong, Charlie, DING, David K., Jenwittayaroje, Nattawut
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: informed traders; pure limit order market; trade size; bull and bear markets; Thailand; Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/1885; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2884/viewcontent/SSRN_id1002066.pdf
• Institution: Singapore Management University

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...