Trading Costs on the Stock Exchange of Thailand

• Main Authors: JENWITTAYAROJE, Nattawut, CHAROENWONG, Charlie, DING, David K., YANG, Yung Chiang
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Trading costs; Thailand; Order aggressiveness; Order submission strategy; Implementation shortfall; Asian Studies; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4764; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5763/viewcontent/Trading_costs_SE_Thailand_av.pdf
• Institution: Singapore Management 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...