Spread, depth, and order flow patterns of warrants and their underlying stocks on the Stock Exchange of Thailand

This study compared the trading characteristics of warrants and their underlying stocks. The Stock Exchange of Thailand provided a good platform for comparing the trading characteristics of warrants and their underlying stocks because both these securities are traded in the same market venue and hav...

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Main Authors: CHAROENWONG, Charlie, VISALTANACHOTI, Nuttawat, DING, David K.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2003
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/6443
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7442/viewcontent/SSRN_id488402.pdf
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spelling sg-smu-ink.lkcsb_research-74422022-01-03T08:24:40Z Spread, depth, and order flow patterns of warrants and their underlying stocks on the Stock Exchange of Thailand CHAROENWONG, Charlie VISALTANACHOTI, Nuttawat DING, David K. This study compared the trading characteristics of warrants and their underlying stocks. The Stock Exchange of Thailand provided a good platform for comparing the trading characteristics of warrants and their underlying stocks because both these securities are traded in the same market venue and have identical trading rules. Hence, the impact of trading protocol on intraday variation and an informed trader's decision to buy warrants or stocks was controlled. The paper found that they have a similar downward sloping pattern of spreads, adverse selection component, and liquidity immediacy, U-shaped for volatility and trading volume, and upward-sloping for depth and market order ratio. After controlling for the intraday patterns, spreads are positively associated with liquidity immediacy and negatively related to the market order ratio and total depth. The results indicate that the market structure does affect the intraday pattern of trading characteristics. 2003-07-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/6443 info:doi/10.2139/ssrn.488402 https://ink.library.smu.edu.sg/context/lkcsb_research/article/7442/viewcontent/SSRN_id488402.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Intraday patterns spreads depths order flows Thailand Asian Studies 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 Intraday patterns
spreads
depths
order flows
Thailand
Asian Studies
Portfolio and Security Analysis
spellingShingle Intraday patterns
spreads
depths
order flows
Thailand
Asian Studies
Portfolio and Security Analysis
CHAROENWONG, Charlie
VISALTANACHOTI, Nuttawat
DING, David K.
Spread, depth, and order flow patterns of warrants and their underlying stocks on the Stock Exchange of Thailand
description This study compared the trading characteristics of warrants and their underlying stocks. The Stock Exchange of Thailand provided a good platform for comparing the trading characteristics of warrants and their underlying stocks because both these securities are traded in the same market venue and have identical trading rules. Hence, the impact of trading protocol on intraday variation and an informed trader's decision to buy warrants or stocks was controlled. The paper found that they have a similar downward sloping pattern of spreads, adverse selection component, and liquidity immediacy, U-shaped for volatility and trading volume, and upward-sloping for depth and market order ratio. After controlling for the intraday patterns, spreads are positively associated with liquidity immediacy and negatively related to the market order ratio and total depth. The results indicate that the market structure does affect the intraday pattern of trading characteristics.
format text
author CHAROENWONG, Charlie
VISALTANACHOTI, Nuttawat
DING, David K.
author_facet CHAROENWONG, Charlie
VISALTANACHOTI, Nuttawat
DING, David K.
author_sort CHAROENWONG, Charlie
title Spread, depth, and order flow patterns of warrants and their underlying stocks on the Stock Exchange of Thailand
title_short Spread, depth, and order flow patterns of warrants and their underlying stocks on the Stock Exchange of Thailand
title_full Spread, depth, and order flow patterns of warrants and their underlying stocks on the Stock Exchange of Thailand
title_fullStr Spread, depth, and order flow patterns of warrants and their underlying stocks on the Stock Exchange of Thailand
title_full_unstemmed Spread, depth, and order flow patterns of warrants and their underlying stocks on the Stock Exchange of Thailand
title_sort spread, depth, and order flow patterns of warrants and their underlying stocks on the stock exchange of thailand
publisher Institutional Knowledge at Singapore Management University
publishDate 2003
url https://ink.library.smu.edu.sg/lkcsb_research/6443
https://ink.library.smu.edu.sg/context/lkcsb_research/article/7442/viewcontent/SSRN_id488402.pdf
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