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

• Main Authors: CHAROENWONG, Charlie, VISALTANACHOTI, Nuttawat, DING, David K.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2003
• Subjects: Intraday patterns; spreads; depths; order flows; Thailand; Asian Studies; Portfolio and Security Analysis
• 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
• Institution: Singapore Management University

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...