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

37 Pages Posted: 22 Jul 2007

See all articles by Charlie Charoenwong

Charlie Charoenwong

Nanyang Technological University (NTU)

David K. Ding

Singapore Management University - Lee Kong Chian School of Business

English

Nanyang Technological University (NTU) - Nanyang Business School

Multiple version iconThere are 2 versions of this paper

Date Written: July 2007

Abstract

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.

Keywords: informed traders, pure limit order market, trade size, bull and bear markets, Thailand

JEL Classification: G12, G14, G15

Suggested Citation

Charoenwong, Charlie and Ding, David K. and Jenwittayaroje, Nattawut, Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order-Driven Market (July 2007). Available at SSRN: https://ssrn.com/abstract=1002066 or http://dx.doi.org/10.2139/ssrn.1002066

Charlie Charoenwong

Nanyang Technological University (NTU) ( email )

Nanyang Business School, BF Division
S3-01c-104
Singapore, 639798
Singapore
+65 6790 4799 (Phone)
+65 6791 3697 (Fax)

David K. Ding (Contact Author)

Singapore Management University - Lee Kong Chian School of Business ( email )

50 Stamford Road
Singapore, 178899
Singapore
+65 6828-0245 (Phone)

Nattawut Jenwittayaroje

Nanyang Technological University (NTU) - Nanyang Business School ( email )

Singapore, 639798
Singapore

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