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

23 Pages Posted: 13 Jul 2010

See all articles by Charlie Charoenwong

Charlie Charoenwong

Nanyang Technological University (NTU)

David K. Ding

Singapore Management University - Lee Kong Chian School of Business

Nattawut Jenwittayaroje

National Institute of Development Administration (NIDA)

Multiple version iconThere are 2 versions of this paper

Abstract

This study examines which trade sizes move stock prices on the Stock Exchange of Thailand (SET), a pure limit order market, over two distinct market conditions of bull and bear. Using intraday data, the study finds that large-sized trades (i.e., those larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. The finding remains even after it has been subjected to a battery of robustness checks. In contrast, the results of studies conducted in the United States show that 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 in a pure limit order market, such as the SET, where there are no market makers, also use larger-size trades than those employed by informed traders in the United States.

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. Financial Review, Vol. 45, Issue 3, pp. 761-783, August 2010, Available at SSRN: https://ssrn.com/abstract=1639203 or http://dx.doi.org/10.1111/j.1540-6288.2010.00270.x

Charlie Charoenwong (Contact Author)

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

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

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

Nattawut Jenwittayaroje

National Institute of Development Administration (NIDA) ( email )

118 Seri Thai Road
Bangkok, 10240
Thailand

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
2
Abstract Views
568
PlumX Metrics