High Frequency Trading and Market Quality in the Thai Stock Exchange

GMSARN International Journal 15 (2021) 244 - 249

6 Pages Posted: 18 Mar 2021

See all articles by Surachai Chancharat

Surachai Chancharat

Faculty of Business Administration and Accountancy, Khon Kaen University, Thailand

Pongsutti Phuensane

Khon Kaen Business School; Durham University Business School

Date Written: January 4, 2021

Abstract

This research is based on an empirical analysis of the impact of HFT activity on the stock in the SET50 index trading in the Stock Exchange of Thailand (SET), using publicly-available trade-by-trade tick data for the period between January 01, 2016, and June 30, 2018. The HFT data is illustrated to show the pattern of the HFT orders in the SET with a strong relationship between HFT orders and the market quality. Also, the OLS analysis shows that most market quality proxies such as the effective spread, realized spread, and price impact has a negative relationship with the number of HFT orders. This indicates that the level of the effective spread realized spread, and price impact is reduced when the HFT activity increases.

Keywords: HFT, market microstructure, market quality, SET50

JEL Classification: G14, C58

Suggested Citation

Chancharat, Surachai and Phuensane, Pongsutti, High Frequency Trading and Market Quality in the Thai Stock Exchange (January 4, 2021). GMSARN International Journal 15 (2021) 244 - 249 , Available at SSRN: https://ssrn.com/abstract=3759508

Surachai Chancharat

Faculty of Business Administration and Accountancy, Khon Kaen University, Thailand

123 Mittraphap Rd., Muang
KhonKaen 40002
Thailand

Pongsutti Phuensane (Contact Author)

Khon Kaen Business School ( email )

Khon Kaen University
123 Moo 16 Mittapap Rd
Khon kaen, Muang District 40002
Thailand

Durham University Business School ( email )

Mill Hill Lane
Durham, Durham DH1 3LB
United Kingdom

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