Spread, Depth, and Order Flow Patterns of Warrants and Their Underlying Stocks on the Stock Exchange of Thailand

48 Pages Posted: 28 May 2004

See all articles by Charlie Charoenwong

Charlie Charoenwong

Nanyang Technological University (NTU)

Nuttawat Visaltanachoti

Massey University - Department of Economics and Finance

David K. Ding

Singapore Management University - Lee Kong Chian School of Business

Date Written: July 2003

Abstract

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.

Keywords: intraday patterns, spreads, depths, order flows, Thailand

JEL Classification: G15

Suggested Citation

Charoenwong, Charlie and Visaltanachoti, Nuttawat and Ding, David K., Spread, Depth, and Order Flow Patterns of Warrants and Their Underlying Stocks on the Stock Exchange of Thailand (July 2003). EFMA 2004 Basel Meetings Paper. Available at SSRN: https://ssrn.com/abstract=488402 or http://dx.doi.org/10.2139/ssrn.488402

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)

Nuttawat Visaltanachoti (Contact Author)

Massey University - Department of Economics and Finance ( email )

School of Economics and Finance
Private Bag 102904, NSMC
Auckland
New Zealand
64 9 414 0800 (43169) (Phone)
64 9 441 8177 (Fax)

David K. Ding

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

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

Register to save articles to
your library

Register

Paper statistics

Downloads
216
Abstract Views
1,261
rank
145,710
PlumX Metrics