Publication Type
Journal Article
Version
publishedVersion
Publication Date
3-2008
Abstract
The liquidity distribution, or the shape of the limit order book, influences trading behavior and choice of order submission by public liquidity suppliers. The present study seeks to discover whether liquidity providers are concerned about being picked off by informed traders, and whether they are less willing to supply liquidity at the market or demand higher price spreads. The results show that liquidity at the market is a small portion of total liquidity, and that firm size, minimum tick size, volatility, and trading volume play significant roles in determining the liquidity distribution within an order book.
Keywords
Liquidity, Tick size, Stock exchange, Thailand
Discipline
Asian Studies | Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
International Review of Financial Analysis
Volume
17
Issue
2
First Page
291
Last Page
311
ISSN
1057-5219
Identifier
10.1016/j.irfa.2005.09.005
Publisher
Elsevier
Citation
Visaltanachoti, Nuttawat; Charoenwong, Charlie; and DING, David K..
Liquidity Distribution in the Limit Order Book on the Stock Exchange of Thailand. (2008). International Review of Financial Analysis. 17, (2), 291-311.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1152
Copyright Owner and License
Publisher
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.irfa.2005.09.005
Included in
Asian Studies Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons