Title

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

Publication Type

Conference Paper

Publication Date

2008

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

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

2008 Chulalongkorn Accounting and Finance Symposium

City or Country

Bangkok, Thailand

Comments

See article http://ink.library.smu.edu.sg/lkcsb_research/1885/

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