Publication Type
Journal Article
Version
submittedVersion
Publication Date
8-2010
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
Asian Studies | Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Financial Review
Volume
45
Issue
3
First Page
761
Last Page
783
ISSN
0732-8516
Identifier
10.1111/j.1540-6288.2010.00270.x
Publisher
Wiley
Citation
Charoenwong, Charlie; DING, David K.; and Jenwittayaroje, Nattawut.
Price movers on the stock exchange of Thailand: Evidence from a fully automated order-driven market. (2010). Financial Review. 45, (3), 761-783.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1885
Copyright Owner and License
Authors
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/10.1111/j.1540-6288.2010.00270.x
Included in
Asian Studies Commons, Finance and Financial Management Commons, Portfolio and Security Analysis Commons