Price Movers on the Stock Exchange of Thailand: Evidence from a Fully Automated Order‐Driven Market
研究了泰国纯限价订单市场中不同交易规模对股价的影响，发现大额交易（超过75百分位）对价格变动影响显著，且结果稳健，与美国的发现不同。
Abstract This study examines which trade sizes move stock prices on the Stock Exchange of Thailand (SET), a pure limit order market, over two distinct market conditions of bull and bear. Using intraday data, the study finds that large‐sized trades (i.e., those larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. The finding remains even after it has been subjected to a battery of robustness checks. In contrast, the results of studies conducted in the United States show that 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 in a pure limit order market, such as the SET, where there are no market makers, also use larger‐size trades than those employed by informed traders in the United States.