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โครงการสนับสนุนงานวิจัยด้านตลาดทุน | หน้า 1 | หน้า 2 |

ผลงานวิจัยที่ได้รับทุน

หัวข้อ: Endogenous Tick Sizes, Bid-Ask Spreads, Depth, and Trading Volumes: The Evidence on the Stock Exchange of Thailand

ผู้วิจัย:  Tanachot Boonvorachot, Ph.D.


บทคัดย่อภาษาอังกฤษ
(Abstract)

This paper shows that various tick sizes used by a purely order-driven market may not be optimal. Using the data on the Stock Exchange of Thailand (SET), the study finds that the tick sizes are generally strong binding constraints on the bid-ask spreads quoted. Evidence that more than 90% of the investors in the SET always quote in one-tick spreads suggests that the tick sizes in the SET may be too large. We also find that using tick sizes between 0.01 and 1.00 baht would, in general, enhance market liquidity by improving the depths displayed, and at the same time, not impose overly high trading costs on trading. All findings converge on the recommendation that the SET implement small ticks and a small numbers of pricing grids. A decrease in tick size by half in the higher-priced range of between 200 baht and 400 baht causes minimal changes in quoted depths and trading volumes while decreasing quoted bid-ask spreads substantially.

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หัวข้อ: Endogenous Changes in Tick Sizes and Traders’ Choice between Limit and Market Orders: The Evidence from the Stock Exchange of Thailand

ผู้วิจัย:  Tanachot Boonvorachot, Ph.D.


บทคัดย่อภาษาอังกฤษ
(Abstract)

The various tick sizes used by the Stock Exchange of Thailand (SET) generally form the binding constraints on the quoted bid-ask spreads: the wider (narrower) bid-ask spread created by the larger (smaller) tick size encourages (discourages) liquidity providers to submit more (fewer) limit orders. Most of the price volatility seen in the SET50 stocks reflects liquidity-driven price volatility. The SET may be using overly large tick sizes and unnecessary price ranges for high-priced stocks (above 200 baht). We find that placing the various tick sizes between 0.01 and 1.00 baht would, in general, enhance market liquidity. Tick sizes above 1.00 baht induce an overly large proportion of limit orders. This suggests that the SET may best use only a small number of ticks. The reduction in tick sizes for stock prices above 200 baht using 1 baht as the largest tick size has been found to exert an insignificant effect on investors’ order submission strategy in the SET.

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