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Tick Size Change on the Stock Exchange of Thailand

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Author Info
Pavabutra, Pantisa
Prangwattananon, Sukanya
Abstract

This paper explores the impact of exogenous tick size reduction on bid-ask spreads, depths, and trading volume on the Stock Exchange of Thailand (SET). On November 5, 2001, the SET implemented tick size reduction on stocks below THB 25. Even though trading on the Thai Exchange is largely dominated by retail investors, the tick reduction produces similar empirical results found in markets where institutional investors are more dominant. Tick reduction on the SET is associated with declines in spreads, quoted and accumulated market depths. The study finds no significant change in trading volume of the affected stock group.

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File URL: http://hermes-ir.lib.hit-u.ac.jp/rs/bitstream/10086/15732/1/WP2008-9a.pdf
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Publisher Info
Paper provided by Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University in its series CEI Working Paper Series with number 2008-9.

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Length: 28 p.
Date of creation: Apr 2008
Date of revision:
Handle: RePEc:hit:hitcei:2008-9

Note: January 31, 2008
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Related research
Keywords: Tick size; Market microstructure; Transaction costs;

Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H., 2007. "Liquidity supply in electronic markets," Journal of Financial Markets, Elsevier, vol. 10(2), pages 144-168, May. [Downloadable!] (restricted)
  2. Lau, Sie Ting & McInish, Thomas H., 1995. "Reducing tick size on the Stock Exchange of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 3(4), pages 485-496, December. [Downloadable!] (restricted)
  3. Cordella, Tito & Foucault, Thierry, 1999. "Minimum Price Variations, Time Priority, and Quote Dynamics," Journal of Financial Intermediation, Elsevier, vol. 8(3), pages 141-173, July. [Downloadable!] (restricted)
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  4. Kee H. Chung & Kenneth A. Kim & Pattanaporn Kitsabunnarat, 2005. "Liquidity And Quote Clustering In A Market With Multiple Tick Sizes," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 28(2), pages 177-195. [Downloadable!] (restricted)
  5. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March. [Downloadable!] (restricted)
    Other versions:
  6. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November. [Downloadable!] (restricted)
  7. Sugato Chakravarty & Robert A. Wood & Robert A. Van Ness, 2004. "Decimals And Liquidity: A Study Of The Nyse," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 27(1), pages 75-94. [Downloadable!] (restricted)
  8. Bacidore, Jeffrey M., 1997. "The Impact of Decimalization on Market Quality: An Empirical Investigation of the Toronto Stock Exchange," Journal of Financial Intermediation, Elsevier, vol. 6(2), pages 92-120, April. [Downloadable!] (restricted)
  9. Seppi, Duane J, 1997. "Liquidity Provision with Limit Orders and a Strategic Specialist," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(1), pages 103-50.
  10. Burton Hollifield & Robert A. Miller & Patrik Sandas, 2004. "Empirical Analysis of Limit Order Markets," Review of Economic Studies, Blackwell Publishing, vol. 71(4), pages 1027-1063, October. [Downloadable!] (restricted)
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  11. Harris, Lawrence, 1991. "Stock Price Clustering and Discreteness," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(3), pages 389-415. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Gennaioli, Nicola & Rossi, Stefano, 2008. "Judicial Discretion in Corporate Bankruptcy," CEI Working Paper Series 2008-5, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
  2. Gennaioli, Nicola & Rossi, Stefano, 2008. "Optimal Resolutions of Financial Distress by Contract," CEI Working Paper Series 2008-6, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
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