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Tick Size Change on the Stock Exchange of Thailand

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  • Pavabutra, Pantisa
  • Prangwattananon, Sukanya
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    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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    Bibliographic 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;

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