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Stock splits in a retail dominant order driven market

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  • Pavabutr, Pantisa
  • Sirodom, Kulpatra

Abstract

This paper uses intraday and daily data from the Stock Exchange of Thailand (SET) between 2002 and 2004 to provide evidence that firms use stock splits to bring their stock prices down to a preferred trading range of their clientele base. Stock splits reduce bid-ask spreads and intraday and daily price impact while increasing depths supplied by retail investors who account for 60-70% of trading on the SET. Firms that choose a high split factor experience greater improvement in liquidity. The study finds no evidence that split announcements are used to signal post-split earnings performance.

Suggested Citation

  • Pavabutr, Pantisa & Sirodom, Kulpatra, 2010. "Stock splits in a retail dominant order driven market," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 427-441, November.
    • Handle: RePEc:eee:pacfin:v:18:y:2010:i:5:p:427-441
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    References listed on IDEAS

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    Cited by:

    1. Alex Frino & Stephen Satchell & Brad Wong & Hui Zheng, 2013. "How much does an Illegal Insider Trade?," International Review of Finance, International Review of Finance Ltd., vol. 13(2), pages 241-263, June.
    2. Ghassan Omet, 2011. "Stock Market Liquidity: Comparative Analysis of The Abu Dhabi Stock Exchange and Dubai Financial Market," Working Papers 655, Economic Research Forum, revised 12 Jan 2011.
    3. Justin Cox & Bonnie Van Ness & Robert Van Ness, 2022. "Stock splits and retail trading," The Financial Review, Eastern Finance Association, vol. 57(4), pages 731-750, November.
    4. Priyanka Naik & Y. V. Reddy, 2021. "Stock Market Liquidity: A Literature Review," SAGE Open, , vol. 11(1), pages 21582440209, January.

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