Essays on trading cost, trade size, and price behavior : empirical evidence from the stock exchange of Thailand.
Date of Issue2007
College of Business (Nanyang Business School)
This dissertation consists of three essays. Essay 1 examines and quantifies various components of the trading costs of stocks listed on the Stock Exchange of Thailand (SET). Essay 2 examines the price behavior associated with buy and sell trades of 71 stocks actively traded on the SET. Essay 3 examines trade sizes used by informed traders on the SET.
Nanyang Technological University