Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/98115
Title: Trading costs on the stock exchange of Thailand
Authors: Jenwittayaroje, Nattawut
Charoenwong, Charlie
Ding, David K.
Yang, Yung Chiang
Keywords: DRNTU::Business::Accounting::Financial statements and analysis
Issue Date: 2015
Source: Jenwittayaroje, N., Charoenwong, C., Ding, D. K., & Yang, Y. C. (2015). Trading costs on the stock exchange of Thailand. International Review of Financial Analysis, 41, 31-40.
Series/Report no.: International review of financial analysis
Abstract: This study examines the components of trading costs incurred in trading large and liquid stocks listed on the Stock Exchange of Thailand. We find that aggressive orders pay an immediacy price measured by price impact, whereas executed passive orders gain the immediacy price. We also find a sizable opportunity cost from the unexecuted portion of a limit order that more than offsets the benefit obtained from the partial fulfillment of the order. The total trading cost, which includes price impact and opportunity cost, is positively related to order size and stock price volatility, but negatively associated with firm size, stock price, and stock liquidity. The total trading cost has a U-shaped relation with order aggressiveness. Collectively, our study suggests that, to minimize the total trading cost, the optimal strategy is simply to use a limit order submitted at the best quote.
URI: https://hdl.handle.net/10356/98115
http://hdl.handle.net/10220/38526
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2015.05.008
Rights: © 2015 Elsevier. This is the author created version of a work that has been peer reviewed and accepted for publication by International Review of Financial Analysis, Elsevier. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1016/j.irfa.2015.05.008].
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:NBS Journal Articles

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