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Tick Size Change on the Stock Exchange of Thailand

Author

Listed:
  • 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.

Suggested Citation

  • Pavabutra, Pantisa & Prangwattananon, Sukanya, 2008. "Tick Size Change on the Stock Exchange of Thailand," CEI Working Paper Series 2008-9, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
    • Handle: RePEc:hit:hitcei:2008-9
    Note: January 31, 2008
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    File URL: https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/29284/WP2008-9.pdf
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    More about this item

    Keywords

    Tick size; Market microstructure; Transaction costs;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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