Tick Size Change on the Stock Exchange of Thailand

Pantisa Pavabutra and Sukanya Prangwattananon

No 2008-9, CEI Working Paper Series from Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University

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.

Keywords: Tick size; Market microstructure; Transaction costs (search for similar items in EconPapers)
JEL-codes: G14 G18 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2008-04
New Economics Papers: this item is included in nep-fmk, nep-mst and nep-sea
Note: January 31, 2008
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Persistent link: https://EconPapers.repec.org/RePEc:hit:hitcei:2008-9

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