Liquidity distribution in the limit order book on the stock exchange of Thailand

Nuttawat Visaltanachoti (), Charlie Charoenwong and David Ding

International Review of Financial Analysis, 2008, vol. 17, issue 2, 291-311

Abstract: The liquidity distribution, or the shape of the limit order book, influences trading behavior and choice of order submission by public liquidity suppliers. The present study seeks to discover whether liquidity providers are concerned about being picked off by informed traders, and whether they are less willing to supply liquidity at the market or demand higher price spreads. The results show that liquidity at the market is a small portion of total liquidity, and that firm size, minimum tick size, volatility, and trading volume play significant roles in determining the liquidity distribution within an order book.

Date: 2008
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