Trading costs on the Stock Exchange of Thailand

Nattawut Jenwittayaroje, Charlie Charoenwong, David Ding and Yung Chiang Yang

International Review of Financial Analysis, 2015, vol. 41, issue C, 31-40

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.

Keywords: Trading costs; Thailand; Order aggressiveness; Order submission strategy; Implementation shortfall (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521915000903
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:41:y:2015:i:c:p:31-40

DOI: 10.1016/j.irfa.2015.05.008

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().