Essays on market microstructure : empirical studies on the Thai stock market

• Main Author: Phetcharakupt, Veeraphat
• Published: University of Essex 2008
• Subjects: 332
• Online Access: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486569

In this thesis, there are three essays on empirical market microstructure. The fIrst essay extends the study of the stealth trading hypothesis of Barclay and Warner (1993) that informed traders submit average size trades in order to minimize the price impact of their trades. After distinguishing between three types ofprice impact classifIed by source, I fInd that informed traders are more inclined to submit medium-size limit orders in order to take advantage from incoming small-size market orders of uninformed traders. Therefore, the fmdings are consistent with tl}e stealth trading hypothesis.In the second essay, I look at order submission strategies around earnings announcements. I fInd that the execution risk is the main factor determining traders' choice of order type during both the normal trading periods and periods of high likely information asymmetry . such as earning announcement periods. Traders' order submission strategies depend largely on the state of the limit order book at the time the order is submitted (Le. the depth at the same side, the depth at the opposite side, and the bid-ask spread). There is no strong evidence of a switch of certain order types between the normal trading periods and the earnings announcement periods.