Trading costs on the stock exchange of Thailand
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 o...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2015
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| Online Access: | https://hdl.handle.net/10356/98115 http://hdl.handle.net/10220/38526 |
| _version_ | 1826110440076214272 |
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| author | Jenwittayaroje, Nattawut Charoenwong, Charlie Ding, David K. Yang, Yung Chiang |
| author2 | Nanyang Business School |
| author_facet | Nanyang Business School Jenwittayaroje, Nattawut Charoenwong, Charlie Ding, David K. Yang, Yung Chiang |
| author_sort | Jenwittayaroje, Nattawut |
| collection | NTU |
| description | 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. |
| first_indexed | 2024-10-01T02:34:27Z |
| format | Journal Article |
| id | ntu-10356/98115 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:34:27Z |
| publishDate | 2015 |
| record_format | dspace |
| spelling | ntu-10356/981152023-05-19T06:44:43Z Trading costs on the stock exchange of Thailand Jenwittayaroje, Nattawut Charoenwong, Charlie Ding, David K. Yang, Yung Chiang Nanyang Business School DRNTU::Business::Accounting::Financial statements and analysis 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. Accepted version 2015-08-27T04:41:27Z 2019-12-06T19:50:45Z 2015-08-27T04:41:27Z 2019-12-06T19:50:45Z 2015 2015 Journal Article Jenwittayaroje, N., Charoenwong, C., Ding, D. K., & Yang, Y. C. (2015). Trading costs on the stock exchange of Thailand. International Review of Financial Analysis, 41, 31-40. 1057-5219 https://hdl.handle.net/10356/98115 http://hdl.handle.net/10220/38526 10.1016/j.irfa.2015.05.008 en International review of financial analysis © 2015 Elsevier. This is the author created version of a work that has been peer reviewed and accepted for publication by International Review of Financial Analysis, Elsevier. It incorporates referee’s comments but changes resulting from the publishing process, such as copyediting, structural formatting, may not be reflected in this document. The published version is available at: [http://dx.doi.org/10.1016/j.irfa.2015.05.008]. 10 p. application/pdf |
| spellingShingle | DRNTU::Business::Accounting::Financial statements and analysis Jenwittayaroje, Nattawut Charoenwong, Charlie Ding, David K. Yang, Yung Chiang Trading costs on the stock exchange of Thailand |
| title | Trading costs on the stock exchange of Thailand |
| title_full | Trading costs on the stock exchange of Thailand |
| title_fullStr | Trading costs on the stock exchange of Thailand |
| title_full_unstemmed | Trading costs on the stock exchange of Thailand |
| title_short | Trading costs on the stock exchange of Thailand |
| title_sort | trading costs on the stock exchange of thailand |
| topic | DRNTU::Business::Accounting::Financial statements and analysis |
| url | https://hdl.handle.net/10356/98115 http://hdl.handle.net/10220/38526 |
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