Chulalongkorn University Theses and Dissertations (Chula ETD)

Year (A.D.)

2020

Document Type

Independent Study

First Advisor

Tanakorn Likitapiwat

Faculty/College

Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline

Finance

DOI

10.58837/CHULA.IS.2020.69

Abstract

This study investigates the impact of the entry of algorithmic trading on Thailand’s stock market liquidity around dividend announcement during 2001 – 2016. We find some evidence to support that the entry of algorithmic trading in Thai stock market and their increase activities in the market help to provide more liquidity in term of trade volume in stock market liquidity especially after the dividend announcement releases. However, the rise of algorithmic trading tend to lead the market participants to consume liquidity in term of market depth at both best bid and bet offer rather than providing the standing orders in the market during period of high information asymmetry.

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