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.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Chatchawanwanit, Chotika, "Does algorithmic trading improve liquidity around dividend announcement? evidence from the stock exchange of Thailand" (2020). Chulalongkorn University Theses and Dissertations (Chula ETD). 7583.
https://digital.car.chula.ac.th/chulaetd/7583