Please use this identifier to cite or link to this item: https://kkbsrs.kku.ac.th/jspui/handle/123456789/146
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dc.contributor.authorSurachai, Chancharat-
dc.contributor.authorPongsutti, Phuensane-
dc.date.accessioned2021-10-27T03:54:49Z-
dc.date.available2021-10-27T03:54:49Z-
dc.date.issued2021-
dc.identifier.urihttps://kkbsrs.kku.ac.th/jspui/handle/123456789/146-
dc.description.abstractThis research is based on an empirical analysis of the impact of HFT activity on the stock in the SET50 index trading in the Stock Exchange of Thailand (SET), using publicly-available trade-by-trade tick data for the period between January 01, 2016, and June 30, 2018. The HFT data is illustrated to show the pattern of the HFT orders in the SET with a strong relationship between HFT orders and the market quality. Also, the OLS analysis shows that most market quality proxies such as the effective spread, realized spread, and price impact has a negative relationship with the number of HFT orders. This indicates that the level of the effective spread realized spread, and price impact is reduced when the HFT activity increases.en_US
dc.description.urihttps://ssrn.com/abstract=3759508en_US
dc.language.isoenen_US
dc.publisherGMSARN International Journalen_US
dc.subjectHFTen_US
dc.subjectmarket microstructureen_US
dc.subjectmarket qualityen_US
dc.subjectSET50en_US
dc.titleHigh Frequency Trading and Market Quality in the Thai Stock Exchangeen_US
dc.typeArticleen_US
dc.email.authorpongphu@kku.ac.then_US
dc.skill.authorFinanceen_US
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