A study of intraday trading behavior around tick size changes

Roongkiat Ratanabanchuen    Kanis Saengchote
04 Dec 2017
Categories: Equity Investments, Behavioral Finance

Country or region: Thailand

In Thailand, tick sizes for stock trades are not decimalized but instead fixed over predefined intervals. While changes in tick sizes are exogenous, investors seem to behave differently around such thresholds. Using high-frequency trade and quote data from the Stock Exchange of Thailand between 2002 and 2008, we document that ......

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