Analysis of order book and order flow : evidence on the stock exchange of Thailand in 1997 crisis
Ding, David Kuan Yong
Date of Issue2007
College of Business (Nanyang Business School)
This study explores order book, order flow and regularity patterns of returns for stocks traded on the Stock Exchange of Thailand (SET) during the 1997 financial crisis. Similar to Chordia, Roll, and Subrahmanyam (2002), the findings suggest that the aggregate investors behave as contrarian traders before the Baht devaluation on July 2, 1997. But, after the devaluation, the results indicate that the aggregate investors switch to the momentum trading strategy. The study also finds that the excess sell orders have a stronger impact to future return than the excess buy orders. Buy orders is strongest during the opening period,while the sell orders is highest during the closing period. The devaluation day serves as the structural break for the stock exchange of Thailand since the mean and the distribution of the microstructure variables during the pre- and post-devaluation periods are statistically different.