Do algorithm traders mitigate insider trading profits?: Evidence from the Thai stock market

被引：0
|
作者：
Wongsinhirun, Nopparat [1 ]
Chatjuthamard, Pattanaporn [1 ,2 ]
Treepongkaruna, Sirimon [1 ,3 ]
Likitapiwatc, Tanakorn [4 ]
机构：
[1] Chulalongkorn Univ, Sasin Sch Management, Bangkok, Thailand
[2] Chulalongkorn Univ, Ctr Excellence Management Res Corp Governance & B, Sasin Sch Management, Bangkok, Thailand
[3] Univ Western Australia, UWA Business Sch, Crawley, WA, Australia
[4] Chulalongkorn Univ, Chula Business Sch, Bangkok, Thailand
来源：
PLOS ONE | 2021年 / 16卷 / 07期
关键词：
INFORMATION; PRICE; SIZE;
D O I：
10.1371/journal.pone.0255057
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This paper asks whether algorithm traders (AT) mitigate insider trading profits in the Thai stock market over the period of 2010-2016. We find that in general it does but not in the case of buy side, big trades nor the executive trades. Our findings suggest that, to some extent, AT can take important role to increase an efficiency in stock market by processing the public information and incorporating it into price at ultra-fast speed. Additional robustness checks based on the instrumental variable approach confirm our findings.
引用
收藏
页数：15
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