High Frequency Trading and Market Quality in the Thai Stock Exchange

Abstract

This 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.

Keywords: HFT, market microstructure, market quality, SET50

JEL Classification: G14, C58