Master of Science in Finance Program (MSF) Banking and Finance Department Faculty of Commerce and Accountancy Chulalongkorn Uni

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2604667 2 (2-0-6) Market Microstructure / / MKT MICROSTRUC

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Market microstructure mo e3sC or er t"6esC or er su4mission strate$iesC tra er t"6esC 4e/aBior o1 in1orme tra ersC 6ro4a4i3it" o1 in1orme tra in$C 6rice iscoBer"C ori$ins o1 3iAui it" an Bo3ati3it"C transaction cost measurement( #,$ Course 5utline &6(& #e/aBiora3 O4,ectiBes Beha ioral 5!6ecti es Un erstan /o* t/e market & arc/itecture a11ects 6rice- 3iAui it" an tra er 6ro1its 2 Un erstan motiBations an strate$ies o1 eac/ tra er t"6es Un erstan t/e ori$ins o1 ' 3iAui it" an Bo3ati3it"- an /o* tra ers measure 6ort1o3io im63ementation costs #e a43e to critica33" un erstan 4 em6irica3 researc/ in market microstructure- un erstan ke" issues in market microstructure #e a43e to con uct market 8 microstructure researc/ usin$ a Bance 6ro$rammin$ ski33s an statistica3 so1t*are &6(2 Contents Beha ioral 4eek Description 5!6ecti es (Form #,$#) & Tra in$ In ustr" Market Structure 2 Or !n Or O1 er Tra .ro6erties T/eer Structure in$ =imit Or er #ook ' In1orme Tra Ski33 ers !n .ro$rammin$ S:T Microstructure 0ata 2 4- 8 2- 4 & Student Assignment '- 4('- 4(4- 8 &-2-&9 7 '(&-'(2-4('-4(4 &-2-&9 & &(2 &-2-' & &(2- '(& &-2 & &(&- &(2 &-2 & 7earning 5utcome8 (eaching Approach8 9 aluation Approach8

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#1$ ;eading 7ist =arr" 5arris- Trading and Exchanges: Market Microstructure for Practitioners - O;1or UniBersit" .ress Maureen OF5ara- Market Microstructure Theory- #3ack*e33 Researc/ !rtic3es / !ca emic !rtic3es ;esearch Papers for 4eek . #essem4in er- 5(- an 5( M( Kau1man( &997a( ! com6arison o1 tra e e;ecution costs 1or )@S: an )!S0!G-3iste stocks( Journal of Financial and Quantitative Analysis '22 277H'&0( #oe/mer- :( 2008( 0imensions o1 e;ecution Aua3it"2 Recent eBi ence 1or US eAuit" markets( Journal of Financial Economics 772 88'H872( C/i"ac/antana- C( )(- .( K( +ain- C( +ian$- an R( !( Ioo ( 2004( Internationa3 eBi ence on institutiona3 tra in$ 4e/aBior an 6rice im6act( Journal of Finance 892 769H797( %rino- !(- an T( Oetomo( 2008( S3i66a$e in 1utures markets2 :Bi ence 1rom t/e S" ne" 1utures e;c/an$e( Journal of Futures Markets 282 &&29H&&46( >ri11it/s- M( 0(- #( %( Smit/- 0( !( S( Turn4u33- an R( I( I/ite( 2000( T/e costs an

eterminants o1 or er a$$ressiBeness( Journal of Financial Economics 862 68H77( 5arris- =(- an +( 5as4rouck( &996( T/e Su6er0OT eBi ence on or er su4mission strate$"( Journal of Financial and Quantitative Analysis '&2 2&'H2'&( 5uu )/an 0uon$- .(S( Ka3eB- an C( Kris/namurti( 2009( Or er !$$ressiBeness o1 Institutiona3 an In iBi ua3 InBestors( Pacific- asin Finance Journal &7(8)2 8''-846( .ero3 - !( %( &977( T/e im63ementation s/ort1a332 .a6er Bersus rea3it"( Journal of Portfolio Management &42 4H9( Rana3 o- !n$e3o( 2004( Or er !$$ressiBeness in =imit Or er #ook Markets( Journal of Financial Markets 7(&)2 8'-74( Ia$ner- I(- an M( : *ar s( &99'( #est e;ecution( Financial Analysts Journal 492 68H7&(

;esearch Papers for 4eek 0 #erkman- 5(- T( #rai3s1or - an !( %rino( 2008( ! note on e;ecution costs 1or stock in e; 1utures2 in1ormation Bersus 3iAui it" e11ects( Journal of anking and Finance 292 868-877( #oJcuk- !(- an M( !( =as1er( 2008( T/e in1ormation content o1 institutiona3 tra es on t/e 4

=on on Stock :;c/an$e( Journal of Financial and Quantitative Analysis 402 62&H644( C/an- =(- an +( =akonis/ok( &99'( Institutiona3 tra es an intra a" stock 6rice 4e/aBior( Journal of Financial Economics ''2 &7'-&99( C/an- =(- an +( =akonis/ok( &998( T/e 4e/aBior o1 stock 6rices aroun institutiona3 tra es( Journal of Finance 802 &&47H&&74( C/aroen*on$- C(- 0( 0in$- an )( +en*itta"aro,e( 20&2( T/e as"mmetr" o1 6rice 4e/aBior aroun 4u" an se33 tra es2 )e* eBi ence on t/e Stock :;c/an$e o1 T/ai3an ( !orking Pa"er( C/i"ac/antana- C( )(- .( K( +ain- C( +ian$- an R( !( Ioo ( 2004( Internationa3 eBi ence on institutiona3 tra in$ 4e/aBior an 6rice im6act( Journal of Finance 892 769H797( 5o3t/ausen- R(- R( =e1t*ic/- an 0( Ma"ers( &977( T/e e11ect o1 3ar$e 43ock transactions on securit" 6rices2 ! cross-sectiona3 ana3"sis( Journal of Financial Economics &92 2'7H267( 5o3t/ausen- R(- R( =e1t*ic/- an 0( Ma"ers( &990( =ar$e-43ock transactions- t/e s6ee o1

res6onse- an tem6orar" an 6ermanent stock-6rice e11ects( Journal of Financial Economics 262 7&H98( Keim- 0( #(- an !( Ma /aBan( &998( !natom" o1 t/e tra in$ 6rocess2 :m6irica3 eBi ence on t/e 4e/aBior o1 institutiona3 tra ers( Journal of Financial Economics '72 '7&H'97( Keim- 0( #(- an !( Ma /aBan( &997( T/e cost o1 institutiona3 eAuit" tra es( Financial Analysts Journal 842 80H69( Saar- >( 200&( .rice im6act as"mmetr" o1 43ock tra es2 !n institutiona3 tra in$ e;63anation( #evie$ of Financial %tudies &42 &&8'H&&7&(

;esearch Papers for 4eek 1 #arc3a"- M(- an +( Iarner( &99'( Stea3t/ tra in$ an Bo3ati3it"2 I/ic/ tra es moBe 6ricesK Journal of Financial Economics '42 27&H'08( #3au- #( M(- #( %( Lan )ess- an R( !( Lan )ess( 2009( Intra a" stea3t/ tra in$2 */ic/ tra es moBe 6rices urin$ 6erio s o1 /i$/ Bo3umeK The Journal of Financial #esearch '22 &-2&( Cai- #( M(- C( M( Cai- an K( Kease"( 2006( I/ic/ tra es moBe 6rices in emer$in$ marketsK 2 :Bi ence 1rom C/inaFs stock market( Pacific asin Finance Journal &42 84'-466( C/akraBart"- S( 200&( Stea3t/ tra in$2 I/ic/ tra ersF tra es moBe stock 6ricesK Journal of Financial Economics 6&2 279H'07( C/aroen*on$- C(- 0( 0in$- an )( +en*itta"aro,e( 20&0( .rice MoBers on t/e Stock :;c/an$e o1 T/ai3an 2 :Bi ence 1rom a %u33" !utomate Or er-0riBen Market( The Financial #evie$ 482 76&-77'( =ee- +(- an C( 5( @i( 200&( Tra e siJe an in1ormation-motiBate tra in$ in t/e o6tions an stock 5

markets( Journal of Financial and Quantitative Analysis '62 478H80&(

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