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

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 importan...

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Published inPloS one Vol. 16; no. 7; p. e0255057
Main Authors Wongsinhirun, Nopparat, Chatjuthamard, Pattanaporn, Treepongkaruna, Sirimon, Likitapiwatc, Tanakorn
Format Journal Article
LanguageEnglish
Published San Francisco Public Library of Science 26.07.2021
Public Library of Science (PLoS)
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ISSN1932-6203
1932-6203
DOI10.1371/journal.pone.0255057

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Abstract 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.
AbstractList 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.
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.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.
Audience Academic
Author Likitapiwatc, Tanakorn
Chatjuthamard, Pattanaporn
Treepongkaruna, Sirimon
Wongsinhirun, Nopparat
AuthorAffiliation 1 Sasin School of Management, Chulalongkorn University, Bankok, Thailand
3 UWA Business School, The University Western Australia, Crawley, WA, Australia
2 Center of Excellence in Management Research for Corporate Governance and Behavioural Finance Sasin School of Management, Chulalongkorn University, Bangkok, Thailand
4 Chula Business School, Chulalongkorn University, Bangkok, Thailand
University of Almeria, SPAIN
AuthorAffiliation_xml – name: 2 Center of Excellence in Management Research for Corporate Governance and Behavioural Finance Sasin School of Management, Chulalongkorn University, Bangkok, Thailand
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– name: University of Almeria, SPAIN
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– notice: 2021 Wongsinhirun et al. This is an open access article distributed under the terms of the Creative Commons Attribution License: http://creativecommons.org/licenses/by/4.0/ (the “License”), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.
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Snippet 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...
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...
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StartPage e0255057
SubjectTerms Algorithms
Analysis
Asymmetry
Economic aspects
Efficiency
Efficient markets
Executives
High frequency trading
High speed
Hypotheses
Information processing
Insider trading
Insider trading in securities
People and Places
Physical Sciences
Profits
Public information
Research and Analysis Methods
Securities markets
Social Sciences
Stock exchanges
Stock markets
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Title Do algorithm traders mitigate insider trading profits?: Evidence from the Thai stock market
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https://pubmed.ncbi.nlm.nih.gov/PMC8312933
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