Abstract:
The proprietary trading pattern is investigated around the large order events of individual, foreign, institution and insider investors to examine whether they front run other investors’ large orders, using the data from the Stock Exchange of Thailand (SET) during March 2007 to December 2009. The proprietary investors have statistically significant daily abnormal volume, in the same direction with the impending large orders, before the event date of the individual and insider large order events. The results suggest the evidence of front running in aggregate, after removing other explanations. Moreover, the daily abnormal returns and cumulative abnormal returns (CAR) around the large order events of each investor type suggest that the profits from front running the individual large orders are inconclusive. For the insider large order event, the proprietary investors gain on average according to the insider large buy event, while they not only have no profit but also lose the opportunities to gain according to the insider large sell event.
