Abstract:
This research explores the determinants of market liquidity and trading activity in the Stock Exchange of Thailand during the period of 2001 to 2009. Only some weak evidence is found. Short-term and long- term interest rates have a positive effect on some of market liquidity and trading activity’s variables. Long-term market performance is found to be a negative predictor variable of depth, while lagged volatility has a negative relation with market trading activity’s variable. This research also finds that market liquidity and trading activity fall on Friday (except spread), but there is no specific day for the opposite pattern. Depth and baht volume increase when there is a consumer price index announcement. Type of investor is studied, but no significant difference in predictor variables between retail and non-retail liquidity and trading activity’s providers is found.
