AN ALTERNATIVE METHOD TO IDENTIFY INFORMED TRADERS IN THE STOCK EXCHANGE OF THAILAND

Abstract

This study uses the experimental findings of Bloomfield, O’Hara, and Saar (2005) as an alternative method to identify informed and uninformed traders in the Stock Exchange of Thailand. Based on a sample period from 2009, the results show that all four investor types in the Stock Exchange of Thailand appear to be dominated by uninformed traders. Further analyses, however, indicate that proprietary traders and institutional investors have relatively lower proportions of uninformed traders than foreign investors do. The robustness tests show that our main results are generally unchanged, regardless of the methods used to calculate limit order submission rates and stock market conditions.