securities outside the stock exchange if abiding by the regulations, conditions and procedures set by the SEC Office. Earlier, the law prohibited such companies to trade securities outside the stock

Quality At Best Bid/Offer Outside Best Bid/Offer Liquidity Making (passive) Taking (active) Order Tendencies Analysis Source: Analysis of High-frequency Trading at Tokyo Stock Exchange, The Securities

included in our study - Bid Ask spread included in the transaction costs ◦ The study results indicate a potential of market efficiency .

Put Call Future Parityโดยใช้ SET50 Index Futures เป็นสินค้าอ้างอิงในศึกษาครัง้นีโ้ดยพิจราณาข้อมูลตัวท่ีมี คุณสมบัติวันหมดอายุภายใน 1 เดือนและมีราคาเสนอซือ้ เสนอขาย(Bid Ask)ของทัง้ SET50 Index Futures

(all IPs) and unique Ips. • This increase is especially so for low-visibility firms as compared to high-visibility firms (as proxied by the bid-ask spread). Interpretation • When the firm has news to be

140 2002 2003 2004 2005 2006 $ b n 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 % SET Turnover Share of Asia (ex Jp) 12 2.1.3 *#(#" (transaction cost) SET *#(#"P ,")'N ! Bid-Ask Spread (indirect cost) bK$! R

. (1996), Bacidore (1997), Bessembinder (2000), Goldstein and Kavajecz (2000), and Chung et al. (2004)). • The first prediction is by Harris (1994) who expects that bid- ask spreads should narrow following

1.05% 0.63% 1.11% Max 2.77% 1.72% 7.69% Min 0.17% 0.25% 0.40% - SET50 MAI Many ETFs have relatively narrow bid/ask spread but some impose fairly high trading costs. Source : Bloomberg complied by