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

Nopparat Wongsinhirun; Pattanaporn Chatjuthamard; Sirimon Treepongkaruna; Tanakorn Likitapiwatc

doi:10.1371/journal.pone.0255057

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

PLoS One. 2021 Jul 26;16(7):e0255057. doi: 10.1371/journal.pone.0255057. eCollection 2021.

Authors

Nopparat Wongsinhirun¹, Pattanaporn Chatjuthamard^{1

2}, Sirimon Treepongkaruna^{1

3}, Tanakorn Likitapiwatc⁴

Affiliations

¹ Sasin School of Management, Chulalongkorn University, Bankok, Thailand.
² Center of Excellence in Management Research for Corporate Governance and Behavioural Finance Sasin School of Management, Chulalongkorn University, Bangkok, Thailand.
³ UWA Business School, The University Western Australia, Crawley, WA, Australia.
⁴ Chula Business School, Chulalongkorn University, Bangkok, Thailand.

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.

Publication types

Research Support, Non-U.S. Gov't

MeSH terms

Algorithms*
Commerce
Investments*
Thailand

Grants and funding

This research is funded by Chulalongkorn University under Ratchadapisek Sompoch Endowment Fund through the Center of Excellence in Management Research for Corporate Governance and Behavioral Finance. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript.