15 Dec 2023
Congratulations! Professor Sirimon Treepongkaruna, Ph.D., Sasin’s Senior Research Fellow and Visiting Professor, has been honored with the Best Paper Award by the Securities and Exchange Commission!
Her groundbreaking research, “To Break or Not to Break: Evidence from Price Discovery Process of Thai Stocks during the Pre-Opening of Each Trading Session,” explores the impact of lunch breaks in the stock exchange using data from SET (2018-2021).
In collaboration with Assistant Professor Tanakorn Likitapiwat, Chi Chih Huang, and Professor Christine X. Jiang, the research reveals a significant disparity in the price discovery process between morning and afternoon sessions. Morning sessions dominate with a 15.59% (afternoon: 2.78%) weighted price contribution during the call auction. The study emphasizes a richness of information during morning hours, suggesting that a lunch break may be less beneficial than continuous trading.