indicate that the
lack of liquidity is a key determinant for high volatility in emerging
markets and can impede stock market development. Further, investors
tend to consider liquidity as a critical factor when making investment
in emerging markets because their returns can be substantially reduced
after accounting for liquidity cost (Bekaert, Harvey, & Lundblad, 2007;
Agudelo, 2010). Despite the importance of stock liquidity for emerging
markets such as Thailand, little investigation into such topic has been
undertaken