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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/118854

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/118854

Title:	Call Auction Frequency and Market Quality: Evidence from the Taiwan Stock Exchange
Authors:	屠美亞 Twu, Mia
Contributors:	財管系
Keywords:	Call auction;Call auction interval;Optimal call auction interval;Market quality
Date:	2018-08
Issue Date:	2018-07-24 16:13:57 (UTC+8)
Abstract:	Financial market quality is generally assessed with respect to efficiency, liquidity, and stability. The frequency of trading contributes to these attributes. The Taiwan Stock Exchange uses a periodic call auction as its main trading mechanism. From 2010 to 2014 the call auction interval was reduced four times, from 25 to 5 s, providing a natural experiment to test the impact on market quality. Using multiple measures of efficiency, liquidity, and stability we provide evidence that the reductions in call auction interval have improved overall market quality. We find that higher auction frequencies are associated with a lower trade-to-auction ratio and less aggressive trading behaviour. The evidence suggests that there are more gains to be made through further reduction in the call auction interval to around 2 s.
Relation:	Journal of Asian Economics, Volume 57, Pages 53-62
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.asieco.2018.06.004
DOI:	10.1016/j.asieco.2018.06.004
Appears in Collections:	[財務管理學系] 期刊論文

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