政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/118854

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113656/144643 (79%)
Visitors : 51721380 Online Users : 614

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

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

Files in This Item:

File	Description	Size	Format
53-62.pdf		484Kb	Adobe PDF2	534	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...