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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/129863

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/129863

Title:	A Rare Move: The Effects of Switching from a Closing Call Auction to a Continuous Trading
Authors:	周冠男 Chou, Robin K. 張雅凱 Chang, Yakai Yang, J. Jimmy
Contributors:	財管系
Keywords:	closing call;continuous trading;market quality;price discovery;trading activity
Date:	2020-03
Issue Date:	2020-05-26 13:41:15 (UTC+8)
Abstract:	This study investigates the effects of switching to a closing continuous trading (CCT) on market quality, while considering the trading behaviors of different types of traders. Investors become more patient in the period preceding the last trading phase, which reduces the bid–ask spread (BAS) in that period. We find an increase in the BAS and volatility during the last trading phase, due to diminishing investor patience. Market volatility and the closing pricing errors relate positively to the trading activities of foreign institutional investors. Overall, the introduction of the CCT worsens the market quality before the closing.
Relation:	Journal of Futures Markets, Vol.40, No.3, pp.308-328
Data Type:	article
DOI 連結:	https://doi.org/10.1002/fut.22081
DOI:	10.1002/fut.22081
Appears in Collections:	[財務管理學系] 期刊論文

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