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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/72654


    Title: Impact of Tick-Size Reduction on Intraday Patterns of Market Quality: Evidence from the Taiwan Stock Exchange
    Authors: 許永明
    Shiu, Yung-Ming;Hsieh, Tzung-Yuan;Lin, Ching-Chung
    Contributors: 風管系
    Date: 2011-06
    Issue Date: 2015-01-07 16:55:47 (UTC+8)
    Abstract: Unlike prior related studies focusing on the effect of a tick-size reduction on the intraday patterns of market liquidity for both NYSE and NASDAQ markets, we provide extensive evidence for the Taiwan Stock Exchange. Consistent with previous research, we find that the intraday behavior in terms of spread, trading activity, volatility, and information asymmetry exhibits a U-shaped pattern, while both the depth and binding constraint exhibit an inverted U shape. This implies that limit-order traders protect themselves from losses to informed traders by actively managing both price and quantity. Next, except for the binding constraint, where the largest (smallest) declines occur during the first thirty-minute interval (midday), the magnitudes of the declines in information asymmetry, spread, depth, trading volume, and volatility are the largest (smallest) during midday (during the first thirty-minute interval).
    Relation: Asia-Pacific Management Review,16(2),
    Data Type: article
    Appears in Collections:[Department of Risk Management and Insurance] Periodical Articles

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