Market Transparency, Investor Strategies, and Trading Costs: Evidence from the Taiwan Stock Exchange

Autor:	Tai Ma, Hsiu-Kuei Chen, Shu-Fan Hsieh
Rok vydání:	2012
Předmět:	Alternative trading system Open outcry Dark liquidity Trading strategy Flash trading Financial system General Medicine Business Algorithmic trading High-frequency trading computer.software_genre computer Electronic trading
Zdroj:	Accounting and Finance Research. 1
ISSN:	1927-5994 1927-5986
DOI:	10.5430/afr.v1n1p180
Popis:	This paper investigates the effect of changes in pre-trade transparency on trading strategies and trading costs by examining the effects of increased transparency in the limit order book at the Taiwan Stock Exchange. Our results demonstrate that pre-trade transparency makes the market more liquid, because investors are more willing to provide liquidity, thus reducing the trading costs for liquidity demanders. Furthermore, we find evidence that investors, especially institutional traders, attempt to manage limit-order exposures by splitting orders and canceling orders faster; thus, pre-trade transparency does not increase their trading costs. Our findings suggest that pre-trade transparency affects trading strategies and trading costs differently according to the type of investor.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2a5222f28c98bf3b70aa71bc802836aa https://doi.org/10.5430/afr.v1n1p180 Zobrazit plný text záznamu