The impact of transparency on volatility, liquidity and efficiency in Taiwan security market.
| Autor: | Kuo-Hung Chang, 張國宏 |
|---|---|
| Rok vydání: | 2002 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 90 In Taiwan Securities Exchange (TSE), both the highest bid price (bid) and the lowest ask price (ask) after a call executed may be reported or not, but the corresponding orders are not disclosed at all. In R.O.C. over the-counter Security Exchange (ROSE) both the highest bid and the lowest ask price and the corresponding orders are reported. It implies that TSE is less transparent than the ROSE. We adopt the 53 companies that are transferred from OTC to TSE on 11th, 9, 2000 and 47 companies that transferred on 17, 9, 2001 to be our samples and analyze the impacts of the change of disclosure rules on the market volatility, liquidity and efficiency. We adapt daily, intra-day data and five-minutes-interval intra day data to do our empirical study。 The results are that ：by adapting daily data, TSE has higher volatility and liquidity then ROSE，but we can not determine the efficiency 。By adapting the two intra-day data, the TSE has lower volatility and higher liquidity and efficiency then ROSE. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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