A Closing Call's Impact on Market Performance：Evidence from Taiwan Security Market
| Autor: | Pei-Lin Tsai, 蔡沛霖 |
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| Rok vydání: | 2006 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 94 Taiwan Stock Exchange Corporation (TSEC) carried out 5-minutes call auction at the close since July 1, 2002. This paper examines the impact on market performance of the introduction of the closing call. Further, we study on expiration day and examine whether manipulation of the closing price was reduced effectively under this new closing trading rule compared with the past. The results show that market liquidity decreases, efficiency is not obviously improved, but significantly decreases in volatility. As a result of lower transparency at the close, market participants are forced to write off early in order to avoid closing uncertainty. For the results of expiration day effects indicate anomalous orders decrease, price reversal is unchanged and, the price volatility is also decreasing significantly. This phenomenon reflects that specific persons will increase the cost of manipulating closing price and reduce their will and ability to handle the closing price. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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