The Impact of Trading Frequency on Market Performance : The Case of Taiwan Stock Exchange
| Autor: | HSIEH,CHIA-HSIN, 謝佳昕 |
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| Rok vydání: | 2017 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 105 In this study, we examined empirically the impact of trading mechanism change and market performance.Taiwan Stock Exchange Corporation (TSEC) carried out the new trading mechanism rules, then made the market frequency much faster. On December 29, 2014 TSEC decided to transform original 20 seconds call auction at the intraday into 5 seconds call auction at the intraday. Market performance including liquidity,volatility and efficiency. According to these three indicators to understand themechanismchange in market performance. Empirical results show that market performance is not getting better and better as market frequency much faster. The new trading mechanism at the intraday cause significant decrease inliquidity, significant increase in volatility andsignificant decrease in efficiency. The result indicate that the better performance never happened at 5 seconds call auction at the intraday. Market frequency much faster do not promote market performance. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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