English  |  正體中文  |  简体中文  |  Items with full text/Total items : 62379/95055 (66%)
Visitors : 2295938      Online Users : 21
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/122078


    Title: Tick Size and Informed Trading: Evidence from the Taiwanese Stock Market
    Authors: Duan, Chang-Wen;Hung, Ken;Liu, Shinhua
    Keywords: adverse selection;informed trading;tick size;stealth trading hypothesis;panel data model
    Date: 2021-11-25
    Issue Date: 2022-01-25 12:10:38 (UTC+8)
    Publisher: Canadian Center of Science and Education
    Abstract: We adopt the Sandås model for order-book equilibrium to examine informed trading on the Taiwanese stock market, a purely order-driven call-auction market. We find that adverse-selection cost is low for well-known stocks with high liquidity and low volatility, but cost is high for monitoring the order books of those stocks. Our empirical results show that the impact of adverse selection is greatest at the beginning of each trading day and that informed traders engage in stealth trading, supporting the stealth trading hypothesis. Finally, with the special tick size rules on the market, both adverse-selection cost and monitoring cost decline as tick size decreases.
    Relation: International Business Research 15(1)
    DOI: 10.5539/ibr.v15n1p1
    Appears in Collections:[財務金融學系暨研究所] 期刊論文

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML40View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback