English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 64178/96951 (66%)
造訪人次 : 10088534      線上人數 : 20399
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧:
  • 您可在西文檢索詞彙前後加上"雙引號",以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋,建議至進階搜尋限定作者欄位,可獲得較完整資料
  • 進階搜尋
    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/122078


    題名: Tick Size and Informed Trading: Evidence from the Taiwanese Stock Market
    作者: Duan, Chang-Wen;Hung, Ken;Liu, Shinhua
    關鍵詞: adverse selection;informed trading;tick size;stealth trading hypothesis;panel data model
    日期: 2021-11-25
    上傳時間: 2022-01-25 12:10:38 (UTC+8)
    出版者: Canadian Center of Science and Education
    摘要: 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.
    關聯: International Business Research 15(1)
    DOI: 10.5539/ibr.v15n1p1
    顯示於類別:[財務金融學系暨研究所] 期刊論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    index.html0KbHTML91檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

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