A Study on the Relationship between After-Hours Trading and the Open Price of Next Trading Day

• Main Authors: Yeh-Kao, 葉高
• Other Authors: Sheng-Yung Yang
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/22978208032194040815

碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 97 === Presently, most major stock markets at home and abroad offer after-hours tradings outside the normal trading hours. For example, New York Stock Exchange provides forty-five minutes of extended hour trading fifteen minutes after the market. Thirty minutes of after-hours trading takes place in Korea Stock Exchange ten minutes after the market, and Tokyo Stock Exchange even offers after- hours trading three times a day for those who are late for normal hours trading, and those who prefer fixed-price trading. Similarly, to meet the requirements of noontime investors and some other interested parties, Taiwan Stock Exchange offers after-hours trading at that day''s closing price after the exchange market closes at noon. By taking full advantage of the manpower and resources of securities firms and with reference to stock exchanges of other countries, Taiwan Stock Exchange opens after-hours fixed-price tradings. Investors may participate in the after-hours trading Monday through Friday from 2:00 ~ 2:30 pm by commissioning a security firm to handle the purchase. The security firm will enter the purchase to the computer system of the company, and at 2:30 pm, the system will automatically perform all the required procedures to complete the transaction. The after-hours trading meets investors’ demand for liquidity by participating tradings outside the normal trading hours. Besides, the investors will not have to watch for stock price changes every minute. While after-hours trading presents investing opportunities, there is also a risk of lack of liquidity for those who want to participate due to limited existence of buyers and sellers. Then, to examine what the significance of after-hours trading is in the society and how much useful information after hours trading may bring to investors is the main purpose of the study. In recent years, researches both at home and abroad focus on examining whether it is the number of deals or the average deal size or both that have an influence on fluctuations in stock price. To verify if after-hours trading provided by Taiwan Stock Exchange have the same phenomena, the paper conducts an empirical Analysis using the Constituent Stock Change in Taiwan 50 Index as the sample to examine which is more significant to the open price of next day, the turnover in volume or total number of shares that are not traded in the after-hours market. The verify result is that the total number of shares that are not traded in the after-hours market is more significant than the turnover in volume.