The Effect of Closing Disclosure on Stock Market Quality

• Main Authors: Shin-Yi Hshie, 謝馨儀
• Other Authors: Yu-Chuan Huang
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/30525181081408767896

碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 102 === This research paper aims on the change of stock market trading system done by the Taiwan Stock Exchange during the time one year before and after the change, to examine the effect of closing disclosure on stock market quality. These data have been available from Taiwan Stock Market since February 1st, 2012. Our four norms includes: (1) liquidity (2) volatility (3) efficiency (4) price disclosure. Empirical results show that after the change of trading system, it reduced market volatility and promoted market efficiency. However, market order submission rate reduced due to the fact that promoting the extent of market disclosure will not help investors actively submit orders. The result of bid-ask spread and market depth can clearly show that the range between spreads reduced and the market depth increased. In this case, based on Kyle (1985)’s argument, less impact of trading volume to price means less influence of order flow to price, which suggests deeper market depth. During five minutes closing period, we discover that price efficiency appears to be apparent. This is one of the major focuses of this research. The introduction of new trading system can truly bring fairness to price decision. From the results of above empirical analyses, we discover that the new trading system increases market transparency and even makes better market quality.