The Relaxation of Daily Price Limit and Stock Traders’ Order Submission Behavior: Evidence from the Taiwan Stock Exchange

• Main Authors: PAN, CHIU-TING, 潘秋婷
• Other Authors: HUNG, PI-HSIA
• Format: Others
• Language: en_US
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/q9brn5

碩士 === 國立暨南國際大學 === 財務金融學系 === 106 === We examine relaxation of daily price limit, order submission decisions, and investment performance on the Taiwan Stock Exchange. We first specifically investigate whether relaxation of daily price limit affects investors' order aggressiveness and/or order size. Second, we empirically analyze the relation between relaxation of daily price limit and order submission behavior across various investor classes. Third and finally, we examine the relation between relaxation of daily price limit, order submission behavior, and investment performance. Our analysis yields the following findings: 1) Irrespective of order direction, the relaxation of daily price limit has a significant effect on people's order submission behavior. 2) The sensitivity of order submission decisions is significantly different across different trader classes after the price limits are relaxed. 3) Mutual funds, compared with other investors, perform better on the Taiwan Stock Exchange.