The Transparency Effects on Volatility : The Taiwan Stock Market Evidence.

• Main Authors: CHANG, SHIH-HAN, 張詩涵
• Other Authors: LIN, CHIOU-FA
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/x7dgy5

碩士 === 國立虎尾科技大學 === 財務金融系碩士班 === 107 === To increase the fairness of the trading system and the transparency of the market, the Taiwan Stock Exchange began to disclose the information of the best five bids/asks and volumes from January 2, 2003. The source of data was collected from the TEJ Taiwan Economic News, which devided samples into large and small groups based on the market value of the company. Using the difference between the rate of return and the lowest price, the bid-ask spread measures the volatility, and uses the t-test and the virtual variable to check whether the volatility is significant for the four months before and after the release. The empirical results show that after the event, the difference between the rate of return and the lowest price of the large and small groups is nosignificant different.