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政大機構典藏 > 商學院 > 風險管理與保險學系 > 期刊論文 > Item 140.119/61558

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/61558

Title:	Impact of Tick-Size Reduction on Intraday Patterns of Market Liquidity
Authors:	許永明 Hsieh,Tzung-Yuan;Lin,Ching-Chung;Shiu, Yung-Ming
Contributors:	風管系
Keywords:	Binding constraint;Depth;Information asymmetry;Intraday pattern;Spread;Ticksize reduction
Date:	2011.06
Issue Date:	2013-11-11 09:39:10 (UTC+8)
Abstract:	Unlike prior related studies focusing on the effect of a tick-size reduction on the intraday patterns of market liquidity for both NYSE and NASDAQ markets, we provide extensive evidence for the Taiwan Stock Exchange. Consistent with previous research, we find that the intraday behavior in terms of spread, trading activity, volatility, and information asymmetry exhibits a U-shaped pattern, while both the depth and binding constraint exhibit an inverted U shape. This implies that limit-order traders protect themselves from losses to informed traders by actively managing both price and quantity. Next, except for the binding constraint, where the largest (smallest) declines occur during the first thirty-minute interval (midday), the magnitudes of the declines in information asymmetry, spread, depth, trading volume, and volatility are the largest (smallest) during midday (during the first thirty-minute interval).
Relation:	Asia-Pacific Management Review, 16(2) , 105-118
Data Type:	article
Appears in Collections:	[風險管理與保險學系] 期刊論文

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