English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 93861/124308 (76%)
Visitors : 28927459      Online Users : 541
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 >  Item 140.119/72712
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/72712

    Title: Market Condition, Number of Transactions, and Price Volatility: Evidence from an Electronic, Order Driven, Call Market
    Authors: 周冠男
    Chiang, Yao-Min;Tai, Vivien W.;Chou, Robin K.
    Contributors: 財管系
    Keywords: Securities markets;Stock prices;Financial markets;Taiwan
    Date: 2006-11
    Issue Date: 2015-01-08 18:02:09 (UTC+8)
    Abstract: Purpose– Taiwan OTC market is an electronic, order driven, call market. The purpose of this paper is to gain understanding of whether trade size or number of transaction provides more information on explaining price volatility and market liquidity in this market. The paper also aims to investigate how market condition can affect the relationship between information type and trading activities.Design/methodology/approach– The paper uses data from the Taiwan OTC market to run the empirical tests. It divides firms into five size groups based on their market capitalization. Regression equations are run to test: whether number of transactions has a more significant impact on price volatility on the Taiwan OTC market; the impact of market information on number of transactions; the relative impact of firm specific and market information on number of transactions; and the impact of number of transaction of bid‐ask spread. Findings– Findings show that the larger the number of transactions, the higher the price volatility. Smaller firms on the Taiwan OTC market are traded based on firm‐specific information. This relation is further affected by market trends. Especially for the larger firms, when the market is up and the amount of market information increases, number of transactions increases. When the market is down and the amount of market information increases, number of transactions decreases. Finally, it is found spread size is more likely to be influenced by number of transactions, instead of trade size. Overall, based on these empirical results, the information content of number of transactions seems to be higher than that of trade size in the Taiwan OTC market. Practical implications– Investors now understand that number of transaction actually carry more information than trade size does. Originality/value– The relation between market information and number of transaction, also that between market information and trade size is influenced by market condition. The paper fills a gap in the literature to show that market condition has an impact on the relation between information type and trader's behavior. A number of transactions are identified that provide more information than trade size does. It is also shown that market conditions can further affect the impact of information on trading activities.
    Relation: Managerial Finance, 32(11), 903-914.
    Data Type: article
    Appears in Collections:[財務管理學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    903914.pdf184KbAdobe PDF939View/Open

    All items in 政大典藏 are protected by copyright, with all rights reserved.

    社群 sharing

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback