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| Title | A Rare Move: The Effects of Switching from a Closing Call Auction to a Continuous Trading |
| Creator | 周冠男 Chou, Robin K. 張雅凱 Chang, Yakai Yang, J. Jimmy |
| Contributor | 財管系 |
| Key Words | closing call; continuous trading; market quality; price discovery; trading activity |
| Date | 2020-03 |
| Date Issued | 26-May-2020 13:41:15 (UTC+8) |
| Summary | This study investigates the effects of switching to a closing continuous trading (CCT) on market quality, while considering the trading behaviors of different types of traders. Investors become more patient in the period preceding the last trading phase, which reduces the bid–ask spread (BAS) in that period. We find an increase in the BAS and volatility during the last trading phase, due to diminishing investor patience. Market volatility and the closing pricing errors relate positively to the trading activities of foreign institutional investors. Overall, the introduction of the CCT worsens the market quality before the closing. |
| Relation | Journal of Futures Markets, Vol.40, No.3, pp.308-328 |
| Type | article |
| DOI | https://doi.org/10.1002/fut.22081 |
| dc.contributor | 財管系 | |
| dc.creator (作者) | 周冠男 | |
| dc.creator (作者) | Chou, Robin K. | |
| dc.creator (作者) | 張雅凱 | |
| dc.creator (作者) | Chang, Yakai | |
| dc.creator (作者) | Yang, J. Jimmy | |
| dc.date (日期) | 2020-03 | |
| dc.date.accessioned | 26-May-2020 13:41:15 (UTC+8) | - |
| dc.date.available | 26-May-2020 13:41:15 (UTC+8) | - |
| dc.date.issued (上傳時間) | 26-May-2020 13:41:15 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/129863 | - |
| dc.description.abstract (摘要) | This study investigates the effects of switching to a closing continuous trading (CCT) on market quality, while considering the trading behaviors of different types of traders. Investors become more patient in the period preceding the last trading phase, which reduces the bid–ask spread (BAS) in that period. We find an increase in the BAS and volatility during the last trading phase, due to diminishing investor patience. Market volatility and the closing pricing errors relate positively to the trading activities of foreign institutional investors. Overall, the introduction of the CCT worsens the market quality before the closing. | |
| dc.format.extent | 1471311 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Futures Markets, Vol.40, No.3, pp.308-328 | |
| dc.subject (關鍵詞) | closing call; continuous trading; market quality; price discovery; trading activity | |
| dc.title (題名) | A Rare Move: The Effects of Switching from a Closing Call Auction to a Continuous Trading | |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1002/fut.22081 | |
| dc.doi.uri (DOI) | https://doi.org/10.1002/fut.22081 |