| dc.contributor | 國立政治大學國際經營與貿易學系 | en_US |
| dc.creator (作者) | 林信助;郭維裕 | zh_TW |
| dc.creator (作者) | Kuo, Weiyu ; Li, Yu-Ching | - |
| dc.date (日期) | 2011-12 | en_US |
| dc.date.accessioned | 4-Nov-2010 09:08:12 (UTC+8) | - |
| dc.date.available | 4-Nov-2010 09:08:12 (UTC+8) | - |
| dc.date.issued (上傳時間) | 4-Nov-2010 09:08:12 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/47859 | - |
| dc.description.abstract (摘要) | On July 29, 2002, the trading mechanism in the Taiwan Futures Exchange (TAIFEX) was switched from an exclusive call market to a continuous auction market. Based upon several proxies of market quality, in the present study, we set out to empirically examine whether this switch has resulted in any significant improvement in market quality within the TAIFEX. We find that while the quoted spreads, effective spreads, and price volatility are all smaller in the continuous auction market, the call auction market exhibits greater market depth and smaller pricing errors; the latter is also found to be more effective in resolving the problem of information asymmetry. Overall, the results of the present study suggest that the choice between call and continuous auction trading mechanisms essentially involves trade-offs between the bid-ask spread, market depth, price volatility, information asymmetry costs, and price efficiency. | - |
| dc.language | zh-TW | en_US |
| dc.language.iso | en_US | - |
| dc.relation (關聯) | International Review of Finance,11(4),417-444 | - |
| dc.title (題名) | Trading Mechanisms and Market Quality: Call Markets versus Continuous Auction Markets | en_US |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1111/j.1468-2443.2011.01138.x | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1111/j.1468-2443.2011.01138.x | en_US |
