Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange

Twu, M; Wang, J

Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange

Twu, M Wang, J

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Publication Type:: Journal Article
Citation:: Journal of Asian Economics, 2018, 57 pp. 53 - 62
Issue Date:: 2018-08-01

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Field	Value	Language
dc.contributor.author	Twu, M	en_US
dc.contributor.author	Wang, J	en_US
dc.date.issued	2018-08-01	en_US
dc.identifier.citation	Journal of Asian Economics, 2018, 57 pp. 53 - 62	en_US
dc.identifier.issn	1049-0078	en_US
dc.identifier.uri	http://hdl.handle.net/10453/130065
dc.description.abstract	© 2018 Financial market quality is generally assessed with respect to efficiency, liquidity, and stability. The frequency of trading contributes to these attributes. The Taiwan Stock Exchange uses a periodic call auction as its main trading mechanism. From 2010 to 2014 the call auction interval was reduced four times, from 25 to 5 s, providing a natural experiment to test the impact on market quality. Using multiple measures of efficiency, liquidity, and stability we provide evidence that the reductions in call auction interval have improved overall market quality. We find that higher auction frequencies are associated with a lower trade-to-auction ratio and less aggressive trading behaviour. The evidence suggests that there are more gains to be made through further reduction in the call auction interval to around 2 s.	en_US
dc.relation.ispartof	Journal of Asian Economics	en_US
dc.relation.isbasedon	10.1016/j.asieco.2018.06.004	en_US
dc.subject.classification	Economics	en_US
dc.title	Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange	en_US
dc.type	Journal Article
utslib.citation.volume	57	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	57	en_US

Abstract:

© 2018 Financial market quality is generally assessed with respect to efficiency, liquidity, and stability. The frequency of trading contributes to these attributes. The Taiwan Stock Exchange uses a periodic call auction as its main trading mechanism. From 2010 to 2014 the call auction interval was reduced four times, from 25 to 5 s, providing a natural experiment to test the impact on market quality. Using multiple measures of efficiency, liquidity, and stability we provide evidence that the reductions in call auction interval have improved overall market quality. We find that higher auction frequencies are associated with a lower trade-to-auction ratio and less aggressive trading behaviour. The evidence suggests that there are more gains to be made through further reduction in the call auction interval to around 2 s.

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http://hdl.handle.net/10453/130065