The effect of extending trading hours on Taiwan Stock Market
碩士 === 國立中正大學 === 會計所 === 93 === Since January 1, 2001, the trading hours for Taiwan Stock Exchange has been extended for one and half hours in order to provide investors with more opportunities to trade in response to news. The main purpose of our study is to analyze the effect of extending trad...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/53971596546365672323 |
| Summary: | 碩士 === 國立中正大學 === 會計所 === 93 === Since January 1, 2001, the trading hours for Taiwan Stock Exchange has been extended for one and half hours in order to provide investors with more opportunities to trade in response to news. The main purpose of our study is to analyze the effect of extending trading hours on Taiwan stock market and investors trading behaviors.
Finance theory would suggest that extending trading hours should increase the efficiency of stock market. However, our study find that the market liquidity is actually worsen by the extension of trading hours. Evidences such as decreased trade volume and turnover ratio, longer order execution time, and wider bid-ask spread all indicate that the market liquidity is negatively affected.
Investors trading behaviors also incur significant change. Institutional investors actually decompose their large orders into smaller orders. The prices they submit for their orders are less aggressive than before. The extension of trading hours seems to reduce the intensity of “crowd formation”. Investors trade less aggressively when the trading hours are extended.
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