The Effect of Market Reform on Market Microstructure – Evidence from Taiwan Stock Market

• Main Authors: Yen-Chun Lin, 林延俊
• Other Authors: Min-Hsien Chiang
• Format: Others
• Language: en_US
• Online Access: http://ndltd.ncl.edu.tw/handle/73102693227453686132

碩士 === 國立成功大學 === 國際企業研究所碩博士班 === 94 === 　　This paper researches the change of stock market when transparency is higher. Taiwan Stock Exchange(TSE) had two reforms in 2002 and 2003, respectively. TSE disclosed the volume of the best bid/ask price during the first reform and disclosed the best five bid/ask prices during the second reform. The reform is to enhance the degree of transparency so that investors can observe more information and also gives us the opportunity to research this issue. Here we use the intra-data to see how the reform influences the market. 　　Our study can be divided into four parts：information asymmetry, liquidity, volatility and efficiency. Our study does not show consistent results during the two reforms. Information asymmetry cost decreases and some of the liquidity measures, like spread, display the increase over the first reform. Nevertheless, they reverse over the second reform and they also decrease after the two reforms.. Volatility shows the consistent results that they indeed decrease over the two reforms. Efficiency measures show the diverse results and alternative variance-ratio presents that market is more efficient when transparency is higher. To sum up, the results partly support our hypothesis. 　　We also classify our whole sample into five portfolios based on firm value and do the multiple comparison test to test if there is difference between all portfolios. The result shows that stocks of larger-firms have higher information asymmetry, spread, volatility and shorter holding period. Besides, some measures could not show the significant difference between the portfolios, i.e. efficiency(variance ratio and alternative variance ratio). These results are partly due to the characteristics difference between larger firms and smaller firms.