The impact of extending trading hours on volatility, liquidity and efficiency of the stock market

碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === To meet the trend of international securities markets, Taiwan Stock Exchange has extended daily trading hours from 3 hours (9:00 to 12:00) to 4.5 hours (9:00 to 13: 30) since January 1, 2001. Recently, neighboring countries of Taiwan have extended or are plannin...

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Bibliographic Details
Main Authors: Hui-Ju Chen, 陳慧儒
Other Authors: 李存修
Format: Others
Language:zh-TW
Published: 2011
Online Access:http://ndltd.ncl.edu.tw/handle/21378709074120137747
Description
Summary:碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === To meet the trend of international securities markets, Taiwan Stock Exchange has extended daily trading hours from 3 hours (9:00 to 12:00) to 4.5 hours (9:00 to 13: 30) since January 1, 2001. Recently, neighboring countries of Taiwan have extended or are planning to extend trading hours. For example, Tokyo Stock Exchange plans to extend trading hours from 4.5 hours to 5 hours in late 2011, and Hong Kong Stock Exchange extends trading hours to 4.5 hours in March 2011 and plans to rather extend them to 5 hours in March 2012. In addition, Korea Stock Exchange has canceled lunch break for years, and the daily trading hours of Korea is from 9:00 to 15:00, totally for 6 hours. This study focuses mainly on the effects of extended trading hours on stock market volatility, liquidity and efficiency. Three market index (TAIEX, KOSPI, and HSI) and the data of all listed stocks in Taiwan Stock Exchange were used in my study to access measurement of market performance. Overall, through the verification of multiple securities market indexes, we have the following conclusions: 1. Taiwan Stock Market: In the short term, extended trading hours has positive effect on the stock market. In the medium-long term, however, it has both positive and negative effect on the stock market. 2. Korean Stock Market: In the short term, extended trading hours increases the volatility and the efficiency of the stock market. In the long term, it has positive effect on the stock market. 3. Hong Kong Stock Market: The effect of extended trading hours on the volatility and the efficiency of the stock market are not significant.