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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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
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spelling ndltd-TW-099NTU053040772015-10-16T04:03:11Z http://ndltd.ncl.edu.tw/handle/21378709074120137747 The impact of extending trading hours on volatility, liquidity and efficiency of the stock market 交易時間延長對證券市場波動性、流動性及效率性之影響 Hui-Ju Chen 陳慧儒 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. 李存修 2011 學位論文 ; thesis 73 zh-TW
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description 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.
author2 李存修
author_facet 李存修
Hui-Ju Chen
陳慧儒
author Hui-Ju Chen
陳慧儒
spellingShingle Hui-Ju Chen
陳慧儒
The impact of extending trading hours on volatility, liquidity and efficiency of the stock market
author_sort Hui-Ju Chen
title The impact of extending trading hours on volatility, liquidity and efficiency of the stock market
title_short The impact of extending trading hours on volatility, liquidity and efficiency of the stock market
title_full The impact of extending trading hours on volatility, liquidity and efficiency of the stock market
title_fullStr The impact of extending trading hours on volatility, liquidity and efficiency of the stock market
title_full_unstemmed The impact of extending trading hours on volatility, liquidity and efficiency of the stock market
title_sort impact of extending trading hours on volatility, liquidity and efficiency of the stock market
publishDate 2011
url http://ndltd.ncl.edu.tw/handle/21378709074120137747
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