| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 100 === The thesis investigates the change of price behaviors, including trading volume, liquidity and volatility, of the change on trading mechanism of Taiwan Stock Index futures. In July 9, 2002, the Exchange altered the way to match sell and buy orders, adopted call auction when it opened, and adopted continuous auction after it opened, the approach of matching sell and buy orders maintained call auction constantly to determine the approach of close price at the last 5 minutes along to close. Call auction trading mechanism is a type of market in which each transaction takes place at predetermined intervals and where all of the bid and ask orders are aggregated and transacted at once. The exchange determines the market clearing price based on the number of bid and ask orders. A call market is contrasted to an auction market, where orders are filled as soon as a buyer/seller is found for any given order at an agreed upon price.
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