| Summary: | 碩士 === 國立高雄第一科技大學 === 風險管理與保險研究所 === 102 === On February 20, 2012, the Taiwan Stock Exchange changed its closing call auction, and the main change is disclosing the simulative best bid and ask on limit order book at closing phase. This study empirically analyzes the proxies of manipulation including day-end return, reversal, quoted spread, effective spread and trading activity for different types of stocks. This study finds that manipulation occurring on month-end days lessened after the introduction of the new closing disclosure rule. This study uses the limit order book data to explain the liquidity providers enter the closing phase more after the introduction of the new closing disclosure rule. It leads to more trading volume and less spread, and makes the manipulation more difficult and costly at closing phase.
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