Transaction Information Transparency and Market Quality:The Effect of Pre-market Information Disclosure
碩士 === 國立雲林科技大學 === 財務金融系 === 104 === In order to improve pre-market information disclosure transparency, Taiwan Futures Exchange and Taiwan Stock Exchange have implemented “information disclosure prior to opening” policies that disclose simulated transaction price, trading volume, five best bid/ask...
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ndltd-TW-104YUNT03040262019-05-15T22:42:05Z http://ndltd.ncl.edu.tw/handle/s859k2 Transaction Information Transparency and Market Quality:The Effect of Pre-market Information Disclosure 交易資訊透明度對市場品質之影響:盤前試撮實施前後之比較 CYUE,YOU-LIN 闕佑霖 碩士 國立雲林科技大學 財務金融系 104 In order to improve pre-market information disclosure transparency, Taiwan Futures Exchange and Taiwan Stock Exchange have implemented “information disclosure prior to opening” policies that disclose simulated transaction price, trading volume, five best bid/ask prices, and bid/ask volumes in 2014 and 2015, respectively. This paper aims to examine whether the improvement of pre-market information disclosure transparency can enhance market quality measures, such as trading volume, liquidity and volatility. We collect intraday data within the opening five minutes or one minute by November 2013 to December 2014 and December 2014 to December 2015. The empirical results show that three market quality measures are significantly impacted after the improvement of pre-market information disclosure transparency. Chang,Tzu-Pu 張子溥 2016 學位論文 ; thesis 46 zh-TW |
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碩士 === 國立雲林科技大學 === 財務金融系 === 104 === In order to improve pre-market information disclosure transparency, Taiwan Futures Exchange and Taiwan Stock Exchange have implemented “information disclosure prior to opening” policies that disclose simulated transaction price, trading volume, five best bid/ask prices, and bid/ask volumes in 2014 and 2015, respectively. This paper aims to examine whether the improvement of pre-market information disclosure transparency can enhance market quality measures, such as trading volume, liquidity and volatility. We collect intraday data within the opening five minutes or one minute by November 2013 to December 2014 and December 2014 to December 2015. The empirical results show that three market quality measures are significantly impacted after the improvement of pre-market information disclosure transparency.
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Chang,Tzu-Pu |
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Chang,Tzu-Pu CYUE,YOU-LIN 闕佑霖 |
author |
CYUE,YOU-LIN 闕佑霖 |
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CYUE,YOU-LIN 闕佑霖 Transaction Information Transparency and Market Quality:The Effect of Pre-market Information Disclosure |
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CYUE,YOU-LIN |
title |
Transaction Information Transparency and Market Quality:The Effect of Pre-market Information Disclosure |
title_short |
Transaction Information Transparency and Market Quality:The Effect of Pre-market Information Disclosure |
title_full |
Transaction Information Transparency and Market Quality:The Effect of Pre-market Information Disclosure |
title_fullStr |
Transaction Information Transparency and Market Quality:The Effect of Pre-market Information Disclosure |
title_full_unstemmed |
Transaction Information Transparency and Market Quality:The Effect of Pre-market Information Disclosure |
title_sort |
transaction information transparency and market quality:the effect of pre-market information disclosure |
publishDate |
2016 |
url |
http://ndltd.ncl.edu.tw/handle/s859k2 |
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