期刊論文
| 學年 | 110 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2021-11-25 |
| 作品名稱 | Tick Size and Informed Trading: Evidence from the Taiwanese Stock Market |
| 作品名稱（其他語言） | |
| 著者 | Chang-Wen Duan; Ken Hung; Shinhua Liu |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | International Business Research 15(1) |
| 摘要 | We adopt the Sandås model for order-book equilibrium to examine informed trading on the Taiwanese stock market, a purely order-driven call-auction market. We find that adverse-selection cost is low for well-known stocks with high liquidity and low volatility, but cost is high for monitoring the order books of those stocks. Our empirical results show that the impact of adverse selection is greatest at the beginning of each trading day and that informed traders engage in stealth trading, supporting the stealth trading hypothesis. Finally, with the special tick size rules on the market, both adverse-selection cost and monitoring cost decline as tick size decreases. |
| 關鍵字 | adverse selection;informed trading;tick size;stealth trading hypothesis;panel data model |
| 語言 | en_US |
| ISSN | 1913-9004 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | Chang-Wen Duan |
| 審稿制度 | 是 |
| 國別 | CAN |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/122078 ) |