教師資料查詢 | 類別: 期刊論文 | 教師: 段昌文CHANG-WEN DUAN (瀏覽個人網頁)

標題:Tick Size and Informed Trading: Evidence from the Taiwanese Stock Market
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
語言英文(美國)
ISSN1913-9004
期刊性質國外
收錄於
產學合作
通訊作者Chang-Wen Duan
審稿制度
國別加拿大
公開徵稿
出版型式,電子版,紙本
相關連結
SDGs
  • 尊嚴就業與經濟發展,產業創新與基礎設施
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