Using the intraday data on the Taiwan Stock Exchange (TWSE), we address the issue of the informativeness of the limit order book in the periodic call market. We find that the pre-call information variables, i.e., the market order and the radius of the order book, have significant impacts on the trade variables, i.e., trading volume, the post-call bid-ask spread, and the trader surplus. Furthermore, we are able to show that the radius, as well as the market order, contains two differential forces in impacting these trade variables.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0617109-212255 |
| Date | 17 June 2009 |
| Creators | Chang, Ti-Yang |
| Contributors | Mei-Hui Guo, Chi-Jeng Wang, Anlin Chen |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | English |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617109-212255 |
| Rights | unrestricted, Copyright information available at source archive |
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