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The Informativeness of the Limit Order Book in a Periodic Call Market

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.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0617109-212255
Date17 June 2009
CreatorsChang, Ti-Yang
ContributorsMei-Hui Guo, Chi-Jeng Wang, Anlin Chen
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0617109-212255
Rightsunrestricted, Copyright information available at source archive

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