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The Price Impact Cost in Taiwan Stock Market / 台灣股市價格衝擊成本之研究

This paper investigates the price impact cost for MSCI constituents on the Taiwan Stock Exchange (TSE) from Jan. 2001 to Dec. 2004. While the behavior of price impact cost in U.S. security markets has been extensively analyzed, there are few studies about it in the pure limit-order markets. Unlike Breen, Hodrick, and Korajczyk (2002), a panel data model is applied to fit our cross-sectional and time series data. We find that the price impact cost is well predicted by predetermined firm characteristics and exhibits a Ushaped
pattern over the trading day. Furthermore, the evidence suggests that the reformations of trading regulations and the improvements of information disclosures would have a significant effect on the price impact cost for overall
stocks.

Identiferoai:union.ndltd.org:CHENGCHI/G0923510061
Creators錢邦彥
Publisher國立政治大學
Source SetsNational Chengchi University Libraries
Language英文
Detected LanguageEnglish
Typetext
RightsCopyright © nccu library on behalf of the copyright holders

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