The intraday effect and the extension of trading hours for Taiwanese securities

Yu Ju Fan, Hung Neng Lai

研究成果: 雜誌貢獻期刊論文同行評審

13 引文 斯高帕斯(Scopus)

摘要

This paper examines the effect of the extension of the trading hours of the Taiwan Stock Exchange on the intraday patterns. Although the intraday trading volume and return volatility exhibit the familiar inverse J-shapes, in both 2000 and 2001, the pattern of the transaction costs is flatter in 2001. We find that informative trades are more obvious at the beginning of the trading day. The reason for these patterns at the beginning of the day are due to the information asymmetry and the reason for the end of the intraday pattern is due to the overnight risk.

原文???core.languages.en_GB???
頁(從 - 到)328-347
頁數20
期刊International Review of Financial Analysis
15
發行號4-5
DOIs
出版狀態已出版 - 2006

指紋

深入研究「The intraday effect and the extension of trading hours for Taiwanese securities」主題。共同形成了獨特的指紋。

引用此