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Persistent link: https://www.econbiz.de/10010256740
Purpose - This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE). Design/methodology/approach - To estimate the information content of the order book, the modified information share...
Persistent link: https://www.econbiz.de/10010814909
Purpose – This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE). Design/methodology/approach – To estimate the information content of the order book, the modified information share...
Persistent link: https://www.econbiz.de/10014941884
Persistent link: https://www.econbiz.de/10009675605
This paper examines the impact of increased pre-close transparency on the effectiveness of stock closing call. On January 1, 2003, the Taiwan Stock Exchange increases pre-close transparency by disclosing the best five bid and ask prices and related unexecuted orders before market closing. At the...
Persistent link: https://www.econbiz.de/10010938513
Persistent link: https://www.econbiz.de/10009740795
This paper examines the impact of increased transparency on market quality for stocks listed on the Taiwan Stock Exchange in the pre- and post-period of enhanced transparency starting from January 1, 2003. The Taiwan Stock Exchange discloses unexecuted orders of the five best bid and ask prices...
Persistent link: https://www.econbiz.de/10010664325