About this document

Call Auction Impact on TWSE Quality by Jeffrey Yan is a document available to read on EtoBox.

This document analyzes the impact of reducing call auction intervals on the Taiwan Stock Exchange from 2010 to 2014. It finds: 1) Market efficiency was highest with a 25 second interval, liquidity highest at 5 seconds, and stability highest at 10 seconds. 2) The current 5 second interval provides the best balance across efficiency, liquidity, and stability. 3) It presents new empirical evidence on several theoretical predictions about how call auction frequency affects market quality attributes.

Author

Jeffrey Yan

Language

EN