 Market transparency and closing price behavior on month-end days: Evidence from TaiwanShu Hui Chan, Yu Chuan Huang and Sheng-Min Lin The North American Journal of Economics and Finance, 2020, vol. 51, issue C Abstract: On February 20, 2012, the Taiwan Stock Exchange launched an information disclosure mechanism that changed its closing auction system from a black box to a more transparent system, with indicative best bid and ask prices disseminated every 20 s throughout the five-minute closing call period. This paper examines the impact of this change on closing price behavior on month-end days. The results show that, following the introduction of the new mechanism, day-end returns and effective spreads decreased significantly on month-end days, suggesting an improvement in market quality and a decline in possible closing price manipulation on month-end days. In addition, the trading volume at market close increased. Further examination of order submission behavior and order imbalance in the closing interval shows that the increase in trading volume at closing is a result of increased market liquidity due to improved transparency. Overall, the introduction of the new closing disclosure rule has effectively enhanced market quality on month-end days. Keywords: Transparency; Closing call auction; Market quality; Closing price behavior (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301116 DOI: 10.1016/j.najef.2018.09.010 Access Statistics for this article The North American Journal of Economics and Finance is currently edited by Hamid Beladi More articles in The North American Journal of Economics and Finance from Elsevier |
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