EconPapers    
Economics at your fingertips  
 

Market transparency and closing price behavior on month-end days: Evidence from Taiwan

Shu 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)
JEL-codes: G14 G15 G18 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940818301116
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

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
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-06-13
Handle: RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301116