The Volume Effects of Matching Time Reducement in the Stock Exchange of Taiwan
Date Issued
2013
Date
2013
Author(s)
Chou, Chien-Lung
Abstract
In an effort to increase stock transaction and turnover, the President of the Taiwan Stock Exchange Corporation (TSEC) announced a new policy on 28th of May to shorten the stock matching time from the current 20 second to 15 seconds in Taiwan’s call auction system. The new policy is set to be implemented starting 1st of July and is expected to increase the transaction volume by 1.33 times. In the next stage, to be implemented by 2014, the matching time will eventually be shortened to 10 second, and transactions and turnover are expected to increase twofold by then. The final plan is to implement continuous trading, which involves immediate transactions, following international trends. The current call auction occurs every 20 seconds in the stock market. 797 matching transactions are made in the 4.5-hour daily transaction period. Once the matching time is shortened to 15 seconds, transactions volume will increase to 1,060. The 1.33 times increase of transaction speed will efficiently improve the trading volume and turnover, achieving the ultimate goal of “circulation and vitalization of securities.”
Stock markets in the US, Europe, Japan, Singapore, Hong Kong, and China all apply the continuous trading system. The matching system time was initially 50 seconds in Taiwan’s call auction system in the early days. Starting from 1st of July, 2013, it will be shorten to 15 second and expected to be 5 seconds by end of 2014.
This thesis use unit root, regression, dummy variable, Granger causality test. The result is matching time no increase in volume but implement continuous trading improve the volume
Subjects
集合競價撮合
逐筆即時撮合
單根檢定
虛擬變數
Type
thesis
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