|Title:||A simple estimate of noise and its determinant in a call auction market||Authors:||SHING-YANG HU||Keywords:||Noise | Tick | Trading interval | Volatility||Issue Date:||11-Sep-2006||Journal Volume:||15||Journal Issue:||4-5||Start page/Pages:||348||Source:||International Review of Financial Analysis||Abstract:||
This paper proposes a simple method to decompose the variance of returns into noise and information components, while allowing the two components correlated. To apply the method, this paper examines noise in the Taiwan Stock Exchange, which is a call auction market. It also studies the determinants of noise. It finds that noise has a distinct diurnal effect: the transaction price is less noisy at the open, but is noisier near the close. Trading mechanisms also affect noise: a larger relative tick size and a longer time interval increase noise. We also find that individual investors help to reduce noise. © 2006 Elsevier Inc. All rights reserved.
|Appears in Collections:||財務金融學系|
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