دورية أكاديمية
The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market
| العنوان: | The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market |
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| المؤلفون: | Tun-Ya Yang, Si-Yuan Huang, Wei-Che Tsai, Pei-Shih Weng |
| المصدر: | Seonmul yeongu, Vol 28, Iss 4, Pp 191-207 (2020) |
| بيانات النشر: | Emerald Publishing, 2020. |
| سنة النشر: | 2020 |
| المجموعة: | LCC:Finance LCC:Risk in industry. Risk management |
| مصطلحات موضوعية: | day trading, bid–ask spread, price depth, volatility, g12, g14, g18, Finance, HG1-9999, Risk in industry. Risk management, HD61 |
| الوصف: | This paper aims to investigate the impact of day trading on market quality on the Taiwan stock market with the implementation of a unique policy change. This paper examines 396 listed stocks from June 2015 to October 2016, a period when the stock market in Taiwan officially approved selected stocks for day trading for all investors. Within the sample period, the empirical findings show that day trading increases the bid–ask spread, price depth and stock volatility, indicating that day trading activities not only cause higher transaction costs and trading risk but also raise the market’s ability to absorb price impact. This paper considers two-stage regression and tests the exogenous shock because of further relaxation for day trading to deal with the possible endogenous problem and the main findings remain consistent. Since early 2014, the Taiwan stock market has been experiencing a distinct growth in trading volume after unwinding the day trading; however, the results show that the impacts of stock day trading on market quality are not all positive. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English |
| تدمد: | 1229-988X 2713-6647 |
| Relation: | https://doaj.org/toc/1229-988X; https://doaj.org/toc/2713-6647 |
| DOI: | 10.1108/JDQS-06-2020-0015/full/pdf?title=the-impacts-of-day-trading-activity-on-market-quality-evidence-from-the-policy-change-on-the-taiwan-stock-market |
| DOI: | 10.1108/JDQS-06-2020-0015 |
| URL الوصول: | https://doaj.org/article/89144d180a3144178b71ee13cb158e81 |
| رقم الأكسشن: | edsdoj.89144d180a3144178b71ee13cb158e81 |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 1229988X 27136647 |
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| DOI: | 10.1108/JDQS-06-2020-0015/full/pdf?title=the-impacts-of-day-trading-activity-on-market-quality-evidence-from-the-policy-change-on-the-taiwan-stock-market |