The effects of trading methods on volatility and liquidity: evidence from the Taiwan Stock Exchange

Article Abstract:

The call and continuous auction methods of stock trading are compared using unique data sets from the Taiwan Stock Exchange. The comparative study finds that price volatility under the call market method is about one-half of that under the continuous auction method. Results also indicate that the call approach is more effective in lowering volatility of high-volume stocks than in low-volume stocks. Overall, the call market seems to be more efficient than the continuous auction market.

Taiwan, Stocks, Taiwan Stock Exchange

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Asymmetric price and volatility adjustments in emerging Asian stock markets

Article Abstract:

A study was conducted to test the hypothesis that stock returns in emerging markets respond asymmetrically to past information. Results indicate that both the conditional variance and the conditional mean adjust asymmetrically to past information. This finding is in line with the predictions of asymmetric partial adjustment price model in which news suggesting overpricing are taken into account faster than news suggesting underpricing.

Prices and rates, Securities, Securities prices, Developing countries

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An analysis of transactions data for the Stock Exchange of Singapore: patterns, absolute price change, trade size and number of transactions

Article Abstract:

Research into transactions on the Stock Exchange of Singapore is presented. It is concluded that there is a positive link between absolute price changes and the number of transactions.

Singapore Exchange Securities Trading Ltd.

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