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Performance of various transaction frequencies
under call markets: The case of Taiwan Larry H.P. Lang a,b,), Yi Tsung Lee c a Department of Finance, Chinese UniÍersity of Hong Kong, Shatin, Hong Kong, Taiwan b UniÍersity of Chicago, Chicago, USA c National Chung Cheng UniÍersity, Taiwan Abstract Previous studies have compared the performance of continuous markets and call markets. This paper examines the interim performance of a specific call market during its transition to a greater trading frequencies. To measure the market performance, volatility, liquidity and efficiency are used. The Schwert model 1989. is adopted to account for various exogenous factors, time series macro-economics factors and to remove serial correlation and heterogeneity problems in panel data. Our evidence supports the notion that the transition of a call market to a greater trading frequencies results in a more volatile market for all firms and a more liquid market for low turnover firms, however, the market efficiency does not improve significantly. We also analyze the short-run market performance 10 trading days around the events and get similar results. q1999 Elsevier Science B.V. All rights reserved. |
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