Author:
Yang Tun-Ya,Huang Si-Yuan,Tsai Wei-Che,Weng Pei-Shih
Abstract
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.
Reference14 articles.
1. Illiquidity and stock returns: cross-section and time-series effects;Journal of Financial Markets,2002
2. The internet and the investor;Journal of Economic Perspectives,2001
3. SOES trading and stock volatility;The Journal of Financial and Quantitative Analysis,1997
4. Noise;Journal of Finance,1986
5. How noise trading affects markets: an experimental analysis;Review of Financial Studies,2009
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献