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Jie-Haun Lee Department of Finance National ChengChi University Chan Chang

The effect of Switching from Periodic Call to Continuous Auction Market on Market Quality and Trading Behavior. Jie-Haun Lee Department of Finance National ChengChi University Chan Chang Department of Banking and Cooperative Management National Taipei University Whei -May Fan

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Jie-Haun Lee Department of Finance National ChengChi University Chan Chang

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  1. The effect of Switching from Periodic Call to Continuous Auction Market on Market Quality and Trading Behavior Jie-Haun Lee Department of Finance National ChengChi University Chan Chang Department of Banking and Cooperative Management National Taipei University Whei-May Fan Department of Finance China University of Technology

  2. Issue and Motivation • Previous studies: • The impact of opening and closing calls on market quality • Price efficiency and market quality when certain stocks move from one exchange to another or jointly list on different exchange • Experimental comparisons between the call and continuous auction methods • The impact of trading method switching from call to continuous method or vice versa • Comparison between open-to-open return volatility and close-to-close return volatility

  3. Issue and Motivation • Why do we do this research? • Most of previous studies pay more attention to the impact of a trading mechanism on the price efficiency and market quality. • Further examining trading behavior could be helpful to shed light on the impact of a trading mechanism on market quality.

  4. The findings of previous studies • Periodic call Auction vs. Continuous Auction • A periodic call auction can overcome the problems of information asymmetry that cause failure in a continuous auction market (Madhavan (1992)). • Economides and Schwartz (1995) question the importance of immediacy for many public traders.

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