The effect of new closing mechanism on market performance

[[abstract]]台灣證券交易所為了使得資訊更透明、制度能夠更健全、有效率性，自民國101年2月20日起實施新交易制度，收盤前五分鐘模擬撮合後買賣資訊揭露。 本研究針對新制度中，收盤前五分鐘之模擬撮合後買賣資訊揭露進行研究。觀察新制度的實施，是否會影響到台灣證券集中市場流動性、波動性、效率性的績效表現。以性質上來講，收盤前五分鐘買賣資訊揭露，乃提高收盤的透明度、市場品質變佳。 實證結果發現收盤前五分鐘資訊揭露後，整體市場的流動性方面在有效價差方面是改善，交易量是上升的，波動性降低，但效率性並無顯著改變。[[abstract]]Since February 20 2012 Taiwan Stock Exchange Corporation (TWSE) implemented new closing rules Information of the indicative best bid and ask prices are disclosed to the market for every 20 seconds throughout the closing call period This study focuses on the last 5 minutes of the closing call period We investigate whether the new closing rules would affect liquidity volatility and efficiency on TWSE or not The results indicate that the changes in disclosure rules bring about larger volume lower effective spread but higher volatility There is no significant change in market efficienc