The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market
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...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Emerald Publishing
2020-12-01
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| Series: | Seonmul yeongu |
| Subjects: | |
| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JDQS-06-2020-0015/full/pdf?title=the-impacts-of-day-trading-activity-on-market-quality-evidence-from-the-policy-change-on-the-taiwan-stock-market |
| _version_ | 1797984560471867392 |
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| author | Tun-Ya Yang Si-Yuan Huang Wei-Che Tsai Pei-Shih Weng |
| author_facet | Tun-Ya Yang Si-Yuan Huang Wei-Che Tsai Pei-Shih Weng |
| author_sort | Tun-Ya Yang |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-11T07:03:34Z |
| format | Article |
| id | doaj.art-89144d180a3144178b71ee13cb158e81 |
| institution | Directory Open Access Journal |
| issn | 1229-988X 2713-6647 |
| language | English |
| last_indexed | 2024-04-11T07:03:34Z |
| publishDate | 2020-12-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Seonmul yeongu |
| spelling | doaj.art-89144d180a3144178b71ee13cb158e812022-12-22T04:38:33ZengEmerald PublishingSeonmul yeongu1229-988X2713-66472020-12-0128419120710.1108/JDQS-06-2020-0015654557The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock marketTun-Ya Yang0Si-Yuan Huang1Wei-Che Tsai2Pei-Shih Weng3National Sun Yat-sen University, Kaohsiung, TaiwanNational Dong Hwa University, Hualien, TaiwanNational Sun Yat-sen University, Kaohsiung, TaiwanNational Sun Yat-sen University, Kaohsiung, TaiwanThis 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.https://www.emerald.com/insight/content/doi/10.1108/JDQS-06-2020-0015/full/pdf?title=the-impacts-of-day-trading-activity-on-market-quality-evidence-from-the-policy-change-on-the-taiwan-stock-marketday tradingbid–ask spreadprice depthvolatilityg12g14g18 |
| spellingShingle | Tun-Ya Yang Si-Yuan Huang Wei-Che Tsai Pei-Shih Weng The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market Seonmul yeongu day trading bid–ask spread price depth volatility g12 g14 g18 |
| title | The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market |
| title_full | The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market |
| title_fullStr | The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market |
| title_full_unstemmed | The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market |
| title_short | The impacts of day trading activity on market quality: evidence from the policy change on the Taiwan stock market |
| title_sort | impacts of day trading activity on market quality evidence from the policy change on the taiwan stock market |
| topic | day trading bid–ask spread price depth volatility g12 g14 g18 |
| url | https://www.emerald.com/insight/content/doi/10.1108/JDQS-06-2020-0015/full/pdf?title=the-impacts-of-day-trading-activity-on-market-quality-evidence-from-the-policy-change-on-the-taiwan-stock-market |
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