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.