Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange

Twu, Mia; Wang, Jianxin

doi:10.1016/j.asieco.2018.06.004

Cited by 7 publications

(2 citation statements)

References 37 publications

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“…On the other hand, Muscarella and Piwowar (2001) find that for assets traded on the Paris stock exchange, the traded volume increases when stocks are shifted from auction based trading to continuous trading and decreases when the shift goes in the other direction. Twu and Wang (2018) show in a case study of the Taiwan stock exchange that decreasing the interval between consecutive auctions improves overall market quality. Contrary to these findings, Hu and Chan (2005) and Hu (2006) find that shorter intervals correspond to a worse signal-to-noise ratio in prices at the exchange.…”

Section: Continuous Trading Versus Auctions In the Finance Literaturementioning

confidence: 98%

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Frequent Auctions for Intraday Electricity Markets

Graf¹,

Kuppelwieser²,

Wozabal³

2024

The Energy Journal

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Continuous trading is currently becoming the standard for intraday electricity markets. In this paper, we propose frequent auctions as a viable alternative. We argue that batching orders in auctions potentially leads to lower liquidity cost, more reliable, less noisy price signals, and allows for better alignment of market outcomes with the technical realities of the transmission grid. In an empirical study, we compare the German continuous intraday market with counterfactual outcomes from frequent auctions. We find that traded volumes tend to be higher for continuous trading; however, the auction market benefits from lower liquidity costs and less noisy price signals. Furthermore, we critically discuss the suitability of continuous trading in the presence of network constraints and technical restrictions of conventional units. Taken together these findings suggest that in sparsely traded intraday markets, pooling orders in frequent auctions may be beneficial.

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Section: Continuous Trading Versus Auctions In the Finance Literaturementioning

confidence: 98%

“…Twu and Wang (2018) show in a case study of the Taiwan stock exchange that decreasing the interval between consecutive auctions improves overall market quality. Contrary to these findings, Hu and Chan (2005) and Hu (2006) find that shorter intervals correspond to a worse signal-to-noise ratio in prices at the exchange.…”

Section: Literature Reviewmentioning

confidence: 98%