Liu, Y. J., Liu, W. V., and Shih, H. A. 1991. An Empirical Study on Price Discovery of Taiwan Stock Market. NTU Management Review, 2 (1): 119-138
Yu-Jane Liu, Institute of Business Administration, National Sun Yat-Sen University
Victor W. Liu, Institute of Business Administration, National Sun Yat-Sen University
Hsi-An Shih, Institute of Business Administration, National Sun Yat-Sen University
Abstract
This paper analyzes the residual terms resulting from market model and volume model in order to observe the price discovery of Taiwan stock market. Information asymmetry, the intervalling effect and Fisher effect are examined, and the randomization of rate of return is tested after replacing clearing prices by quotation prices to eliminate partial intervalling effect. This study adopts intra-day data to test the hypotheses. The results indicate that information asymmetry, intervalling effect and Fisher effect exist in the short run of Taiwan Stock Market.
Keywords
Information asymmetry Intervalling effect Fisher effect Price discovery