英文摘要 |
This paper investigates factors affecting intradaily price change path on the Taiwan stock Exchange. Empirical evidence shows that the time between trades represents a crucial role regarding the information contents implicit in the trades. In addition, the larger the number of trades between two different prices, the lower the price change. Meanwhile, the seller-initiated order causes stock price to take much longer time to react to underlying information during the downward trend. Also, the price change decreases when a relatively large order size arrives. |