| dc.description.abstract | This paper examines the impact of the stock day trading deregulation policy, to see if the deregulation on day trading in Taiwan stock market boosts the trading volume. Using average-adjusted model, then calculated the residual, which is called abnormal turnover, by daily turnover subtracting average turnover, then examining the change of post-deregulation residuals. There are two event time, one is January 6th, 2014, the day that long day (buy-first sell-after) trading implemented, the other one is June 30th, 2014, the day that short day (sell-first buy-after) trading permitted. The component stocks of Taiwan 50 index, Taiwan Mid-Cap 100 index and TPEx50 index are eligible for day trading in the first place. The results suggest that the deregulation policy successfully increases the trading volume in Taiwan 50 index, and Taiwan Mid-Cap 100 index. And TAIEX trading volume raised when buy-first sell-after day trading deregulated. Under 30 days as estimation window, TAIEX turnover also increased after sell-first buy-after day trading permitted. For robustness test, I examine the trading volume of TAIEX future to ensure the increased in stock market were not from the trade of related derivatives, and trading volume of TAIEX future is not decreased by the deregulation of stock day trading. We can be more confidence to say that the deregulation on day trading effectively raises the trading volume in Taiwan stock market. | en_US |