1. Jie-Haun Lee Department of Finance National ChengChi University Chan Chang Department of Banking and Cooperative Management National Taipei University Whei-May Fan Department of Finance China University of Technology The effect of Switching from Periodic Call to Continuous Auction Market on Market Quality and Trading Behavior

2. Issue and Motivation Previous studies: The impact of opening and closing calls on market quality Price efficiency and market quality when certain stocks move from one exchange to another or jointly list on different exchange Experimental comparisons between the call and continuous auction methods The impact of trading method switching from call to continuous method or vice versa Comparison between open-to-open return volatility and close- to-close return volatility

3. Issue and Motivation Why do we do this research? Most of previous studies pay more attention to the impact of a trading mechanism on the price efficiency and market quality. Further examining trading behavior could be helpful to shed light on the impact of a trading mechanism on market quality.

4. The findings of previous studies Periodic call Auction vs. Continuous Auction A periodic call auction can overcome the problems of information asymmetry that cause failure in a continuous auction market (Madhavan (1992)). Economides and Schwartz (1995) question the importance of immediacy for many public traders.