Lin, Ching-Chung; Chiang, Min-Hsien - In: Applied Financial Economics 15 (2005) 18, pp. 1315-1322
Owing to the growing importance of the Taiwan Top 50 Tracker Fund (TTT), the first and the only Taiwanese Exchange Traded Fund (ETF), this study investigates the change in the volatility of the component stocks of the Taiwan 50 Index after the introduction of TTT. Using the volatility measure...