This paper is related to the work of Patton (2011), who proposed the required robust loss functions MSE and QLIKE for imperfect fluctuations in the proxy variables, as well as the use of GW and MCS test for statistical analysis. In the same volatility model, the use the GW test pairing for...

In this paper, we use a unique natural experimental setting to examine the market value of both voluntary and mandatory independent director appointments using a sample of Taiwanese listed firms. We find a significantly positive stock price reaction when a firm announces it is appointing...

In this paper, we use a unique natural experimental setting to examine the market value of both voluntary and mandatory independent director appointments using a sample of Taiwanese listed firms. We find a significantly positive stock price reaction when a firm announces it is appointing...

Are stock market investors concerned with obtaining abnormal returns by acquiring certain information? This paper studied the effect of ex-dividend date for cash-dividend policy. We try to demonstrate the existence of abnormal returns by examining stock trading situations before and after the...

Governments implement policies to stabilize stock markets in times of financial crisis. The most common intervention is to forbid short sales. For instance, around the financial crisis of 2008, eleven governments announced restrictions on naked short sales in their stock markets. In light of the...

During the subprime mortgage crisis period, the New Century Financial Corporation was the biggest subprime mortgage lender in the United States and declared bankruptcy on April 2, 2007. This paper compared two types of hedge ratios - the hedge ratio before April 2, 2007 and the hedge ratio after...

This paper empirically explores the impact of the spot index on the exchange trade fund (ETF) indices in Taiwan, with the vector autoregressive (VAR) model revealing positive relationships between the six time-series variables. Our results indicate that the ETF 52 index has the greatest...