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Lin, William; Sun, David; Tsai, Shih-Chuan - Volkswirtschaftliche Fakultät, … - 2010

We explore in this paper how trading noise, when considered as a market friction, reacts to trading activity. Transactions cost is a good explanation for intraday trading behavior in the market according to our data. Particularly, we show that in general trading brings friction to market....

Persistent link: https://www.econbiz.de/10009654205

Price informativeness and predictability: how liquidity can help

Lin, William; Tsai, Shih-Chuan; Sun, David - Volkswirtschaftliche Fakultät, … - 2008

Information asymmetry and liquidity concentration has been widely discussed in literatures. This study shows how … liquidity influences not only forecasting performances of term structure estimation, but also information transmission and price … enhanced when conditioning on trading liquidity. It reduces information asymmetry in the sense of Easley and O’Hara (2004) and …

Persistent link: https://www.econbiz.de/10009654214

Search costs and investor trading activity: evidences from limit order book

Lin, William; Tsai, Shih-Chuan; Sun, David - Volkswirtschaftliche Fakultät, … - 2010

We analyze in this study investor trading behavior based not on information related assumptions but on the search model …

Persistent link: https://www.econbiz.de/10009654221

Behavioral investment strategy matters: a statistical arbitrage approach

Sun, David; Tsai, Shih-Chuan; Wang, Wei - Volkswirtschaftliche Fakultät, … - 2011

In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work better in periods longer than six months, a result different from findings in past literature. Compared with standard parametric tests, the statistical arbitrage method...

Persistent link: https://www.econbiz.de/10009654225

What Causes Herding:Information Cascade or Search Cost ?

Lin, William; Tsai, Shih-Chuan; Sun, David - Volkswirtschaftliche Fakultät, … - 2009

We analyze in this study what could have caused herding in the stock market. Information cascades have often been … prediction of the information cascade hypothesis. Information cascade effect, if any, is actually stronger near market close than … rather than information related factors. …

Persistent link: https://www.econbiz.de/10008592948

Searching out of Trading Noise: A Study of Intraday Transactions Cost

Lin, William; Sun, David; Tsai, Shih-Chuan - Volkswirtschaftliche Fakultät, … - 2010

We attempt to identify in this paper the role of trading noise as a transactions cost to market participant in the sense of Stoll (2000), especially in the presence of trading concentration. Applying the measures of Hu (2006) and Kang and Yeo (2008), we analyze the noise proportion in intraday...

Persistent link: https://www.econbiz.de/10008839491

Diversifying Risks in Bond Portfolios: A Cross-border Approach

Sun, David; Tsai, Shih-Chuan - Volkswirtschaftliche Fakultät, … - 2013

This study recalibrates corporate bond idiosyncratic risks in an international context. Applying a statistically powerful risk decomposition scheme, we show in this study that diversification is improved by the addition of a global risk benchmark. We build a long-run stationary yield spread...

Persistent link: https://www.econbiz.de/10011108563