The purpose of this paper is to investigate the tracking error of leveraged and inverse ETFs. Single-day tracking performances of the Taiwan 50 Bull 2X ETF and Taiwan 50 Bear -1X ETF were tested to investigate whether there are structural changes of tracking performances during the bull and bear...

We investigate bank stock and option transmissions during the financial crisis in 2008. Contemporaneous and lagged-one stock order imbalances have a significant impact on option returns. A time-varying GARCH model is employed to confirm the results. We develop an imbalance-based call (put)...

We use order imbalance to investigate dynamic relations among intraday return, volatility and order imbalance of stock spinoffs. A GARCH model is employed to examine whether the larger order imbalance is associated with larger stock price volatility. We do not find a significant positive...

Many researches indicate informed trading during Leveraged buy-out (LBO) processes. In this study, we examine intraday dynamic relations between order imbalance, volatility and stock returns. The dynamic relation between volatility and order imbalances by a time-varying GARCH model is...

This paper uses four asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models, which are GJR-GARCH, NA-GARCH, Threshold GARCH (T-GARCH), and AV-GARCH to compare their performance on value-at-risk (VaR) forecasting to the symmetric GARCH model. In addition, we adopt...

This study investigates the convergence process toward efficiency of daily top losers. We find that significance of order imbalance coefficients decreases with increasing time interval, indicating evidences on convergence to market efficiency. A time-varying GARCH model is employed to examine...