In this paper, we investigate the determinants of daily short selling activity for retail and foreign institutions and their impacts on stock returns, volatility and liquidity in the Taiwan stock markets. By using two metrics to measure the short selling activity for two investor types, we find...

In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005)...

In this study, we apply Panel Threshold Model (Hansen, 1999) to examine whether there is optimal asset scale for interest spread to affect banks' profits. The empirical results demonstrate the existence of three thresholds, which divide banks into four groups into four groups according to asset...

The assumption of dynamic lapse behavior is path-dependence related to the performance of underlying assets. This causes the pricing and reserving of investment guarantee products to be more difficult to deal with. The lack of actual experience of such policyholders' behavior is also an...

Using transactions data, we find significant magnet effects of price limit rules in Taiwan Stock Exchange (TSEC). Consistent with Subrahmanyam (1994), we find that when limit hits are imminent, trading activities intensify with higher volumes and volatility. More importantly, our transactions...

In this study, we apply Panel Threshold Model (Hansen, 1999) to examine whether there is optimal asset scale for interest spread to affect banks' profits. The empirical results demonstrate the existence of three thresholds, which divide banks into four groups into four groups according to asset...

This study investigates the volatility forecasting abilities of return-based and range-based estimators for two stock indices and two individual stocks in the U.S. stock market. The forecasting performances are evaluated by two robust statistical loss functions, and further by financial...

Based on the volatility timing framework, this study uses intraday futures contracts (Bitcoin, gold, E-mini S&P 500, and 10-year T-Note) to investigate the economic value of adding Bitcoin instead of gold to a traditional financial portfolio. More important, we analyze the role of rebalancing...

In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005)...