This paper uses a special sample from the Taiwan Stock Exchange to examine the empirical relation between trading frequency and noise. The Taiwan Stock Exchange uses call auctions throughout the day. The time interval between auctions can be either 90 seconds or 4 seconds, which provides the...

This paper proposes a new definition for trade direction to capture the information effect in order-driven markets. To define the trade direction, the existing literature uses quote-matching rules to identify whether it is the buyer or the seller initiates or triggers a trade. The quote-matching...

This study investigates whether mandatory corporate social responsibility (CSR) reporting ameliorates liquidity and reduces risk for stocks. Moreover, we explore whether these impacts vary with regulated company category and stakeholder influence capacity. For a mandatory CSR reporting...

Secondary data and survey information are used to develop a large data set for analyzing water demand in 221 communities. The resulting monthly data are employed to examine seasonal variability in consumer price sensitivity. Several functional forms are contrasted for their abilities to identify...

Using the expansion of price limit regulation as a quasi-natural experiment, this study examines the effect of retail investors' trading activities on stock market quality. Our results show a reduction in retail investors’ trading after the expansion of the daily price limit. Furthermore, this...