This paper examines how the introduction of the extended opening session of the futures market affects stock price behavior around the market opening. On January 1, 2001, the Taiwan Futures Exchange (TAIFEX) extended the trading hours by opening earlier 15 minutes than the Taiwan Stock Exchange...

This paper analyzes the impact of the transfer from a call auction to continuous trading on futures price behavior. Using tick by tick data from the Taiwan Futures Exchange (TAIFEX), the empirical results show that the reduction in the costs of information asymmetry and an improvement in price...

As firms rely heavily on R&D for their competitive advantages and as technologies become more integrated and complex, individual performance becomes more difficult and costly for shareholders to govern and evaluate. The information asymmetry problems between employees and shareholders thus may...

This study examines the behavior of futures prices around stock market close before and after changes to the batching period of the stock closing call. On July 1, 2002, the Taiwan Stock Exchange expanded the length of the batching period roughly 10-fold, from an average of 30 seconds to 5...

Purpose The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of swap markets contain useful information to explain subsequent stock price movements....

Purpose – This paper aims to examine the impact of a reduction in tick size on the information content of the order book by using data from the Taiwan Stock Exchange (TWSE). Design/methodology/approach – To estimate the information content of the order book, the modified information share...

This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results...