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 the determination of stock closing prices on futures price efficiency and hedging effectiveness with stock indices futures. The empirical results indicate that the increase in the length of the batching period of the stock closing call improves price efficiency...

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 examines the effect of hedging demand by various types of institutional investor on subsequent returns and volatility. Using data from the Taiwan Futures Exchange, empirical results indicate that the hedging demand of foreign investors has a significant negative impact on subsequent...

Empirical results in this study demonstrate that house prices have limited influence over rents in Taiwan. In fact, the impact of house prices on rents is not as apparent as of other factors like the floor (high or low), area, and the interaction of multiple factors such as house attributes like...

This paper examines the impact of increased pre-close transparency on the effectiveness of stock closing call. On January 1, 2003, the Taiwan Stock Exchange increases pre-close transparency by disclosing the best five bid and ask prices and related unexecuted orders before market closing. At the...

The Lagrange multiplier (LM) principle is used to study the causality in variance and the relationships between the stock indexes and exchange rates of Brazil, Russia, India, and China (BRIC). Weekly closing prices from February 2002 to December 2013 are used for the analysis. The full study...