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The restriction of short-sale prices, which stated that short-sale prices must not be lower than the closing price of the previous trading day, no longer applies to the constituent stocks of the Taiwan Top 50 Index. This study investigates the abnormal returns and volatility changes of those...
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Chinese Abstract:...
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Taiwan Top 50 Tracker Fund (TTT) is the first Exchange Traded Fund (ETF) in Taiwan. This study investigates the impact of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage hypothesis that the liquidity of the constituents is...
Persistent link: https://www.econbiz.de/10008555938
Chinese Abstract: A股关联公司的股票动量溢出效应研究:...
Persistent link: https://www.econbiz.de/10013405840
The aim of this paper is to re-examine the sequential-financing hypothesis in the context of convertible bond issuances from firms listed on the Taiwan Stock Exchange from 1994 to 2003. The results contend that announcements of convertible debt offerings are, on average, associated with...
Persistent link: https://www.econbiz.de/10008541454
Chinese Abstract: CAPM 所在的资本市场是非完全的,并且是 一 个 Hilbert 空间,我们找出了该市场中 SDF 模仿支付的显式表达式。纯风险证券的局部均衡中,CAPM 公式成立,CAPM...
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futures are not treated as financial derivatives, naïve hedge outperforms complex models. If the futures pricing theory is …
Persistent link: https://www.econbiz.de/10012930120