In this paper, we find evidence of the intra- and inter-period beta instability of firms in the Taiwan stock market during its financial development from 1982 to 1998. Particularly noteworthy is the result that the proportions of firms exhibiting beta instability, in the full sample and two...

This paper examines the effects of market liberalization on exchange-rate exposure of exporting firms and its possible time-varying nature. Using Taiwanese exporting firms as a test case, particularly, we consider the effects of the timing of the three liberalization events through which the...

A methodology is proposed to test the lead-lag relation between portfolio returns under price-limit restriction. The price-limit restriction is an important microstructure of the Taiwan stock market. Prior research on US stock return found that the lagged return of large-cap portfolios are...