This study investigates how limit orders affect liquidity in a purely order-driven futures market. Additionally, the possible asymmetric relationship between market depth and transitory volatility in bull and bear markets and the effect of institutional trading on liquidity provision behavior...

This paper aims to investigate the effect of financial analysts' earnings forecast on the institutional trading. In specific, we address three issues regarding the effect of financial analysts earnings forecast on the institutional holdings: (1) Do institutional investors pay more attention and...

This article studies the intraday patterns of trading volume, volatility, and spreads and day-of-the-week variations for stock index options traded on the Taiwan Futures Exchange (TAIFEX). In addition, we examine the overnight variations in returns, volatility and spreads as well. We find that...