This paper investigates the role of liquidity provisions played by individual investors prior to dividend announcements in Taiwan. We first document a positive relationship between aggregate individual trading before dividend announcements and abnormal stock returns in the one month after the...

Purpose–Due to disequilibrium between supply and demand in the option market, the option market-maker is under exposure to certain risks because of their net option positions. This paper aims to pay attention to whether the risk award affects the option price and the shape of implied...

Purpose–The purpose of this paper is to study how the market correlation changes in Chinese stock market and how the market correlation affects stock returns. Design/methodology/approach -The authors first examine the relationship between the market correlation and the market return. Then, the...

This paper examines a wide variety of popular volatility models for stock index return, including Random Walk model, Autoregressive model, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, and extensive GARCH model, GARCH-jump model with Normal, and Student t-distribution...

In this paper, a new lattice Boltzmann model for the coupled nonlinear system of viscous Burgers’ equation is proposed by using the double evolutionary equations. Through selecting equilibrium distribution functions and amending functions properly, the governing evolution system can be...

In this paper, a lattice Boltzmann model with an amending function is proposed for the generalized Kuramoto–Sivashinsky equation that has the form ut+uux+αuxx+βuxxx+γuxxxx=0. With the Chapman–Enskog expansion, the governing evolution equation is recovered correctly from the continuous...