We use a bivariate GJR-GARCH model to investigate simultaneously the contemporaneous and causal relations between trading volume and stock returns and the causal relation between trading volume and return volatility in a one-step estimation procedure, which leads to the more efficient estimates...

An event study using a sample of cash dividend changes from all listed A-share firms in China during the period from 2000 to 2004 was conducted to investigate the announcement effect of cash dividend changes and examine whether the dividend-signaling hypothesis holds in China's stock markets....

The purpose of this study is to analyze the interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes by applying a trivariate FIEC-FIGARCH model. The empirical results confirm that the FIEC-FIGARCH model can be used to capture long memory behavior...

This article use the smooth transition Generalized Autoregressive Conditional Heteroscedastic (GARCH) model to examine the impacts of direct cross-strait shipping on the dynamic structure of the stocks of shipping companies in Taiwan. We inferred the fact that the structural changes affect the...

This study attempts to make an empirical contribution to the understanding of corporate performance in the telecommunications industry. Data envelopment analysis (DEA) is performed to assess corporate performance for the telecommunications sector in Taiwan and the relationships between corporate...

"This paper empirically investigates the relationship between the dissemination of information about the health risks of tobacco, alcohol, and betel nuts and their consumption in Taiwan. To estimate cross-elasticities, the paper uses the Central Bureau of Statistics demand system model....

One hears that the credit ranking score has increased technical efficiency in financial holding companies, when a data envelopment analysis (DEA) is employed. Our empirical results show that the credit ranking scores will obviously affect the estimated results of efficiency measurement in...

This article designs two improved methods to estimate the value at risk (VaR) for US real estate investment trusts (REITs) and specifically considers some higher moments of asset returns and composite methods which are combined with existing models. Our empirical results indicate that accounting...

Previous research has established that the predictions made by game theory about strategic behavior in incomplete information games are quite sensitive to the assumptions made about the players' infinite hierarchies of beliefs. We evaluate the severity of this robustness problem by...