This paper examines the impact of market states on the profitability of momentum strategies using weekly data from the Taiwan Stock exchange over the 10-year period 1997-2006. Market states refer to the states of market such as up or down markets. In this paper, the formation period is defined...

This paper examines how the introduction of the extended opening session of the futures market affects stock price behavior around the market opening. On January 1, 2001, the Taiwan Futures Exchange (TAIFEX) extended the trading hours by opening earlier 15 minutes than the Taiwan Stock Exchange...

This paper analyzes the impact of pre-trade transparency on price discovery. On January 1, 2003, the Taiwan Stock Exchange discloses unexecuted orders of the best five bid and ask prices to market participants. This rule change provides an opportunity to examine the impact of transparency on...