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Determination of stock closing prices and hedging performance with stock indices futures

Lee, Hsiu-chuan; Chien, Cheng-yi; Liao, Tzu-hsiang - In: Accounting and finance : journal of the Accounting … 49 (2009) 4, pp. 827-847

Persistent link: https://www.econbiz.de/10003924038

Hedging performance and stock market liquidity : evidence from the Taiwan futures market

Lee, Hsiu-chuan; Chien, Cheng-yi - In: Asia-Pacific journal of financial studies 39 (2010) 3, pp. 396-415

Persistent link: https://www.econbiz.de/10009230516

Information, hedging demand, and institutional investors : evidence from the Taiwan Futures Exchange

Chien, Cheng-yi; Lee, Hsiu-chuan; Tai, Shih-wen; Liao, … - In: Journal of multinational financial management 23 (2013) 5, pp. 394-414

Persistent link: https://www.econbiz.de/10010252378

Hedging performance of volatility index futures : a partial cointegration approach

Lee, Hsiu-chuan; Lien, Da-hsiang Donald; Sheu, Her-jiun - In: Review of quantitative finance and accounting 61 (2023) 1, pp. 265-294

Persistent link: https://www.econbiz.de/10014342031

Hedging Performance and Stock Market Liquidity : Evidence from the Taiwan Futures Market

Lee, Hsiu-Chuan - 2012

This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results...

Persistent link: https://www.econbiz.de/10013106847