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The impacts of day trading activity on market quality : evidence from the policy change on the Taiwan stock market

Yang, Tun-Ya; Huang, Si-Yuan; Tsai, Wei-Che; Weng, Pei-Shih - In: Journal of derivatives and quantitative studies 28 (2020) 4, pp. 191-207

This paper aims to investigate the impact of day trading on market quality on the Taiwan stock market with the implementation of a unique policy change. This paper examines 396 listed stocks from June 2015 to October 2016, a period when the stock market in Taiwan officially approved selected...

Persistent link: https://www.econbiz.de/10012592723

Intraday momentum in the VIX futures market

Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Yang, … - In: Journal of banking & finance 148 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014248282

Volatility of order imbalance of institutional traders and expected asset returns : evidence from Taiwan

Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Wu, … - In: Journal of financial markets 52 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013266271

Improved method for static replication under the CEV model

Tsai, Wei-che - In: Finance research letters 11 (2014) 3, pp. 194-202

Persistent link: https://www.econbiz.de/10010441889

Cost of health problems caused by stock market volatility : an empirical study in Taiwan

Weng, Pei-shih; Hsiao, YuJen; Hsiao, Kai-Yuan; Chang, … - In: Finance research letters 57 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014516936

Herd behaviors in index futures trading : driving factors and impact on market volatility

Wu, Ming-Hung; Hu, Wan-Ting; Weng, Pei-Shih - In: The journal of futures markets 43 (2023) 10, pp. 1373-1392

Persistent link: https://www.econbiz.de/10014339443

The impact of derivatives hedging on the stock market : evidence from Taiwan's covered warrants market

Chung, San-lin; Liu, Wen-rang; Tsai, Wei-che - In: Journal of banking & finance 42 (2014), pp. 123-133

Persistent link: https://www.econbiz.de/10010408417

Using Richardson extrapolation techniques to price American options with alternative stochastic processes

Chang, Chuang-chang; Lin, Jun-biao; Tsai, Wei-che; … - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 383-406

Persistent link: https://www.econbiz.de/10009673702

Determinants of Price Discovery in the VIX Futures Market

Chen, Yu-Lun - 2017

We utilize the respective information share and common factor component weight approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price discovery competition between the VIX and VIX futures. Our results show that VIX futures prices play a dominant role in the overall...

Persistent link: https://www.econbiz.de/10012955833

An Analysis on the Intraday Trading Activity of VIX Derivatives

Kao, Dian-Xuan - 2017

We investigate the relation between trading activity in the VIX derivative markets and changes in the VIX index under a high-frequency framework. We find a significant relation between the signed trading variables of VIX futures and the contemporaneous changes in the VIX index. In addition, the...

Persistent link: https://www.econbiz.de/10012957351