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Measures of volatility, crises, sentiment and the role of U.S. "fear" index (VIX) on herding in BRICS (2007-2021)
Zhang, Hang; Giouvris, Evangelos - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-42
We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was...
Persistent link: https://www.econbiz.de/10013164975
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Finance and productivity growth : evidence from China
Ma, Yong; Zhang, Hang - In: Global economic review 50 (2021) 3, pp. 273-292
Persistent link: https://www.econbiz.de/10012597197
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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
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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
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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
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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
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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
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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
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Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021)
Zhang, Hang; Giouvris, Evangelos - 2023
We look into determinants (volatility, crises, sentiment and the U.S. ‘fear’ index) of herding using BRICS as our sample. Investors herd selectively to crises and herding is a short-lived phenomenon. Herding was highest during the global financial crisis (only China was affected). There was...
Persistent link: https://www.econbiz.de/10014262090
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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