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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

The impact of weather on order submissions and trading performance

Chuang, Yi-Wei; Tsai, Wei-Che; Weng, Pei-Shih - In: Pacific-Basin finance journal 64 (2020), pp. 1-25

Persistent link: https://www.econbiz.de/10012493967

Do foreign institutional traders have private information for the market index? : the aspect of market microstructure

Weng, Pei-Shih; Tsai, Wei-Che - In: International review of economics & finance : IREF 55 (2018), pp. 308-323

Persistent link: https://www.econbiz.de/10012033488

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

Market return, liquidity, and trading activity of various trader types in the emerging market : a study of the TAIFEX

Hao, Ying; Chou, Robin K.; Ho, Keng-Yu; Weng, Pei-Shih - In: Asia-Pacific journal of financial studies 45 (2016) 4, pp. 499-534

Persistent link: https://www.econbiz.de/10011630752

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

The disposition effect on partially informed short sellers

Tsai, Wei-Che; Li, Li-Jung; Chiu, Hsin-Yu - In: Pacific-Basin finance journal 87 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10015098607