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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
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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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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
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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