This study is designated to investigate the impact on market quality stemming from the reduction in transaction tax during the early stages of the development of Taiwan Futures Exchange (TAIFEX). Alongside an examination of the various impacts on market liquidity, volatility and government tax...

This paper uses GARCH (1,1)-M modelling to examine the relationships between the systematic risk and the stock return in the banking industry in Taiwan, Hong Kong, and China from 1995 through 2003. The banking industry comprises the large banks and the small-medium size banks. A comparison of...

This article evaluates equity value by option pricing model taking a consolidated financial institute as a new portfolio to analyze consolidated situation of risk and equity value. Besides finding how the banks selecting portfolio to maximizing net equity value subject to capital regulation...

The primary focus of this study will be an analysis of the causal links, and an assessment of the causal positioning of the significant variables involved in the interactions, between prices and exchange rates. Do exchange rate movements lead to associated price changes or do price changes lead...

Using financial ETFs from various financial industries, we set out in this study to explore the relationship between funding liquidity and equity liquidity. We measure funding liquidity from the interbank as well as the collateral markets and examine how funding liquidity affects bid-ask spread,...

This study examines the dynamic liquidity provision process by institutional and individual traders in the Taiwan index futures market, which is a pure limit order market. The empirical analysis obtains several interesting empirical results. We find that trader type affects liquidity provision...

This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Exchanges. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical modeling using the vector...

This paper empirically investigates board meeting attendance and its effects on profit performance of Taiwanese listed corporations. High meeting attendance by directors themselves can enhance a firm's profitability but higher attendance by their representatives has an adverse effect....

This study investigates the impact of decimalization (penny pricing) on the arbitrage relationship between index exchange-traded funds (ETFs) and E-mini index futures. Our empirical results reveal that subsequent to penny pricing, there is a significant fall in the mean ex-ante arbitrage profit,...