Employing comprehensive limit-order data which identify investor types, this paper examines the clustering pattern of limit-order prices. First, limit orders, particularly those submitted by individual investors (IIs), tend to cluster at integer and even prices. Second, nonmarketable limit-order...

This paper highlights a concern for a link possibly missing in the traditional justification of the signaling hypothesis of open-market repurchases (OMRs). To recover the missing link, we employ the order-level data for the Taiwan stock market to contrast the order submission behaviors among...

In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation...

The purpose of this paper is to investigate the impact of market liberalization programs on firms' exchange‐rate exposure. We consider, in particular, the effects of the timing of the three liberalization events through which the government of Taiwan carried out explicit policies to gradually...

A methodology is proposed to test the lead-lag relation between portfolio returns under price-limit restriction. The price-limit restriction is an important microstructure of the Taiwan stock market. Prior research on US stock return found that the lagged return of large-cap portfolios are...

In this paper, we find evidence of the intra- and inter-period beta instability of firms in the Taiwan stock market during its financial development from 1982 to 1998. Particularly noteworthy is the result that the proportions of firms exhibiting beta instability, in the full sample and two...

Prior studies document that the book-to-market (BM) effect is absent in the Taiwan stock market. Using Taiwanese data covering from 1991 to 2006, we show that, after controlling for the size effect and the Fama and French's (1993) risk factors, the BM effect only exists for those firms with low...