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Volatility behavior, information efficiency and risk in the S&P 500 index markets

Chiang, Shu-Mei; Chung, Huimin; Huang, Chien-Ming - In: Quantitative Finance 12 (2012) 9, pp. 1421-1437

We propose an ARJI-Trend model—a combination of the ARJI and component models—to capture the distinguishing features of US index returns, with the results indicating that our model has a good fit for the volatility dynamics of spot, floor- traded and E-mini index futures in US markets....

Persistent link: https://www.econbiz.de/10010606739

Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures

Chiu, Junmao; Chung, Huimin; Wang, George H. K. - In: Journal of Futures Markets 34 (2014) 2, pp. 145-172

Persistent link: https://www.econbiz.de/10010729065

Assessing bankruptcy prediction models via information content of technical inefficiency

Hwang, Ruey-Ching; Siao, Jhao-Siang; Chung, Huimin; Chu, C. - In: Journal of Productivity Analysis 36 (2011) 3, pp. 263-273

Persistent link: https://www.econbiz.de/10010865946

Price clustering in E-mini and floor-traded index futures

Chung, Huimin; Chiang, Shumei - In: The journal of futures markets 26 (2006) 3, pp. 269-296

Persistent link: https://www.econbiz.de/10006809215

Decimalization, trading costs, and information transmission between ETFs and index futures

Chou, Robin K.; Chung, Huimin - In: The journal of futures markets 26 (2006) 2, pp. 131-152

Persistent link: https://www.econbiz.de/10006809446

Asset pricing models and economic risk premia: A decomposition

Hwang, Ruey-Ching; Chung, Huimin; Chu, C.K. - In: Journal of empirical finance 17 (2010) 1, pp. 54-81

Persistent link: https://www.econbiz.de/10008349678

Decimalization, ETFs and futures pricing efficiency

Chen, Wei-Peng; Chou, Robin K.; Chung, Huimin - In: The journal of futures markets 29 (2009) 2, pp. 157-178

Persistent link: https://www.econbiz.de/10008161641

Trading platform, market volatility and pricing efficiency in the floor-traded and E-mini index futures markets

Chung, Huimin; Sheu, Her-Jiun; Hsu, Shufang - In: International review of economics & finance : IREF 19 (2010) 4, pp. 742-755

Persistent link: https://www.econbiz.de/10008640258

Comprehensive Disclosure of Compensation and Firm Value: The Case of Policy Reforms in an Emerging Market

Sheu, Her‐Jiun; Chung, Huimin; Liu, Chih‐Liang - In: Journal of business finance & accounting : JBFA 37 (2010) 9, pp. 1115-1145

Persistent link: https://www.econbiz.de/10008766548

Sources of contrarian profits in the Japanese stock market

Chou, Pin-Huang; Wei, K.C.John; Chung, Huimin - In: Journal of empirical finance 14 (2007) 3, pp. 261-286

Persistent link: https://www.econbiz.de/10007732161