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,...

This paper evaluates the respective impacts of investor protection on the R 2 and systematic risk of closed-end country funds (CECFs). The empirical results reveal that both the R 2 and systematic risk of CECFs of those countries with English legal origin are significantly lower than those of...