We propose that solar activities are related to investor sentiment and stock market crashes. We find that the number of sunspots is significantly and negatively associated with the frequency and severity of market crashes. Adopting structural equation modeling and using traditional sentiment...

The inclusion of Chinese renminbi in the Special Drawing Rights (SDR) lowers weightings of the other SDR currencies (EUR, JPY, and GBP) in the basket. Conventional wisdom suggests no material impact on those currencies. However, we find that, after the SDR adjustment, the liquidity of...

We investigate the price impact of the well-known but empirically unsettled order spoofing strategy. We use a comprehensive database that includes complete orders of index futures and options submitted by every market participant and a unique linkage of order execution to overcome the empirical...

The inclusion of Chinese renminbi in the Special Drawing Rights (SDR) lowers weightings of the other SDR currencies (EUR, JPY, and GBP) in the basket. Conventional wisdom suggests no material impact on those currencies. However, we find that, after the SDR adjustment, the liquidity of...

In this study, we document interesting properties of cryptoassets and empirically investigate the dynamic correlations between six major stablecoins and Bitcoin. It is evident that volatilities of Bitcoin and stablecoin returns exhibit asymmetric responses to good and bad news. We evaluate...

We provide an analysis of frontier market equities with respect to world market integration anddiversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of...

Based on the volatility timing framework, this study uses intraday futures contracts (Bitcoin, gold, E-mini S&P 500, and 10-year T-Note) to investigate the economic value of adding Bitcoin instead of gold to a traditional financial portfolio. More important, we analyze the role of rebalancing...

In this paper, we examine the effect of price limits on initial public offerings (IPOs) using Taiwanese data. On average, it takes 6.24 days for IPOs to reach their equilibrium prices in the presence of a 7% price limit. We compare IPOs with their industry- and size-matched seasoned equities...

We investigate the magnet effect of price limits using transaction data from the Taiwan Stock Exchange. A logit model incorporates explanatory variables from microstructure literature and reveals that the conditional probability of a price increase (decrease) increases significantly when the...

We study the choice and valuation effects of alternative flotation methods using a sample of Chinese firms that must meet the return on equity (ROE) thresholds set by the government to raise equity capital. The ROE requirement, although changed over time, seems to play an important role on the...