In this study, we use stock index data of various industries in Taiwan from 2001 to 2010 to estimate the exchange rate exposures of these industries under various data frequencies (daily, monthly, and quarterly). We add the effect of hot money on exchange rate exposures and find that significant...

In 2007, a number of stock funds and Real Estate Investment Trusts (REITs) tended to invest in Asian markets due to their outstanding performance during the period prior to 2006. However, can this move increase the covariate between the stock and REIT markets in Asian markets as well as further...

The purpose of this research is to examine the information content of order imbalances, an important variable in representing trading activity. The Taiwan Stock Exchange launched limited after-hours trading, in which investors can only trade at the closing price of the normal trading hours....

This article analyses investment risk in the housing market by examining volatility properties of house prices for the UK. We use both ARCH and GARCH models to estimate price conditional heteroscedasticity and find evidence of a time-varying property in the volatilities of the house price...

This paper investigates the causality relationship between sale price and trading volume under housing presale system by using the data of existing house price, presale house price, trading volume, and the number of new construction from 1993Q1 to 2010Q4 in four spatial housing submarkets,...