The behavior of order imbalance and its impact on market performance at the two Taiwan stock index futures markets, the TAIFEX and the SGX-DT, is investigated. The TAIFEX is an order-driven call market, while the SGX-DT uses a quote-driven continuous trading system. Our empirical results show...

This paper examines the forecasting performance of three value-at-risk (VaR) models (RiskMetrics, Normal APARCH and Student APARCH). We explore and compare two different possible sources of performance improvements: asymmetry in the conditional variance and fat-tailed distributions. Performance...

To reduce market volatility observed at the close of trading and to enhance the fairness of the closing price, the Taiwan Stock Exchange (TSE) changed the way it executed its closing transactions by instituting a five-minute closing call auction. This paper examines the effectiveness of this new...

This study examines the relationship between illegal insider trading and corporate governance. We analyze a sample of 156 cases: seventy-eight firms having illegal insider trading episodes and seventy-eight matched firms. We use three main factors—board composition, ownership structure, and...

This study investigates the trading activity of the Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX‐DT) Taiwan Stock Index Futures markets by analyzing the intraday patterns of volume and volatility. In addition, the market closure theory, which may...

This paper compares the intraday components of bid‐ask spread in Taiwan stock index futures traded on Taiwan Futures Exchange (TAIFEX) and Singapore Exchange Derivatives Trading Limited (SGX‐DT). Variables that determine the components of spread are also examined. SGX‐DT uses a floor...