By using the equality test and panel regression, we study the effects of around the last five minutes call auction of underlying stock market on price behaviors of continuous trading TAIFEX index futures. First, continuous trading enables a better reaction to new information and improved risk...

This paper investigates the dynamics among three non-equity factors, credit, illiquidity, and foreign exchange risks, and equity returns to explore the equity risk premium. Results from both VAR and EGARCHM models demonstrate that credit and liquidity risk premia and changes in exchange rates...

This paper examines how issuer credit relates to the level of warrant-pricing errors in Taiwan. The results demonstrate that the premia of warrants with high credit ratings have fewer pricing errors, implying that warrants with higher credit ratings are more fairly priced in terms of the...

Access to information is necessary for market transparency. However, contrary to trading volume and open interest, information related to day trading activities is rarely available. By incorporating unexplored day trading volume in the literature, this paper demonstrates that both the expected...