This paper examines the impact of increased pre-close transparency on the effectiveness of stock closing call. On January 1, 2003, the Taiwan Stock Exchange increases pre-close transparency by disclosing the best five bid and ask prices and related unexecuted orders before market closing. At the...

This paper examines the impact of increased pre-close transparency on the effectiveness of stock closing call. On January 1, 2003, the Taiwan Stock Exchange increases pre-close transparency by disclosing the best five bid and ask prices and related unexecuted orders before market closing. At the...

This study explores the dynamic relationship between the sentiment of institutional investors and market returns in the futures market. Using data from the Taiwan futures market, the empirical results show that the dynamic relationship between the sentiment of foreign institutional investors and...

This paper explores commonality in liquidity for country ETFs. Using data from 21 country ETFs, the empirical results present the strong commonality in liquidity among country ETFs. Furthermore, the paper shows that the magnitude of commonality in liquidity for country ETFs varies with the...

This paper examines the link between spillovers of currency carry trade returns and U.S. market returns. Following Tse and Zhao (2012), this paper hypothesizes that the magnitude of spillovers of currency carry trade returns is positively correlated with market risk sentiment and, therefore, has...

We establish a theoretical model with informed trading in which both of individual stock futures and its underlying stock are traded in the market. With the introduction of the futures, the paper shows that an informed trader's position of futures usually motivates him or her to trade more...

Baker and Stein's (2004) model predicts that individual stock liquidity, commonality in liquidity across stocks, the contemporaneous correlation between stock returns and liquidity, and the degree of high liquidity associated with low subsequent stock returns decrease in the absence of...

We estimate the liquidity connectedness in the spot foreign exchange (FX) market based on an empirical network model. We find that the liquidity connectedness reflects the dynamic market uncertainties around the world. Supply- and demand-side factors are important drivers of liquidity...