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Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad?
Lee, Yen-Hsien; Pai, Tung-Yueh; Chiu, Chien-Liang - In: Economics Bulletin 3 (2007) 60, pp. 1-11
This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an...
Persistent link: https://www.econbiz.de/10005110989
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Examining market efficiency for large and small-capitalization of TOPIX and FTSE stock indices
Hung, Jui-cheng; Lee, Yen-Hsien; Pai, Tung-Yueh - In: Applied financial economics 19 (2009) 7/9, pp. 735-744
This article uses parametric and nonparametric Variance Ratio (VR) tests of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form Efficient Market Hypothesis (EMH) for the large- and small-capitalization stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times...
Persistent link: https://www.econbiz.de/10003842695
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Foreign ownership, return volatility, and investment opportunities
Lee, Yen-Hsien; Pai, Tung-Yueh; Huang, Ya-Ling; Lin, Yu-Shan - In: Investment management and financial innovations 12 (2015) 4, pp. 61-69
Persistent link: https://www.econbiz.de/10011575003
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Examining market efficiency for large- and small-capitalization of TOPIX and FTSE stock indices
Hung, Jui-Cheng; Lee, Yen-Hsien; Pai, Tung-Yueh - In: Applied financial economics 19 (2009) 7-9, pp. 735-744
Persistent link: https://www.econbiz.de/10008256332
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Examining market efficiency for large- and small-capitalization of TOPIX and FTSE stock indices
Hung, Jui-Cheng; Lee, Yen-Hsien; Pai, Tung-Yueh - In: Applied financial economics 19 (2009) 9, pp. 735-744
Persistent link: https://www.econbiz.de/10008238798
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Examining market efficiency for large- and small-capitalization of TOPIX and FTSE stock indices
Hung, Jui-Cheng; Lee, Yen-Hsien; Pai, Tung-Yueh - In: Applied Financial Economics 19 (2009) 9, pp. 735-744
This article uses parametric and nonparametric Variance Ratio (VR) tests of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form Efficient Market Hypothesis (EMH) for the large- and small-capitalization stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times...
Persistent link: https://www.econbiz.de/10004992244
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Friends or enemies? : foreign investors in Taiwan
Lin, Cho-min; Lee, Yen-Hsien; Chiu, Chien-liang - In: Applied economics letters 17 (2010) 10/12, pp. 977-982
Persistent link: https://www.econbiz.de/10008698469
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Nonlinear adjustment of short-term deviations impacts on the US real estate market
Lee, Yen-Hsien; Chiu, Chien-Liang - In: Applied economics letters 17 (2010) 4/6, pp. 597-603
Persistent link: https://www.econbiz.de/10003980268
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Arbitrage behaviour in the exchange rates of Taiwan and Japan : applying the smooth transition vector error correction model with GJR-GARCH and spillover volatility
Lee, Yen-Hsien; Chiu, Chien-liang - In: Applied economics 43 (2011) 13/15, pp. 1935-1943
Persistent link: https://www.econbiz.de/10009240247
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Structural changes in foreign investors' trading behavior and the corresponding impact on Taiwan's stock market
Lin, Cho-min; Lee, Yen-Hsien; Chiu, Chien-liang - In: Research in international business and finance 23 (2009) 1, pp. 78-89
Persistent link: https://www.econbiz.de/10003802253