This paper examines how the introduction of the extended opening session of the futures market affects stock price behavior around the market opening. On January 1, 2001, the Taiwan Futures Exchange (TAIFEX) extended the trading hours by opening earlier 15 minutes than the Taiwan Stock Exchange...

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...

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 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...

Purpose The purpose of this paper is to investigate volatility spillovers across the interest rate swap markets of the G7 economies, and then the authors investigate whether spillovers of swap markets contain useful information to explain subsequent stock price movements....