We set out in this study to analyze the expiration effects of index futures on the cash market in Taiwan, and find that both volatility and trading volume are higher on the final settlement days as compared to normal trading days. We also calculate the volume of open interest for final...

We analyze 987 ex-dividend events in Taiwan stock market between January 1992 and December 2006, and find that differential taxes really matter for the share prices and investors behaviors around the ex-dividend day. Ex-day price drop ratio increases with the investors' average preference for...

This paper examines local market reactions to the constituent changes in MSCI Taiwan Index. We find that market adjusted returns are significantly positive for additions and significantly negative for deletions on the announcement day, and on the effective day. The price patters following the...

This paper proposes three hypotheses based on stock market conditions to explain why Taiwanese IPO auctions have lost market share to fixed-price offers: the risk-averse issuer hypothesis, the pricing conflict hypothesis, and the demand inelasticity of stocks hypothesis. The risk-averse issuer...

We test whether investors in primary markets also exhibit overconfidence. Using data from 77 Taiwanese discriminatory IPO auctions, we test the overconfidence hypothesis for three types of investors (i.e. bidders in auctions): male individuals, female individuals, and institutional investors. We...