This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (<link href="#bib22">2009</link>), a clear link remains between...

On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid‐ask spreads, and price...

We investigate the strategic order‐splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared with domestic institutional traders and...

Purpose – Taiwan OTC market is an electronic, order driven, call market. The purpose of this paper is to gain understanding of whether trade size or number of transaction provides more information on explaining price volatility and market liquidity in this market. The paper also aims to...