This paper aims to investigate the impact of day trading on market quality on the Taiwan stock market with the implementation of a unique policy change. This paper examines 396 listed stocks from June 2015 to October 2016, a period when the stock market in Taiwan officially approved selected...

This study applies recurrent event analysis to examine the determinants of changes in firm credit ratings. This study uses two extended Cox proportional hazard models to examine upgrade and downgrade data separately. Explanatory variables are taken from financial ratios in Z-score (Altman, 1968)...

This paper studies the hedging performance of static replication approach proposed by Derman, Ergener, and Kani (DEK, 1995) for continuous barrier options under the constant elasticity of variance (CEV) model of Cox (1975) and Cox and Ross (1976), and then focuses on how to improve the DEK...

We examine the impact of derivatives hedging on the spot market using accurate hedge ratios of covered warrants traded in the Taiwan Stock Exchange (TWSE). Results present significant positive abnormal returns and trading volumes before the announcement of a warrant’s issuance, and the effect...

Using forward-looking information in the options market, we introduce a new method for better identifying systematic market risk as a predictor for the cross-section of stock returns. Empirical results show that there is a significantly positive relation between our option-implied beta and...