This paper uses a special sample from the Taiwan Stock Exchange to examine the empirical relation between trading frequency and noise. The Taiwan Stock Exchange uses call auctions throughout the day. The time interval between auctions can be either 90 seconds or 4 seconds, which provides the...

This paper proposes a new definition for trade direction to capture the information effect in order-driven markets. To define the trade direction, the existing literature uses quote-matching rules to identify whether it is the buyer or the seller initiates or triggers a trade. The quote-matching...

This study investigates whether mandatory corporate social responsibility (CSR) reporting ameliorates liquidity and reduces risk for stocks. Moreover, we explore whether these impacts vary with regulated company category and stakeholder influence capacity. For a mandatory CSR reporting...

Using trade-level data from the Taiwan Stock Exchange, we document an asymmetric pattern of liquidity provision by individual investors who serve as de facto market makers. Specifically, individual investors, on average, provide more liquidity during market downturns. We further investigate the...

Secondary data and survey information are used to develop a large data set for analyzing water demand in 221 communities. The resulting monthly data are employed to examine seasonal variability in consumer price sensitivity. Several functional forms are contrasted for their abilities to identify...

This paper studies the momentum effect in foreign exchange (FX) markets. We test the frog-in-the-pan (FIP) hypothesis of Da et al. (2014) in FX markets that states investor limited attention drives momentum effects. FIP-like investors underreact to information arriving continuously in gradual...