In this paper, we investigate the relationship between volatility of and liquidity provision through the aggregation of high-frequency data on the stock index option markets of Taiwan. Strong evidence shows the different behaviors of liquidity supply for market makers and nonmarket makers. In...

Financial authorities are monitoring the financial industries by their own capital to ensure that financial industries have sufficient equity capital to absorb a variety of financial business risks. The current method applied for regulating the capital adequancies of futures commission merchants...

This paper proposes a four-regime bivariate Markov regime-switching model to estimate the daily time-varying minimum variance hedge ratios for West Texas Intermediate (WTI) crude oil, and evaluates its in- and out-of-sample hedging performances with two-regime model, CC-GARCH, TVC-GARCH, and OLS...

In this paper, we investigate the information contents of S&P 500 VIX index and range-based volatilities by comparing their benefits on the GJR-based volatility forecasting performance. To reveal the statistical significance and ensure obtaining robust results, we employ Hansen's SPA test (2005)...

The Financial Accounting Standards Board (FASB) released a revised version of Statement of Financial Accounting Standards No. 141 (SFAS No. 141(R)) in December 2007. Accounting treatments of acquired in-process research and development (IPR&D) in a business combination change from expensing to...

Chinese Abstract: 本文探討強制以eXtensible Business Reporting...

Corporate managers make several discretionary assumptions (i.e., the rate of salary growth and assumed return rate of pension plan assets) in calculating the fair value of pension assets and value of pension liabilities. In this study, we examine the factors that can induce managers to increase...