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The determinants of exchange settlement practices and the implication of volatility smile : evidence from the Taiwan Futures Exchange

Szu, Wen-ming; Wang, Ming-chun; Yang, Wan-ru - In: International review of economics & finance : IREF 20 (2011) 4, pp. 826-838

Persistent link: https://www.econbiz.de/10009303803

How does investor sentiment affect implied risk-neutral distributions of call and put options?

Szu, Wen-Ming; Wang, Yi-Chen; Yang, Wan-Ru - In: Review of Pacific Basin financial markets and policies 18 (2015) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011300945

Influence of individual investor sentiment on Taiwan option prices during 2007-2010 financial crisis

Szu, Wen-ming; Yang, Wan-ru - In: Managerial finance 41 (2015) 5, pp. 437-464

Persistent link: https://www.econbiz.de/10011335042

The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange

Szu, Wen-Ming; Wang, Ming-Chun; Yang, Wan-Ru - In: International review of economics & finance : IREF 20 (2011) 4, pp. 826-839

Persistent link: https://www.econbiz.de/10009030719

The determinants of exchange settlement practices and the implication of volatility smile: Evidence from the Taiwan Futures Exchange

Szu, Wen-Ming; Wang, Ming-Chun; Yang, Wan-Ru - In: International Review of Economics & Finance 20 (2011) 4, pp. 826-838

This paper proposes that the Taiwan Futures Exchange (TAIFEX) adopts a linear extrapolation method to set the settlement price for the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) options with less liquidity and thin trading. The empirical results indicate that the...

Persistent link: https://www.econbiz.de/10009194660

Herding with costly information and signal extraction

Yang, Wan-ru - In: International review of economics & finance : IREF 20 (2011) 4, pp. 624-632

Persistent link: https://www.econbiz.de/10009303909

Pricing mortgage insurance contracts under housing price cycles with jump risk : evidence from the U.K. housing market

Chuang, Ming-Che; Yang, Wan-Ru; Chen, Ming-Chi; Lin, … - In: The European journal of finance 24 (2018) 10/12, pp. 909-943

Persistent link: https://www.econbiz.de/10012244422

The response of dynamic herd behavior to domestic and U.S. market factors : evidence from the greater China stock markets

Yang, Wan-Ru; Chen, Yi-Ling - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 18-41

Persistent link: https://www.econbiz.de/10011603376

Herding with costly information and signal extraction

Yang, Wan-Ru - In: International review of economics & finance : IREF 20 (2011) 4, pp. 624-633

Persistent link: https://www.econbiz.de/10009030736

Stock liquidity risk and cash preservation

Yeh, Shih-kuo; Yang, Wan-Ru; Chen, Ren-Raw; Yeh, Chung-Ying - In: Review of Pacific Basin financial markets and policies … 25 (2022) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10014233865