This paper aims to examine the reactions among institutional and individual investors when facing those listed firms' public announcements, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). By employing a trivariate vector autoregressive (VAR) model, we find...

This paper examines firm-level valuations by financial analysts and by the market, using a traditional vector error-correction model (VECM) or threshold vector error-correction model (TVECM) to obtain the information shares of the two parties. While investors' valuations lead financial analysts'...

The electronic limit-order trading system have been sweeping the exchanges around the world since last decade. This paper studies a case of the transition, which is a group of less liquid stocks moving to SETS on the London Stock Exchange. The evidence reveals that the liquidity of those stocks...