Showing 1 - 10 of 18
In the famous “orange juice puzzle,” a large amount of inexplicable price volatility arises in frozen concentrated orange juice (FCOJ) futures contracts. Temperature is considered the most important fundamental factor in this market, but its explanatory power is low and limited, so are those...
Persistent link: https://www.econbiz.de/10013011964
Statistical tests for multivariate event studies, exact or asymptotic, have been derived based on multivariate normality. As it has been documented that the performances of these tests are not satisfactory because stock returns are far from normally distributed, especially for daily returns,...
Persistent link: https://www.econbiz.de/10012744001
This study analyzes the relevance of capital adjustment and risk-taking adjustment during the financial tsunami when the banking industry was under capital regulation. Using the panel data of commercial banks in the USA and non-USA from 2003 to 2009, we consider the effects of financial freedom,...
Persistent link: https://www.econbiz.de/10013080477
Nowadays, there is increasing attention on corporate social responsibility (CSR) matters after some serious CSR-related scandals happening around the world. However, most of the research is carried out in developed countries, but not developing countries where environmental issues and firms'...
Persistent link: https://www.econbiz.de/10014505801
Using a unique dataset from the Taiwan Futures Exchange, this paper investigates whether trading imbalances by foreign investors affect emerging Taiwan futures market in terms of returns and volatility. First, this evidence demonstrates a positive relation between contemporaneous futures returns...
Persistent link: https://www.econbiz.de/10005094832
Taiwan Top 50 Tracker Fund (TTT) is the first Exchange Traded Fund (ETF) in Taiwan. This study investigates the impact of TTT on the liquidity of the constituent stocks. The empirical result coincides with the expectation of arbitrage hypothesis that the liquidity of the constituents is...
Persistent link: https://www.econbiz.de/10008555938
The restriction of short-sale prices, which stated that short-sale prices must not be lower than the closing price of the previous trading day, no longer applies to the constituent stocks of the Taiwan Top 50 Index. This study investigates the abnormal returns and volatility changes of those...
Persistent link: https://www.econbiz.de/10008555948
Using a unique dataset from the Taiwan Futures Exchange, this paper investigates whether trading imbalances by foreign investors affect emerging Taiwan futures market in terms of returns and volatility. First, this evidence demonstrates a positive relation between contemporaneous futures returns...
Persistent link: https://www.econbiz.de/10010629781
Nowadays, there is increasing attention on corporate social responsibility (CSR) matters after some serious CSR-related scandals happening around the world. However, most of the research is carried out in developed countries, but not developing countries where environmental issues and firms'...
Persistent link: https://www.econbiz.de/10014430135
To facilitate wide use of the bootstrap method in finance, this paper shows by intuitive arguments and by simulations how it can improve upon existing tests to allow less restrictive distributional assumptions on the data and to yield more reliable (higher-order accurate) asymptotic inference....
Persistent link: https://www.econbiz.de/10009228665