We investigate the investment strategies of individual day traders in the Taiwan Index Futures market, along with their impact on market liquidity and volatility. Our results indicate a tendency among most individual day traders to behave as irrational contrarian traders. We also present...

We examine the effects of margin changes on futures trading activity, the composition of traders and market liquidity, using an account level data set from the Taiwan Futures Exchange. We find that margin increases reduce trading activity for all trader types, which is consistent with the...

This paper employs a unique data set to investigate the total price, liquidity and information effects of large institutional trades versus individual trades on three futures contracts traded on the Taiwan Futures Exchange. Several interesting results are obtained. We find that, for the entire...

The impact of changes in trading costs, due to decimalization, on informed trading and speed of information transmission between exchange‐traded funds (ETFs) and their corresponding index futures is examined. ETFs began to trade in decimals on January 29, 2001, and index futures continued to...

This study illustrates the impact of both spot and option liquidity levels on option prices. Using implied volatility to measure the option price structure, our empirical results reveal that even after controlling for the systematic risk of Duan and Wei (<link href="#bib22">2009</link>), a clear link remains between...

On May 1, 2000, the Taiwan government reduced the tax levied on futures transactions on the Taiwan Futures Exchange from 5 to 2.5 basis points. This event provides a unique opportunity to test empirically the impact of a tax rate reduction on trading volume, bid‐ask spreads, and price...

We investigate the strategic order‐splitting behavior and order aggressiveness of different types of traders using a unique dataset on the Taiwan Futures Exchange. By examining the trades and orders for each and every account, we find that, as compared with domestic institutional traders and...

Both the Singapore Exchange (SGX) and the Taiwan Futures Exchange (TAIFEX) offer future contracts based on Taiwan's stock‐market indices. TAIFEX reduced the transaction tax from 5 basis points to 2.5 basis points on May 1, 2000. Hence, empirical tests are performed on the differences in...

This study investigates the impact of decimalization (penny pricing) on the arbitrage relationship between index exchange‐traded funds and E‐mini index futures. The empirical results reveal that subsequent to penny pricing, there is a significant fall in the mean ex ante arbitrage profit,...

We investigate whether CEOs' experiences of macroeconomic boom affect risk taking. We use the unique setting of economic conditions changed from Central Planning to Market Economy in China, which is an exogenous shock to early-life experience, as a natural experiment to test the impact on CEOs'...