Owing to the growing importance of the Taiwan Top 50 Tracker Fund (TTT), the first and the only Taiwanese Exchange Traded Fund (ETF), this study investigates the change in the volatility of the component stocks of the Taiwan 50 Index after the introduction of TTT. Using the volatility measure...

The restriction of short-sale prices, which states 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 impact of restriction lifting on the trading...

Based on a Markov chain Monte Carlo method, namely the Gibbs sampler, a simple approach is proposed to compare the potential performances between two sets of securities. The maximum attainable Sharpe measure is used to measure the potential performance of a set of securities. The procedure is...

This paper investigates the unconditional mean-variance efficiency of the Morgan Stanley Capital International (MSCI) world index in the context of the Sharpe- Lintner CAPM where there exists a universal riskless asset and the Black's zero-beta CAPM in the absence of a riskless asset. Using data...