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 purpose of this article is to investigate the impact of the introduction of foreign investments on the information transmissions between the futures and spot markets in terms of volatility spillovers when macroeconomic factors are controlled in emerging futures markets. We find evidence of...