In assessing how far and how close the relationships are between the Taiwan capital market and other international capital markets in Asian financial case, we examine the co-movement patterns by developing the “unequal variance test”. We find that a closer relationship exists between Taiwan...

Adopting the quantile regression model, this paper describes the positive relation between relative order imbalance and intraday futures returns. The positive connection is relatively stronger for lower quantiles of intraday futures returns than for higher quantiles. However, the connection...

In this article we explore how autocorrelation impacts volatility in stock markets. We use the Threshold Autoregressive-Generalized Autoregressive Conditional Heteroscedasticity (TAR-GARCH) model to obtain a better approximation of the volatility pattern with the threshold of a positive or...

The cointegration test cannot discriminate closer relationships from cointegrating relationships. In most applications, we must assess the degrees of cointegrating relationships, for example, to examine the comovement between international stock markets using the cointegration methodology. Lee...

Unlike previous studies that adopted price as the reference point in this paper we employ the adjusted order imbalance that relates to volume as a reference. We examine the relationship between a firm's characteristics and stock returns. Adjusted order imbalance, including trading direction of...

The paper aims to study the pricing issue of deposit insurance with explicit consideration of bankruptcy costs and closure policies. Full coverage from deposit insurance is imposed by many regulators to stabilize the banking system in the current financial crisis, despite of the potential moral...