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...

Empirical studies on the influence of tick-size reduction towards market liquidity have focused almost exclusively on quote-driven markets in developed nations, and generally their findings are based on time periods of less than one year. This work investigates the influence of tick-size...

This paper investigates world trends in financial supervision, including the separation of treasury and finance and the shift from departmental regulation to functional regulation. Based on the trend toward integration in financial supervision and examination, this paper proposes the adoption of...

The existing literature has revealed that the performance of current portfolio insurance strategies as long-term asset management is limited. Prospect theory implies that creation of ladder return distributions by portfolio insurance can improve long-term asset management with criteria of loss...

This article examines the effect of structural change on the flow of information between the agricultural futures markets of the United States and China after 2002. Structural changes are found for futures price series in exchanges in both countries—specifically, the Chicago Board of Trade,...

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...