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Information, hedging demand, and institutional investors : evidence from the Taiwan Futures Exchange

Chien, Cheng-yi; Lee, Hsiu-chuan; Tai, Shih-wen; Liao, … - In: Journal of multinational financial management 23 (2013) 5, pp. 394-414

Persistent link: https://www.econbiz.de/10010252378

Commonality in Trading Activity and Futures-Cash Basis : Evidence from the Taiwan Futures and Stock Markets

Lee, Hsiu-Chuan - 2013

This study examines commonality in trading activity by various types of institutional investors across futures and stock markets, and the dynamic relationship between the common factors in trading activity and the futures-cash basis. The empirical results provide evidence of commonality in...

Persistent link: https://www.econbiz.de/10013091056

Determination of stock closing prices and hedging performance with stock indices futures

Lee, Hsiu-chuan; Chien, Cheng-yi; Liao, Tzu-hsiang - In: Accounting and finance : journal of the Accounting … 49 (2009) 4, pp. 827-847

Persistent link: https://www.econbiz.de/10003924038

The information content of the thinner order book following tick size reduction : evidence from the Taiwan Stock Exchange

Chien, Cheng-yi; Liao, Tzu-hsiang; Lee, Hsiu-chuan - In: Managerial finance 40 (2014) 3, pp. 218-233

Persistent link: https://www.econbiz.de/10010256740

Commonality in trading activity and futures-cash basis : evidence from the Taiwan futures and stock markets

Lee, Hsiu-chuan; Chien, Cheng-yi; Liao, Tzu-hsiang - In: The journal of futures markets 32 (2012) 10, pp. 964-994

Persistent link: https://www.econbiz.de/10009612626

Investors' heterogeneity in beliefs, the VIX futures basis, and S&P 500 index futures returns

Lee, Hsiu-Chuan; Liao, Tzu-Hsiang; Tung, Pao-Ying - In: The journal of futures markets 37 (2017) 9, pp. 939-960

Persistent link: https://www.econbiz.de/10011950912

Risk-neutral skewness and market returns : the role of institutional investor sentiment in the futures market

Chen, Chen; Lee, Hsiu-Chuan; Liao, Tzu-Hsiang - In: The North American journal of economics and finance : a … 35 (2016), pp. 203-225

Persistent link: https://www.econbiz.de/10011672315

Overnight returns of industry exchange-traded funds, investor sentiment, and futures market returns

Lee, Yun-Huan; Liao, Tzu-Hsiang; Lee, Hsiu-chuan - In: The journal of futures markets 42 (2022) 6, pp. 1114-1134

Persistent link: https://www.econbiz.de/10013287919

Volatility spillovers of A- and B-shares for the Chinese stock market and its impact on the Chinese index returns

Chung, Chien-Ping; Liao, Tzu-Hsiang; Lee, Hsiu-chuan - In: Pacific-Basin finance journal 65 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10013209559

Hedging Performance and Stock Market Liquidity : Evidence from the Taiwan Futures Market

Lee, Hsiu-Chuan - 2012

This paper examines the impact of stock market liquidity on the hedging performance of stock index futures, and extends the conditional OLS model described by Miffre [Journal of Futures Markets 24 (2004) 945] by including stock market liquidity in the regression model. The empirical results...

Persistent link: https://www.econbiz.de/10013106847