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Determinants of Price Discovery in the VIX Futures Market

Chen, Yu-Lun - 2017

We utilize the respective information share and common factor component weight approaches of Hasbrouck (1995) and Gonzalo and Granger (1995) to examine price discovery competition between the VIX and VIX futures. Our results show that VIX futures prices play a dominant role in the overall...

Persistent link: https://www.econbiz.de/10012955833

The impact of derivatives hedging on the stock market : evidence from Taiwan's covered warrants market

Chung, San-lin; Liu, Wen-rang; Tsai, Wei-che - In: Journal of banking & finance 42 (2014), pp. 123-133

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Option-implied equity risk and the cross section of stock returns

Chen, Te-Feng; Chung, San-Lin; Tsai, Wei-Che - In: Financial analysts' journal : FAJ 72 (2016) 6, pp. 42-55

Persistent link: https://www.econbiz.de/10011574798

Determinants of price discovery in the VIX futures market

Chen, Yu-Lun; Tsai, Wei-Che - In: Journal of empirical finance 43 (2017), pp. 59-73

Persistent link: https://www.econbiz.de/10011817906

Price delay and post-earnings announcement drift anomalies : the role of option-implied betas

Ho, Hwai-chung; Tsai, Wei-Che - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012667185

Overnight returns and investor sentiment : further evidence from the Taiwan stock market

Zhang, Hang; Tsai, Wei-Che; Weng, Pei-Shih; Tsai, Pin-Chieh - In: Pacific-Basin finance journal 80 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014463336

Intraday momentum in the VIX futures market

Huang, Hong-Gia; Tsai, Wei-Che; Weng, Pei-Shih; Yang, … - In: Journal of banking & finance 148 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014248282

Google searches around analyst recommendation revision announcements : evidence from the Taiwan stock market

Wu, Ming-Hung; Tsai, Wei-Che; Lu, Chia-Chi; Zhang, Hang - In: International review of economics & finance : IREF 81 (2022), pp. 75-97

Persistent link: https://www.econbiz.de/10013343495