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Empirical analysis of the liquidity of the S&P 500 index futures market during the October 1987 market break

Wang, George H. K. (contributor) - In: Advances in futures and options research : a research annual 4 (1990), pp. 191-218

Persistent link: https://www.econbiz.de/10001104155

A time series approach to testing for market linkage : unit root and cointegration tests

Wang, George H. K. - In: The journal of futures markets 14 (1994) 4, pp. 457-474

Persistent link: https://www.econbiz.de/10001169791

An intraday analysis of bid-ask spreads and price volatility in the S&P 500 index futures market

Wang, George H. K. (contributor) - In: The journal of futures markets 14 (1994) 7, pp. 837-859

Persistent link: https://www.econbiz.de/10001171172

Information transmission in electronic versus open-outcry trading systems : an analysis of US equity index futures markets

Ates, Aysegul; Wang, George H. K. - In: The journal of futures markets 25 (2005) 7, pp. 679-715

Persistent link: https://www.econbiz.de/10002983492

Intraday liquidity provision by trader types in a limit order market : evidence from Taiwan index futures

Chiu, Junmao; Chung, Huimin; Wang, George H. K. - In: The journal of futures markets 34 (2014) 2, pp. 145-172

Persistent link: https://www.econbiz.de/10010255481

The impact of trades by traders on asymmetric volatility for Nasdaq-100 index futures

Kittiakarasakun, Jullavut; Tse, Yiuman; Wang, George H. K. - In: Managerial finance 38 (2012) 8, pp. 752-767

Persistent link: https://www.econbiz.de/10009568698

The impacts of large trades by trader types on intraday futures prices : evidence from the Taiwan futures exchange

Chou, Robin K.; Wang, George H. K.; Wang, Yun-Yi; … - In: Pacific-Basin finance journal 19 (2011) 1, pp. 41-70

Persistent link: https://www.econbiz.de/10009271751

Transaction tax and market quality of the Taiwan stock index futures

Chou, Robin K.; Wang, George H. K. - In: The journal of futures markets 26 (2006) 12, pp. 1195-1216

Persistent link: https://www.econbiz.de/10003392010

The impacts of individual day trading strategies on market liquidity and volatility : evidence from the Taiwan index futures market

Chou, Robin K.; Wang, George H. K.; Wang, Yun-Yi - In: The journal of futures markets 35 (2015) 5, pp. 399-425

Persistent link: https://www.econbiz.de/10011405385

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility : Evidence from the Taiwan Index Futures Market

Chou, Robin K. - 2013

We investigate the investment strategies of individual day traders in the Taiwan Index Futures market, along with their impact on market liquidity and volatility. Our results indicate a tendency among most individual day traders to behave as irrational contrarian traders. We also present...

Persistent link: https://www.econbiz.de/10013083788