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Yu-Jane Liu

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Christopher Hansman & Harrison Hong & Wenxi Jiang & Yu-Jane Liu & Juan-Juan Meng, 2018. "Effects of Credit Expansions on Stock Market Booms and Busts," NBER Working Papers 24586, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jiangze Bian & Zhiguo He & Kelly Shue & Hao Zhou, 2018. "Leverage-Induced Fire Sales and Stock Market Crashes," NBER Working Papers 25040, National Bureau of Economic Research, Inc.
    2. Ma, Rufei & Deng, Chengtao & Cai, Huan & Zhai, Pengxiang, 2019. "Does Shanghai-Hong Kong Stock Connect drive market comovement between Shanghai and Hong Kong: A new evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    3. Zhang, Yixing & Jia, Qinmin & Chen, Chen, 2021. "Risk attitude, financial literacy and household consumption: Evidence from stock market crash in China," Economic Modelling, Elsevier, vol. 94(C), pages 995-1006.

  2. Yi-Tsung Lee & Yu-Jane Liu & Ning Zhu, 2007. "The Cost of Owning Employer Stocks: Lessons From Taiwan," Working Papers, Center for Retirement Research at Boston College wp2007-24, Center for Retirement Research, revised Dec 2007.

    Cited by:

    1. Ginglinger, Edith & Megginson, William & Waxin, Timothée, 2011. "Employee ownership, board representation, and corporate financial policies," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 868-887, September.
    2. Hung, Mao-Wei & Liu, Yu-Jane & Tsai, Chia-Fen, 2012. "Managerial personal diversification and portfolio equity incentives," Journal of Corporate Finance, Elsevier, vol. 18(1), pages 38-64.
    3. Hvide, Hans K. & Døskeland, Trond, 2009. "Do Individual Investors Have Asymmetric Information Based On Work Experience?," CEPR Discussion Papers 7428, C.E.P.R. Discussion Papers.

Articles

  1. Rachel J Huang & Yu-Jane Liu & Larry Y Tzeng, 2010. "Hidden Overconfidence and Advantageous Selection," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 35(2), pages 93-107, December.

    Cited by:

    1. Rachel J. Huang & Alexander Muermann & Larry Y. Tzeng, 2016. "Hidden Regret In Insurance Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(1), pages 181-216, January.
    2. Gemmo, Irina & Browne, Mark J. & Gründl, Helmut, 2017. "Transparency aversion and insurance market equilibria," ICIR Working Paper Series 25/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    3. Jing Ai & Lin Zhao & Wei Zhu, 2016. "Contracting with Present-Biased Consumers in Insurance Markets," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 41(2), pages 107-148, September.
    4. Rachel J. Huang & Arthur Snow & Larry Y. Tzeng, 2017. "Advantageous Selection in Insurance Markets with Compound Risk," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 42(2), pages 171-192, September.
    5. Huang, Rachel J. & Jeng, Vivian & Wang, Cheng-Wei & Yue, Jack C., 2021. "Does size and book-to-market contain intangible information about managerial incentives? Learning from corporate D&O insurance purchase," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    6. Leon Chen & Puneet Jaiprakash, 2017. "An Insurance Market Simulation With Both Adverse and Advantageous Selection," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 20(1), pages 133-146, March.
    7. Klajdi Bregu, 2022. "The effect of overconfidence on insurance demand," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 47(2), pages 298-326, September.

  2. Chen, Li-Wen & Johnson, Shane A. & Lin, Ji-Chai & Liu, Yu-Jane, 2009. "Information, sophistication, and foreign versus domestic investors' performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1636-1651, September.

    Cited by:

    1. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
    2. Bradrania, Reza & Wu, Winston, 2023. "Foreign institutions, local investors and momentum trading," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 40-64.
    3. Chen, Zhijuan & Lin, William T. & Ma, Changfeng & Tsai, Shih-Chuan, 2014. "Liquidity provisions by individual investor trading prior to dividend announcements: Evidence from Taiwan," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 358-374.
    4. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
    5. Rudiawarni, Felizia Arni & Sulistiawan, Dedhy & Sergi, Bruno S., 2024. "The role of the net purchase of stocks by foreign investors in boosting stock returns: Evidence from the Indonesian stock market," Economic Modelling, Elsevier, vol. 135(C).
    6. Mary McCarthy & Elisabeta Pana & Andrew Weinberger, 2021. "The role of institutional investors in pension risk transfers," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(3), pages 451-468, July.
    7. Takahashi, Hidetomo, 2010. "Short-sale inflow and stock returns: Evidence from Japan," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2403-2412, October.
    8. Doyle, John R. & Chen, Catherine Huirong, 2012. "A multidimensional classification of market anomalies: Evidence from 76 price indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1237-1257.
    9. Agudelo, Diego A. & Byder, James & Yepes-Henao, Paula, 2019. "Performance and informed trading. Comparing foreigners, institutions and individuals in an emerging stock market," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 187-203.
    10. Lau, Sie Ting & Yu, Jing, 2010. "Does proximity matter in international bond underwriting?," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2027-2041, September.
    11. Qiulin Ke & Karen Sieracki, 2018. "Exploring sentiment-driven trading behavior of different types of investors in London office market," ERES eres2018_112, European Real Estate Society (ERES).
    12. Numan Ülkü & Petar Petrov, 2015. "How Reliable Are the Findings of ‘Foreign’ Investor Studies That Use TIC Data? A Look from the Host Market," International Review of Finance, International Review of Finance Ltd., vol. 15(4), pages 521-553, December.
    13. Ikizlerli, Deniz & Holmes, Phil & Anderson, Keith, 2019. "The response of different investor types to macroeconomic news," Journal of Multinational Financial Management, Elsevier, vol. 50(C), pages 13-28.
    14. Numan Ülkü & Enzo Weber, 2014. "Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns," Review of Finance, European Finance Association, vol. 18(4), pages 1541-1581.
    15. Mohanty, Pitabas & Mishra, Supriti, 2024. "Did the Indian stock market overreact to Covid-19?," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
    16. Yi-Tsung Lee & Wei-Shao Wu & Yun Yang, 2013. "Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 219-242, September.
    17. Erdem, Orhan & Yüksel, Serkan & Arık, Evren, 2013. "Trading Puzzle, Puzzling Trade," MPRA Paper 46804, University Library of Munich, Germany, revised 21 Feb 2013.
    18. Wright, Danika & Yanotti, María B., 2019. "Home advantage: The preference for local residential real estate investment," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    19. Lin, Chih-Yung & Ho, Po-Hsin & Shen, Chung-Hua & Wang, Yu-Chun, 2016. "Political connection, government policy, and investor trading: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 153-166.
    20. Jeewon Jang & Jangkoo Kang & Jaeram Lee, 2023. "Who has an edge in trading index derivatives?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 325-348, March.
    21. Qianwei Ying & Yanyan Zhu & Mengchao Yao & Ziyang Li, 2021. "Does stock market liberalisation restrain corporate financialisation?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(5), pages 6263-6294, December.
    22. Yafeng Qin & Min Bai, 2014. "Foreign Ownership Restriction and Momentum – Evidence from Emerging Markets," International Review of Finance, International Review of Finance Ltd., vol. 14(2), pages 237-261, June.
    23. Min Bai & Feng Bai & Yafeng Qin, 2022. "Emerging economies openness and efficiency," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(3), pages 659-672, April.
    24. Wang, Yu-Chun & Chou, Robin K., 2018. "The impact of share pledging regulations on stock trading and firm valuation," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 1-13.
    25. Beugelsdijk, Sjoerd & Frijns, Bart, 2010. "A cultural explanation of the foreign bias in international asset allocation," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2121-2131, September.
    26. Shen, Chung-Hua & Lin, Chih-Yung, 2015. "Betting on presidential elections: Should we buy stocks connected with the winning party?," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 98-109.
    27. Andriosopoulos, Dimitris & Yang, Shuai, 2015. "The impact of institutional investors on mergers and acquisitions in the United Kingdom," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 547-561.
    28. Chou, Robin K. & Wang, Yun-Yi, 2011. "A test of the different implications of the overconfidence and disposition hypotheses," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2037-2046, August.
    29. Doojin Ryu & Jinyoung Yu, 2021. "Informed options trading around holidays," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 658-685, May.
    30. Chen, Zhijuan & Lin, William T. & Ma, Changfeng, 2019. "Do individual investors demand or provide liquidity? New evidence from dividend announcements," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).

  3. Brad M. Barber & Yi-Tsung Lee & Yu-Jane Liu & Terrance Odean, 2009. "Just How Much Do Individual Investors Lose by Trading?," The Review of Financial Studies, Society for Financial Studies, vol. 22(2), pages 609-632, February.

    Cited by:

    1. Oliver Entrop & Michael McKenzie & Marco Wilkens & Christoph Winkler, 2016. "The performance of individual investors in structured financial products," Review of Quantitative Finance and Accounting, Springer, vol. 46(3), pages 569-604, April.
    2. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Wu, Ming-Hung, 2021. "Volatility of order imbalance of institutional traders and expected asset returns: Evidence from Taiwan," Journal of Financial Markets, Elsevier, vol. 52(C).
    3. Tekçe, Bülent & Yılmaz, Neslihan & Bildik, Recep, 2016. "What factors affect behavioral biases? Evidence from Turkish individual stock investors," Research in International Business and Finance, Elsevier, vol. 37(C), pages 515-526.
    4. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    5. Yen-Ju Hsu & Yang-Cheng Lu & J. Jimmy Yang, 2021. "News sentiment and stock market volatility," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1093-1122, October.
    6. Onishchenko, Olena & Zhao, Jing & Kongahawatte, Sampath & Kuruppuarachchi, Duminda, 2024. "Investor heterogeneity and anchoring-induced momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
    7. Chen, Hung-Ling & Chow, Edward H. & Shiu, Cheng-Yi, 2015. "The informational role of individual investors in stock pricing: Evidence from large individual and small retail investors," Pacific-Basin Finance Journal, Elsevier, vol. 31(C), pages 36-56.
    8. Doron Avramov & Tarun Chordia & Gergana Jostova & Alexander Philipov, 2022. "The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bonds [The prediction of corporate bankruptcy: a discriminant analysis]," Review of Finance, European Finance Association, vol. 26(2), pages 355-405.
    9. Kuvvet, Emre, 2022. "Robinhood investors and corporate misconduct," Global Finance Journal, Elsevier, vol. 54(C).
    10. Chi, Wuchun & Wang, Chenchin, 2010. "Accounting conservatism in a setting of Information Asymmetry between majority and minority shareholders," The International Journal of Accounting, Elsevier, vol. 45(4), pages 465-489, December.
    11. Hela Namouri & Fredj Jawadi & Zied Ftiti & Néjib Hachicha, 2018. "Threshold effect in the relationship between investor sentiment and stock market returns: a PSTR specification," Applied Economics, Taylor & Francis Journals, vol. 50(5), pages 559-573, January.
    12. Agudelo, Diego A. & Múnera, Daimer J., 2023. "Who are the vectors of contagion? Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    13. Dimson, Elroy & Spaenjers, Christophe, 2011. "Ex post: The investment performance of collectible stamps," Journal of Financial Economics, Elsevier, vol. 100(2), pages 443-458, May.
    14. Alin Marius Andrieş & Mihaela Brodocianu & Nicu Sprincean, 2023. "The role of institutional investors in the financial development," Economic Change and Restructuring, Springer, vol. 56(1), pages 345-378, February.
    15. Back, Camila & Morana, Stefan & Spann, Martin, 2023. "When do robo-advisors make us better investors? The impact of social design elements on investor behavior," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 103(C).
    16. Sane, Renuka, 2019. "Stock market trading in the aftermath of an accounting scandal," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
    17. Şenol, Doğaç & Onay, Ceylan, 2023. "Impact of gamification on mitigating behavioral biases of investors," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    18. Chang, Chuang-Chang & Hsieh, Pei-Fang & Wang, Yaw-Huei, 2010. "Information content of options trading volume for future volatility: Evidence from the Taiwan options market," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 174-183, January.
    19. Sraer, David & Kaniel, Ron & Barrot, Jean-Noël, 2015. "Are retail traders compensated for providing liquidity?," CEPR Discussion Papers 10820, C.E.P.R. Discussion Papers.
    20. Wei Xiong, 2013. "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers 18905, National Bureau of Economic Research, Inc.
    21. Tse‐Chun Lin, 2012. "Dynamic short‐sale constraints, price limits, and price dynamics," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(3), pages 256-279, June.
    22. Helen X. H. Bao & Steven Haotong Li, 2020. "Investor Overconfidence and Trading Activity in the Asia Pacific REIT Markets," JRFM, MDPI, vol. 13(10), pages 1-21, September.
    23. Ramalingegowda, Santhosh & Yu, Yong, 2012. "Institutional ownership and conservatism," Journal of Accounting and Economics, Elsevier, vol. 53(1), pages 98-114.
    24. Pedraza, Alvaro & Pulga, Fredy & Vasquez, Jose, 2020. "Costly index investing in foreign markets," Journal of Financial Markets, Elsevier, vol. 51(C).
    25. Teng, Chia-Chen & Li, Shaomin & Yang, J. Jimmy, 2021. "Family control, external governance mechanisms, and dividend payouts," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 198-209.
    26. Jiekun Huang & Nianhang Xu & Honghai Yu, 2020. "Pollution and Performance: Do Investors Make Worse Trades on Hazy Days?," Management Science, INFORMS, vol. 66(10), pages 4455-4476, October.
    27. Pagano, Michael S. & Sedunov, John & Velthuis, Raisa, 2021. "How did retail investors respond to the COVID-19 pandemic? The effect of Robinhood brokerage customers on market quality," Finance Research Letters, Elsevier, vol. 43(C).
    28. Chung, Huimin & Gao, Cheng & Lu, Jie & Mizrach, Bruce, 2013. "An empirical analysis of the Shanghai and Shenzhen limit order books," Economic Modelling, Elsevier, vol. 34(C), pages 37-41.
    29. Cronqvist, Henrik & Siegel, Stephan, 2014. "The genetics of investment biases," Journal of Financial Economics, Elsevier, vol. 113(2), pages 215-234.
    30. Weng, Pei-Shih (Pace) & Hsiao, Yu-Jen & Hsiao, Kai-Yuan & Chang, Wei-Shan, 2023. "Cost of health problems caused by stock market volatility: An empirical study in Taiwan," Finance Research Letters, Elsevier, vol. 57(C).
    31. Berry, Thomas & Gamble, Keith Jacks, 2013. "Informed local trading prior to earnings announcements," Journal of Financial Markets, Elsevier, vol. 16(3), pages 505-525.
    32. Yang, Ann Shawing, 2016. "Calendar trading of Taiwan stock market: A study of holidays on trading detachment and interruptions," Emerging Markets Review, Elsevier, vol. 28(C), pages 140-154.
    33. Baig, Ahmed S. & Blau, Benjamin M. & Butt, Hassan A. & Yasin, Awaid, 2022. "Do retail traders destabilize financial markets? An investigation surrounding the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 144(C).
    34. Anginer, Deniz & Han, Xue Snow & Yildizhan, Celim, 2017. "Do Individual Investors Ignore Transaction Costs?," MPRA Paper 89941, University Library of Munich, Germany.
    35. Liu, Hongqi & Peng, Cameron & Xiong, Wei A. & Xiong, Wei, 2022. "Taming the bias zoo," Journal of Financial Economics, Elsevier, vol. 143(2), pages 716-741.
    36. Chen-Chang Lo & Yaling Lin & Jiann-Lin Kuo & Yi Ting Wen, 2021. "The Relation Between Trading Volume Concentration and Stock Returns," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 7(3), pages 82-89, 09-2021.
    37. Tsang, Kwok Ping & Yang, Zichao, 2022. "Do connections pay off in the bitcoin market?," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 1-18.
    38. Wei Xiong & Jialin Yu, 2009. "The Chinese Warrants Bubble," NBER Working Papers 15481, National Bureau of Economic Research, Inc.
    39. Cai, Jinghan & He, Jia & He, Jibao, 2010. "How better informed are the institutional investors?," Economics Letters, Elsevier, vol. 106(3), pages 234-237, March.
    40. Stephan Meyer & Sebastian Schroff & Christof Weinhardt, 2014. "(Un)skilled leveraged trading of retail investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 111-138, May.
    41. Victor Stango & Jonathan Zinman, 2013. "Borrowing High vs. Borrowing Higher: Sources and Consequences of Dispersion in Individual Borrowing Costs," NBER Working Papers 19069, National Bureau of Economic Research, Inc.
    42. Chen, Zhijuan & Lin, William T. & Ma, Changfeng & Tsai, Shih-Chuan, 2014. "Liquidity provisions by individual investor trading prior to dividend announcements: Evidence from Taiwan," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 358-374.
    43. Paulo Pereira Silva & Victor Mendes, 2023. "Education and financial mistakes: The case of avoidable trading fees in stock markets," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(2), pages 173-202, May.
    44. Cole, Brittany M. & Gullett, Nell S. Gullett, 2024. "The Value of Corporate Bond Listing," MPRA Paper 120601, University Library of Munich, Germany, revised 27 Mar 2024.
    45. Daniel Ladley & Guanqing Liu & James Rockey, 2016. "Margin Trading: Hedonic Returns and Real Losses," Discussion Papers in Economics 16/06, Division of Economics, School of Business, University of Leicester.
    46. Huang, Kuo-Jui & Bui, Dien Giau & Hsu, Yuan-Teng & Lin, Chih-Yung, 2024. "The ESG washing in banks: Evidence from the syndicated loan market," Journal of International Money and Finance, Elsevier, vol. 142(C).
    47. Liu, Xiangqiang & Yang, Qingqing & Wei, Kai & Dai, Peng-Fei, 2024. "ESG rating disagreement and idiosyncratic return volatility: Evidence from China," Research in International Business and Finance, Elsevier, vol. 70(PB).
    48. An, Li & Lou, Dong & Shi, Donghui, 2022. "Wealth redistribution in bubbles and crashes," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 134-153.
    49. Leung, Henry & Tse, Jeffrey & Westerholm, P. Joakim, 2019. "CEO traders and corporate acquisitions," Journal of Corporate Finance, Elsevier, vol. 54(C), pages 107-127.
    50. Zhijuan Chen & William T. Lin & Changfeng Ma & Kent Wang, 2020. "Are individual investors liquidity providers around earnings announcements? Evidence from an emerging market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3447-3475, December.
    51. Hameed, Allaudeen & Ni, Zhenghui & Tan, Chek Ann, 2023. "Momentum and individual investor trades: Evidence from Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    52. Bansal, Avijit & Jacob, Joshy, 2018. "Impact of Price Path on Disposition Bias," IIMA Working Papers WP 2018-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    53. Christian König-Kersting & Johannes Lohse & Anna Louisa Merkel, 2020. "Active and Passive Risk-Taking," Working Papers 2020-04, Faculty of Economics and Statistics, Universität Innsbruck.
    54. Duong, Huu Nhan & Goyal, Abhinav & Kallinterakis, Vasileios & Veeraraghavan, Madhu, 2022. "Democracy and the pricing of initial public offerings around the world," Journal of Financial Economics, Elsevier, vol. 145(1), pages 322-341.
    55. TOMA, Filip-Mihai & CEPOI, Cosmin-Octavian & NEGREA, Bogdan, 2021. "Does it payoff to be overconfident? Evidence from an emerging market – a quantile regression approach," Finance Research Letters, Elsevier, vol. 38(C).
    56. Deqing Zhou & Fang Zhen, 2021. "On the Impacts of Overconfidence under Information Diversity," International Review of Finance, International Review of Finance Ltd., vol. 21(1), pages 345-357, March.
    57. Chhavi Mehta & Neena Sondhi, 2016. "Understanding Indian retail investors' stock investment behaviour: an empirical study," International Journal of Management Practice, Inderscience Enterprises Ltd, vol. 9(1), pages 4-23.
    58. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2023. "Discovering the drivers of stock market volatility in a data-rich world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
    59. Adrian D. Lee & Shan Choy, 2014. "Contracts for dummies? The performance of investors in contracts for difference," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(3), pages 965-997, September.
    60. Chuang, Wen-I & Lee, Hsiu-Chuan, 2010. "The Impact of Short-Sales Constraints on Liquidity and the Liquidity-Return Relations," Pacific-Basin Finance Journal, Elsevier, vol. 18(5), pages 521-535, November.
    61. Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1397-1532, Elsevier.
    62. Jian Zhang & Haocheng Wang & Limin Wang & Shuyi Liu, 2014. "Is There Any Overtrading in Stock Markets? The Moderating Role of Big Five Personality Traits and Gender in a Unilateral Trend Stock Market," PLOS ONE, Public Library of Science, vol. 9(1), pages 1-10, January.
    63. McAdam, Chris, 2020. "Are investors compensated for their sophistication and informedness for company takeovers – An Australian study," Global Finance Journal, Elsevier, vol. 44(C).
    64. Andy C W Chui & Avanidhar Subrahmanyam & Sheridan Titman, 2022. "Momentum, Reversals, and Investor Clientele [Illiquidity and stock returns: Cross-section and time-series effects]," Review of Finance, European Finance Association, vol. 26(2), pages 217-255.
    65. Djalilov, Abdulaziz & Ülkü, Numan, 2021. "Individual investors’ trading behavior in Moscow Exchange and the COVID-19 crisis," Journal of Behavioral and Experimental Finance, Elsevier, vol. 31(C).
    66. Hwang, Keunho & Kang, Jangkoo & Ryu, Doojin, 2010. "Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market," International Review of Financial Analysis, Elsevier, vol. 19(1), pages 35-46, January.
    67. Wei-Kuang Chen & Ching-Ting Lin & Cheng-Yi Shiu, 2019. "Price discovery and price leadership of various investor types: evidence from Taiwan futures markets," Review of Quantitative Finance and Accounting, Springer, vol. 53(2), pages 601-631, August.
    68. Kuo, Wei-Yu & Zhao, Jing, 2023. "Pre-holiday limit order cancellation of individual and institutional investors," Finance Research Letters, Elsevier, vol. 52(C).
    69. Edward Chow & Chung-Wen Hung & Christine Liu & Cheng-Yi Shiu, 2013. "Expiration day effects and market manipulation: evidence from Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 41(3), pages 441-462, October.
    70. James J. Choi & Adriana Z. Robertson, 2018. "What Matters to Individual Investors? Evidence from the Horse’s Mouth," NBER Working Papers 25019, National Bureau of Economic Research, Inc.
    71. Ryu, Doojin & Webb, Robert I. & Yu, Jinyoung, 2022. "Foreign institutions and the behavior of liquidity following macroeconomic announcements," Finance Research Letters, Elsevier, vol. 50(C).
    72. Chague, Fernando Daniel & Bueno, Rodrigo de Losso da Silveira & Giovannetti, Bruno Cara, 2018. "The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis," Textos para discussão 469, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    73. Carlos Cueva Herrero & Iñigo Iturbe-Ormaetxe Kortajarene & Giovanni Ponti & Josefa Tomás Lucas, 2017. "Boys will (still) be boys: Gender differences in trading activity are not due to differences in confidence," Working Papers. Serie AD 2017-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    74. Peress, Joël & Schmidt, Daniel, 2017. "Noise Traders Incarnate: Describing a Realistic Noise Trading Process," CEPR Discussion Papers 12434, C.E.P.R. Discussion Papers.
    75. Chung, Chien-Ping & Chien, Cheng-Yi & Huang, Chia-Hsin & Lee, Hsiu-Chuan, 2021. "Foreign institutional ownership and the effectiveness of technical analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 86-96.
    76. Lee, Yen-Hsien & Wang, David K., 2016. "Information content of investor trading behavior: Evidence from Taiwan index options market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 149-160.
    77. Lou, Dong, 2020. "Wealth Redistribution in Bubbles and Crashes," CEPR Discussion Papers 15029, C.E.P.R. Discussion Papers.
    78. Hsu, Yenshan & Shiu, Cheng-Yi, 2010. "The overconfidence of investors in the primary market," Pacific-Basin Finance Journal, Elsevier, vol. 18(2), pages 217-239, April.
    79. Chi Liao, 2023. "Risk‐taking begets risk‐taking: Evidence from casino openings and investor portfolios," The Financial Review, Eastern Finance Association, vol. 58(1), pages 143-165, February.
    80. Tang, Ning & Kamar, Amina & Lin, Chih-Yung & Lu, Chien-Lin, 2023. "Bank safety-oriented culture and lending decisions," Journal of Financial Stability, Elsevier, vol. 66(C).
    81. Zhang, Wei & Wang, Pengfei & Li, Yi, 2021. "Do messages on online stock forums spur firm productivity?," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    82. Wang, Wenzhao & Duxbury, Darren, 2021. "Institutional investor sentiment and the mean-variance relationship: Global evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 415-441.
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    Cited by:

    1. François DEGEORGE & François DERRIEN & Kent L. WOMACK, 2008. "Auctioned IPOs: The U.S. Evidence," Swiss Finance Institute Research Paper Series 08-38, Swiss Finance Institute.
    2. Vo, Xuan Vinh, 2016. "Does institutional ownership increase stock return volatility? Evidence from Vietnam," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 54-61.
    3. He, Jingbin & Ma, Xinru & Liao, Jingchi, 2021. "Preference for bid time in hybrid auctioned IPOs: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    4. Michael O'Connor Keefe & David Gallagher, 2014. "Does the effect of revealed private information on initial public offering (IPO) first trading day return differ by IPO market heat?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(3), pages 921-964, September.
    5. Kao, Lanfeng & Chen, Anlin, 2019. "Partial adjustment of hybrid book-building IPOs with a pre-IPO market," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 292-300.
    6. Jiang, Ping & Shao, Xinjian & Xue, Yi, 2022. "The role of a long-term investor-underwriter relationship in auctioned IPOs," Journal of Banking & Finance, Elsevier, vol. 135(C).
    7. Güçbilmez, Ufuk & Ó Briain, Tomás, 2021. "Bidding styles of institutional investors in IPO auctions," Journal of Financial Markets, Elsevier, vol. 53(C).
    8. Najah Attig & Sean Cleary & Sadok El Ghoul & Omrane Guedhami, 2013. "Institutional Investment Horizons and the Cost of Equity Capital," Financial Management, Financial Management Association International, vol. 42(2), pages 441-477, June.
    9. Katti, Supriya & Lawrence, Edward R. & Raithatha, Mehul, 2023. "Risk disclosure in IPO advertisement and the quality of the firm," Journal of Financial Markets, Elsevier, vol. 64(C).
    10. Neupane, Suman & Poshakwale, Sunil S., 2012. "Transparency in IPO mechanism: Retail investors’ participation, IPO pricing and returns," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2064-2076.
    11. Guillermo Yañez & Carlos Maquieira, 2009. "Rendimiento de Ofertas Públicas Iniciales de Acciones en Chile: Evidencia Empírica entre 1994 y 2007," Serie de Documentos de Trabajo 02, Superintendencia de Valores y Seguros.
    12. Shu-Ling Lin & Jun Lu, 2019. "Institutional Investors and Corporate Performance: Insights from China," Sustainability, MDPI, vol. 11(21), pages 1-26, October.
    13. Umar Butt & Trevor William Chamberlain, 2023. "Blockholdings, Dividend Policy, Stock Returns and Return Volatility: Evidence from the UAE," IJFS, MDPI, vol. 11(4), pages 1-13, October.
    14. Deb, Saikat Sovan & Marisetty, Vijaya B., 2010. "Information content of IPO grading," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2294-2305, September.
    15. Chacko Jacob & Jijo Lukose P.J, 2019. "Institutional ownership and firm operating performance Evidence from India," Working papers 331, Indian Institute of Management Kozhikode.
    16. Shu-Ling Lin & Jun Lu, 2020. "Did Institutional Investors’ Behavior Affect U.S.-China Equity Market Sentiment? Evidence from the U.S.-China Trade Turbulence," Mathematics, MDPI, vol. 8(6), pages 1-17, June.
    17. Stefano Bonini & Olena Voloshyna, 2013. "A, B or C? Experimental Tests of IPO Mechanisms," European Financial Management, European Financial Management Association, vol. 19(2), pages 304-344, March.
    18. Yi-Tsung Lee & Wei-Shao Wu & Yun Yang, 2013. "Informed Futures Trading and Price Discovery: Evidence from Taiwan Futures and Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 219-242, September.
    19. Huang, Hsin-Yi & Chiang, Min-Hsien & Lin, Jia-Hui & Lin, Yun, 2017. "Fixed-price, auction, and bookbuilding IPOs: Empirical evidence in Taiwan," Finance Research Letters, Elsevier, vol. 22(C), pages 11-19.
    20. Chacko Jacob & Jijo Lukose P.J., 2019. "Institutional ownership and the investment-cash flow sensitivity Evidence from India," Working papers 329, Indian Institute of Management Kozhikode.
    21. Rubin, Amir & Smith, Daniel R., 2009. "Institutional ownership, volatility and dividends," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 627-639, April.
    22. Norio Kitagawa & Shin' ya Okuda, 2013. "Management Forecasts, Idiosyncratic Risk, and Information Environment," Discussion Papers 2013-38, Kobe University, Graduate School of Business Administration, revised Jul 2013.
    23. Alqahtani, Faisal & Boulanouar, Zakaria, 2017. "Sharia compliance status & investor demand for IPOs: Evidence from Saudi Arabia," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 258-268.
    24. Belghitar, Yacine & Clark, Ephraim & Kassimatis, Konstantino, 2011. "The prudential effect of strategic institutional ownership on stock performance," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 191-199, August.

  6. Brad M. Barber & Yi‐Tsung Lee & Yu‐Jane Liu & Terrance Odean, 2007. "Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan," European Financial Management, European Financial Management Association, vol. 13(3), pages 423-447, June.

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    1. Tekçe, Bülent & Yılmaz, Neslihan & Bildik, Recep, 2016. "What factors affect behavioral biases? Evidence from Turkish individual stock investors," Research in International Business and Finance, Elsevier, vol. 37(C), pages 515-526.
    2. Şenol, Doğaç & Onay, Ceylan, 2023. "Impact of gamification on mitigating behavioral biases of investors," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    3. Deaves, Richard & Kluger, Brian & Miele, Jennifer, 2018. "An exploratory experimental analysis of path-dependent investment behaviors," Journal of Economic Psychology, Elsevier, vol. 67(C), pages 47-65.
    4. Corneille, Olivier & De Winne, Rudy & D'Hondt, Catherine, 2018. "The Disposition Effect does not survive disclosure of expected price trends," LIDAM Reprints LFIN 2018003, Université catholique de Louvain, Louvain Finance (LFIN).
    5. Levin, Laurence & Lewis, Matthew S. & Wolak, Frank A., 2022. "Reference dependence in the demand for gasoline," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 561-578.
    6. Gutiérrez-Nieto, Begoña & Ortiz, Cristina & Vicente, Luis, 2023. "A bibliometric analysis of the disposition effect: Origins and future research avenues," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    7. Wu, Chen-Hui & Wu, Chin-Shun & Liu, Victor W., 2009. "The conservatism bias in an emerging stock market: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 17(4), pages 494-505, September.
    8. Johannes Maier & Dominik S. Fischer, 2021. "Decomposing the Disposition Effect," CESifo Working Paper Series 9334, CESifo.
    9. Leung, Henry & Tse, Jeffrey & Westerholm, P. Joakim, 2019. "CEO traders and corporate acquisitions," Journal of Corporate Finance, Elsevier, vol. 54(C), pages 107-127.
    10. Zhijuan Chen & William T. Lin & Changfeng Ma & Kent Wang, 2020. "Are individual investors liquidity providers around earnings announcements? Evidence from an emerging market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3447-3475, December.
    11. Edika Quispe-Torreblanca & David Hume & John Gathergood & George Loewenstein & Neil Stewart, 2023. "At the Top of the Mind: Peak Prices and the Disposition Effect," Discussion Papers 2023-09, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
    12. Mariya Burdina & Scott Hiller, 2021. "When Falling Just Short is a Good Thing: The Effect of Past Performance on Improvement," Journal of Sports Economics, , vol. 22(7), pages 777-798, October.
    13. Jie Jiang & David G. Shrider & Huangwen Ting & Yanran Wu, 2021. "Are mutual fund investors loss averse? Evidence from China," The Financial Review, Eastern Finance Association, vol. 56(2), pages 231-250, May.
    14. Lucchesi, Eduardo Pozzi & Yoshinaga, Claudia Emiko & Castro, Francisco Henrique Figueiredo de, 2015. "Efeito disposição entre gestores brasileiros de fundos de ações," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 55(1), January.
    15. Bulipopova, Ekaterina & Zhdanov, Vladislav & Simonov, Artem, 2014. "Do investors hold that they know? Impact of familiarity bias on investor’s reluctance to realize losses: Experimental approach," Finance Research Letters, Elsevier, vol. 11(4), pages 463-469.
    16. Rafał Wolski & Monika Bolek & Jerzy Gajdka & Janusz Brzeszczyński & Ali M. Kutan, 2023. "Do investment fund managers behave rationally in the light of central bank communication? Survey evidence from Poland," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 15(5), pages 757-794, February.
    17. Vassilis A. Efthymiou & George N. Leledakis, 2014. "The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 711-724, April.
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    65. Chih-Hsiang Chang & Shan-Shan Chen & Song-Lin Hsieh, 2017. "Asymmetric Reinforcement Learning and Conditioned Responses During the 2007–2009 Global Financial Crisis: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-44, June.
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  7. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2006. "Taxes and dividend clientele: Evidence from trading and ownership structure," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 229-246, January.

    Cited by:

    1. Imen Ghadhab, 2023. "Bonding, signaling theory and dividend policy: Evidence from multinational firms," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 69-83, February.
    2. Podlech, Nils, 2012. "Dividenden und Aktienrückkäufe unter der Abgeltungssteuer," EconStor Preprints 75273, ZBW - Leibniz Information Centre for Economics.
    3. Ji, Philip Inyeob, 2016. "Is corporate payout taxation a long run phenomenon? Evidence from international data," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 84-100.
    4. Laeeq Ahmad & Yasir Iftikhar & Sarmad Ejaz & Waqas Baig & Kashif Nadeem & Rabia Shahid, 2019. "Dividend Policy and Share Price volatility: Evidence From Pakistan Stock Exchange of Listed Commercial Banks," Issues in Economics and Business, Macrothink Institute, vol. 5(1), pages 35-44, June.
    5. Podlech, Nils, 2012. "Dividenden und Aktienrückkäufe unter der Abgeltungssteuer," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 656, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    6. Barros, Victor & Verga Matos, Pedro & Miranda Sarmento, Joaquim, 2020. "What firm’s characteristics drive the dividend policy? A mixed-method study on the Euronext stock exchange," Journal of Business Research, Elsevier, vol. 115(C), pages 365-377.
    7. Allaudeen Hameed & Jing Xie & Yuxiang Zhong, 2024. "Preferences for dividends and stock returns around the world," Working Papers 202405, University of Macau, Faculty of Business Administration.
    8. Chen, Hung-Ling & Chow, Edward H. & Shiu, Cheng-Yi, 2013. "Ex-dividend prices and investor trades: Evidence from Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 39-65.
    9. Kuo, Nan-Ting & Lee, Cheng-Few, 2013. "Effects of dividend tax and signaling on firm valuation: Evidence from taxable stock dividend announcements," Pacific-Basin Finance Journal, Elsevier, vol. 25(C), pages 157-180.
    10. Jacob, Martin, 2010. "Taxation, Dividends, and Share Repurchases: Taking Evidence Global," Working Paper Series, Center for Fiscal Studies 2010:10, Uppsala University, Department of Economics.
    11. Liu, Wen-Rang & Chiang, Yao-Min & Chung, San-Lin, 2024. "Dividend-tax avoidance trade and its impact on the stock market," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
    12. Ming-Chang Cheng & Ching-Hwa Lee, 2016. "Trading Activities Around Ex-Dividend Days: Evidence from the Taiwan Stock Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-17, March.
    13. Jacob, Martin, 2008. "Welche privaten Veräußerungsgewinne sollten besteuert werden?," arqus Discussion Papers in Quantitative Tax Research 49, arqus - Arbeitskreis Quantitative Steuerlehre.
    14. Henry, Darren, 2011. "Ownership structure and tax-friendly dividends," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2747-2760, October.
    15. Lee, Cheng-Few & Kuo, Nan-Ting, 2014. "Effects of ultimate ownership structure and corporate tax on capital structures: Evidence from Taiwan," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 409-425.
    16. Hu, Conghui & Liu, Yu-Jane & Xu, Xin, 2021. "The valuation effect of stock dividends or splits: Evidence from a catering perspective," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 163-179.
    17. Ming‐Cheng Wu & Erin H. C. Kao & Hung‐Gay Fung, 2008. "Impact Of Dividend‐Protected Employee Stock Options On Payout Policies: Evidence From Taiwan," Pacific Economic Review, Wiley Blackwell, vol. 13(4), pages 431-452, October.
    18. Barros, Victor & Verga Matos, Pedro & Miranda Sarmento, Joaquim & Rino Vieira, Pedro, 2021. "Do activist shareholders influence a manager’s decisions on a firm’s dividend policy: A mixed-method study," Journal of Business Research, Elsevier, vol. 122(C), pages 387-397.
    19. Wang, Jin-Ying, 2023. "Tax clientele and share repurchase execution," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 168-176.

  8. Lee, Yi-Tsung & Liu, Yu-Jane & Roll, Richard & Subrahmanyam, Avanidhar, 2004. "Order Imbalances and Market Efficiency: Evidence from the Taiwan Stock Exchange," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(2), pages 327-341, June.

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    1. Reza Bradrania & Andrew Grant & Peter Joakim Westerholm & Wei Wu, 2017. "Fool's mate: What does CHESS tell us about individual investor trading performance?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(4), pages 981-1017, December.
    2. Yen-Ju Hsu & Yang-Cheng Lu & J. Jimmy Yang, 2021. "News sentiment and stock market volatility," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1093-1122, October.
    3. Agudelo, Diego A. & Múnera, Daimer J., 2023. "Who are the vectors of contagion? Evidence from emerging markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    4. Matthew C. Chang & Rebecca Chung-Fern Wu, 2013. "Informativeness and Influence of Limit Order Books on Order Submissions in Electronic Continuous Auction Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S3), pages 70-97, July.
    5. G. Geoffrey Booth & Juha‐Pekka Kallunki & Petri Sahlström & Jaakko Tyynelä, 2011. "Foreign vs domestic investors and the post‐announcement drift," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(3), pages 220-237, June.
    6. Long, Yunshen & Yan, Jingzhou & Wu, Liang & Long, Xingchen, 2024. "Market price determination: Interpreting quote order imbalance under zero-profit equilibrium," Economic Modelling, Elsevier, vol. 134(C).
    7. Chen-Chang Lo & Yaling Lin & Jiann-Lin Kuo & Yi Ting Wen, 2021. "The Relation Between Trading Volume Concentration and Stock Returns," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 7(3), pages 82-89, 09-2021.
    8. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang & Xinran Zhang, 2021. "Tracking Retail Investor Activity," Journal of Finance, American Finance Association, vol. 76(5), pages 2249-2305, October.
    9. Chen, Zhijuan & Lin, William T. & Ma, Changfeng & Tsai, Shih-Chuan, 2014. "Liquidity provisions by individual investor trading prior to dividend announcements: Evidence from Taiwan," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 358-374.
    10. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
    11. Chan, Soon Huat & Kim, Kenneth A. & Rhee, S. Ghon, 2005. "Price limit performance: evidence from transactions data and the limit order book," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 269-290, March.
    12. Zhijuan Chen & William T. Lin & Changfeng Ma & Kent Wang, 2020. "Are individual investors liquidity providers around earnings announcements? Evidence from an emerging market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 3447-3475, December.
    13. Erdinc Akyildirim & Shaen Corbet & Guzhan Gulay & Duc Khuong Nguyen & Ahmet Sensoy, 2019. "Order Flow Persistence in Equity Spot and Futures Markets: Evidence from a Dynamic Emerging Market," Working Papers 2019-011, Department of Research, Ipag Business School.
    14. McAdam, Chris, 2020. "Are investors compensated for their sophistication and informedness for company takeovers – An Australian study," Global Finance Journal, Elsevier, vol. 44(C).
    15. Diego Agudelo & Diego Amaya & Juliana Hincapié & Julián Múnera, 2017. "Attention-based vs information-based trading around announcements. Evidence from an emerging market," Documentos de Trabajo de Valor Público 16359, Universidad EAFIT.
    16. Kumar, Kiran & Mamidi, Varsha & Marisetty, Vijaya, 2011. "Global markets exposure and price efficiency: An empirical analysis of order flow dynamics of NYSE-listed Indian firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 686-706.
    17. Hung, Weifeng, 2014. "Institutional trading and attention bias," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 71-91.
    18. Byun, Hae-Young & Hwang, Lee-Seok & Lee, Woo-Jong, 2011. "How does ownership concentration exacerbate information asymmetry among equity investors?," Pacific-Basin Finance Journal, Elsevier, vol. 19(5), pages 511-534, November.
    19. Hung, Weifeng & Chiao, Chaoshin & Liao, Tung Liang & Huang, Sheng-Tang, 2012. "R&D, risks and overreaction in a market with the absence of the book-to-market effect," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 11-24.
    20. Sensoy, Ahmet & Omole, John, 2022. "Information content of order imbalance in the index options market," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 418-432.
    21. Wang, Zi-Mei & Chiao, Chaoshin & Chang, Ya-Ting, 2012. "Technical analyses and order submission behaviors: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 109-128.
    22. Andrade, Sandro C. & Chang, Charles & Seasholes, Mark S., 2008. "Trading imbalances, predictable reversals, and cross-stock price pressure," Journal of Financial Economics, Elsevier, vol. 88(2), pages 406-423, May.
    23. Thierry Foucault & David Thesmar & David Sraer, 2008. "Individual Investors and Volatility," Working Papers hal-00578370, HAL.
    24. Lien, Donald & Hung, Pi-Hsia & Lin, Zong-Wei, 2020. "Whose trades move stock prices? Evidence from the Taiwan Stock Exchange," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 25-50.
    25. Aitken, Michael & Almeida, Niall & deB. Harris, Frederick H. & McInish, Thomas H., 2007. "Liquidity supply in electronic markets," Journal of Financial Markets, Elsevier, vol. 10(2), pages 144-168, May.
    26. Yu, Hsin-Yi & Hsieh, Shu-Fan, 2010. "The effect of attention on buying behavior during a financial crisis: Evidence from the Taiwan stock exchange," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 270-280, September.
    27. Muzhao Jin & Fearghal Kearney & Youwei Li & Yung Chiang Yang, 2023. "Order book price impact in the Chinese soybean futures market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 606-625, January.
    28. Ting Zhang & George J. Jiang & Wei‐Xing Zhou, 2021. "Order imbalance and stock returns: New evidence from the Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 2809-2836, June.
    29. Agudelo, Diego A. & Byder, James & Yepes-Henao, Paula, 2019. "Performance and informed trading. Comparing foreigners, institutions and individuals in an emerging stock market," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 187-203.
    30. Shenoy, Catherine & Zhang, Ying Jenny, 2007. "Order imbalance and stock returns: Evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(5), pages 637-650, December.
    31. Chaoshin Chiao & Zi-May Wang & Hsiu-Ling Lai, 2009. "Order submission behaviors and opening price behaviors: evidence from an emerging market," Review of Quantitative Finance and Accounting, Springer, vol. 33(3), pages 253-278, October.
    32. Espen Sirnes & Minh Thi Hong Dinh, 2021. "Tick Size and Price Reversal after Order Imbalance," IJFS, MDPI, vol. 9(2), pages 1-13, March.
    33. Tóth, Bence & Palit, Imon & Lillo, Fabrizio & Farmer, J. Doyne, 2015. "Why is equity order flow so persistent?," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 218-239.
    34. Strych, Jan-Oliver, 2022. "The impact of margin trading and short selling by retail investors on market price efficiency: Empirical evidence from bitcoin exchanges," Finance Research Letters, Elsevier, vol. 47(PB).
    35. Donald Lien & Pi-Hsia Hung, 2023. "Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 213-263, July.
    36. Michael Weigerding & Michael Hanke, 2018. "Drivers of seasonal return patterns in German stocks," Business Research, Springer;German Academic Association for Business Research, vol. 11(1), pages 173-196, February.
    37. Chiao, Chaoshin & Lin, Tung-Ying & Lee, Cheng-Few, 2017. "The reactions to on-air stock reports: Prices, volume, and order submission behavior," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 27-46.
    38. T. Zhang & G. -F. Gu & H. -C. Xu & X. Xiong & W. Chen & W. -X. Zhou, 2017. "Power-law tails in the distribution of order imbalance," Papers 1707.05550, arXiv.org.
    39. Chiou, Calvin J. & Zhou, Xiaozhou & Chan, Chang, 2022. "A taxonomy of individual liquidity provision: Evidence from the Taiwan stock exchange," Finance Research Letters, Elsevier, vol. 50(C).
    40. Zi-Mei Wang & Donald Lien, 2022. "Is maximum daily return a lottery? Evidence from monthly revenue announcements," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 545-600, August.
    41. Anand, Amber & Chakravarty, Sugato & Martell, Terrence, 2005. "Empirical evidence on the evolution of liquidity: Choice of market versus limit orders by informed and uninformed traders," Journal of Financial Markets, Elsevier, vol. 8(3), pages 288-308, August.
    42. Chang, Charles, 2010. "Information footholds: Isolating local presence as a factor in analyst performance and trading," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 1094-1107, October.
    43. Múnera, Daimer J. & Agudelo, Diego A., 2022. "Who moved my liquidity? Liquidity evaporation in emerging markets in periods of financial uncertainty," Journal of International Money and Finance, Elsevier, vol. 129(C).
    44. Wang, Zi-Mei & Lien, Donald, 2023. "Limited attention, salient anchor, and the modified MAX effect: Evidence from Taiwan’s stock market," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    45. Bailey, Warren & Cai, Jun & Cheung, Yan Leung & Wang, Fenghua, 2009. "Stock returns, order imbalances, and commonality: Evidence on individual, institutional, and proprietary investors in China," Journal of Banking & Finance, Elsevier, vol. 33(1), pages 9-19, January.
    46. Hung, Pi-Hsia & Lien, Donald, 2019. "Trading aggressiveness, order execution quality, and stock price movements: Evidence from the Taiwan stock exchange," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 231-251.
    47. Nawal Hussein Abbas Elhussein & Jarel Nabi Ahmed Abdelgadir, 2020. "Behavioral Bias in Individual Investment Decisions: Is It a Common Phenomenon in Stock Markets?," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 11(6), pages 25-36, December.
    48. Marvin Wee & Joey W. Yang, 2016. "The Evolution of Informed Liquidity Provision: Evidence from an Order†driven Market," European Financial Management, European Financial Management Association, vol. 22(5), pages 882-915, November.
    49. Lin, William T. & Tsai, Shih-Chuan & Chiu, Peter, 2016. "Do foreign institutions outperform in the Taiwan options market?," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 101-115.
    50. Ainsworth, Andrew & Lee, Adrian D., 2023. "Sharing the dividend tax credit pie: The influence of individual investors on ex-dividend day returns," Journal of Financial Markets, Elsevier, vol. 62(C).
    51. Hung, Pi-Hsia, 2016. "Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 124-140.
    52. Hwang, Lee-Seok & Lee, Woo-Jong & Lim, Seung-Yeon & Park, Kyung-Ho, 2013. "Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN," Journal of Accounting and Economics, Elsevier, vol. 55(2), pages 148-167.
    53. Park, Young S. & Lee, Jaehyun, 2010. "Detecting insider trading: The theory and validation in Korea Exchange," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2110-2120, September.
    54. Agudelo, Diego A. & Giraldo, Santiago & Villarraga, Edwin, 2015. "Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 149-161.
    55. Chordia, Tarun & Roll, Richard & Subrahmanyam, Avanidhar, 2011. "Recent trends in trading activity and market quality," Journal of Financial Economics, Elsevier, vol. 101(2), pages 243-263, August.
    56. Chou, Pin-Huang & Chou, Robin K. & Ko, Kuan-Cheng & Chao, Chun-Yi, 2013. "What affects the cool-off duration under price limits?," Pacific-Basin Finance Journal, Elsevier, vol. 24(C), pages 256-278.
    57. Lien, Donald & Hung, Pi-Hsia & Lo, Hsiang-Yu, 2022. "Order Choices: An Intraday Analysis of the Taiwan Stock Exchange," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    58. Paula A. Yepes-Henao & Diego A. Agudelo & Ramazan Gencay, 2018. "Muddying the waters: Who Induces Volatility in an Emerging Market?," Documentos de Trabajo de Valor Público 16974, Universidad EAFIT.
    59. Zhang, Ting & Gu, Gao-Feng & Zhou, Wei-Xing, 2019. "Order imbalances and market efficiency: New evidence from the Chinese stock market," Emerging Markets Review, Elsevier, vol. 38(C), pages 458-467.
    60. Chen, Li-Wen & Johnson, Shane A. & Lin, Ji-Chai & Liu, Yu-Jane, 2009. "Information, sophistication, and foreign versus domestic investors' performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1636-1651, September.
    61. Chaoshin Chiao & Zi-May Wang & Shiau-Yuan Tong, 2017. "Order cancellations across investor groups: evidence from an emerging order-driven market," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 1167-1193, November.
    62. Klein, Olga & Klein, Daniel, 2024. "Institutional consensus after earnings announcements: Information or crowding?," International Review of Financial Analysis, Elsevier, vol. 95(PA).
    63. Justin Cox, 2021. "ISO order imbalances and individual stock returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(1), pages 5-23, April.
    64. Akyildirim, Erdinc & Sensoy, Ahmet & Gulay, Guzhan & Corbet, Shaen & Salari, Hajar Novin, 2021. "Big data analytics, order imbalance and the predictability of stock returns," Journal of Multinational Financial Management, Elsevier, vol. 62(C).
    65. Wu, Chen-Hui, 2022. "The informativeness of brokerage reports: Privately-circulated versus publicly-disseminated news," International Review of Financial Analysis, Elsevier, vol. 83(C).
    66. Kim, Karam & Ryu, Doojin, 2021. "Term structure of sentiment effect on investor trading behavior," Finance Research Letters, Elsevier, vol. 43(C).
    67. Hao, Ying & Chou, Robin K. & Ho, Keng-Yu & Weng, Pei-Shih, 2015. "The impact of foreign institutional traders on price efficiency: Evidence from the Taiwan futures market," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 24-42.
    68. Diego A. Agudelo & Daimer J. Múnera, 2016. "Are foreigners the vectors of Contagion? A study of six emerging markets," Documentos de Trabajo de Valor Público 16989, Universidad EAFIT.
    69. Narayan, Paresh Kumar & Narayan, Seema & Westerlund, Joakim, 2015. "Do order imbalances predict Chinese stock returns? New evidence from intraday data," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 136-151.
    70. Ming-Chang Wang & Yu-Jia Ding & Pei-Han Hsin, 2018. "Order Aggressiveness and the Heating and Cooling-off Effects of Price Limits: Evidence from Taiwan Stock Exchange," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 14(2), pages 191-216, August.
    71. Matthew C. Chang & Chih‐Ling Tsai & Rebecca Chung‐Fern Wu & Ning Zhu, 2018. "Market uncertainty and market orders in futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 865-880, August.
    72. Booth, G. Geoffrey & Gurun, Umit G. & Zhang, Harold, 2014. "Financial networks and trading in bond markets," Journal of Financial Markets, Elsevier, vol. 18(C), pages 126-157.
    73. Wolff, Christian, 2017. "Trading in style: Retail investors vs. institutions," CEPR Discussion Papers 12462, C.E.P.R. Discussion Papers.
    74. Zi Ning & Yiuman Tse, 2009. "Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(1‐2), pages 230-252, January.
    75. Donald Lien & Pi-Hsia Hung & Chiu-Ting Pan, 2020. "Price limit changes, order decisions, and stock price movements: an empirical analysis of the Taiwan Stock Exchange," Review of Quantitative Finance and Accounting, Springer, vol. 55(1), pages 239-268, July.
    76. Xu, Liao & Yin, Xiangkang & Zhao, Jing, 2019. "The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    77. Lin, William T. & Tsai, Shih-Chuan & Zheng, Zhenlong & Qiao, Shuai, 2017. "Does options trading convey information on futures prices?," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 182-196.

  9. Yu–Jane Liu & K. C. John Wei & Gwohorng Liaw, 2001. "On the Demand Elasticity of Initial Public Offerings: An Analysis of Discriminatory Auctions," International Review of Finance, International Review of Finance Ltd., vol. 2(3), pages 151-178, September.

    Cited by:

    1. Chen, An-Sing & Liaw, Gwohorng & Leung, Mark T., 2003. "Stock auction bidding behavior and information asymmetries: An empirical analysis using the discriminatory auction model framework," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 867-889, May.
    2. François DEGEORGE & François DERRIEN & Kent L. WOMACK, 2008. "Auctioned IPOs: The U.S. Evidence," Swiss Finance Institute Research Paper Series 08-38, Swiss Finance Institute.
    3. Orly Sade & Roy Stein & Zvi Wiener, 2018. "Israeli Treasury Auction Reform," Israel Economic Review, Bank of Israel, vol. 16(1), pages 41-61.
    4. Ravi Jagannathan & Ann E. Sherman, 2006. "Why Do IPO Auctions Fail?," NBER Working Papers 12151, National Bureau of Economic Research, Inc.
    5. Rocholl, Jrg, 2009. "A friend in need is a friend indeed: Allocation and demand in IPO bookbuilding," Journal of Financial Intermediation, Elsevier, vol. 18(2), pages 284-310, April.
    6. Yong, Othman, 2007. "A review of IPO research in Asia: What's next?," Pacific-Basin Finance Journal, Elsevier, vol. 15(3), pages 253-275, June.
    7. Jagannathan, Ravi & Jirnyi, Andrei & Sherman, Ann Guenther, 2015. "Share auctions of initial public offerings: Global evidence," Journal of Financial Intermediation, Elsevier, vol. 24(3), pages 283-311.
    8. Sherman, Ann E., 2005. "Global trends in IPO methods: Book building versus auctions with endogenous entry," Journal of Financial Economics, Elsevier, vol. 78(3), pages 615-649, December.
    9. Han, Jianlei & Pan, Zheyao & Zhang, Guangli, 2017. "Divergence of opinion and long-run performance of private placements: evidence from the auction market," Working Papers 2017-09, University of Tasmania, Tasmanian School of Business and Economics.
    10. Hsuan‐Chi Chen & Robert C. W. Fok & Yu‐Jen Wang, 2006. "Why do Underwriters Charge Low Underwriting Fees for Initial Public Offerings in Taiwan?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(7‐8), pages 979-1005, September.
    11. Hsuan-Chi Chen & Sheng-Ching Wu, 2015. "Who Makes the Choice on IPO Underwriting Methods? Issuers Versus Underwriters," Financial Management, Financial Management Association International, vol. 44(4), pages 753-783, October.
    12. Pettway, Richard H. & Thosar, Satish & Walker, Scott, 2008. "Auctions versus book-built IPOs in Japan: A comparison of aftermarket volatility," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 224-235, June.

  10. Lee, Yi-Tsung & Lin, Ji-Chai & Liu, Yu-Jane, 1999. "Trading patterns of big versus small players in an emerging market: An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 701-725, May.

    Cited by:

    1. Bohl, Martin T. & Diesteldorf, Jeanne & Siklos, Pierre L., 2015. "The effect of index futures trading on volatility: Three markets for Chinese stocks," China Economic Review, Elsevier, vol. 34(C), pages 207-224.
    2. Yue Zhao & Difang Wan, 2018. "Institutional high frequency trading and price discovery: Evidence from an emerging commodity futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(2), pages 243-270, February.
    3. Chen-Chang Lo & Yaling Lin & Jiann-Lin Kuo & Yi Ting Wen, 2021. "The Relation Between Trading Volume Concentration and Stock Returns," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 7(3), pages 82-89, 09-2021.
    4. Tsung-Yu Hsieh, 2015. "Information disclosure and price manipulation during the pre-closing session: evidence from an order-driven market," Applied Economics, Taylor & Francis Journals, vol. 47(43), pages 4670-4684, September.
    5. Lu, Jing & Qiu, Yuhang, 2024. "Does minority shareholder activism reduce stock idiosyncratic risk?," Research in International Business and Finance, Elsevier, vol. 67(PA).
    6. Ülkü, Numan & Weber, Enzo, 2013. "Identifying the interaction between stock market returns and trading flows of investor types: Looking into the day using daily data," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2733-2749.
    7. Jin, Miao & Liu, Yu-Jane & Meng, Juanjuan, 2019. "Fat-finger event and risk-taking behavior," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 126-143.
    8. Giancarlo Corsetti & Paolo Pesenti & Nouriel Roubini, 2001. "The Role of Large Players in Currency Crises," NBER Working Papers 8303, National Bureau of Economic Research, Inc.
    9. Wong, Woon K & Copeland, Laurence & Lu, Ralph, 2008. "The Other Side of the Trading Story: Evidence from NYSE," Cardiff Economics Working Papers E2008/12, Cardiff University, Cardiff Business School, Economics Section.
    10. Fung, Scott & Tsai, Shih-Chuan, 2021. "The price discovery role of day traders in futures market: Evidence from different types of day traders," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 53-77.
    11. Hilal Ok Ergün & Abdullah Yalaman & Viktor Manahov & Hanxiong Zhang, 2021. "Stock market manipulation in an emerging market of Turkey: how do market participants select stocks for manipulation?," Applied Economics Letters, Taylor & Francis Journals, vol. 28(5), pages 354-358, March.
    12. Lin, Anchor Y., 2006. "Has the Asian crisis changed the role of foreign investors in emerging equity markets: Taiwan's experience," International Review of Economics & Finance, Elsevier, vol. 15(3), pages 364-382.
    13. Shiu, Yih-Wen & Lee, Chun I. & Gleason, Kimberly C., 2014. "Institutional shareholdings and the January effects in Taiwan," Journal of Multinational Financial Management, Elsevier, vol. 27(C), pages 49-66.
    14. Walid M.A. Ahmed, 2016. "Cross-border equity flows and market volatility: the case of Qatar Exchange," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 11(3), pages 395-418, July.
    15. M. Illueca & J. Lafuente, 2008. "Introducing the mini-futures contract on Ibex 35: implications for price discovery and volatility transmission," Spanish Economic Review, Springer;Spanish Economic Association, vol. 10(3), pages 197-219, September.
    16. Liao, Li-Chuan & Chou, Ray Yeutien & Chiu, Banghan, 2013. "Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 72-91.
    17. Shapira, Zur & Venezia, Itzhak, 2001. "Patterns of behavior of professionally managed and independent investors," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1573-1587, August.
    18. Lin, William T. & Tsai, Shih-Chuan & Chiu, Peter, 2016. "Do foreign institutions outperform in the Taiwan options market?," The North American Journal of Economics and Finance, Elsevier, vol. 35(C), pages 101-115.
    19. Yang, Jack J. W., 2002. "The information spillover between stock returns and institutional investors' trading behavior in Taiwan," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 533-547.
    20. Cerin, Pontus, 2006. "Bringing economic opportunity into line with environmental influence: A discussion on the Coase theorem and the Porter and van der Linde hypothesis," Ecological Economics, Elsevier, vol. 56(2), pages 209-225, February.
    21. W.C Lo & W.S. Chan, 2000. "Diagnosing Shocks in Stock Market Returns of Greater China," Multinational Finance Journal, Multinational Finance Journal, vol. 4(3-4), pages 269-288, September.
    22. Shih-Chuan Tsai, 2014. "Individuals’ Trading Prior to Earnings Announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 41(9-10), pages 1124-1156, November.
    23. Paula A. Yepes-Henao & Diego A. Agudelo & Ramazan Gencay, 2018. "Muddying the waters: Who Induces Volatility in an Emerging Market?," Documentos de Trabajo de Valor Público 16974, Universidad EAFIT.
    24. Chen, Li-Wen & Johnson, Shane A. & Lin, Ji-Chai & Liu, Yu-Jane, 2009. "Information, sophistication, and foreign versus domestic investors' performance," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1636-1651, September.
    25. Takeda, Fumiko, 2004. "A twin crisis model with incomplete information," Journal of the Japanese and International Economies, Elsevier, vol. 18(1), pages 38-56, March.
    26. Numan Ülkü, 2008. "Do Big Investors’ Trades Have Predictive Power? A Note on Istanbul Stock Market," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 2(1), pages 85-108.

  11. Liu, Yu-Jane, 1997. "Periodic market closure and order imbalances," Global Finance Journal, Elsevier, vol. 8(1), pages 95-111.

    Cited by:

    1. David Porter & Yusif Simaan & Daniel Weaver & David Whitcomb, 2006. "Effect of the Actual Size Rule Under Market Stress," Review of Quantitative Finance and Accounting, Springer, vol. 26(2), pages 87-103, March.

  12. John Wei, K. C. & Liu, Yu-Jane & Yang, Chau-Chen & Chaung, Guey-Shiang, 1995. "Volatility and price change spillover effects across the developed and emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 113-136, May.

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    1. Hu, John Wei-Shan & Chen, Mei-Yuan & Fok, Robert C. W. & Huang, Bwo-Nung, 1997. "Causality in volatility and volatility spillover effects between US, Japan and four equity markets in the South China Growth Triangular," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(4), pages 351-367, December.
    2. Huo, Rui & Ahmed, Abdullahi D., 2017. "Return and volatility spillovers effects: Evaluating the impact of Shanghai-Hong Kong Stock Connect," Economic Modelling, Elsevier, vol. 61(C), pages 260-272.
    3. Park, Jinwoo, 2001. "Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 363-377, August.
    4. Bo Sun, 2009. "Asset returns with earnings management," International Finance Discussion Papers 988, Board of Governors of the Federal Reserve System (U.S.).
    5. Azman-Saini, W.N.W. & Habibullah, M.S. & Law, Siong Hook & Dayang-Afizzah, A.M., 2006. "Stock prices, exchange rates and causality in Malaysia: a note," MPRA Paper 656, University Library of Munich, Germany.
    6. Julien Chevallier & Duc Khuong Nguyen & Jonathan Siverskog & Gazi Salah Uddin, 2017. "Market Integration and Financial Linkages among Stock Markets in Pacific Basin Countries," Working Papers 2017-005, Department of Research, Ipag Business School.
    7. Withanage, Yeshan & Jayasinghe, Prabhath, 2017. "Volatility Spillovers between South Asian Stock Markets: Evidence from Sri Lanka, India and Pakistan," MPRA Paper 82782, University Library of Munich, Germany, revised Nov 2017.
    8. Roni Bhowmik & Abbas Ghulam & Wang Shouyang, 2018. "Return and Volatility Spillovers Effects: Study of Asian Emerging Stock Markets," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 97-119, April.
    9. Shamiri, Ahmed, 2008. "Volatility Transmission: What Does Asia-Pacific Markets Expect?," MPRA Paper 13706, University Library of Munich, Germany.
    10. Ziadat, Salem Adel & Herbst, Patrick & McMillan, David G., 2020. "Inter- and intra-regional stock market relations for the GCC bloc," Research in International Business and Finance, Elsevier, vol. 54(C).
    11. Milunovich, George & Thorp, Susan, 2007. "Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York," Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 275-289, October.
    12. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    13. Alaganar, Vaira T. & Bhar, Ramaprasad, 2002. "Information and volatility linkage under external shocks: Evidence from dually listed Australian stocks," International Review of Financial Analysis, Elsevier, vol. 11(1), pages 59-71.
    14. Sheng-Yung Yang, 2007. "Inter-day return and volatility dynamics between Japanese ADRs and their underlying securities," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 837-853.
    15. Pratap Chandra Biswal & Prabir Kumar Mohanty, 2006. "Wavelet Analysis of Price and Volatility Spillovers in Stock Markets: The Case of India and the US," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 4(2), pages 1-13, July.
    16. Maderitsch, R., 2015. "Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence," Pacific-Basin Finance Journal, Elsevier, vol. 35(PA), pages 13-36.
    17. Salachas, Evangelos & Kouretas, Georgios P. & Laopodis, Nikiforos T. & Vlamis, Prodromos, 2024. "Stock market spillovers of global risks and hedging opportunities," European Journal of Political Economy, Elsevier, vol. 83(C).
    18. Wang, Steven Shuye & Firth, Michael, 2004. "Do bears and bulls swim across oceans? Market information transmission between greater China and the rest of the world," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(3), pages 235-254, July.
    19. Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September.
    20. Huang, Bwo-Nung & Yang, Chin-Wei, 2001. "An empirical investigation of trading volume and return volatility of the Taiwan Stock Market," Global Finance Journal, Elsevier, vol. 12(1), pages 55-77.
    21. Wang, Chaug-Jung & Lee, Chien-Hui & Huang, Bwo-Nung, 2003. "An analysis of industry and country effects in global stock returns: evidence from Asian countries and the U.S," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 560-577.
    22. Liu, Lu, 2014. "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 39-48.
    23. Vo, Xuan Vinh & Tran, Thi Tuan Anh, 2020. "Modelling volatility spillovers from the US equity market to ASEAN stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 59(C).
    24. Gannon, Gerard & Au-Yeung, Siu Pang, 2004. "Structural effects and spillovers in HSIF, HSI and S&P500 volatility," Research in International Business and Finance, Elsevier, vol. 18(3), pages 305-317, September.
    25. Guojie Ma, 2016. "Corporate Behaviour and Market Integration: Evidence from the Asia-Pacific Real Estate Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2016, January-A.
    26. Granger, Clive W. J. & Huangb, Bwo-Nung & Yang, Chin-Wei, 2000. "A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(3), pages 337-354.
    27. Chan, Yue-cheong & John Wei, K. C., 1996. "Political risk and stock price volatility: The case of Hong Kong," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 259-275, July.
    28. Jung-Bin Su, 2022. "The Research on the Interactions between the Emerging and Developed Markets: From Region and Structural Break Perspectives," Mathematics, MDPI, vol. 10(8), pages 1-38, April.
    29. Long, Wen & Guan, Lijing & Shen, Jiangjian & Song, Linqiu & Cui, Lingxiao, 2017. "A complex network for studying the transmission mechanisms in stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 345-357.
    30. Hai-Chin Yu & Ming-Chang Huang, 2004. "Statistical properties of volatility in fractal dimensions and probability distribution among six stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1087-1095.
    31. Tang, G. Y. N. & Kwok, K-h., 1997. "Day of the week effect in international portfolio diversification: January vs non-January," Japan and the World Economy, Elsevier, vol. 9(3), pages 335-352, August.
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    35. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
    36. Delcoure, Natalya (Natasha) & Singh, Harmeet, 2016. "BRIC or CBRI: It just doesn’t sound as sexy, does it?," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 230-239.
    37. Wang, Steven Shuye & Meng Rui, Oliver & Firth, Michael, 2002. "Return and volatility behavior of dually-traded stocks: the case of Hong Kong," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 265-293, April.
    38. Y. Angela Liu & Ming-Shiun Pan, 1997. "Mean and Volatility Spillover Effects in the U.S. and Pacific–Basin Stock Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 1(1), pages 47-62, March.
    39. Wang, Jie & Liu, Tangyong & Pan, Na, 2023. "Analyzing quantile spillover effects among international financial markets," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    40. Yeh, Yin-Hua & Lee, Tsun-Siou, 2000. "The interaction and volatility asymmetry of unexpected returns in the greater China stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 129-149.
    41. Chan, Tze-Haw & Hooy, Chee Wooi, 2003. "On Volatility Spillovers and Dominant Effects in East Asian: Before and After the 911," MPRA Paper 2032, University Library of Munich, Germany, revised 2006.
    42. Wang, Ping & Wang, Peijie, 2010. "Price and volatility spillovers between the Greater China Markets and the developed markets of US and Japan," Global Finance Journal, Elsevier, vol. 21(3), pages 304-317.
    43. Afees A. Salisu & Kazeem Isah, 2017. "Modeling the spillovers between stock market and money market in Nigeria," Working Papers 023, Centre for Econometric and Allied Research, University of Ibadan.
    44. Gilenko, Evgenii & Fedorova, Elena, 2014. "Internal and external spillover effects for the BRIC countries: Multivariate GARCH-in-mean approach," Research in International Business and Finance, Elsevier, vol. 31(C), pages 32-45.
    45. Sanjay Sehgal & Payal Jain & Florent Deisting, 2018. "Information Transmission between Mature and Emerging Equity Markets During Normal and Crisis Periods: An Empirical Examination," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(1), pages 185-225, March.
    46. Seema Narayan, 2019. "The Influence of Domestic and Foreign Shocks on Portfolio Diversification Gains and the Associated Risks," JRFM, MDPI, vol. 12(4), pages 1-26, October.
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  13. Liu, Yu-Jane, 1994. "A Simulation model of the Taiwan security market," Journal of Asian Economics, Elsevier, vol. 5(3), pages 413-423.

    Cited by:

    1. Comerton-Forde, Carole & Rydge, James, 2006. "The current state of Asia-Pacific stock exchanges: A critical review of market design," Pacific-Basin Finance Journal, Elsevier, vol. 14(1), pages 1-32, January.

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