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Ying Hao,Robin K. Chou,Keng-Yu Ho,Pei-Shih Weng 한국증권학회 2016 Asia-Pacific Journal of Financial Studies Vol.45 No.4
Using a large data set with detailed classifications of different trader types, this study sheds further light on the trading activity of various trader types on the Taiwan futures exchange (TAIFEX). Compared with domestic traders on the TAIFEX, we find that foreign institutional traders act as contrarians. In addition, when the market becomes illiquid, foreign institutional traders are net buyers and individual traders are net sellers. The result implies that both foreign institutional traders and individual traders may contribute to the recovery of liquidity dry-ups together. Among all traders, only the order imbalance of foreign institutional investors presents return predictability when the market is illiquid, which suggests they have an information advantage in such a market.
( Tun-ya Yang ),( Si-yuan Huang ),( Wei-che Tsai ),( Pei-shih Weng ) 한국파생상품학회(구 한국선물학회) 2020 선물연구 Vol.28 No.4
This paper aims to investigate the impact of day trading on market quality on the Taiwan stock market with the implementation of a unique policy change. This paper examines 396 listed stocks from June 2015 to October 2016, a period when the stock market in Taiwan officially approved selected stocks for day trading for all investors. Within the sample period, the empirical findings show that day trading increases the bid-ask spread, price depth and stock volatility, indicating that day trading activities not only cause higher transaction costs and trading risk but also raise the market’s ability to absorb price impact. This paper considers two-stage regression and tests the exogenous shock because of further relaxation for day trading to deal with the possible endogenous problem and the main findings remain consistent. Since early 2014, the Taiwan stock market has been experiencing a distinct growth in trading volume after unwinding the day trading; however, the results show that the impacts of stock day trading on market quality are not all positive.
IPO Underwriting and Subsequent Lending
Hsuan-Chi Chen,Li-Ping Chen,Keng-Yu Ho,Pei-Shih Weng 한국재무학회 2012 한국재무학회 학술대회 Vol.2012 No.09
This study investigates the relation between IPO underwriting and subsequent lending. We find that when a bank underwrites a firm’s IPO, the bank is more likely to provide the issuer with future loans at a lower cost, compared to banks without an IPO underwriting relationship. The evidence also suggests that the underwriting banks share information surplus with the IPO firms in the post-IPO loans, supporting the cost-saving hypothesis. Finally, when borrowing firms are more satisfied with the IPO outcomes, they are more likely to retain their underwriting banks as subsequent lenders. We find no evidence that underwriting banks would exploit such satisfaction by charging higher interest rates in the post-IPO loans.