Browsing by Author "Chiu, Junmao"

Now showing 1 - 9 of 9

Arbitrage opportunities, liquidity provision, and trader types in an index option market
(1970-01-01)
Chen, Chin-Ho
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Chiu, Junmao
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Chung, Huimin
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
This study examines the impact of arbitrage in put-call futures parity (PCFP) violations on option market liquidity and explores the liquidity provision process by trader type during periods of arbitrage exploitation. Using a unique data set comprising the complete history of transactions, we find that PCFP violations contain toxic arbitrage opportunities. Hence, more frequent toxic arbitrage opportunities can cause liquidity to deteriorate because arbitrageurs create adverse selection costs and order imbalances in the option market. In addition, when the law of one price breaks down, market makers dominate by providing liquidity compared with individual, domestic, and foreign institutional traders.
Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market
(2012-09-01)
Chiu, Junmao
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Chung, Huimin
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Ho, Keng-Yu
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Wang, George H. K.
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資訊管理與財務金融系註：原資管所+財金所
"Using index and financial exchange-traded funds (ETFs), this study explores the relation between funding liquidity and equity liquidity during the subprime crisis period. Our empirical results show that a higher degree of funding illiquidity leads to an increase in bid-ask spread and a reduction in both market depth and net buying imbalance. Such findings indicate that an increase in funding liquidity can improve equity liquidity, with a stronger effect for the financial ETFs than for the index ETFs. Our study provides a better overall understanding of the effect of the liquidity-supplier funding constraint during the subprime crisis period. (C) 2012 Elsevier B.V. All rights reserved."
Government interventions and equity liquidity in the sub-prime crisis period: Evidence from the ETF market
(2017-01)
Chiu, Junmao
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Tsai, Kunchi
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資訊管理與財務金融系註：原資管所+財金所
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Department of Information Management and Finance
Using bank bailout and funding injection actions to measure government interventions, this study explores whether the announcements of these actions could improve equity liquidity in the subprime crisis period. Our empirical results show that funding injections and bailout actions can both improve equity liquidity and increase net buying pressure, especially for the Paulson plan and the rescue of AIG from bankruptcy. The funding injection actions can improve equity liquidity more significantly than bailout actions.
INTRADAY LIQUIDITY PROVISION BY TRADER TYPES IN A LIMIT ORDER MARKET: EVIDENCE FROM TAIWAN INDEX FUTURES
(2014-02-01)
Chiu, Junmao
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Chung, Huimin
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Wang, George H. K.
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study examines the dynamic liquidity provision process by institutional and individual traders in the Taiwan index futures market, which is a pure limit order market. The empirical analysis obtains several interesting empirical results. We find that trader type affects liquidity provision in a number of interesting ways. First, although institutional traders use more limit orders than market orders, foreign institution (individual) traders use a relatively higher percentage of market (limit) orders in the early trading session and then switch to more limit (market) orders for the remainder of the day until close to the end of the trading day. Second, net limit order submissions by both institutional and individual traders are positively related to one-period lagged transitory volatility and negatively related to informational volatility. Third, net limit order submissions by institutional traders are positively related to one-period lagged spread. Finally, both the state of limit order book and order size significantly influence all types of traders' strategy on submission of limit order versus market order during the intraday trading session. (c) 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:145-172, 2014
Investor sentiment and evaporating liquidity during the financial crisis
(2018-05-01)
Chiu, Junmao
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Chung, Huimin
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Ho, Keng-Yu
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Wu, Chih-Chiang
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資訊管理與財務金融系註：原資管所+財金所
This study examines how investor sentiment affected equity liquidity and trading behavior during the financial crisis of 2007-2008. Using intraday data on equity index and financial ETFs, we show significant asymmetric response to investor sentiment on quoted spread, market depth, asymmetric depth, and net buying pressure. We also document that funding constraints can further increase the asymmetric impact of investor sentiment on liquidity and trading behavior. Our results can be explained by the psychological bias of negativity and help investors and risk management practitioners comprehensively understand why and how the evaporation of liquidity accelerates during the financial crisis.
Legal institutions and fragile financial markets
(2019-05-01)
Chiu, Junmao
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Chung, Huimin
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study investigates equity liquidity variation with a funding constraint across 38 countries and examines whether the effectiveness of a country's legal institutions is systematically related to cross-country differences in fragile equity liquidity. Our results show that firms from countries with more extensive disclosure requirements tend to have lower liquidity shocks due to funding constraints, leading to higher firm value. This effect is stronger for ex-ante disclosures, especially for countries with a high level of openness and market volatility. Our empirical results are robust to the 2SLS regression model, the random effect regression model, the alternative measure of fragile equity liquidity, and the alternative measure of disclosure and enforcement variables. Our study provides a better understanding of the effect of information environments amidst periods of funding constraint. (C) 2019 Elsevier Ltd. All rights reserved.
Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market
(2017-11-01)
Chiu, Junmao
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Chung, Huimin
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Wang, George H. K.
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study examines the order aggressiveness and trading patience of foreign institutional traders, futures proprietary firm traders, individual day and non-day traders in the Taiwan index futures market. We consider order choice given a completely transparent limit order book. Our empirical results show that individual (foreign institutional) traders use a more aggressive (patient) order submission strategy than the other trader types. We find significant differences among trader types in the timing of order aggressiveness and trading patience over the intraday time period. Both top and rest-of-the-order-book activities affect traders' order submission decisions. (c) 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:1094-1123, 2017
The impact of a conglomerate merger on its vendors and rivals - a case study of Google\'s acquisition of Motorola
(2016-02-07)
Chiu, Junmao
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Chung, Huimin
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Yang, Yi-Ning
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
This study explores the valuation effects of the conglomerate merger on an acquiring firm and its stakeholders. We examine Google\'s acquisition of Motorola and the impact that it had on Google\'s vendors and rivals. The empirical results suggest that the announcement of this deal led to positive market reaction among Android\'s vendors, primarily due to Google\'s ability to use Motorola\'s extensive patent portfolio to help protect Android\'s vendors from a potential patent infringement war in the future. Our results also find that when the Open Handset Alliance members obtain help from Motorola\'s patents or get new technology, an increase in shareholder wealth among Android\'s vendors and a decrease in shareholder wealth among Android\'s rivals are likely to occur.
Voluntary Adoption of Audit Committees, Ownership Structure and Firm Performance: Evidence from Taiwan
(1970-01-01)
Chiu, Junmao
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Chung, Huimin
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Hung, Shih-Chang
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資訊管理與財務金融系註：原資管所+財金所
;
Department of Information Management and Finance
Based on exogenous policy in corporate governance reform, this study examines how the voluntary adoption of audit committees affects firm performance and risk. We use a self-selection model to investigate the effect of voluntary adoption of audit committees on Tobin's Q, return on assets, and idiosyncratic risk. Our results show that Taiwanese listed firms, especially those that are family controlled, have better performance and lower risk when they voluntarily adopt audit committees. Our results suggest that voluntary adoption of audit committees can reduce agency conflict and asymmetric information.