This paper investigates the effect of index risk-neutral skewness on subsequent market
returns and explores whether this effect will vary with various types of institutional investor …

This study examines commonality in trading activity by various types of institutional investors
across futures and stock markets, and the dynamic relationship between the common …

This study investigates whether investor sentiment estimated by overnight returns of industry
exchange‐traded funds (ETFs) affects Volatility Index (VIX) futures and stock index futures …

This study analyzes the impact of the VIX futures basis on subsequent S&P 500 index
futures returns using quantile regression. The results show that the impact varies with return …

This paper examines the impact of the determination of stock closing prices on futures price
efficiency and hedging effectiveness with stock indices futures. The empirical results indicate …

This paper investigates the net directional and total volatility spillovers of A- and B-shares in
the Chinese stock market. Using the framework proposed by Diebold and Yilmaz (2012, …

This paper examines the effect of hedging demand by various types of institutional investor
on subsequent returns and volatility. Using data from the Taiwan Futures Exchange, …

This article derives analytic approximation formulae for valuing various types of quanto
forward-starting floating-strike Asian options, which are actively traded in over-the-counter …

Purpose – This paper aims to examine the impact of a reduction in tick size on the information
content of the order book by using data from the Taiwan Stock Exchange (TWSE). Design/…

Numerous issues have arisen over the past few decades relating to the implied volatility
smile in the options market; however, the extant literature reveals that relatively little effort has …