We wish to thank Ji-Chai Lin, Alexander Ljungqvist, and the seminar participants at the 25th Australasian Banking and Finance Conference, the 2012 FMA Annual Meeting, 2nd International Conference on Futures and Derivative Markets, Feng Chia University, National Chengchi University, and National Chi Nan University and University of Sydney for helpful comments and suggestions.
The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market
Version of Record online: 6 APR 2014
© 2014 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 35, Issue 5, pages 399–425, May 2015
How to Cite
Chou, R. K., Wang, G. H. K. and Wang, Y.-Y. (2015), The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market. J. Fut. Mark., 35: 399–425. doi: 10.1002/fut.21665
- Issue online: 1 APR 2015
- Version of Record online: 6 APR 2014
- Manuscript Accepted: 14 FEB 2014
- Manuscript Received: 13 NOV 2013
- National Natural Science Foundation of China. Grant Numbers: 71232004, 71373296, 71372137, 70902030
- National Science Council of Taiwan. Grant Number: NSC101-2410-H-035-018-MY2
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