Forecasting VIX Futures Returns and Enhancement of Portfolio Performance. National Science and Technology Council, NSTC 113-2410-H-130-003-, 2024/08/01~2025/-7/31. (NT$ 907,000)
An Analysis of the extension of Amihud’s Illiquidity Premium. National Science and Technology Council, NSTC 112-2410-H-130-031-, 2023/08/01~2024/-7/31. (NT$ 884,000)
Return seasonalities: Overnight or daytime returns? Ministry of Science and Technology, MOST 111-2410-H-130-057 -, 2022/08/01~2023/07/31. (NT$ 626,000).
Tail spillover of implied volatility spillover and stock index futures returns. Ministry of Science and Technology, MOST 110-2410-H-130-016 -, 2021/08/01~2022/07/31. (NT$ 944,000).
The overnight return for industry ETFs and market-wide returns. Ministry of Science and Technology, MOST 109-2410-H-130-009 -, 2020/08/01~2021/07/31. (NT$ 517,000).
Institutional ownership and effectiveness of technical analysis. Ministry of Science and Technology, MOST 108-2410-H-130-003 -, 2019/08/01~2020/07/31. (NT$ 780,000).
Market uncertainty, investor attention, and stock-bond relation. Ministry of Science and Technology, MOST 107-2410-H-130-018 -, 2018/08/01~2019/07/31. (NT$ 750,000).
Psychological anchors of stock markets and currency price behavior. Ministry of Science and Technology, MOST 106-2410-H-130 -022 -, 2017/08/01~2018/07/31. (NT$ 491,000).
Impact of funding liquidity on trading volume, liquidity, and return of the currency carry-trade ETF. Ministry of Science and Technology, MOST 104-2410-H-130-008 -, 104/08/01 ～ 105/07/31. (NT$ 485,000).
Stock liquidity distributions and commonality in liquidity, Ministry of Science and Technology, MOST 103-2410-H-130 -003, 2014/08/01~2015/07/31. (NT$ 599,000).
Spillovers of price returns and investor sentiment, National Science Council, 102-2410-H-130 -006, 2013/08/01~2014/07/31. (NT$ 524,000).
Spillovers of institutional trading activity and financial market conditions, National Science Council, 101-2410-H-130 -020, 2012/08/01~2013/07/31. (NT$ 441,000).
Hedging demand, institutional investors, volatility, and hedging performance, National Science Council, 100-2410-H-130 -023, 2011/08/01~2012/07/31. (NT$ 235,000).
The subprime crisis, VIX, and future portfolio returns: A systematic factor or a sentiment variable, National Science Council, 98-2410-H-130-015, 2009/8/1~2010/7/31. (NT$ 442,000).