U.S. Quantitative Easing Policy Effect on TAIEX Futures Market Efficiency

This paper examines the market efficiency of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) Futures after the announcement of Quantitative Easing (QE) policy. Order imbalance is used to explore the relationship between return and order imbalance. We find that under the unconditional OLS model, lagged order imbalances almost have no significantly positive predictive power for current return. Nonetheless, on the trading day after the announcement of QE 1 policy, one-minute interval data show that the lagged order imbalance has predictive power for current return. Under the conditional OLS model, the reversed relation between current return and lagged order imbalance is not universal; on the other hand, after the announcement of QE 2 policy, the reversed relation between current return and lagged order imbalance is more common. Moreover, under volatility-GARCH (1, 1), one-minute interval data shows significantly positive relation between order imbalance and volatility

Modelling High-frequency Economic Time Series

The minute-by-minute move of the Hang Seng Index (HSI) data over a four-year period is analysed and shown to possess similar statistical features as those of other markets. Based on a mathematical theorem [S. B. Pope and E. S. C. Ching, Phys. Fluids A {\bf 5}, 1529 (1993)], we derive an analytic form for the probability distribution function (PDF) of index moves from fitted functional forms of certain conditional averages of the time series. Furthermore, following a recent work by Stolovitzky and Ching, we show that the observed PDF can be reproduced by a Langevin process with a move-dependent noise amplitude. The form of the Langevin equation can be determined directly from the market data.Comment: To appear in Proceedings of the Dynamics Days Asia Pacific Conference, 13-16 July, 1999, Hong Kong (Physica A, 2000

More Than Flow: Revisiting the Theory of Four Channels of Flow

Flow (FCF) theory has received considerable attention in recent decades. In addition to flow, FCF theory proposed three influential factors, that is, boredom, frustration, and apathy. While these factors have received relatively less attention than flow, Internet applications have grown exponentially, warranting a closer reexamination of the applicability of the FCF theory. Thus, this study tested the theory that high/low levels of skill and challenge lead to four channels of flow. The study sample included 253 online gamers who provided valid responses to an online survey. Analytical results support the FCF theory, although a few exceptions were noted. First, skill was insignificantly related to apathy, possibly because low-skill users can realize significant achievements to compensate for their apathy. Moreover, in contrast with the FCF theory, challenge was positively related to boredom, revealing that gamers become bored with difficult yet repetitive challenges. Two important findings suggest new directions for FCF theory

The effect of enforcement intensity on illegal insider trading volume: the case of Taiwan

In this paper, the authors examine the illegal insider trading volume and cumulative abnormal return by the relative variables of the amendment, the change of the securities price, the number of defendants, the penalty and the fine for insider who committed a crime, and the quality of concealed important information. Illegal insider trading is prohibited by the article 157-1 of Securities and Exchange Act in Taiwan. It has been amended three times to provide a sound and rigorous law and completely protect investors. The authors examine the illegal insider trading volume after the amendment to explore whether the Securities and Exchange Act is efficient enough to lower illegal insider trading. The authors find that the change of the securities price and the quality of concealed important information are the critical factors which affect the illegal insider trading volume and cumulative abnormal returns. Nevertheless, the relative variables of the amendment do not show significant effect

Regulation of CLC-1 chloride channel biosynthesis by FKBP8 and Hsp90β.

Mutations in human CLC-1 chloride channel are associated with the skeletal muscle disorder myotonia congenita. The disease-causing mutant A531V manifests enhanced proteasomal degradation of CLC-1. We recently found that CLC-1 degradation is mediated by cullin 4 ubiquitin ligase complex. It is currently unclear how quality control and protein degradation systems coordinate with each other to process the biosynthesis of CLC-1. Herein we aim to ascertain the molecular nature of the protein quality control system for CLC-1. We identified three CLC-1-interacting proteins that are well-known heat shock protein 90 (Hsp90)-associated co-chaperones: FK506-binding protein 8 (FKBP8), activator of Hsp90 ATPase homolog 1 (Aha1), and Hsp70/Hsp90 organizing protein (HOP). These co-chaperones promote both the protein level and the functional expression of CLC-1 wild-type and A531V mutant. CLC-1 biosynthesis is also facilitated by the molecular chaperones Hsc70 and Hsp90β. The protein stability of CLC-1 is notably increased by FKBP8 and the Hsp90β inhibitor 17-allylamino-17-demethoxygeldanamycin (17-AAG) that substantially suppresses cullin 4 expression. We further confirmed that cullin 4 may interact with Hsp90β and FKBP8. Our data are consistent with the idea that FKBP8 and Hsp90β play an essential role in the late phase of CLC-1 quality control by dynamically coordinating protein folding and degradation