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The main purpose of this paper is to compute the appropriate margin level for the stock index futures traded on the Taiwan Futures Exchange (TAIFEX) and, then, to examine the appropriateness of the real margin requirement set by the TAIFEX.

This paper develops a new approach assuming the future's prices follow a geometric Brownian motion process. Compared with the extreme value theory that has been intensively used to determine the appropriate futures margin levels, one of the advantages of the present model is no need to specify the frequency at which extremes are taken.

The evidences indicate that the theoretical margins obtained by the proposed model can provide a more accurate and flexible margin level in accordance with the market volatility.

The main limitation of this approach is that the natural logarithm of the futures prices is assumed to follow a Brownian motion process. However, such an assumption might not be practical for financial returns.

The research is helpful for the clearinghouse to set up its margins policy, especially under various conditions of volatility risks.

This paper proposes a theoretical procedure to set an appropriate futures margin for the TAIFEX. This paper also provides a better understanding of Taiwan's futures market that is newly launched and is useful for investors to hedge and speculate.

The study uses an AR(1)‐EGARCH(1,1) model to investigate the pricing behaviors of the real estate investment trusts (REITs) for four countries (Australia, Japan, Taiwan and the USA) before and after the 2007 financial crisis.

The study uses an AR(1)‐EGARCH(1,1) model to investigate the pricing behaviors of the REITs.

The results show that after the financial crisis, REITS returns show a stronger linkage to the overall market returns but they are not sensitive to expected interest rate movements, except for the Taiwanese REIT market, which shows a negative and significant reaction to the interest rates. There are stronger asymmetric effects of good and bad news on REIT returns particularly after the post financial crisis for the four REIT markets.

An examination of the relationship between REIT and the stock market provides information as how REIT provides an effective device related to the stock portfolio diversification.

It would be interesting to see how the Asian REIT markets differ from the US market on return and risk behavior.

The 2007 subprime crisis happened because of the decline of the real estate market prices in the USA. It represents a special opportunity to examine the time‐dependent behavior of REIT returns in a turbulent market environment.

This study uses stochastic dominance (SD) theory to examine whether the traditional festival, such as the Spring Festival (often in February), affects the patterns of monthly anomaly for the Taiwan Stock Exchange (TWSE). The paper aims to discuss these issues.

The authors employ a new bootstrap-based test due to Linton, Maasoumi and Whang (hereafter LMW). The LMW test is well suited for financial time series data, such as monthly returns of various portfolios in this study, because it allows for general dependence among the prospects (distributions) and does not require the observations to be identically and independently distributed.

The particular findings of this study are that the February effect and the February-size effect indeed exist in the TWSE. Furthermore, allowing part of investors' assets is invested in the risky asset and the remaining part in a risk-free asset, first finding for monthly anomaly in the extant literature, is useful in distinguishing the performance among various size-month portfolios.

Instead of tax-loss and window dressing hypothesis, the Spring Festival money movement hypothesis can be used to well explain the findings.