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The information content of cross-sectional volatility for future market volatility : evidence from Australian equity returns

Rahman, Md. Arifur; Daly, Kevin James; Valentine, T. J.; … - University of Western Sydney; University of Western Sydney; … - 2005

This paper examines whether the firm-level and the industry-level cross-sectional volatility (CSV) contains any incremental information about the future market-level volatility in Australia. We analyze daily equity returns data from 2 January 1992 to 31 May 2004. Using a conditional volatility...

Persistent link: https://www.econbiz.de/10009482038

The empirical relationship between intraday volatility and trading volume : evidence from Chinese Stocks

Tian, Gary G.; Guo, Mingyuan; Daly, Kevin James; … - University of Western Sydney; University of Western Sydney; … - 2005

thirty-nine stocks from the Shanghai Stock Exchange 180 Index. Taking in consideration the excess kurtosis in high …

Persistent link: https://www.econbiz.de/10009482105

Behaviors of liquidity patterns in a limit order-driven market, an evidence from Chinese stock markets

Guo, Mingyuan; Tian, Gary G.; Australian Conference of … - University of Western Sydney; University of Western Sydney; … - 2005

This Paper examines the intraday behaviors of bid/ask spreads, depths and their determinants on an order-driven market in the Shanghai Stock Exchange. Our analysis shows that the intraday 5-minute bid/ask spreads display an L-shaped pattern and the depths exhibit an inverted L-shaped pattern....

Persistent link: https://www.econbiz.de/10009482106

Dividend policy of publicly quoted companies in emerging markets : the case of Jordan

Al-Malkawi, Husam-Aladin Nizar Y. - University of Western Sydney; College of Law and Business; … - 2005

corporate dividends. The results of studies conducted in this thesis suggest that the proportion of stocks held by insiders and …

Persistent link: https://www.econbiz.de/10009482193

Intraday data and volatility models : evidence from Chinese stocks

Tian, Gary G.; Guo, Mingyuan; Australian Conference of … - University of Western Sydney; University of Western Sydney; … - 2005

thirty-nine stocks from the Shanghai Stock Exchange 180 Index. Taking in consideration the excess kurtosis in high …

Persistent link: https://www.econbiz.de/10009482212