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Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-Zhong; Li, Youwei - In: Journal of Empirical Finance 31 (2015) C, pp. 1-17
This paper tests a simple market fraction asset pricing model with heterogeneous agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model...
Persistent link: https://www.econbiz.de/10011263472
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The growth in equity market size and trading activity: An international study
Li, Kai - In: Journal of Empirical Finance 14 (2007) 1, pp. 59-90
Persistent link: https://www.econbiz.de/10005152356
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A Bayesian analysis of a variance decomposition for stock returns
Hollifield, Burton; Koop, Gary; Li, Kai - In: Journal of Empirical Finance 10 (2003) 5, pp. 583-601
Persistent link: https://www.econbiz.de/10005152465
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A Bayesian analysis of dual trader informativeness in futures markets
Chakravarty, Sugato; Li, Kai - In: Journal of Empirical Finance 10 (2003) 3, pp. 355-371
Persistent link: https://www.econbiz.de/10005186014
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The valuation of IPO and SEO firms
Koop, Gary; Li, Kai - In: Journal of Empirical Finance 8 (2001) 4, pp. 375-401
Persistent link: https://www.econbiz.de/10005194331
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Diversification benefits of emerging markets subject to portfolio constraints
Li, Kai; Sarkar, Asani; Wang, Zhenyu - In: Journal of Empirical Finance 10 (2003) 1-2, pp. 57-80
Persistent link: https://www.econbiz.de/10005199061