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The comparison study of liquidity measurements on the Chinese stock markets

Gao, Yang; Zhao, Wandi; Wang, Mingjin - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 2, pp. 483-511

Persistent link: https://www.econbiz.de/10012802098

Dynamic patterns and the latent community structure of sectoral volatility and jump risk contagion

Zhao, Wandi; Gao, Yang - In: Emerging markets review 59 (2024), pp. 1-30

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Effects of investor sentiment on stock volatility : new evidences from multi-source data in China's green stock markets

Gao, Yang; Zhao, Chengjie; Sun, Bianxia; Zhao, Wandi - In: Financial innovation : FIN 8 (2022), pp. 1-30

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic field and the real financial industry. With the proposal of China's "dual carbon" target, green stocks have gradually become an essential branch of Chinese stock markets. Focusing...

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Measuring liquidity with return volatility : an analytical approach based on heavy-tailed Censored-GARCH model

Zhao, Wandi; Gao, Yang; Wang, Mingjin - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013538992

Network connectedness and the contagion structure of informed trading : evidence from the time and frequency domains

Zhao, Wandi; Gao, Yang - In: International review of financial analysis 90 (2023), pp. 1-15

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