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Is Illiquidity a Risk Factor? A Critical Look at Commission Costs

Li, Jinliang - 2012

A quarterly time series of the aggregate commission rate for NYSE trading over 1980-2003 allowed an investigation of the information conveyed by this liquidity risk metric and analysis of its critical role in the generation of stock returns. The aggregate commission rate was found to be highly...

Persistent link: https://www.econbiz.de/10012755355

The information content of the NCREIF index

Li, Jinliang; Mooradian, Robert M.; Yang, Shiawee - In: The journal of real estate research 31 (2009) 1, pp. 93-116

Persistent link: https://www.econbiz.de/10003831660

Bounded influence estimator for GARCH models : evidence from foreign exchange rates

Li, Jinliang; Kao, Chihwa; Zhang, Wei - In: Applied economics 42 (2010) 10/12, pp. 1437-1445

Persistent link: https://www.econbiz.de/10008658420

Margin borrowing, stock returns, and market volatility : evidence from margin credit balance

Zhang, Wei; Seyedian, Mojtaba; Li, Jinliang - In: Economics letters 87 (2005) 2, pp. 273-278

Persistent link: https://www.econbiz.de/10002837472

Intradaily periodicity and volatility spillovers between international stock index futures markets

Wu, Chunchi; Li, Jinliang; Zhang, Wei - In: The journal of futures markets 25 (2005) 6, pp. 553-585

Persistent link: https://www.econbiz.de/10002846393

To trade or not to trade : the effect of broker search and discretionary trading on securities market performance

Zhang, Wei; Li, Jinliang; Wu, Chunchi - In: The financial review : the official publication of the … 39 (2004) 2, pp. 271-292

Persistent link: https://www.econbiz.de/10002041241

The Information Content of the NCREIF Index

Li, Jinliang - 2012

Council of Real Estate Investment Fiduciaries (NCREIF) index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroscedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the...

Persistent link: https://www.econbiz.de/10013116718