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Transaction costs and price volatility : new evidence from the Tokyo stock exchange

Liu, Shinhua; Zhu, Zhen - In: Journal of financial services research : JFSR 36 (2009) 1, pp. 65-83

Persistent link: https://www.econbiz.de/10003870093

Correlations in returns and volatilities in Pacific-Rim stock markets

Tay, Nicholas S. P.; Zhu, Zhen - In: Open economies review 11 (2000) 1, pp. 27-47

Persistent link: https://www.econbiz.de/10001473360

Natural gas price, market fundamentals and hedging effectiveness

Song Zan Chiou Wei; Chen, Sheng-Hung; Zhu, Zhen - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 321-337

Persistent link: https://www.econbiz.de/10012431299

Transaction Costs and Price Volatility : New Evidence from the Tokyo Stock Exchange

Liu, Shinhua - 2010

We investigate the volatility impacts of the full commission deregulation in Japan in October 1999, and find that the deregulation overall tends to significantly increase price volatility in the Japanese equity market, using alternative model specifications and control variables. This finding...

Persistent link: https://www.econbiz.de/10013138506

Asymmetric extreme risk spillovers between the Chinese stock market and index futures market : an MV-CAViaR based intraday CoVaR approach

Jian, Zhihong; Wu, Shuai; Zhu, Zhican - In: Emerging markets review 37 (2018), pp. 98-113

Persistent link: https://www.econbiz.de/10012114983

Extreme risk transmission channels between the stock index futures and spot markets : evidence from China

Jian, Zhihong; Li, Xupei; Zhu, Zhican - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013413574