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The information content in trades of inactive Nasdaq stocks

Chen, Peter; Man, Kasing; Wu, Chunchi - In: Journal of entrepreneurial finance : JEF ; official … 8 (2003) 2, pp. 25-53

In this paper we analyze the frequency and information content of small Nasdaq stock trades and their impacts on return volatility at the intraday interval. We employ an autoregressive conditional duration (ACD) model to estimate the intensity of the arrival and information content of trades by...

Persistent link: https://www.econbiz.de/10009154225

The US and Greek stock markets and the transmission of information between them : a narrative approach

Niarchos, Nikētas; Tse, Yiuman; Wu, Chunchi; Young, Allan - In: Global financial markets and economic development, (pp. 195-201). 2000

Persistent link: https://www.econbiz.de/10003333456

Is stock price rounded for economic reasons in the Chinese markets?

He, Yan; Wu, Chunchi - In: Global finance journal 17 (2006) 1, pp. 119-135

Persistent link: https://www.econbiz.de/10003381806

Price volatility in the context of market microstructure

Lerner, Peter; Wu, Chunchi - In: Stock market volatility, (pp. 51-69). 2009

Persistent link: https://www.econbiz.de/10003830405

An explanation of the volatility disparity between the domestic and foreign shares in the Chinese stock markets

He, Yan; Wu, Chunchi; Chen, Yea-mow - In: International review of economics & finance : IREF 12 (2003) 2, pp. 171-186

Persistent link: https://www.econbiz.de/10001778664

The performance of East Asian Economies and financial markets since the 1997 financial crisis

Wu, Chunchi; Chen, Chun-nan; He, Yan - In: Review of Pacific Basin financial markets and policies 6 (2003) 2, pp. 113-140

Persistent link: https://www.econbiz.de/10001797039

What explains the bid-ask spread decline after Nasdaq reforms?

He, Yan; Wu, Chunchi - In: Financial markets, institutions & instruments 12 (2003) 5, pp. 347-376

Persistent link: https://www.econbiz.de/10001857313

Price rounding and bid-ask spreads before and after the decimalization

He, Yan; Wu, Chunchi - In: International review of economics & finance : IREF 13 (2004) 1, pp. 19-41

Persistent link: https://www.econbiz.de/10002042457

Asymmetric information transmission between a transition economy and the US market : evidence from the Warsaw Stock Exchange

Tse, Yiuman; Wu, Chunchi; Young, Allan - In: Global finance journal 14 (2003) 3, pp. 319-332

Persistent link: https://www.econbiz.de/10001977661

Dynamic relations among international stock markets

Wu, Chunchi - In: International review of economics & finance : IREF 7 (1998) 1, pp. 63-84

Persistent link: https://www.econbiz.de/10001237958