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Investor heterogeneity and commonality in stock return and liquidity

Pan, Deng; Shi, Jing; Wu, Fei; Zhang, Bohui - In: Economic systems 39 (2015) 3, pp. 458-473

Persistent link: https://www.econbiz.de/10011532310

Stock Market Openness and Market Quality : Evidence from the Shanghai-Hong Kong Stock Connect Program

Xu, Ke - 2020

This paper studies the impact of capital market openness on high frequency market quality in China. The Shanghai-Hong Kong Stock Connect (SHHKConnect) program opens China's stock market to foreign investors and offers a natural experiment to investigate this question. Using a...

Persistent link: https://www.econbiz.de/10012840807

Sectoral contributions to systemic risk in the Chinese stock market

Wu, Fei - In: Finance research letters 31 (2019), pp. 386-390

Persistent link: https://www.econbiz.de/10012421681

Stock market integration in East and Southeast Asia: the role of global factors

Wu, Fei - In: International review of financial analysis 67 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012299157

Buy and sell dynamics following high market returns : evidence from China

Wongchoti, Udomsak; Wu, Fei; Young, Martin R. - In: International review of financial analysis 18 (2009) 1/2, pp. 12-20

Persistent link: https://www.econbiz.de/10003850293

Information, speed vs. cost trade-offs, and order routing decisions in US equity markets

Garvey, Ryan; Wu, Fei - In: Journal of empirical finance 18 (2011) 3, pp. 408-422

Persistent link: https://www.econbiz.de/10009302095

Provincial co-movement in Chinese stock returns

Wongchoti, Udomsak; Wu, Fei - In: Applied financial economics letters 4 (2008) 1/3, pp. 171-176

Persistent link: https://www.econbiz.de/10003725354

The trading behavior of institutions and individuals in Chinese equity markets

Ng, Lilian K.; Wu, Fei - In: Journal of banking & finance 31 (2007) 9, pp. 2695-2710

Persistent link: https://www.econbiz.de/10003572352

Systemic Risks and Spillovers in the Stock Market of China : A Sectoral Analysis

Wu, Fei - 2018

This paper investigates how risks spread across sectors of the stock market in China. Using graph theory and a recently developed time series technique, we are able to identify the most important sector in the market and the patterns of risk spillovers across sectors over time. Unlike the...

Persistent link: https://www.econbiz.de/10012911311

Connectedness and risk spillovers in China's stock market: a sectoral analysis

Wu, Fei; Zhang, Dayong; Zhang, Zhiwei - In: Economic systems 43 (2019) 3/4, pp. 1-14

Persistent link: https://www.econbiz.de/10012314676