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No news is not good news: evidence from the intra-day return volatility-volume relationship in Shanghai stock exchange

Krishnamurti, Chandrasekhar; Tian, Gary Gang; Xu, Min; … - In: Journal of the Asia Pacific economy 18 (2013) 1, pp. 149-167

Persistent link: https://www.econbiz.de/10009713176

No News Is Not Good News : Evidence from the Intraday Return Volatility - Volume Relationship in Shanghai Stock Exchange

Krishnamurti, Chandrasekhar - 2014

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon...

Persistent link: https://www.econbiz.de/10013060597

Dynamic dependence between liquidity and the S&P 500 index futures-cash basis

Lien, Da-hsiang Donald; Lim, Gerui; Li, Yang; Zhou, Chunyang - In: The journal of futures markets 33 (2013) 4, pp. 327-342

Persistent link: https://www.econbiz.de/10009725623

Oil price shocks and stock market activities : evidence from oil-importing and oil-exporting countries

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: Journal of comparative economics : the journal of the … 41 (2013) 4, pp. 1220-1239

Persistent link: https://www.econbiz.de/10010227914

Return autocorrelations on individual stocks and corresponding futures : evidence from Australian, Hong Kong, and United Kingdom markets

Lien, Da-hsiang Donald; Li, Yang - In: Review of Pacific Basin financial markets and policies 7 (2004) 3, pp. 397-422

Persistent link: https://www.econbiz.de/10002229060

Alternative settlement methods and Australian individual share futures contracts

Lien, Da-hsiang Donald; Li, Yang - In: Journal of international financial markets, … 14 (2004) 5, pp. 473-490

Persistent link: https://www.econbiz.de/10002187102

Daily and intraday patterns in spread and depth for limit orders and specialists

Li, Yang; Van Ness, Bonnie F.; Van Ness, Robert A. - In: Quarterly journal of business and economics : QJBE 44 (2005) 3/4, pp. 3-14

Persistent link: https://www.econbiz.de/10003059181

Contract settlement specification and price discovery : empirical evidence in Australia individual share futures market

Lien, Da-hsiang Donald; Li, Yang - In: International review of economics & finance : IREF 12 (2003) 4, pp. 495-512

Persistent link: https://www.econbiz.de/10001891955

The Chinese stock market

Li, Yang; Liu, Fei - In: The yearbook of China's cities 1 (1997), pp. 23-26

Persistent link: https://www.econbiz.de/10001470693

The informational role of stock and warrant trades : empirical evidence from China

Zhou, Chunyang; Wu, Chongfeng; Li, Yang - In: Emerging markets finance & trade : a journal of the … 47 (2011), pp. 78-93

Persistent link: https://www.econbiz.de/10009299026