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Information spillover effect and autoregressive conditional duration models

Liu, Xiangli; Wang, Shouyang; Hong, Yongmiao; Liu, Yanhui - 2014 - First edition.

chapter 1 Introduction -- chapter 2 Methodology to detect extreme risk spillover -- chapter 3 VaR estimation -- chapter 4 Extreme risk spillover between Chinese stock markets and international stock markets -- chapter 5 Information spillover effects between Chinese futures market and spot market...

Persistent link: https://www.econbiz.de/10013183593

Asymmetries in stock returns : statistical tests and economic evaluation

Hong, Yongmiao; Tu, Jun; Zhou, Guofu - In: The review of financial studies 20 (2007) 5, pp. 1547-1581

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How smooth is price discovery? : evidence from cross-listed stock trading

Chen, Haiqiang; Choi, Paul Moon Sub; Hong, Yongmiao - In: Journal of international money and finance 32 (2013), pp. 668-699

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Risk-return trade-off, information diffusion, and U.S. stock market predictability

Xie, Haibin; Wang, Shouyang - In: International journal of financial engineering 2 (2015) 4, pp. 1-20

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Portfolio selection and asset pricing

Wang, Shouyang; Xia, Yusen - 2002

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Causal linkages among Shanghai, Shenzhen, and Hong Kong stock markets

Zhu, Hongquan; Lu, Zu-di; Wang, Shouyang; Soofi, Abdollah S. - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 135-149

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Uncertainty shocks of Trump election in an interval model of stock market

Sun, Yuying; Qiao, Kenan; Wang, Shouyang - In: Quantitative finance 21 (2021) 5, pp. 865-879

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An investigation of return and volatility linkages among stock markets : a study of emerging Asian and selected developed countries

Bhowmik, Roni; Wang, Shouyang - In: Journal of international trade & commerce 14 (2018) 4, pp. 1-29

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An interval constraint-based trading strategy with social sentiment for the stock market

Li, Mingchen; Yang, Kun; Lin, Wencan; Wei, Yunjie; … - In: Financial innovation : FIN 10 (2024), pp. 1-31

Developing efective strategies to earn excess returns in the stock market is a cuttingedge topic in the feld of economics. At the same time, stock price forecasting that supports trading strategies is considered one of the most challenging tasks. Therefore, this study analyzes and extracts news...

Persistent link: https://www.econbiz.de/10014535397

Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets

Liu, Qing; Wang, Shouyang; Sui, Cong - In: Applied economics 55 (2023) 49, pp. 5816-5832

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