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Investor attention shocks and stock co-movement : substitution or reinforcement?

Hu, Yitong; Li, Xiao; Goodell, John W.; Shen, Dehua - In: International review of financial analysis 73 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012803443

Does happiness forecast implied volatility? : evidence from nonparametric wave-based Granger causality testing

Li, Yue; Goodell, John W.; Shen, Dehua - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 113-122

Persistent link: https://www.econbiz.de/10012656244

Attention allocation and international stock return comovement : evidence from the Bitcoin market

Hu, Yitong; Li, Xiao; Shen, Dehua - In: Research in international business and finance 54 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012581375

Stock crashes and jumps reactions to information demand and supply : an intraday analysis

Chu, Gang; Li, Xiao; Shen, Dehua; Zhang, Yongjie - In: Asia Pacific financial markets 28 (2021) 3, pp. 397-427

Persistent link: https://www.econbiz.de/10012599798

Does intraday time-series momentum exist in Chinese stock index futures market?

Li, Yi; Shen, Dehua; Wang, Pengfei; Zhang, Wei - In: Finance research letters 35 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012438384

Can the Baidu Index predict realized volatility in the Chinese stock market?

Zhang, Wei; Yan, Kai; Shen, Dehua - In: Financial innovation : FIN 7 (2021), pp. 1-31

This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index. Furthermore, the predictability of the Baidu Index is found to rise as the forecasting...

Persistent link: https://www.econbiz.de/10012418517

An empirical analysis of the Adaptive Market Hypothesis with calendar effects : evidence from China

Xiong, Xiong; Meng, Yongqiang; Li, Xiao; Shen, Dehua - In: Finance research letters 31 (2019), pp. 321-333

Persistent link: https://www.econbiz.de/10012421595

Can overnight return really serve as a proxy for firm-specific investor sentiment? : cross-country evidence

Xiong, Xiong; Meng, Yongqiang; Li, Xiao; Shen, Dehua - In: Journal of international financial markets, … 64 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012495692

The high-volume return premium : does it really exist in the Chinese stock market?

Zheng, Xingjian; Shen, Dehua - In: Asia Pacific financial markets 27 (2020) 2, pp. 213-230

Persistent link: https://www.econbiz.de/10012222401

Market reaction to internet news : information diffusion and price pressure

Zhang, Yongjie; Song, Weixin; Shen, Dehua; Zhang, Wei - In: Economic modelling 56 (2016), pp. 43-49

Persistent link: https://www.econbiz.de/10011645851