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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

Price discovery in the US treasury market : automation vs. intermediation

Man, Kasing; Wang, Junbo; Wu, Chunchi - In: Management science : journal of the Institute for … 59 (2013) 3, pp. 695-714

Persistent link: https://www.econbiz.de/10009731238

Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components

Man, Kasing; Wu, Chunchi - In: Journal of forecasting 29 (2010) 7, pp. 595-616

Persistent link: https://www.econbiz.de/10008935450

International trade relations and the contagious effects of the Asian financial crisis

Wu, Chunchi - In: Review of Pacific Basin financial markets and policies 3 (2000) 3, pp. 367-399

Persistent link: https://www.econbiz.de/10001535922

The effect of income smoothing on stock price

Wu, Chunchi - In: Advances in quantitative analysis of finance and … 7 (1999), pp. 83-96

Persistent link: https://www.econbiz.de/10001409330

Small trades and volatility increases after stock splits

Chen, Chun-nan; Wu, Chunchi - In: International review of economics & finance : IREF 18 (2009) 4, pp. 592-610

Persistent link: https://www.econbiz.de/10003902672

Are liquidity and counterparty risk priced in the credit default swap market?

Pu, Xiaoling; Wang, Junbo; Wu, Chunchi - In: The journal of fixed income 20 (2010/11) 4, pp. 59-79

Persistent link: https://www.econbiz.de/10009007990

Stochastic volatility, liquidity and intraday information flow

Li, Jinliang; Wu, Chunchi - In: Applied economics letters 18 (2011) 16/18, pp. 1511-1515

Persistent link: https://www.econbiz.de/10009383452

Do macroeconomic variables matter for pricing default risk?

Xie, Yan Alice; Shi, Jian; Wu, Chunchi - In: International review of economics & finance : IREF 17 (2008) 2, pp. 279-291

Persistent link: https://www.econbiz.de/10003749760

The dynamics of dividends, earnings and prices : evidence and implications for dividend smoothing and signaling

Chen, Chung; Wu, Chunchi - In: Journal of empirical finance 6 (1999) 1, pp. 29-58

Persistent link: https://www.econbiz.de/10001426350