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The asymmetric impact of oil price shocks on China stock market : evidence from quantile-on-quantile regression
Ge, Zhenyu - In: The quarterly review of economics and finance : journal … 89 (2023), pp. 120-125
Persistent link: https://www.econbiz.de/10014428217
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Information asymmetry, trade size, and the dynamic volume-return relation : evidence from the Australian securities exchange
Sun, Yang; Huu Nhan Duong; Singh, Harminder - In: The financial review : the official publication of the … 49 (2014) 3, pp. 539-564
Persistent link: https://www.econbiz.de/10010401374
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Information Asymmetry, Trade Size, and the Dynamic Volume-Return Relation : Evidence from the Australian Securities Exchange
Sun, Yang - 2014
This paper investigates the influence of information asymmetry on the cross-sectional variation of volume-return relation. We find that the dynamic volume-return relation within medium-size trades has the most significant response to the degree of information asymmetry. We also show that the...
Persistent link: https://www.econbiz.de/10013053393
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The reduced-rank beta in linear stochastic discount factor models
Sun, Yang; Zhang, Xuan; Zhang, Zhekai - In: International review of financial analysis 84 (2022), pp. 1-16
Persistent link: https://www.econbiz.de/10013472971