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Intradaily periodicity and volatility spillovers between international stock index futures markets

Wu, Chunchi; Li, Jinliang; Zhang, Wei - In: The journal of futures markets 25 (2005) 6, pp. 553-585

Persistent link: https://www.econbiz.de/10002846393

When noise trading fades, volatility rises

Li, Jinliang - In: Review of quantitative finance and accounting 47 (2016) 3, pp. 475-512

Persistent link: https://www.econbiz.de/10011595653

Determinants and information of REIT pricing

Li, Jinliang; Liang Lei - In: Applied economics letters 18 (2011) 13/15, pp. 1501-1505

Persistent link: https://www.econbiz.de/10009348808

When Noise Trading Fades, Volatility Rises

Li, Jinliang - 2013

We hypothesize and test an inverse relation between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: thickness and noisiness. As represented by the expected volume (thickness) and realized average commission cost per share...

Persistent link: https://www.econbiz.de/10013072262