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Daily return volatility, bid-ask spreads, and information flow : analyzing the information content of volume

Li, Jinliang; Wu, Chunchi - In: The journal of business : B 79 (2006) 5, pp. 2697-2739

Persistent link: https://www.econbiz.de/10003406554

Cash trading and index futures price volatility

Li, Jinliang - In: The journal of futures markets 31 (2011) 5, pp. 465-486

Persistent link: https://www.econbiz.de/10009009223

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

Information flow, volatility and spreads of infrequently traded Nasdaq stocks

Wu, Chunchi - In: The quarterly review of economics and finance : journal … 44 (2004) 1, pp. 20-43

Persistent link: https://www.econbiz.de/10001961704

Cash Trading and Index Futures Price Volatility

Li, Jinliang - 2013

This study examines the effect of cash market liquidity on the volatility of stock index futures. Two facets of cash market liquidity are considered: (1) the level of liquidity trading proxied by the expected New York Stock Exchange (NYSE) trading volume and (2) the noise composition of trading...

Persistent link: https://www.econbiz.de/10013072266

Time and dynamic volume-volatility relation

Xu, Xiaoqing Eleanor; Chen, Peter; Wu, Chunchi - In: Journal of banking & finance 30 (2006) 5, pp. 1535-1558

Persistent link: https://www.econbiz.de/10003319376

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

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

The informativeness of corporate bond trades

Chen, Peter; Wang, Junbo; Wu, Chunchi - In: Review of Pacific Basin financial markets and policies 14 (2011) 3, pp. 367-428

Persistent link: https://www.econbiz.de/10009312112

Liquidity, credit quality, and the relation between volatility and trading activity : evidence from the corporate bond market

Wang, Junbo; Wu, Chunchi - In: Journal of banking & finance 50 (2015), pp. 183-203

Persistent link: https://www.econbiz.de/10010509587