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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

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

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

Are liquidity and information risks priced in the treasury bond market?

Li, Haitao; Wang, Junbo; Wu, Chunchi; He, Yan - In: The journal of finance : the journal of the American … 64 (2009) 1, pp. 467-503

Persistent link: https://www.econbiz.de/10003853125

Order imbalance, liquidity, and returns of the US Treasury market

Wang, Junbo; Wu, Chunchi; Yu, Eden Siu-hung - In: Review of Pacific Basin financial markets and policies 15 (2012) 2, pp. 1-39

Persistent link: https://www.econbiz.de/10009574418

Extreme illiquidity and cross-sectional corporate bond returns

Chen, Xi; Wang, Junbo; Wu, Chunchi; Wu, Di - In: Journal of financial markets 68 (2024), pp. 1-27

Persistent link: https://www.econbiz.de/10014491074

Asset pricing tests of infrequently traded securities : the case of municipal bonds

Chen, Yao-Tsung; Wu, Chunchi; Yeh, Chung-Ying - In: Review of asset pricing studies : RAPS 12 (2022) 3, pp. 754-807

Persistent link: https://www.econbiz.de/10013349366