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Dependence structure between China's stock market and other major stock markets before and after the 2008 financial crisis

Ji, Hao; Wang, Hao; Xu, Jia; Liseo, Brunero - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 11, pp. 2608-2624

Persistent link: https://www.econbiz.de/10012262880

The asymmetric contagion effect between stock market and cryptocurrency market

Wang, Hao; Wang, Xiaoqian; Yin, Siyuan; Ji, Hao - In: Finance research letters 46 (2022) 1, pp. 1-12

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Credit default swap spreads and variance risk premia

Wang, Hao; Zhou, Hao; Zhou, Yi - In: Journal of banking & finance 37 (2013) 10, pp. 3733-3746

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Jump tail dependence in the Chinese stock market

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Pervasive underreaction : Evidence from high-frequency data

Jiang, Hao - 2020

We propose a novel high-frequency decomposition of daily stock returns into news- and non-news-driven components, and uncover evidence of pervasive stock market underreaction to firm news. Prices tend to drift in the same direction as the initial market response for several days after the news...

Persistent link: https://www.econbiz.de/10012855933

Pervasive underreaction : evidence from high-frequency data

Jiang, Hao; Li, Sophia Zhengzi; Wang, Hao - In: Journal of financial economics 141 (2021) 2, pp. 573-599

Persistent link: https://www.econbiz.de/10013259814