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Theories of risk : testing investor behavior on the Taiwan stock and stock index futures markets

Clark, Ephraim; Qiao, Zhuo; Wong, Wing Keung - In: Economic inquiry : journal of the Western Economic … 54 (2016) 2, pp. 907-924

Persistent link: https://www.econbiz.de/10011551910

Revisit of the volume versus GARCH effects by univariate and bivariate GARCH models : evidence from US stock markets

Wong, Wing Keung; Penm, Jack H. W.; Qiao, Zhuo - In: International economics & finance journal : (IEFJ) 1 (2006) 1, pp. 47-66

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Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market

Qiao, Zhuo; Chiang, Thomas C.; Wong, Wing Keung - In: Journal of international financial markets, … 18 (2008) 5, pp. 425-437

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Examining the day-of-the-week effects in Chinese stock markets : new evidence from a stochastic dominance approach

Qiao, Zhuo; Qiao, Weiwei; Wong, Wing Keung - In: Global economic review 40 (2011) 3, pp. 251-267

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Examining stock volatility in the segmented Chinese stock markets : a SWARCH approach

Qiao, Zhuo; Qiao, Weiwei; Wong, Wing Keung - In: Global economic review 39 (2010) 3, pp. 225-246

Persistent link: https://www.econbiz.de/10008936717

Regime-dependent relationships among the stock markets of the US, Australia and New Zealand : a Markov-switching VAR approach

Qiao, Zhuo; Li, Yuming; Wong, Wing Keung - In: Applied financial economics 21 (2011) 22/24, pp. 1831-1841

Persistent link: https://www.econbiz.de/10009384755

Stochastic dominance relationships between stock and stock index futures markets : international evidence

Qiao, Zhuo; Wong, Wing Keung; Fung, Joseph K. W. - In: Economic modelling 33 (2013), pp. 552-559

Persistent link: https://www.econbiz.de/10010193326

Policy change and lead-lag relations among China's segmented stock markets

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Theories of Risk : Testing Investor Behaviour on the Taiwan Stock and Stock Index Futures Markets

Clark, Ephraim - 2017

Investor behavior towards risk lies at the heart of economic decision making in general and modern investment theory and practice in particular. This paper uses both the mean-variance (MV) criterion and stochastic dominance (SD) procedures to analyze the preferences for four of the most widely...

Persistent link: https://www.econbiz.de/10012942924

Regime-Dependent Relationships Among the Stock Markets of the US, Australia, and New Zealand : A Markov Switching VAR Approach

Qiao, Zhuo - 2011

Adopting a MS-VAR model (Krolzig, 1997) and a recently developed regime-dependent impulse response analysis technique (Ehrmann, et al., 2003), this paper investigates the dynamic relationships among the stock markets of the US, Australia and New Zealand. Our results reveal the existence of two...

Persistent link: https://www.econbiz.de/10013124196