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Asymmetric information and the bid-ask spread : an empirical comparison between automated order execution and open outcry auction
Wang, Jian-xin - In: Journal of international financial markets, … 9 (1999) 2, pp. 115-128
Persistent link: https://www.econbiz.de/10001402120
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Housewives of Tokyo versus the gnomes of Zurich : measuring price discovery in sequential markets
Wang, Jian-xin; Yang, Minxian - In: Journal of financial markets 14 (2011) 1, pp. 82-108
Persistent link: https://www.econbiz.de/10009267110
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Order flow and the bid-ask spread : an empirical probability model of screen-based trading
Bollerslev, Tim - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1471-1491
Persistent link: https://www.econbiz.de/10001222036
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The predictability of Asian exchange rates : evidence from Kalman filter and ARCH estimations
Wang, Jian-xin - In: Journal of multinational financial management 7 (1997) 3, pp. 231-252
Persistent link: https://www.econbiz.de/10001237587
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Auctions as algorithms : computerized trade execution and price discovery
Domowitz, Ian - In: Journal of economic dynamics & control 18 (1994) 1, pp. 29-60
Persistent link: https://www.econbiz.de/10001148515
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Essays on trading mechanisms and price discovery in financial markets
Wang, Jian-xin - 1994
Persistent link: https://www.econbiz.de/10000916412
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How well does the weighted price contribution measure price discovery?
Wang, Jian-xin; Yang, Minxian - In: Journal of economic dynamics & control 55 (2015), pp. 113-129
Persistent link: https://www.econbiz.de/10011587172
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Hedging pressure and oil volatility : insurance versus liquidity demands
Nikitopoulos, Christina Sklibosios; Thomas, Alice Carole; … - In: The journal of futures markets 44 (2024) 2, pp. 252-280
Persistent link: https://www.econbiz.de/10014475470
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Measuring Common and Market-Specific Information Flows
Wang, Jian-Xin; Yang, Minxian; Zhang, Qi - 2022
This study introduces a model that estimates the common and market-specific information flows when an asset is traded simultaneously in multiple markets. Cross-market return correlations are determined by a latent common information factor. The common and market-specific information flows are...
Persistent link: https://www.econbiz.de/10013306120
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Internal coalition and stock price crash risk
Xu, Lin; Rao, Yulei; Cheng, Yingmei; Wang, Jianxin - In: The journal of corporate finance : contracting, … 64 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012295788