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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

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

To trade or not to trade : the effect of broker search and discretionary trading on securities market performance

Zhang, Wei; Li, Jinliang; Wu, Chunchi - In: The financial review : the official publication of the … 39 (2004) 2, pp. 271-292

Persistent link: https://www.econbiz.de/10002041241

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

Margin borrowing, stock returns, and market volatility : evidence from margin credit balance

Zhang, Wei; Seyedian, Mojtaba; Li, Jinliang - In: Economics letters 87 (2005) 2, pp. 273-278

Persistent link: https://www.econbiz.de/10002837472

The effect of income smoothing on stock price

Wu, Chunchi - In: Advances in quantitative analysis of finance and … 7 (1999), pp. 83-96

Persistent link: https://www.econbiz.de/10001409330

When Noise Trading Fades, Volatility Rises

Li, Jinliang - 2013

We hypothesize and test an inverse relation between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: thickness and noisiness. As represented by the expected volume (thickness) and realized average commission cost per share...

Persistent link: https://www.econbiz.de/10013072262

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

The determinants of corporate bond yields

Liu, Sheen; Shi, Jian; Wang, Junbo; Wu, Chunchi - In: The quarterly review of economics and finance : journal … 49 (2009) 1, pp. 85-109

Persistent link: https://www.econbiz.de/10003810593

Reduced-form valuation of callable corporate bonds : theory and evidence

Jarrow, Robert A.; Li, Haitao; Liu, Sheen; Wu, Chunchi - In: Journal of financial economics 95 (2010) 2, pp. 227-248

Persistent link: https://www.econbiz.de/10003939586