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No News Is Not Good News : Evidence from the Intraday Return Volatility - Volume Relationship in Shanghai Stock Exchange

Krishnamurti, Chandrasekhar - 2014

Through this research, we find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets. Further examination of this phenomenon...

Persistent link: https://www.econbiz.de/10013060597

No news is not good news : evidence from the intra-day return volatility-volume relationship in Shanghai stock exchange

Krishnamurti, Chandrasekhar; Tian, Gary Gang; Xu, Min; … - In: Journal of the Asia Pacific economy 18 (2013) 1, pp. 149-167

Persistent link: https://www.econbiz.de/10015179982

Target-based investment for long-term investors under stochastic volatility

Pelsser, Antoon André Jean; Yang, Li - 2023

Persistent link: https://www.econbiz.de/10014458738

The impact of institutions and exchange rate volatility on China’s outward FDI

Li, Yang; Rengifo, Erick W. - In: Emerging markets finance & trade : a journal of the … 54 (2018) 10/11/12, pp. 2778-2798

Persistent link: https://www.econbiz.de/10012125131

Hedging crude oil using refined product : a regime switching asymmetric DCC approach

Pan, Zhiyuan; Wang, Yudong; Li, Yang - In: Energy economics 46 (2014), pp. 472-484

Persistent link: https://www.econbiz.de/10011298957

Volatility spillovers among the U.S. and Asian stock markets : a comparison between the periods of Asian currency crisis and subprime credit crisis

Lien, Da-hsiang Donald; Lee, Geul; Li, Yang; Zhang, Yuyin - In: The North American journal of economics and finance : a … 46 (2018), pp. 187-201

Persistent link: https://www.econbiz.de/10012036617

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312

Alternative settlement methods and Australian individual share futures contracts

Lien, Da-hsiang Donald; Li, Yang - In: Journal of international financial markets, … 14 (2004) 5, pp. 473-490

Persistent link: https://www.econbiz.de/10002187102

Availability and settlement of individual stock futures and options expiration-day effects : evidence from high-frequency data

Lien, Da-hsiang Donald; Li, Yang - In: The quarterly review of economics and finance : journal … 45 (2005) 4/5, pp. 730-747

Persistent link: https://www.econbiz.de/10003099292

Intraday return and volatility spill-over across international copper futures markets

Lien, Da-hsiang Donald; Li, Yang - In: International journal of managerial finance : IJMF 5 (2009) 1, pp. 135-149

Persistent link: https://www.econbiz.de/10003935287