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Industry Cash Flow Volatility and Stock Price Crash Risk

Bing, Wang; Ho (何), Kung-Cheng (恭政); Liu, Xinyu; … - 2023

This study examines the effect of industry cash flow volatility on the risks of stock price crash by investigating Chinese A-share listed companies from 2005 to 2015. Findings reveal that increases in the degree of volatility in industry cash flow significantly increase the risk of a stock price...

Persistent link: https://www.econbiz.de/10014256446

Estimation of volatility functions in jump diffusions using truncated bipower increments

Kim, Jihyun; Park, Joon Y.; Wang, Bin - In: Econometric theory 37 (2021) 5, pp. 926-958

Persistent link: https://www.econbiz.de/10012656389

Nonparametric estimation of jump diffusion models

Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715

Persistent link: https://www.econbiz.de/10012619778

Estimation of volatility functions in jump diffusions using truncated bipower increments

Kim, Jihyun; Park, Joon Y.; Wang, Bin - 2020

Persistent link: https://www.econbiz.de/10012216029

Testing for the presence of jump components in jump diffusion models

Wang, Bin; Zheng, Xu - In: Journal of econometrics 230 (2022) 2, pp. 483-509

Persistent link: https://www.econbiz.de/10013464085

Margin trading system as stock market stabiliser : evidence based on CSI 300 index

Li, Zhuwei; He, Rong; Wang, Baolu; Li, Yushan; Gu, Yu - In: Spanish journal of finance & accounting : the official … 51 (2022) 3, pp. 371-388

Persistent link: https://www.econbiz.de/10013357130

Bid-ask spread, strike prices and risk-neutral densities

Liu, Xiaoquan - In: Applied financial economics 17 (2007) 10/12, pp. 887-900

Persistent link: https://www.econbiz.de/10003538047

A pricing kernel approach to valuing options on interest rate futures

Liu, Xiaoquan; Kuo, Jing-Ming; Coakley, Jerry - In: The European journal of finance 21 (2015) 1/3, pp. 93-110

Persistent link: https://www.econbiz.de/10010519972

Do intraday data contain more information for volatility forecasting? : evidence from the Chinese commodity futures market

Jiang, Ying; Liu, Xiaoquan; Ye, Wuyi - In: Applied economics letters 22 (2015) 1/3, pp. 218-222

Persistent link: https://www.econbiz.de/10010481970

The model-free measures and the volatility spread

Chen, Jian; Liu, Xiaoquan - In: Applied economics letters 17 (2010) 16/18, pp. 1829-1833

Persistent link: https://www.econbiz.de/10009232136

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