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Price and volume effects associated with listings and expirations of derivative warrants on the stock exchange of Hong Kong

Wei, K. C. John; Chan, Yue-cheong - 1997

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Political risk and stock price volatility : the case of Hong Kong

Chan, Yue-cheong - In: Pacific-Basin finance journal 4 (1996) 2, pp. 259-275

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Volatility and price change spillover effects across the developed and emerging markets

Wei, K. C. John (contributor) - In: Pacific-Basin finance journal 3 (1995) 1, pp. 113-136

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Price and volume effects associated with derivative warrant issuance on the stock exchange of Hong Kong

Chan, Yue-cheong; Wei, K. C. John - In: Journal of banking & finance 25 (2001) 8, pp. 1401-1426

Persistent link: https://www.econbiz.de/10001593997

Understanding stock market volatility : the case of Korea and Taiwan

Titman, Sheridan; Wei, K. C. John - In: Pacific-Basin finance journal 7 (1999) 1, pp. 41-66

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A GMM approach for estimation of volatility and regression models when daily prices are subject to price limits

Wei, K. C. John; Chiang, Raymond - In: Pacific-Basin finance journal 12 (2004) 4, pp. 445-461

Persistent link: https://www.econbiz.de/10002145026

The Fu (2009) positive relation between idiosyncratic volatility and expected returns is due to look-ahead bias

Park, Seongkyu; Wei, K. C. John; Zhang, Linti - In: Critical finance review 12 (2023) 1/4, pp. 57-124

Persistent link: https://www.econbiz.de/10014370370

The Fu (2009) Positive Relation between Idiosyncratic Volatility and Expected Returns Is Due to Look-Ahead Bias

Park, Seongkyu; Wei, K. C. John; Zhang, Linti - 2020

Expected idiosyncratic volatility and its positive relation to expected returns of Fu (2009) can be closely replicated, but only when we include information up to time t to estimate the idiosyncratic volatility at time t. Since this involves look-ahead bias, we re-estimate expected idiosyncratic...

Persistent link: https://www.econbiz.de/10012846905

The relationship between the option-implied volatility smile, stock returns and heterogeneous beliefs

Feng, Shu; Zhang, Yi; Friesen, Geoffrey C. - In: International review of financial analysis 41 (2015), pp. 62-73

Persistent link: https://www.econbiz.de/10011508586

An empirical examination of the relation between the option-implied volatility smile and heterogeneous beliefs

Feng, Shu; Pu, Xiaoling; Zhang, Yi - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 36-47

Persistent link: https://www.econbiz.de/10011965383