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Is there a bright side to the aggregate volatility risk of the bank system? : a new perspective from corporate innovation quality in China

Ling, Aifan; Zhou, Jia; Lai, Shaojie; Xing, Kai - In: Emerging markets, finance & trade : a journal of the … 60 (2024) 2, pp. 371-387

Persistent link: https://www.econbiz.de/10014513843

The reverse volatility asymmetry in Chinese financial market

Wan, Die; Cheng, Ke; Yang, Xiaoguang - In: Applied financial economics 24 (2014) 22/24, pp. 1555-1575

Persistent link: https://www.econbiz.de/10010460962

Measurement of individual investor sentiment and its application : evidence from Chinese stock message board

Huang, Chuangxia; Wen, Shigang; Yang, Xin; Cao, Jinde; … - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 3, pp. 681-691

Persistent link: https://www.econbiz.de/10012821597

Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions

Yang, Xin; Chen, Shan; Liu, Hong; Yang, Xiaoguang; … - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1201-1213

Persistent link: https://www.econbiz.de/10014253375

Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network

Huang, Chuangxia; Zhao, Xian; Deng, Yunke; Yang, Xiaoguang - In: International review of economics & finance : IREF 78 (2022), pp. 81-94

Persistent link: https://www.econbiz.de/10013334544

Crude oil market autocorrelation : evidence from multiscale quantile regression analysis

Sun, Jie; Zhao, Xiaojun; Xu, Chao - In: Energy economics 98 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012822032

The Intensity of High-Frequency Feedback Trading and its Impact on Market Quality

Wan, Die - 2015

Based on Level-2 transaction data of individual stocks in Chinese market, the paper constructs measures to directly estimate positive feedback trading intensity and its asymmetry in high-frequency intervals, and then investigates the impact of feedback trading on market quality. Heterogeneous...

Persistent link: https://www.econbiz.de/10013010170

Price Jumps and the Related Liquidity Dynamics : Evidences from Chinese Stock Market

Wan, Die - 2014

Using 9559 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, the paper investigates the liquidity dynamics around price jumps in Chinese market. By event study method and regression method, some interesting empirical results are obtained. The trading...

Persistent link: https://www.econbiz.de/10013055845