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Economic policy uncertainty, oil price volatility and stock market returns : evidence from a nonlinear model

Liu, Xiaojun; Wang, Yunyuan; Du, Wanying; Ma, Yong - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013539015

Economic Policy Uncertainty, Macroeconomic Environment and Stock Price Crash Risk : Evidence from China

Ma, Yong; Liu, Xiaojun; Xu, Weidong - 2023

This paper examines how the macroeconomic environment affects crash risk-policy uncertainty sensitivity. We document that policy uncertainty heightens crash risk, while economic growth diminishes crash risk-policy uncertainty sensitivity through the managers’ policy risk perception channel....

Persistent link: https://www.econbiz.de/10014354005

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

Investor sentiment and value and growth stock index options

Coakley, Jerry; Dotsis, George; Liu, Xiaoquan; Zhai, Jia - In: The European journal of finance 20 (2014) 10/12, pp. 1211-1229

Persistent link: https://www.econbiz.de/10010465894

Industry cash flow volatility and stock price crash risk

Wang, Bing; Ho, Kung-Cheng; Liu, Xinyu; Gu, Yan - In: Managerial and decision economics : MDE ; the … 43 (2022) 2, pp. 356-371

Persistent link: https://www.econbiz.de/10012818474

Herding and market volatility

Fei, Tianlun; Liu, Xiaoquan - In: International review of financial analysis 78 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013252516

Procyclical volatility in Chinese stock markets

Deschamps, Bruno; Fei, Tianlun; Jiang, Ying; Liu, Xiaoquan - In: Review of quantitative finance and accounting 58 (2022) 3, pp. 1117-1144

Persistent link: https://www.econbiz.de/10013191850