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Cash trading and index futures price volatility

Li, Jinliang - In: The journal of futures markets 31 (2011) 5, pp. 465-486

Persistent link: https://www.econbiz.de/10009009223

When noise trading fades, volatility rises

Li, Jinliang - In: Review of quantitative finance and accounting 47 (2016) 3, pp. 475-512

Persistent link: https://www.econbiz.de/10011595653

Daily return volatility, bid-ask spreads, and information flow : analyzing the information content of volume

Li, Jinliang; Wu, Chunchi - In: The journal of business : B 79 (2006) 5, pp. 2697-2739

Persistent link: https://www.econbiz.de/10003406554

Stochastic volatility, liquidity and intraday information flow

Li, Jinliang; Wu, Chunchi - In: Applied economics letters 18 (2011) 16/18, pp. 1511-1515

Persistent link: https://www.econbiz.de/10009383452

Margin borrowing, stock returns, and market volatility : evidence from margin credit balance

Zhang, Wei; Seyedian, Mojtaba; Li, Jinliang - In: Economics letters 87 (2005) 2, pp. 273-278

Persistent link: https://www.econbiz.de/10002837472

Cash Trading and Index Futures Price Volatility

Li, Jinliang - 2013

This study examines the effect of cash market liquidity on the volatility of stock index futures. Two facets of cash market liquidity are considered: (1) the level of liquidity trading proxied by the expected New York Stock Exchange (NYSE) trading volume and (2) the noise composition of trading...

Persistent link: https://www.econbiz.de/10013072266

Daily Return Volatility, Bid-Ask Spreads, and Information Flow : Analyzing the Information Content of Volume

Li, Jinliang - 2013

This paper examines the relationship among daily information flow, return volatility, and bid-ask spreads based on the framework of the mixture of distribution hypothesis (MDH). The MDH model is modified to permit separate effects of informed and liquidity trading volume on return volatility....

Persistent link: https://www.econbiz.de/10013072269