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Do informed traders trade more when the market is thick? : evidence from the Nikkei 225 index redefinition of April 2000

Ahn, Hee-joon; Cai, Jun; Chung, Jay M. - In: Asia-Pacific journal of financial studies 39 (2010) 4, pp. 495-523

Persistent link: https://www.econbiz.de/10009231516

Stock returns, order imbalances, and commonality : evidence on individual, institutional, and proprietary investors in China

Bailey, Warren; Cai, Jun; Cheung, Stephen Y. L.; Wang, … - In: Journal of banking & finance 33 (2009) 1, pp. 9-19

Persistent link: https://www.econbiz.de/10003802936

Explaining country and cross-border liquidity commonality in international equity markets

Zhang, Zheng; Cai, Jun; Cheung, Stephen Y. L. - In: The journal of futures markets 29 (2009) 7, pp. 630-652

Persistent link: https://www.econbiz.de/10003842932

Price clustering on the limit-order book : evidence from the stock exchange of Hong Kong

Ahn, Hee-joon; Cai, Jun; Cheung, Stephen Y. L. - In: Journal of financial markets 8 (2005) 4, pp. 421-451

Persistent link: https://www.econbiz.de/10003177625

Information-based trading in the treasury note interdealer broker market

Huang, Roger D.; Cai, Jun; Wang, Xiaozu - In: Journal of financial intermediation 11 (2002) 3, pp. 269-296

Persistent link: https://www.econbiz.de/10001718636

Foreign Investors, Private Information, and Price Discovery

Cai, Jun - 2020

We examine the relation between intra-day price discovery and proxies for financial openness and investor accessibility using a sample of intra-day price and quote data of 1,504 stocks from 23 emerging markets. We measure price discovery by weighted price contribution across segments of the...

Persistent link: https://www.econbiz.de/10012857522