Narrow search
Showing 11 - 20 of 95
Cover Image
Is Illiquidity a Risk Factor? A Critical Look at Commission Costs
Li, Jinliang - 2012
A quarterly time series of the aggregate commission rate for NYSE trading over 1980-2003 allowed an investigation of the information conveyed by this liquidity risk metric and analysis of its critical role in the generation of stock returns. The aggregate commission rate was found to be highly...
Persistent link: https://www.econbiz.de/10012755355
Cover Image
Is Illiquidity a Risk Factor? A Critical Look at Commission Costs
Li, Jinliang; Mooradian, Robert M.; Zhang, Wei David - In: Financial analysts' journal : FAJ 63 (2007) 4, pp. 28-39
Persistent link: https://www.econbiz.de/10007766091
Cover Image
PORTFOLIO MANAGEMENT - Is Illiquidity a Risk Factor? A Critical Look at Commission Costs
Li, Jinliang; Mooradian, Robert M.; Zhang, Wei David - In: Financial analysts' journal : FAJ 63 (2007) 4, pp. 28-39
Persistent link: https://www.econbiz.de/10007766918
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Bounded influence estimator for GARCH models : evidence from foreign exchange rates
Li, Jinliang; Kao, Chihwa; Zhang, Wei - In: Applied economics 42 (2010) 10/12, pp. 1437-1445
Persistent link: https://www.econbiz.de/10008658420
Cover Image
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
Cover Image
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
Cover Image
Intradaily periodicity and volatility spillovers between international stock index futures markets
Wu, Chunchi; Li, Jinliang; Zhang, Wei - In: The journal of futures markets 25 (2005) 6, pp. 553-585
Persistent link: https://www.econbiz.de/10002846393