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The information content in trades of inactive Nasdaq stocks

Chen, Peter; Man, Kasing; Wu, Chunchi - In: Journal of entrepreneurial finance : JEF ; official … 8 (2003) 2, pp. 25-53

In this paper we analyze the frequency and information content of small Nasdaq stock trades and their impacts on return volatility at the intraday interval. We employ an autoregressive conditional duration (ACD) model to estimate the intensity of the arrival and information content of trades by...

Persistent link: https://www.econbiz.de/10009154225

Liquidity risk and expected corporate bond returns

Lin, Hai; Wang, Junbo; Wu, Chunchi - In: Journal of financial economics 99 (2011) 3, pp. 628-650

Persistent link: https://www.econbiz.de/10009242273

The informativeness of corporate bond trades

Chen, Peter; Wang, Junbo; Wu, Chunchi - In: Review of Pacific Basin financial markets and policies 14 (2011) 3, pp. 367-428

Persistent link: https://www.econbiz.de/10009312112

Counterparty credit risk in the municipal bond market

Chung, San-Lin; Kao, Chen-Wei; Wu, Chunchi; Yeh, Chung-Ying - In: The journal of fixed income 25 (2015) 1, pp. 7-33

Persistent link: https://www.econbiz.de/10011399821

Price discovery in the US treasury market : automation vs. intermediation

Man, Kasing; Wang, Junbo; Wu, Chunchi - In: Management science : journal of the Institute for … 59 (2013) 3, pp. 695-714

Persistent link: https://www.econbiz.de/10009731238

Default prediction with dynamic sectoral and macroeconomic frailties

Chen, Peimin; Wu, Chunchi - In: Journal of banking & finance 40 (2014), pp. 211-226

Persistent link: https://www.econbiz.de/10010402234

Liquidity, credit quality, and the relation between volatility and trading activity : evidence from the corporate bond market

Wang, Junbo; Wu, Chunchi - In: Journal of banking & finance 50 (2015), pp. 183-203

Persistent link: https://www.econbiz.de/10010509587

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

Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components

Man, Kasing; Wu, Chunchi - In: Journal of forecasting 29 (2010) 7, pp. 595-616

Persistent link: https://www.econbiz.de/10008935450

Price volatility in the context of market microstructure

Lerner, Peter; Wu, Chunchi - In: Stock market volatility, (pp. 51-69). 2009

Persistent link: https://www.econbiz.de/10003830405