We conduct efficiency test using the conventional method in Chordia, Roll, and Subrahmanyam (2005) and the wavelet analysis. For the FTSE-100 futures data from January 2001 through December 2004, both approaches identify that, conditional on order imbalance, it takes about 10 minutes for the...

Through the overview of main problems existing in chives production, its current situation and history, the thesis puts forward countermeasures for developing chives industrialization in Xiaogang Town, Xiaogan City.

This study investigates Chinese equity mutual funds’ performances while holding those that are well behaved in financial disclosure (transparent) companies, so-called peace of mind investing. This study uses detailed semi-annual data on mutual funds from 2011 to 2020, and finds that holding...

Examination is made of the relative contributions to price discovery of the floor and electronically traded euro FX and Japanese yen futures markets and the corresponding retail on‐line foreign exchange spot markets. GLOBEX electronic futures contracts provide the most price discovery in the...

The landscape of China's rural land market has been changed by several significant land right reforms since 1970s. It is always of great interest to both the government and the public to gauge the effectiveness of these reforms. We address this question by investigating the impact of a recent...

I investigate the relation between returns and volatility at daily to 1-min intervals for VIX ETNs (like ETFs) and futures. As VIX is the implied volatility index and also known as “fear gauge”, this study is on relation between returns of volatility and volatilities of volatility. I find...

We test the hypothesis that retail investors' attraction to lottery stocks induces overvaluation, and is amplified by high attention and social interactions. The lottery premium (negative abnormal returns) is stronger for high-retail-ownership stocks—especially those that also have high...

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate...

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate...

We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate...