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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

To trade or not to trade : the effect of broker search and discretionary trading on securities market performance

Zhang, Wei; Li, Jinliang; Wu, Chunchi - In: The financial review : the official publication of the … 39 (2004) 2, pp. 271-292

Persistent link: https://www.econbiz.de/10002041241

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

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

Determinants and information of REIT pricing

Li, Jinliang; Liang Lei - In: Applied economics letters 18 (2011) 13/15, pp. 1501-1505

Persistent link: https://www.econbiz.de/10009348808

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

The information content of the NCREIF index

Li, Jinliang; Mooradian, Robert M.; Yang, Shiawee - In: The journal of real estate research 31 (2009) 1, pp. 93-116

Persistent link: https://www.econbiz.de/10003831660

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

The Information Content of the NCREIF Index

Li, Jinliang - 2012

Council of Real Estate Investment Fiduciaries (NCREIF) index. NCREIF total return and appreciation indexes are smooth and exhibit strong autocorrelation and autoregressive heteroscedasticity. We test the information transmission from the NAREIT index to the NCREIF index. In our VAR analysis, the...

Persistent link: https://www.econbiz.de/10013116718