After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday returns and variance ratio tests with...

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary data set consists of 5-minute returns and trading volumes for the period between January 1, 2000 and December 31, 2002, for a subset of thirty-nine stocks from the Shanghai Stock...

This Paper examines the intraday behaviors of bid/ask spreads, depths and their determinants on an order-driven market in the Shanghai Stock Exchange. Our analysis shows that the intraday 5-minute bid/ask spreads display an L-shaped pattern and the depths exhibit an inverted L-shaped pattern....

After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. The volatility of interday returns and variance ratio tests with five-minute...

This paper investigates the empirical relationship between intraday volatility and trading volume. Our primary dataset consists of 5-minute returns and trading volumes for the period between January 1, 2000 and December 31, 2002, for a subset of thirty-nine stocks from the Shanghai Stock...

After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday returns and variance ratio tests with...

A common objective in mechanism design is to choose the outcome (for example, allocation of resources) that maximizes the sum of the agents’ valuations, without introducing incentives for agents to misreport their preferences. The class of Groves mechanisms achieves this; however, these...

This paper examines the motives of debt issuance during hot-debt market periods and its impact on capital structure over the period 1970–2006. We find that perceived capital market conditions as favourable, an indication of market timing, and adverse selection costs of equity (i.e.,...

This study examines the determinants of multiple states of financial distress by applying a competing-risks model. It investigates the effect of financial ratios, market-based variables and company-specific variables, including company age, size and squared size on three different states of...

This paper examines the effect of state control and ownership structure on the leverage decision of firms listed in the Chinese stock market. Our results show that state-owned enterprises (SOEs) have higher leverage ratios than non-SOEs, and SOEs in regions with a poorer institutional...