We study order aggressiveness of market-making high-frequency traders (MM-HFTs), opportunistic HFTs (Opp-HFTs), and non-HFTs. We find that MM-HFTs follow their own group's previous order submissions more than they follow other traders’ orders. Opp-HFTs and non-HFTs tend to split market orders...

This paper examines whether corporation governance structure has influence on internal audit report lag (IARL). The study studies a sample of 1244 observations from Year 2008 to Year 2011, obtained from Shenzhen Stock Exchange in China. Regression analysis indicates that firms, with fewer...

We initially derived elevation changes of Geoscience Laser Altimeter System level-2 altimetry data of Lambert Glacier overlapping footprints during each mission from 2003 to 2008. Then, surface elevation changes during every two adjacent missions were interpolated using inverse distance...

A force-driving cellular automata model considering the social force on cell movement, such as the desirous willing of a pedestrian to exit, the repulsive interaction among pedestrians or between pedestrians and obstacles, was set up to investigate the evacuation behaviors of pedestrians at a...

China’s economic transformation since 1978 has been remarkable. At the commencement of the reform period, China’s per capita GDP was lower than India’s, Pakistan’s, Indonesia’s, and Thailand’s, and about 3 per cent of that of the US. Today, it is multiples above Indian, Pakistani and...

This article discusses China’s incremental approach to SOE reform, the difficulties of continuing this approach as the need to make efficiency gains across all sectors of the economy becomes more acute, and future reform options and the challenges in carrying them out.

We develop the principal component analysis (PCA) approach to systematic liquidity measurement by introducing moving and expanding estimation windows. We evaluate these methods along with traditional estimation techniques (full sample PCA and market average) in terms of ability to explain (1)...

This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less understood. We find a return premium for commonality...

This paper implements a conditional version of the liquidity adjusted CAPM (LCAPM). The conditional LCAPM allows for a time-varying decomposition of the total illiquidity premium into a level component and three risk components. The estimated average annual total illiquidity premium for US...

This paper investigates whether investors are compensated for taking on commonality risk in equity portfolios. A large literature documents the existence and the causes of commonality in illiquidity, but the implications for investors are less understood. We find a return premium for commonality...