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A hidden markov model approach to information-based trading : theory and applications

Yin, Xiangkang; Zhao, Jing - In: Journal of applied econometrics 30 (2015) 7, pp. 1210-1234

Persistent link: https://www.econbiz.de/10011431764

Factor reversal in the euro zone stock returns : evidence from the crisis period

Chou, Hsin-I; Zhao, Jing; Suardi, Sandy - In: Journal of international financial markets, … 33 (2014), pp. 28-55

Persistent link: https://www.econbiz.de/10011299871

Factors driving European stock returns : evidence from shift-share decomposition

Chiang, Shu-hen; Liu, Wenchien; Suardi, Sandy; Zhao, Jing - 2017

Persistent link: https://www.econbiz.de/10011887076

Factor Reversal in the Euro Zone Stock Returns : Evidence from the Crisis Period

Chou, Hsin-I - 2012

The introduction of the common currency in the Euro zone has led to a shift in factor importance from country to industry effects. Nevertheless, there is overwhelming evidence that the recent spate of crises has engendered a reversal in factor importance, returning it to country effect. This...

Persistent link: https://www.econbiz.de/10013098895

Information-based trading and information propagation: evidence from the exchange traded fund market

Xu, Liao; Xu, Lu; Zhao, Jing; Zhao, Yang - In: International review of financial analysis 70 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012317397

Does program trading contribute to excess comovement of stock returns?

Li, Mingyi; Yin, Xiangkang; Zhao, Jing - In: Journal of empirical finance 59 (2020), pp. 257-277

Persistent link: https://www.econbiz.de/10012437986

Price dynamics of individual stocks : jumps and information

Xiao, Yuewen; Zhao, Jing - In: Finance research letters 38 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012485357

The capitalization effect of imputation credits on expected stock returns

Le, Anh; Yin, Xiangkang; Zhao, Jing - In: Abacus : a journal of accounting, finance and business … 58 (2022) 3, pp. 523-566

Persistent link: https://www.econbiz.de/10013396052

Investor heterogeneity and anchoring-induced momentum

Oniščenko, Olena; Zhao, Jing; Kongahawatte, Sampath; … - In: Journal of behavioral and experimental finance 42 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014547946

Limited investor attention and biased reactions to information : evidence from the COVID-19 pandemic

Xu, Liao; Zhang, Xuan; Zhao, Jing - In: Journal of financial markets 62 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014226728