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The information content in trades of inactive Nasdaq stocks

Chen, Peter; Man, Kasing; Wu, Chunchi - In: Journal of entrepreneurial finance : JEF ; official … 8 (2003) 2, pp. 25-53

In this paper we analyze the frequency and information content of small Nasdaq stock trades and their impacts on return volatility at the intraday interval. We employ an autoregressive conditional duration (ACD) model to estimate the intensity of the arrival and information content of trades by...

Persistent link: https://www.econbiz.de/10009154225

The role of duration and trades in the information assimilation process of the US treasury market

Chen, Peter Huaiyu; Man, Kasing; Wang, Junbo; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 7 (2019), pp. 155-200

Persistent link: https://www.econbiz.de/10012582266

Time and dynamic volume-volatility relation

Xu, Xiaoqing Eleanor; Chen, Peter; Wu, Chunchi - In: Journal of banking & finance 30 (2006) 5, pp. 1535-1558

Persistent link: https://www.econbiz.de/10003319376

Information flow, volatility and spreads of infrequently traded Nasdaq stocks

Wu, Chunchi - In: The quarterly review of economics and finance : journal … 44 (2004) 1, pp. 20-43

Persistent link: https://www.econbiz.de/10001961704

Trade disclosure, information learning and securities market performance

Wu, Chunchi; Zhang, Wei - In: Review of quantitative finance and accounting 18 (2002) 1, pp. 21-38

Persistent link: https://www.econbiz.de/10001676683

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

Taxes, default risk, and credit spreads

Liu, Sheen; Wu, Chunchi - In: The journal of fixed income 14 (2004) 2, pp. 71-85

Persistent link: https://www.econbiz.de/10002421474

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

Short interest, stock returns and credit ratings

Guo, Xu; Wu, Chunchi - In: Journal of banking & finance 108 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012224662

Further evidence of momentum in corporate bond returns

Lin, Hai; Tao, Xinyuan Stacie; Wang, Junbo; Wu, Chunchi - In: Advances in Pacific Basin business, economics, and finance 8 (2020), pp. 65-97

Persistent link: https://www.econbiz.de/10012601390