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Persistent link: https://www.econbiz.de/10014382177

A financial restatement, media attention and stock idiosyncratic risk in the Chinese stock market

Yin, Haiyuan; Sun, Meng - In: International journal of emerging markets 18 (2023) 7, pp. 1719-1741

Persistent link: https://www.econbiz.de/10014333924

Extreme risk spillover of the oil, exchange rate to Chinese stock market : evidence from implied volatility indexes

Chen, Lin; Wen, Fenghua; Li, Wanyang; Yin, Hua; Zhao, Lili - In: Energy economics 107 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013202630

Does economic policy uncertainty outperform macroeconomic factor and financial market uncertainty in forecasting carbon emission price volatility? : evidence from China

Lu, Hengzhen; Gao, Qiujin; Li, Matthew C. - In: Applied economics 55 (2023) 54, pp. 6427-6443

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Share pledge transactions as an investor sentiment indicator : evidence from China

Lu, Hengzhen; Zhu, Xiaoyu; Wang, Jianli; Yick, Ho Yin - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 230-238

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Forecasting EUA futures volatility with geopolitical risk : evidence from GARCH-MIDAS models

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Half-day trading and spillovers

Chen, Yifan; Yu, Limin; Gang, Jianhua - In: Frontiers of business research in China : selected … 15 (2021) 1, pp. 42-63

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Do high-frequency data improve multivariate volatility forecasting for investors with different investment horizons?

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Momentum trading, mean reversal and overreaction in Chinese stock market

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The Information Content of the Term Structure of Risk-Neutral Skewness

Borochin, Paul - 2018

We seek to reconcile the debate about the price effect of risk-neutral skewness (RNS) on stocks. We document positive predictability from short-term skewness, consistent with informed-trading demand, and negative predictability from long-term skewness, consistent with skewness preference. A term...

Persistent link: https://www.econbiz.de/10012933957