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Variation of share prices due to fundamental and non-fundamental innovations

Allen, David E. (contributor); Yang, Wenling (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001488570

The role of implied volatility in liquidity provision

Cahill, Daniel; Fong, Kingsley; Wee, Marvin; Yang, Wenling - In: Australian journal of management 45 (2020) 1, pp. 45-71

Persistent link: https://www.econbiz.de/10012175233

Information processing costs and stock price informativeness : evidence from the XBRL mandate

Huang, Yuyun; Shan, Yuan George; Yang, Wenling - In: Australian journal of management 46 (2021) 1, pp. 110-131

Persistent link: https://www.econbiz.de/10012485827

The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis

Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320

Persistent link: https://www.econbiz.de/10009301116

Analysis of stock market volatility by continuous-time GARCH models

Müller, Gernot; Durand, Robert B.; Maller, Ross; … - In: Stock market volatility, (pp. 31-50). 2009

Persistent link: https://www.econbiz.de/10003830403

Connectedness between the crude oil futures and equity markets during the pre- and post-financialisation eras

Wadud, Sania; Durand, Robert B.; Gronwald, Marc - 2021

This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

Persistent link: https://www.econbiz.de/10012599014

Order size, order imbalance and the volatility-volume relation in a bull versus a bear market

Wee, Marvin; Yang, Joey W. - In: Accounting and finance : journal of the Accounting … 52 (2012) 1, pp. 145-163

Persistent link: https://www.econbiz.de/10009512721

Returns, volatility and liquidity on the ASX : undisclosed vs. disclosed limit orders

Allen, David E.; Cheng, Alexander S.-S.; … - 2007

Persistent link: https://www.econbiz.de/10003414338

Returns, volatility, and liquidity on the ASX : undisclosed versus disclosed limit orders

Allen, David E.; Cheng, Alexander Shu-sing; … - In: Stock market liquidity : implications for market …, (pp. 227-245). 2008

Persistent link: https://www.econbiz.de/10003650538