Narrow search
Showing 1 - 10 of 88
Cover Image
Portfolio choice with market closure and implications for liquidity premia
Dai, Min; Li, Peifan; Liu, Hong; Wang, Yajun - In: Management science : journal of the Institute for … 62 (2016) 2, pp. 368-386
Persistent link: https://www.econbiz.de/10011446196
Cover Image
Why can margin requirements increase volatility and benefit margin constrained investors?
Wang, Yajun - In: Review of finance : journal of the European Finance … 20 (2016) 4, pp. 1449-1485
Persistent link: https://www.econbiz.de/10011610683
Cover Image
Why Can Margin Requirements Increase Volatility and Benefit Margin Constrained Investors?
Wang, Yajun - 2017
We propose a tractable equilibrium model to examine how margin requirements affectasset prices, market volatility, and market participants' welfare. Weshow that margin requirements can have opposite effects on market volatility whenthey constrain different investors and thus can help explain why...
Persistent link: https://www.econbiz.de/10012975465
Cover Image
Industrial organization, order Internalization, and invariance
Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020
Persistent link: https://www.econbiz.de/10012494238
Cover Image
The impact of global uncertainties on the spillover among the European carbon market, the Chinese oil futures market, and the international oil futures market
Liu, Hong; Zhu, Yulin; Cui, Na; Zheng, Yan - In: Finance research letters 67 (2024) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10015062461
Cover Image
Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions
Yang, Xin; Chen, Shan; Liu, Hong; Yang, Xiaoguang; … - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 1201-1213
Persistent link: https://www.econbiz.de/10014253375
Cover Image
Idiosyncratic volatility in commodity futures markets : measurement and puzzle
Hong, Liu; Zhou, Tianpeng - In: Managerial finance 49 (2023) 10, pp. 1641-1672
Persistent link: https://www.econbiz.de/10014428715
Cover Image
Hitting SKEW for SIX
Liu, Zhangxin; Faff, Robert W. - In: Economic modelling 64 (2017), pp. 449-464
Persistent link: https://www.econbiz.de/10011761292
Cover Image
A state-price volatility index for China's stock market
O'Neill, Michael J.; Wang, Kent; Liu, Zhangxin - In: Accounting and finance : journal of the Accounting … 56 (2016) 3, pp. 607-626
Persistent link: https://www.econbiz.de/10011622198
Cover Image
Tail risk hedging for mutual funds using equity market state prices
O'Neill, Michael J.; Liu, Zhangxin - In: Australian journal of management 41 (2016) 4, pp. 687-698
Persistent link: https://www.econbiz.de/10011583138