Jian Hua

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

17 Lexington Avenue

New York, NY 10010

United States

  • City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

SCHOLARLY PAPERS

12

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Top 26,120

in Total Papers Downloads

4,179

TOTAL CITATIONS

11

Scholarly Papers (12)

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1.

Market Returns and a Tale of Two Types of Attention

Number of pages: 78 Posted: 03 Apr 2020 Last Revised: 10 Aug 2024
Zhi Da, Jian Hua, Tim Chih-Ching Hung and Lin Peng
University of Notre Dame - Mendoza College of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, National Taiwan University - Department of Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 1,546 (26,019)

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G11, G12, G14, G4 Return Predictability, Institutional Attention, Retail Attention, Macroeconomic Announcements, Announcement Premium, Order Imbalance, Mutual Fund Flow

2.

Resiliency and Stock Returns

The Review of Financial Studies, Volume 33, Issue 2, February 2020, Pages 747–782, https://doi.org/10.1093/rfs/hhz048, Baruch College Zicklin School of Business Research Paper No. 2018-08-02
Number of pages: 74 Posted: 18 Aug 2018 Last Revised: 08 Sep 2020
Jian Hua, Lin Peng, Robert A. Schwartz and Nazli Sila Alan
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and Fairfield University - Charles F. Dolan School of Business
Downloads 713 (77,429)
Citation 7

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Stock Returns, Resiliency, Liquidity, Price Discovery, Asset Pricing

3.

Predicting Inflation Without Running Predictive Regressions

Number of pages: 33 Posted: 12 Mar 2014
Jian Hua and Liuren Wu
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 340 (188,588)

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Inflation rates; Taylor rule; predictive regressions; time-varying risk premium

4.

The Impact of the Extreme Events on Commodity Market Volatility

Number of pages: 31 Posted: 16 Feb 2009
Jian Hua and Peter Went
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and CLS Bank International
Downloads 273 (237,918)

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Commodity markets, Outliers, Asset Pricing, Risk Management, Time series, Volatility Forecasts

5.

Intraday Dynamics of NASDAQ Stocks in the Electronic Trading Era: Uncovering Strong U-Shape Patterns in Trading Volume and Bid-Ask Spread

Number of pages: 51 Posted: 16 Apr 2024
Jian Hua, Lingyi Kong and Yajun Wang
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, City University of NY, Baruch College, Zicklin School of Business and City University of NY, Baruch College, Zicklin School of Business
Downloads 258 (252,946)

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Intraday, liquidity, imperfect competition, bid-ask spread, trading volume

6.

Option Implied Volatilities and Corporate Bond Yields: A Dynamic Factor Approach

Number of pages: 44 Posted: 09 Oct 2010 Last Revised: 27 Sep 2013
Jian Hua
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 254 (256,009)
Citation 1

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Term Structure, Credit Spread, Option Implied Volatility, Factor Model, Nelson-Siegel Curve, Price Discovery

7.

The Information in Hedge Fund Option Holdings

Management Science, forthcoming
Number of pages: 47 Posted: 29 Nov 2017 Last Revised: 02 May 2023
Amber Anand, Jian Hua and Andy Puckett
Syracuse University - Whitman School of Management, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and University of Tennessee, Knoxville
Downloads 216 (299,744)

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Institutional Trading, Informed Traders, Options Markets

8.

Order Integration and the Dynamic Behavior of Security Prices

Number of pages: 47 Posted: 12 Mar 2014 Last Revised: 18 Mar 2016
Turan G. Bali, Jian Hua, Robert A. Schwartz and Gregory Sipress
Georgetown University - McDonough School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 165 (383,086)

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stock return distribution, tail thickness, excess kurtosis, mixture of distributions, time-varying volatility

9.

Large Shocks and Commodity Market Volatility

Number of pages: 30 Posted: 19 Mar 2010
Jian Hua and Peter Went
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and CLS Bank International
Downloads 159 (395,421)
Citation 1

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Commodity markets, Volatility, Outliers, News, Risk Management, Time series

10.

Forecasting the Return Distribution Using High-Frequency Volatility Measures

Journal of Banking and Finance, Vol. 37, No. 11, 2013
Number of pages: 41 Posted: 27 Oct 2011 Last Revised: 22 Sep 2013
Jian Hua and Sebastiano Manzan
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 158 (397,511)
Citation 2

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Realized Volatility, Quantile Regression, Density Forecast, Value-at-Risk

11.

From Theory to Application: Using Simulation to Better Understand Price Determination in a Non-Frictionless Equity Market

Number of pages: 35 Posted: 14 Nov 2016
Jian Hua, Robert A. Schwartz and Gregory Sipress
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Baruch College - CUNY and TraderEx LLC
Downloads 97 (578,961)

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simulation analysis, stock return distribution, tail thickness, excess kurtosis, mixture of distributions, market structure, call auctions, continuous trading

12.

Forecasting Yield Curves with Survey Information

JOURNAL OF PORTFOLIO MANAGEMENT, Spring 2012, pages 149-163, https://doi.org/10.3905/jpm.2012.38.3.149
Posted: 21 May 2019
Jack Clark Francis and Jian Hua
Zicklin School of Business, Baruch College and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

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Yield curve, professional economic forecasters, interest rate forecast