C. Johan Bjursell

Barclays Capital

Assistant VP, Fixed Income Technology

Tokyo

Japan

SCHOLARLY PAPERS

5

DOWNLOADS

748

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (5)

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1.

Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements

Number of pages: 44 Posted: 23 Mar 2010 Last Revised: 29 Nov 2010
C. Johan Bjursell, George H. K. Wang and Robert I. Webb
Barclays Capital, George Mason University - Department of Finance and University of Virginia - McIntire School of Commerce
Downloads 309 (190,627)
Citation 4

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realized variation, bipower variation, jump statistics, interest rate futures, macro announcements, price and trading volume patterns

2.

Inventory Announcements, Jump Dynamics and Volatility in U.S. Energy Futures Markets

Number of pages: 45 Posted: 25 Mar 2011
C. Johan Bjursell, James E. Gentle and George H. K. Wang
Barclays Capital, George Mason University and George Mason University - Department of Finance
Downloads 162 (352,473)
Citation 1

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realized variation, bipower variation, jump statistics, energy futures price, trading volume behavior and inventory news events

3.

Transaction Tax and Market Quality of U.S. Futures Markets: An Ex-Ante Analysisi

Review of Futures Markets, July 2012, p. 141-177
Number of pages: 48 Posted: 05 Sep 2012
C. Johan Bjursell, George H. K. Wang and Jot Yau
Barclays Capital, George Mason University - Department of Finance and Seattle University
Downloads 158 (359,872)

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4.

The Impacts of Large Trades by Trader Types on Intraday Futures Prices: Evidence from the Taiwan Futures Exchange

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 42 Posted: 22 Aug 2010 Last Revised: 29 Nov 2010
Robin K. Chou, George H. K. Wang, Yun-Yi Wang and C. Johan Bjursell
National Chengchi University, George Mason University - Department of Finance, Feng Chia University and Barclays Capital
Downloads 119 (449,739)
Citation 1

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Large Trades, Trader Types, Total Price Effects, Liquidity Effects, Information Effects, Futures Price Behavior

5.

Transaction Tax and Market Quality of U.S. Futures Markets: An Ex-Ante Analysis

Posted: 02 Sep 2012
George H. K. Wang, C. Johan Bjursell and Jot Yau
George Mason University - Department of Finance, Barclays Capital and Seattle University

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Transaction Tax, Trading volume, Bid-Ask spread, Price Volatility, Futures Markets