Jing Zhao

La Trobe University - Department of Economics and Finance

Dept of Economics and Finance

La Trobe University

Bundoora, VIC 3086

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

8

DOWNLOADS

436

CITATIONS

0

Scholarly Papers (8)

Information-Based Trading and Autocorrelation in Individual Stock Returns

Number of pages: 69 Posted: 29 Sep 2015
Xiangkang Yin and Jing Zhao
La Trobe University - La Trobe Business School and La Trobe University - Department of Economics and Finance
Downloads 15 (467,959)

Abstract:

Information-based trading, return autocorrelation, private information, dispersion in beliefs

A Hidden Markov Model Approach to Information-Based Trading: Theory and Applications

Number of pages: 80 Posted: 22 Mar 2014
Xiangkang Yin and Jing Zhao
La Trobe University - La Trobe Business School and La Trobe University - Department of Economics and Finance
Downloads 259 (91,939)

Abstract:

Hidden Markov process, Information-based trading, Information asymmetry, Public information, Earnings announcement

A Hidden Markov Model Approach to Information-Based Trading: Theory and Applications

Number of pages: 71 Posted: 28 Sep 2013
Xiangkang Yin and Jing Zhao
La Trobe University - La Trobe Business School and La Trobe University - Department of Economics and Finance
Downloads 6 (517,873)

Abstract:

Hidden Markov process, Information-based trading, Information asymmetry, Public information, Earnings announcement

3.

Factor Reversal in the Euro Zone Stock Returns: Evidence from the Crisis Period

Number of pages: 38 Posted: 26 Oct 2012
Hsin-I Chou, Jing Zhao and Sandy Suardi
La Trobe University - Department of Finance, La Trobe Business School, La Trobe University - Department of Economics and Finance and La Trobe University
Downloads 26 (378,014)

Abstract:

Euro equity markets, country effect, industry effect, portfolio diversification, crisis

4.

Differently Motivated ETF Trading Activities and the Volatility of the Underlying Index

FIRN Research Paper No. 2805276
Number of pages: 62 Posted: 08 Jul 2016
Liao Xu, Xiangkang Yin and Jing Zhao
La Trobe University, La Trobe University - La Trobe Business School and La Trobe University - Department of Economics and Finance
Downloads 0 (240,684)

Abstract:

Exchange Traded Fund; Stock Index Return Volatility; Efficient Price Innovation Variance; Private Information; Investor Disagreement.

5.

Are Imputation Credits Capitalized Into Stock Returns?

2016 Financial Markets and Corporate Governance
Number of pages: 59 Posted: 25 Jan 2016 Last Revised: 24 Apr 2016
Anh Le, Xiangkang Yin and Jing Zhao
La Trobe University - La Trobe Business School, La Trobe University - La Trobe Business School and La Trobe University - Department of Economics and Finance
Downloads 0 (386,449)

Abstract:

Dividend imputation; Tax; Stock returns; Risk tolerance

6.

An Impact of Investor Tax Heterogeneity on Ex-Dividend Trading: Evidence from Australia

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 51 Posted: 22 Aug 2014
La Trobe University - Business School, La Trobe University - La Trobe Business School and La Trobe University - Department of Economics and Finance
Downloads 0 (485,740)

Abstract:

Ex-dividend, Trading Volume, Institutional Ownership, Franking Credit, Dividend imputation system

7.

The Effects of Information-Based Trading on Daily Returns and Risk of Individual Stocks

26th Australasian Finance and Banking Conference 2013
Number of pages: 61 Posted: 17 Aug 2013
Xiangkang Yin and Jing Zhao
La Trobe University - La Trobe Business School and La Trobe University - Department of Economics and Finance
Downloads 0 (503,979)

Abstract:

8.

A Hidden Markov Process Approach to Information-Based Trading

Number of pages: 79 Posted: 16 Mar 2012
Xiangkang Yin and Jing Zhao
La Trobe University - La Trobe Business School and La Trobe University - Department of Economics and Finance
Downloads 0 (503,979)

Abstract:

Hidden Markov process, Information-based trading, Monte Carlo simulation