Jing Zhao

La Trobe University - School 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

609

CITATIONS

1

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
Deakin University and La Trobe University - School of Economics and Finance
Downloads 33 (462,102)

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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
Deakin University and La Trobe University - School of Economics and Finance
Downloads 280 (107,369)

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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
Deakin University and La Trobe University - School of Economics and Finance
Downloads 16 (562,944)

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

3.

R&D Investments and Dividend Payout: Evidence concerning the Semi-Mandatory Dividend Policy in China

Number of pages: 37 Posted: 25 Jan 2018 Last Revised: 21 Mar 2018
Bao Yang, Hsin-I Chou and Jing Zhao
Chongqing University of Technology (CQUT) - College of Accounting, RMIT University and La Trobe University - School of Economics and Finance
Downloads 201 (150,214)

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R&D investments, Dividend payout, Semi-mandatory dividend policy, China, Equity financing

4.

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
RMIT University, La Trobe University - School of Economics and Finance and La Trobe University
Downloads 33 (451,068)

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

5.

A Hidden Markov Process Approach to Information-Based Trading

Number of pages: 79 Posted: 16 Mar 2012
Xiangkang Yin and Jing Zhao
Deakin University and La Trobe University - School of Economics and Finance
Downloads 30 (464,949)

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

6.

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
Deakin University and La Trobe University - School of Economics and Finance
Downloads 15 (548,352)

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7.

Differently Motivated Exchange Traded Fund Trading Activities and the Volatility of the Underlying Index

Accounting & Finance, Vol. 59, pp. 859-886, 2019
Number of pages: 28 Posted: 10 Apr 2019
Liao Xu, Xiangkang Yin and Jing Zhao
Jiangxi University of Finance and Economics, Deakin University and La Trobe University - School of Economics and Finance
Downloads 1 (648,804)
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Exchange traded fund, Index return volatility, Efficient price, Private information, Investor disagreement, Informationā€based trading

8.

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

FIRN Research Paper No. 2805276
Posted: 08 Jul 2016 Last Revised: 17 Apr 2019
Liao Xu, Xiangkang Yin and Jing Zhao
Jiangxi University of Finance and Economics, Deakin University and La Trobe University - School of Economics and Finance

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Exchange Traded Fund, Index Return Volatility, Efficient Price, Private Information, Investor Disagreement, Information-based Trading.

Other Papers (2)

Total Downloads: 22
1.

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
Anh Le, Xiangkang Yin and Jing Zhao
La Trobe University - Business School, Deakin University and La Trobe University - School of Economics and Finance
Downloads 20 (477,827)

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

2.

Informed Trading Around Earnings Announcements in Australia

2019 Financial Markets & Corporate Governance Conference
Number of pages: 51 Posted: 17 Jan 2019
Anh Le, Xiangkang Yin and Jing Zhao
School of Economics, Finance and Marketing, RMIT University, Deakin University and La Trobe University - School of Economics and Finance
Downloads 2

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Earnings announcement; Institutional investor; Superannuation fund; Foreign and domestic investors; Informed trading