Giang Nguyen

Pennsylvania State University - Smeal College of Business

Assistant Professor of Finance

University Park, PA 16802

United States

http://directory.smeal.psu.edu/gxn13

SCHOLARLY PAPERS

8

DOWNLOADS
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SSRN RANKINGS

Top 31,497

in Total Papers Downloads

1,412

CITATIONS
Rank 10,434

SSRN RANKINGS

Top 10,434

in Total Papers Citations

52

Scholarly Papers (8)

1.

The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform

Journal of Financial Markets, Vol. 40, No. September, 2018
Number of pages: 54 Posted: 31 Jul 2009 Last Revised: 30 Oct 2018
Michael J. Fleming, Bruce Mizrach and Giang Nguyen
Federal Reserve Bank of New York, Rutgers University, Department of Economics and Pennsylvania State University - Smeal College of Business
Downloads 528 (51,011)
Citation 26

Abstract:

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microstructure, Treasury market, bid-ask spread, price impact, information

2.

Liquidity and Volatility in the U.S. Treasury Market

Journal of Econometrics, Forthcoming, FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20
Number of pages: 55 Posted: 02 Jan 2013 Last Revised: 14 Nov 2018
Pennsylvania State University - Smeal College of Business, New York University - Leonard N. Stern School of Business - Department of Economics, Federal Reserve Bank of New York and University of North Carolina Kenan-Flagler Business School
Downloads 389 (74,212)
Citation 17

Abstract:

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liquidity, Treasury market, limit order book, financial crisis, volatility, announcement

3.

Price Discovery of a Speculative Asset: Evidence from a Bitcoin Exchange

Kenan Institute of Private Enterprise Research Paper No. 18-31
Number of pages: 49 Posted: 19 Oct 2018
Eric Ghysels and Giang Nguyen
University of North Carolina Kenan-Flagler Business School and Pennsylvania State University - Smeal College of Business
Downloads 130 (216,711)
Citation 2

Abstract:

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Bitcoin, cryptocurrency, price discovery, liquidity, price impact, limit order book market, adverse selection, learning

4.

Investor Attention and Municipal Bond Returns

Number of pages: 59 Posted: 20 Sep 2017 Last Revised: 10 Jun 2019
Pennsylvania State University - Department of Finance, University of Georgia and Pennsylvania State University - Smeal College of Business
Downloads 130 (216,711)

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Market segmentation, market efficiency, municipal bonds, bond return indices, bond insurance, investor attention

5.

Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market

Forthcoming in Review of Asset Pricing Studies
Number of pages: 56 Posted: 11 Aug 2013 Last Revised: 30 Oct 2018
Michael J. Fleming and Giang Nguyen
Federal Reserve Bank of New York and Pennsylvania State University - Smeal College of Business
Downloads 129 (218,008)
Citation 11

Abstract:

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dark pool, liquidity, price impact, information share, fixed income market

6.

The Price of Safety: The Evolution of Insurance Value in Municipal Markets

Number of pages: 53 Posted: 19 Oct 2018 Last Revised: 13 Jul 2019
Pennsylvania State University - Department of Finance, University of Georgia and Pennsylvania State University - Smeal College of Business
Downloads 59 (358,154)
Citation 1

Abstract:

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bond insurance, municipal bonds, yield inversion, municipal market liquidity, propensity score matching IPWRA

7.

Tick Size Change and Market Quality in the U.S. Treasury Market

FRB of New York Staff Report No. 886 (2019)
Number of pages: 46 Posted: 23 Apr 2019
Federal Reserve Bank of New York, Pennsylvania State University - Smeal College of Business and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 30 (461,510)

Abstract:

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tick size reduction, bid-ask spread, market liquidity, price efficiency, Treasury securities

8.

Liquidity or Volatility? Disentangling the Sources of Spillovers in Euro Area Sovereign Bond Markets

Number of pages: 56 Posted: 19 Oct 2018
Giang Nguyen
Pennsylvania State University - Smeal College of Business
Downloads 17 (532,575)

Abstract:

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Liquidity, Volatility, Spillovers, Sovereign Bond Markets, European Sovereign Debt Crisis