Wenling Joey Yang

Securities Industry Research Centre of Asia Pacific (SIRCA)

New South Wales 1215

Australia

School of Finance and Business Economics

100 Joondalup Drive

Joondalup, WA 6027

Australia

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 19,034

SSRN RANKINGS

Top 19,034

in Total Papers Downloads

2,468

CITATIONS

5

Scholarly Papers (6)

1.

M-Garch Hedge Ratios and Hedging Effectiveness in Australian Futures Markets

Number of pages: 32 Posted: 16 Feb 2001
Wenling Joey Yang
Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 881 (25,637)
Citation 1

Abstract:

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OLS method, VAR model, error correction term, M-GARCH modelling

2.

What Moves Stock Prices? Evidence that UK Stock Prices Deviate from Fundamentals

Number of pages: 39 Posted: 11 Dec 2000
David E. Allen and Wenling Joey Yang
School of Mathematics and Statistics, The University of Sydney and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 527 (51,135)
Citation 4

Abstract:

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Sims-Bernanke Variance Decomposition, Trivariate Moving Average

3.

An Examination of the Role of Time and its Impact on Price Revision

ECU Working Paper Series
Number of pages: 23
Shelton Peiris, David E. Allen and Wenling Joey Yang
The University of Sydney, School of Mathematics and Statistics, The University of Sydney and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 427 (66,388)

Abstract:

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Autoregressive, Conditional expectation, Intensity, Hazard func-tion, Stochastic process, Prediction, Estimation, Irregular data, Transaction data, Finance, Mid-quote price, Trade indicators, Autocorrelations, Volatility

4.

Variation of Share Prices Due to Fundamental and Non-Fundamental Innovations

EFMA 2001 Lugano Meetings
Number of pages: 43 Posted: 11 May 2001
David E. Allen and Wenling Joey Yang
School of Mathematics and Statistics, The University of Sydney and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 299 (99,841)
Citation 2

Abstract:

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Fundamentals, Sims-Bernanke Variance Decomposition, Trivariate Moving Average Representation

5.

An Examination of the Role of Time in Ultra-High Frequency Data and its Impact on Price Revisions in News Corporation Stock

Edith Cowan University Accounting, Finance and Economics Working Paper
Number of pages: 23 Posted: 09 Apr 2004
David E. Allen, Shelton Peiris and Wenling Joey Yang
School of Mathematics and Statistics, The University of Sydney, The University of Sydney and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 171 (172,766)

Abstract:

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Autoregressive, Conditional expectation, Intensity, Hazard function

6.

Stock Market Effects of Institutional Investment Flows: Evidence from Australian Pension Plan Mandate Changes

Number of pages: 28 Posted: 30 Apr 2004
Jerry T. Parwada and Wenling Joey Yang
UNSW Australia Business School, School of Banking and Finance and Securities Industry Research Centre of Asia Pacific (SIRCA)
Downloads 163 (180,036)
Citation 1

Abstract:

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Pension plan mandates, fund managers, execution probability, market impact, stock prices