Jian-Xin Wang

University of Technology Sydney

Associate Professor

UTS Business School

Finance Decipline

Sydney, NSW

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

22

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SSRN CITATIONS
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Top 13,547

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48

CROSSREF CITATIONS

38

Scholarly Papers (22)

Foreign Institutional Ownership and Stock Market Liquidity: Evidence from Indonesia

Journal of Banking and Finance, Vol. 33, No. 7, 2009
Number of pages: 38 Posted: 15 Jul 2009
S. Ghon Rhee and Jian-Xin Wang
University of Hawaii at Manoa - Shidler College of Business and University of Technology Sydney
Downloads 720 (48,528)

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Foreign investors, Foreign institutions, Foreign ownership, Foreign trading, Market liberalization, Liquidity, Bid-ask spread, Depth, Price sensitivity, the Jakarta Stock Exchange, Granger causality

Foreign Institutional Ownership and Stock Market Liquidity: Evidence from Indonesia

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 34 Posted: 20 Mar 2008 Last Revised: 15 Jan 2010
S. Ghon Rhee and Jian-Xin Wang
University of Hawaii at Manoa - Shidler College of Business and University of Technology Sydney
Downloads 208 (199,196)
Citation 11

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foreign institutions, foreign ownership, liquidity, bid-ask spread, depth, price impact

2.

Foreign Trading and Market Volatility in Indonesia

Number of pages: 28 Posted: 12 Feb 2001
Jian-Xin Wang
University of Technology Sydney
Downloads 493 (79,509)
Citation 4

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emerging markets, foreign equity trading, liquidity, and volatility

On the Importance of Timing Specifications in Market Microstructure Research

Journal of Financial Markets, Forthcoming
Number of pages: 29 Posted: 09 May 2006
Thomas Henker and Jian-Xin Wang
Bond University and University of Technology Sydney
Downloads 249 (167,591)

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microstructure, timing specification, quotes, trades, spread components, asymmetric information

On the Importance of Timing Specifications in Market Microstructure Research

Number of pages: 25 Posted: 14 Apr 2005
Thomas Henker and Jian-Xin Wang
Bond University and University of Technology Sydney
Downloads 221 (188,041)
Citation 6

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Spread components, spread decomposition, adverse selection, timing specification

4.

The Impact of Foreign Ownership on Stock Volatility in Indonesia

Number of pages: 21 Posted: 16 Mar 2007
Jian-Xin Wang
University of Technology Sydney
Downloads 436 (91,979)
Citation 3

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emerging markets, foreign ownership, foreign trading, volatility, Granger causality, Asian financial crisis

5.

Asymmetric Volatility in the Foreign Exchange Markets

Number of pages: 37 Posted: 29 Aug 2006
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 381 (107,471)
Citation 1

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exchange rates, asymmetric volatillity, long memory, trade weighted index, price trend, volatility spillover, volatility jumps

6.

Foreign Equity Trading and Emerging Market Volatility: Evidence from Indonesia and Thailand

Journal of Development Economics, Forthcoming
Number of pages: 24 Posted: 09 May 2006
Jian-Xin Wang
University of Technology Sydney
Downloads 376 (109,097)
Citation 2

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Emerging market volatility, market liberalization, foreign equity investment, Asian financial crisis, financial development

7.

How Well Does the Weighted Price Contribution Measure Price Discovery?

Number of pages: 32 Posted: 20 May 2010 Last Revised: 10 Dec 2014
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 234 (178,587)
Citation 1

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price discovery, weighted price contribution, information share, information flow, efficient price, overnight return, daytime return, the S&P 100 index

Quote Revision and Information Flow Among Foreign Exchange Dealers

Number of pages: 31 Posted: 13 May 2001
Jian-Xin Wang
University of Technology Sydney
Downloads 198 (208,518)

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Market making, asymmetric information, information

Quote Revision and Information Flow Among Foreign Exchange Dealers

International Financial Markets, Institutions & Money, Vol. 11, No. 2, June 2001
Posted: 13 May 2001
Jian-Xin Wang
University of Technology Sydney

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Market Making, Asymmetric Information, Information

9.
Downloads 188 (218,495)

On the Risk Return Relationship

Number of pages: 20 Posted: 01 May 2012
Minxian Yang and Jian-Xin Wang
UNSW Australia Business School, School of Economics and University of Technology Sydney
Downloads 101 (355,099)

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Risk premium, volatility feedback, GARCH-in-mean, Maximum likelihood, Mixture distributions, Time series

On the Risk Return Relationship

UNSW Australian School of Business Research Paper No. 2012 ECON 31
Number of pages: 21 Posted: 22 May 2012
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 87 (390,634)

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Risk premium, volatility feedback, GARCH-in-mean, Maximum likelihood, Mixture distributions, Time series

10.

Conditional Volatility Persistence

Number of pages: 60 Posted: 05 Dec 2017 Last Revised: 24 May 2019
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 177 (230,142)
Citation 5

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realized variance, volatility persistence, asymmetric volatility, news impact curve, volatility forecast

11.

Herding and the Information Content of Trades in the Australian Dollar Market

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 34 Posted: 20 Jun 2006
Andrew Carpenter and Jian-Xin Wang
UBS Investment Bank and University of Technology Sydney
Downloads 177 (230,142)
Citation 2

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Foreign Exchange, Microstructure, Information Content of Trades, Central Banks, FX Dealers, Trading Channels

12.

Foreign Ownership and Volatility Dynamics of Indonesian Stocks

Number of pages: 15 Posted: 01 Sep 2007
Jian-Xin Wang
University of Technology Sydney
Downloads 170 (238,146)

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emerging markets, foreign ownership, volatility persistence, volatility spillover, Granger causality, Asian financial crisis

13.

Price Discovery in the Chinese Gold Market

Journal of Futures Markets, Forthcoming
Number of pages: 42 Posted: 06 May 2016 Last Revised: 15 Dec 2019
Muzhao Jin, Youwei Li, Jian-Xin Wang and Yung Chiang Yang
Queen's University Management School, Hull University Business School, University of Technology Sydney and affiliation not provided to SSRN
Downloads 167 (241,684)
Citation 5

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Chinese gold market, Futures, Price discovery, Information share, Component share, Information leadership share, Sequential price discovery

14.

A Multi-Factor Measure for Cross-Market Liquidity Commonality

Asian Development Bank Economics Working Paper Series No. 230
Number of pages: 42 Posted: 14 Mar 2011
Jian-Xin Wang
University of Technology Sydney
Downloads 82 (400,858)
Citation 1

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Asian Equity Markets, Liquidity, Cross-Market Liquidity Commonality, Global Factors, Regional Factors, Long Memory, Structural Breaks

15.

Housewives of Tokyo versus the Gnomes of Zurich: Measuring Price Discovery in Sequential Markets

Number of pages: 32 Posted: 15 Feb 2009 Last Revised: 22 Jan 2010
Jian-Xin Wang and Minxian Yang
University of Technology Sydney and UNSW Australia Business School, School of Economics
Downloads 73 (428,014)
Citation 3

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price discovery, information share, sequential markets, Beverage-Nelson decomposition, efficient price, variance ratio, foreign exchange rate

16.

On the Common Determinants of Volatility Persistence and Asymmetry

Number of pages: 37 Posted: 10 Mar 2019 Last Revised: 18 May 2021
Shuning Chen, Shuning Chen and Jian-Xin Wang
Tianjin UniversityZhongnan University of Economics and Law and University of Technology Sydney
Downloads 68 (444,518)
Citation 2

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volatility persistence, asymmetric volatility, realized variance, global market condition

17.

The Economic Impact of Volatility Persistence on Energy Markets

Number of pages: 44 Posted: 10 Nov 2020 Last Revised: 25 Jun 2021
University of Technology Sydney - Business School, University of Technology Sydney (UTS), UTS Business School, Students and University of Technology Sydney
Downloads 62 (465,762)

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Realized Volatility, Volatility Persistence, Energy Markets, HAR, Forecasting

18.

Overnight Price Discovery and the Internationalization of a Currency: The Case of the Korean Won

Pacific-Basin Finance Journal, Vol. 29, September 2014
Number of pages: 20 Posted: 15 Dec 2011 Last Revised: 29 May 2014
Jian-Xin Wang
University of Technology Sydney
Downloads 62 (465,762)

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currency internationalization, price discovery, information share, offshore markets

19.

Market Distraction and Near-Zero Volatility Persistence

Number of pages: 35 Posted: 24 May 2021 Last Revised: 17 Nov 2021
Jian-Xin Wang
University of Technology Sydney
Downloads 46 (531,523)

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volatility persistence, investor attention, investor sentiment, World Cups, Olympics, seasonality.

20.

Measuring Common and Market-Specific Information Flows

UNSW Business School Research Paper Forthcoming
Number of pages: 24 Posted: 04 Feb 2022
Jian-Xin Wang, Minxian Yang and Qi Zhang
University of Technology Sydney, UNSW Australia Business School, School of Economics and University of Technology Sydney
Downloads 38 (570,847)

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Price discovery, common information, market-specific information, high frequency trading, information share

21.

A New Channel for Global Volatility Propagation

Number of pages: 39 Posted: 08 May 2020 Last Revised: 04 Jan 2022
Shuning Chen, Shuning Chen and Jian-Xin Wang
Tianjin UniversityZhongnan University of Economics and Law and University of Technology Sydney
Downloads 30 (616,009)

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international volatility propagation, conditional volatility persistence, market volatility, global return, global volatility

22.

Liquidity provision channels and oil price volatility

Number of pages: 56 Posted: 18 Apr 2022
University of Technology Sydney - Business School, University of Technology Sydney (UTS), UTS Business School, Students and University of Technology Sydney
Downloads 11 (758,716)

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hedging pressure, hedgers, speculators, liquidity provision