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

  • University of Technology Sydney

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 10,918

SSRN RANKINGS

Top 10,918

in Total Papers Downloads

4,254

CITATIONS
Rank 14,510

SSRN RANKINGS

Top 14,510

in Total Papers Citations

50

Scholarly Papers (17)

Actions:
Email selected abstracts
1.

Foreign Institutional Ownership and Stock Market Liquidity: Evidence from Indonesia

Downloads 843 ( 27,515)
Citation 9

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 - Shidler College of Business and University of Technology Sydney
Downloads 648 (38,738)

Abstract:

Loading...

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 - Shidler College of Business and University of Technology Sydney
Downloads 195 (154,516)
Citation 7

Abstract:

Loading...

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 473 (59,073)
Citation 3

Abstract:

Loading...

emerging markets, foreign equity trading, liquidity, and volatility

3.

On the Importance of Timing Specifications in Market Microstructure Research

Downloads 453 ( 62,315)
Citation 4

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 241 (125,680)

Abstract:

Loading...

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 212 (142,657)
Citation 3

Abstract:

Loading...

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 414 (69,442)
Citation 2

Abstract:

Loading...

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

5.

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 359 (82,055)

Abstract:

Loading...

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

6.

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 356 (82,847)

Abstract:

Loading...

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

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 194 (155,392)

Abstract:

Loading...

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

8.

Quote Revision and Information Flow Among Foreign Exchange Dealers

Downloads 193 (156,124)

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 193 (156,009)

Abstract:

Loading...

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

Abstract:

Loading...

Market Making, Asymmetric Information, Information

9.

On the Risk Return Relationship

Downloads 177 (168,828)

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 96 (272,774)

Abstract:

Loading...

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 81 (304,143)

Abstract:

Loading...

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

10.

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 164 (180,382)

Abstract:

Loading...

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

11.

Foreign Ownership and Volatility Dynamics of Indonesian Stocks

Number of pages: 15 Posted: 01 Sep 2007
Jian-Xin Wang
University of Technology Sydney
Downloads 158 (186,250)

Abstract:

Loading...

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

12.

Price Discovery in the Chinese Gold Market

Number of pages: 42 Posted: 06 May 2016 Last Revised: 16 May 2018
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 University College Dublin (UCD) College of Business
Downloads 145 (199,936)
Citation 2

Abstract:

Loading...

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

13.

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 92 (278,425)
Citation 3

Abstract:

Loading...

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

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 75 (315,282)
Citation 1

Abstract:

Loading...

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 68 (332,884)
Citation 3

Abstract:

Loading...

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

16.

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 58 (360,826)

Abstract:

Loading...

currency internationalization, price discovery, information share, offshore markets

17.

On the Common Determinants of Volatility Persistence and Asymmetry

Number of pages: 37 Posted: 10 Mar 2019 Last Revised: 31 Mar 2019
Shuning Chen and Jian-Xin Wang
Tianjin University and University of Technology Sydney
Downloads 32 (455,677)

Abstract:

Loading...

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