Shiyun Song

The Vanguard Group, Inc.

100 Vanguard Blvd

Malvern, PA 19355

United States

SCHOLARLY PAPERS

2

DOWNLOADS

778

SSRN CITATIONS
Rank 32,634

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Top 32,634

in Total Papers Citations

3

CROSSREF CITATIONS

19

Scholarly Papers (2)

The Price Effects of Liquidity Shocks: A Study of SEC's Tick-Size Experiment

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 07 Dec 2017 Last Revised: 07 Apr 2020
Rui A. Albuquerque, Shiyun Song and Chen Yao
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 605 (47,003)
Citation 3

Abstract:

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tick size pilot, liquidity, information risk, price efficiency, news re- sponse, investor horizon, liquidity risk, liquidity premium, cost of capital, JOBS Act, SEC

The Price Effects of Liquidity Shocks: A Study of Sec's Tick-Size Experiment

Number of pages: 58 Posted: 13 Aug 2018
Rui A. Albuquerque, Shiyun Song and Chen Yao
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 8 (670,477)
Citation 5

Abstract:

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The Price Effects of Liquidity Shocks: A Study of SEC's Tick-Size Experiment

CEPR Discussion Paper No. DP12486
Number of pages: 63 Posted: 12 Dec 2017
Rui A. Albuquerque, Shiyun Song and Chen Yao
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 3 (710,777)
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Abstract:

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information risk, investor horizon, JOBS Act, liquidity, liquidity premium, liquidity risk, news response rate, price efficiency, tick size pilot program

2.

Multimarket High-Frequency Trading and Commonality in Liquidity

Number of pages: 50 Posted: 13 Jun 2017 Last Revised: 17 Aug 2018
Olga Klein and Shiyun Song
University of Warwick - Warwick Business School and The Vanguard Group, Inc.
Downloads 162 (198,705)
Citation 1

Abstract:

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Multimarket trading, Commonality in Liquidity, Correlated Trading, Transaction Costs, European equities