Kenan Qiao

Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS)

  • Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS)

SCHOLARLY PAPERS

3

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303

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Scholarly Papers (3)

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1.

The Overnight Return Puzzle and the 'T+1' Trading Rule in Chinese Stock Markets

Number of pages: 32 Posted: 12 Jul 2019
Kenan Qiao and Lammertjan Dam
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS) and University of Groningen - Faculty of Economics and Business
Downloads 280 (165,072)
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Overnight Return Puzzle, T+1 Trading Rule, T+1 Discount, Market Micro Structure

2.

Market Inefficiencies Associated with Pricing Oil Stocks During Shocks

Number of pages: 26 Posted: 10 Dec 2018
Kenan Qiao, Yuying Sun and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS) and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Downloads 23 (741,717)

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Crude oil shocks, Interval-valued factor pricing models, Market efficiency, Oil stocks, Quantile regression.

3.

Uncertainty Shocks of Trump Election in an Interval Model of Stock Market

Posted: 10 Dec 2018
Yuying Sun, Kenan Qiao and Shouyang Wang
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS) and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences

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Interval dummy variables, Interval time series, Nonlinear minimum distance estimator, Range volatility, Trump election