Kenan Qiao

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

SCHOLARLY PAPERS

4

DOWNLOADS

554

TOTAL CITATIONS

19

Scholarly Papers (4)

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 380 (170,043)
Citation 19

Abstract:

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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 127 (485,234)

Abstract:

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

3.

Unrealized Return Dispersion and the Equity Risk Premium

Number of pages: 8 Posted: 09 Jun 2023
Kenan Qiao, 哲翰 纪 and Haibin Xie
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS), University of International Business and Economics and University of International Business and Economics
Downloads 47 (877,295)

Abstract:

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disposition effect, unrealized return dispersion, equity risk premium

4.

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

Abstract:

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