Xin Zhao

Pennsylvania State University (Erie) - The Behrend College

286 Burke

Erie, PA 16563-1400

United States

SCHOLARLY PAPERS

13

DOWNLOADS
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2,553

SSRN CITATIONS
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SSRN RANKINGS

Top 30,900

in Total Papers Citations

21

CROSSREF CITATIONS

15

Scholarly Papers (13)

Intraday Variation in the Bid-Ask Spread: Evidence after the Market Reform

Number of pages: 25 Posted: 06 Feb 2002
Kee H. Chung and Xin Zhao
State University of New York at Buffalo - School of Management and Pennsylvania State University (Erie) - The Behrend College
Downloads 599 (84,668)

Abstract:

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Nasdaq, order handling rules, intraday pattern, spreads

Intraday Variation in the Bid-Ask Spread: Evidence after the Market Reform

Posted: 01 Apr 2002
Kee H. Chung and Xin Zhao
State University of New York at Buffalo - School of Management and Pennsylvania State University (Erie) - The Behrend College

Abstract:

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Nasdaq, order handling rules, intraday pattern, spreads

2.

Order Imbalance and Liquidity Supply: Evidence from the Bubble Burst of NASDAQ Stocks

Number of pages: 36 Posted: 10 May 2005
Mingsheng Li, Tim McCormick and Xin Zhao
Bowling Green State University - College of Business Administration, U.S. Securities and Exchange Commission and Pennsylvania State University (Erie) - The Behrend College
Downloads 475 (114,106)
Citation 3

Abstract:

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Order imbalance, liquidity, spreads, depths, market makers

3.

Information Disclosure and Market Quality: The Effect of Sec Rule 605 on Trading Costs

Number of pages: 44 Posted: 27 Jan 2006
Xin Zhao and Kee H. Chung
Pennsylvania State University (Erie) - The Behrend College and State University of New York at Buffalo - School of Management
Downloads 473 (114,642)
Citation 6

Abstract:

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Execution costs, Market quality, Information disclosure, Market makers, Quote competition

4.

Decimal Pricing and Information-Based Trading: Tick Size and Informational Efficiency of Asset Price

Number of pages: 24 Posted: 03 Dec 2005
Xin Zhao and Kee H. Chung
Pennsylvania State University (Erie) - The Behrend College and State University of New York at Buffalo - School of Management
Downloads 340 (166,838)
Citation 3

Abstract:

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tick size, information-based trading, decimalization, PIN measure, information efficiency

5.

Making a Market with Spreads and Depths

Number of pages: 34 Posted: 09 Apr 2003
Kee H. Chung and Xin Zhao
State University of New York at Buffalo - School of Management and Pennsylvania State University (Erie) - The Behrend College
Downloads 311 (183,356)

Abstract:

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Price and Quantity Quotes on NASDAQ: A Study of Dealer Quotation Behavior

Number of pages: 34 Posted: 23 Sep 2003
Kee H. Chung and Xin Zhao
State University of New York at Buffalo - School of Management and Pennsylvania State University (Erie) - The Behrend College
Downloads 237 (240,488)
Citation 6

Abstract:

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Spreads, Depths, Dealer quotes, NASDAQ, Liquidity providers

Price and Quantity Quotes on Nasdaq: A Study of Dealer Quotation Behavior

Posted: 07 Dec 2003
Kee H. Chung and Xin Zhao
State University of New York at Buffalo - School of Management and Pennsylvania State University (Erie) - The Behrend College

Abstract:

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7.

Security Analysis, Dealer-Analyst Collaboration, and Market Quality: Evidence from the Nasdaq Market in the USA

Journal of Business Finance & Accounting, Forthcoming
Number of pages: 43 Posted: 05 Jul 2012
Kee H. Chung, Mingsheng Li and Xin Zhao
State University of New York at Buffalo - School of Management, Bowling Green State University - College of Business Administration and Pennsylvania State University (Erie) - The Behrend College
Downloads 86 (542,695)
Citation 2

Abstract:

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Analyst following, Dealers, Spreads, Depths, Execution quality, Price impact, Adverse selection cost, Quote aggressiveness, Trading costs, SEC Rule 605

8.

Forbes Magazine's America's Best Banks: Are They Best for Investors?

Number of pages: 27 Posted: 22 Aug 2022
Greg Filbeck, Dianna Preece and Xin Zhao
Pennsylvania State University, University of Louisville and Pennsylvania State University (Erie) - The Behrend College
Downloads 19 (971,936)

Abstract:

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banks, bank holding companies, shareholder returns, accounting return measures

9.

Leger’S Most Reputable Companies in Canada: Do Customer Views Influence Stock Returns?

Number of pages: 40 Posted: 13 Mar 2024
Greg Filbeck and Xin Zhao
Pennsylvania State University and Pennsylvania State University (Erie) - The Behrend College
Downloads 13 (1,034,699)

Abstract:

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Leger, Reputable, Canada, Customer, Rankings

10.

Performance Assessment of Firms Following Sustainalytics ESG Principles

The Journal of Investing, Vol. 28, No. 2, 2019, https://joi.pm-research.com/content/28/2/7
Posted: 05 Feb 2019 Last Revised: 05 Oct 2019
Aaron Filbeck, Greg Filbeck and Xin Zhao
CAIA Association, Pennsylvania State University and Pennsylvania State University (Erie) - The Behrend College

Abstract:

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Esg Investing, Performance Measurement, Asset Pricing, Sustainalytics, Socially Responsible Investing, Environment, Social, Governance

11.

Empirical Analysis of ETF Intraday Trading

Financial Services Review, Vol. 21, (2012)
Posted: 15 Jul 2016
Bowling Green State University - College of Business Administration, Bowling Green State University and Pennsylvania State University (Erie) - The Behrend College

Abstract:

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Exchange Traded Funds, Leveraged ETFs, Leveraged inverse ETFs, Bear market, Financial crisis, Intraday trade pattern, Basket securities

12.

Impact of Leveraged ETF Trading on the Market Quality of Component Stocks

North American Journal of Economics and Finance 28 (2014), p90-108
Posted: 15 Jul 2016
Mingsheng Li and Xin Zhao
Bowling Green State University - College of Business Administration and Pennsylvania State University (Erie) - The Behrend College

Abstract:

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Exchange traded funds; ETFs; Leveraged ETFs; Liquidity; Market Volatility

Neighborhood Effect on Stock Price Comovement

North American Journal of Economics and Finance, January 2016, 35, 1-22
Posted: 11 Dec 2017
Mingsheng Li and Xin Zhao
Bowling Green State University - College of Business Administration and Pennsylvania State University (Erie) - The Behrend College

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Price comovement; Local Bias; Asset Category; Geographic Proximity; Social Interaction; Investor Behavior