Xin Zhao

Pennsylvania State University (Erie) - The Behrend College

286 Burke

Erie, PA 16563-1400

United States

  • Pennsylvania State University (Erie) - The Behrend College

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 21,360

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18

CROSSREF CITATIONS

27

Scholarly Papers (11)

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1.

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

Downloads 572 ( 54,626)

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 572 (53,985)

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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

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Nasdaq, order handling rules, intraday pattern, spreads

2.

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 431 (77,481)
Citation 4

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

3.

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 360 (95,494)
Citation 1

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Order imbalance, liquidity, spreads, depths, market makers

4.

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

Downloads 322 (108,286)
Citation 11

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 295 (118,281)
Citation 2

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

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

Journal of Business Finance & Accounting, Vol. 33, No. 5-6, pp. 753-766, June/July 2006
Number of pages: 14 Posted: 13 Aug 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 27 (564,460)
Citation 2
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5.

Making a Market with Spreads and Depths

Downloads 308 (113,591)
Citation 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 284 (123,104)

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Making a Market with Spreads and Depths

Number of pages: 28 Posted: 23 Sep 2004
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 24 (584,773)
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6.

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

Downloads 206 (170,021)

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 206 (169,782)
Citation 6

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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

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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 60 (406,516)

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

8.

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

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

9.

Empirical Analysis of ETF Intraday Trading

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

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

10.

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

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

11.

Neighborhood Effect on Stock Price Comovement

Downloads 0 (754,953)

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