J. Jimmy Yang

Oregon State University

426 Austin Hall

Corvallis, OR 97331

United States

  • Oregon State University

SCHOLARLY PAPERS

14

DOWNLOADS

1,552

TOTAL CITATIONS

1

Scholarly Papers (14)

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1.

Market Impact of the Bitcoin ETF Introduction on Bitcoin Futures

Number of pages: 53 Posted: 21 Mar 2024
Yu-Lun Chen, Ke Xu and J. Jimmy Yang
Chung Yuan Christian University, University of Victoria and Oregon State University
Downloads 239 (256,270)

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Bitcoin futures, ProShares bitcoin strategy ETF (BITO), Efficiency, Liquidity.

2.

The Economic Value of Bitcoin: A Volatility Timing Perspective with Portfolio Rebalancing

Downloads 217 (280,997)

The Economic Value of Bitcoin: A Volatility Timing Perspective with Portfolio Rebalancing

Number of pages: 25 Posted: 08 Oct 2022
Jui-Cheng Hung, Hung-Chun Liu and J. Jimmy Yang
Chinese Culture University - Department of Banking and Finance, Chung Yuan Christian University and Oregon State University
Downloads 108 (505,977)

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Bitcoin, Volatility timing, realized volatility, Portfolio rebalancing, RGARCH

The Economic Value of Bitcoin: A Volatility Timing Perspective with Portfolio Rebalancing

Number of pages: 27 Posted: 19 Oct 2023
Jui-Cheng Hung, Hung-Chun Liu and J. Jimmy Yang
Chinese Culture University - Department of Banking and Finance, Chung Yuan Christian University and Oregon State University
Downloads 56 (745,383)

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Bitcoin, Volatility timing, Portfolio rebalancing, RGARCH, Futures

The Economic Value of Bitcoin: A Volatility Timing Perspective with Portfolio Rebalancing

Number of pages: 27 Posted: 19 Oct 2023
Jui-Cheng Hung, Hung-Chun Liu and J. Jimmy Yang
Chinese Culture University - Department of Banking and Finance, Chung Yuan Christian University and Oregon State University
Downloads 53 (764,926)

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Bitcoin, Volatility timing, Portfolio rebalancing, RGARCH, Futures

3.

Investor Sentiment and Stock Market Crashes: A Heliobiological Perspective

Downloads 204 (297,708)
Citation 1

Investor Sentiment and Stock Market Crashes: A Heliobiological Perspective

Number of pages: 54 Posted: 01 Sep 2022
Chia-Chen Teng, Wei‐Shao Wu and J. Jimmy Yang
Chung Yuan Christian University - Department of Finance, Minjiang University - Newhuadu Business School and Oregon State University
Downloads 138 (417,721)
Citation 1

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investor sentiment, Market crashes, Sunspots, SEM

Investor Sentiment and Stock Market Crashes a Heliobiological Perspective

Number of pages: 23 Posted: 25 Jan 2024
Chia-Chen Teng, Wei-Shao Wu and J. Jimmy Yang
Chung Yuan Christian University - Department of Finance, National Taipei University of Business and Oregon State University
Downloads 42 (844,633)

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Investor sentiment, Market crashes, Sunspots

Investor Sentiment and Stock Market Crashes a Heliobiological Perspective

Number of pages: 52 Posted: 13 Jul 2024
Chia-Chen Teng, Wei-Shao Wu and J. Jimmy Yang
Chung Yuan Christian University - Department of Finance, National Taipei University of Business and Oregon State University
Downloads 24 (1,013,425)

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Investor sentiment, Market crashes, Sunspots

4.

Order Spoofing, Price Impact, and Market Quality

Downloads 129 (439,487)

Order Spoofing, Price Impact, and Market Quality

Number of pages: 61 Posted: 08 Mar 2024
Jianqiang Chen, Pei-Fang Hsieh and J. Jimmy Yang
Ocean University of China, National Tsing Hua University - Department of Quantitative Finance and Oregon State University
Downloads 107 (509,465)

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Price Impact, Price discovery, Order Revision, Spoofing, Market Quality

Order Spoofing, Price Impact, and Market Quality

Number of pages: 62 Posted: 29 May 2024
Jianqiang Chen, Pei-Fang Hsieh and J. Jimmy Yang
Ocean University of China, National Tsing Hua University - Department of Quantitative Finance and Oregon State University
Downloads 22 (1,036,082)

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Price Impact, Order Revision, Spoofing, market quality, derivative market

5.

Order Spoofing, Price Impact, and Market Quality

Number of pages: 55 Posted: 27 Dec 2022 Last Revised: 26 Dec 2023
Jianqiang Chen, Pei-Fang Hsieh and J. Jimmy Yang
National Tsing Hua University, National Tsing Hua University - Department of Quantitative Finance and Oregon State University
Downloads 129 (439,487)

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Price Impact; Price discovery; Order Revision; Spoofing; Market Quality

6.

How Do Traders of Bitcoin Futures React to Shocks from Bitcoin ETF and Hacking Incidents?

Number of pages: 43 Posted: 01 Nov 2023
Yu-Lun Chen and J. Jimmy Yang
Chung Yuan Christian University and Oregon State University
Downloads 116 (476,701)

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Bitcoin futures, Exchange-traded fund (ETF), Hacking incidents, Traders in Financial Futures (TFF)

7.

Cross-Asset Liquidity Transmission

Number of pages: 54 Posted: 28 Jun 2024
Jonathan Brogaard, Pei-Fang Hsieh, Jeffrey Yang and J. Jimmy Yang
University of Utah - David Eccles School of Business, National Tsing Hua University - Department of Quantitative Finance, University of Utah - David Eccles School of Business and Oregon State University
Downloads 114 (482,955)

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derivatives hedging, market making, stock market liquidity

8.

International diversification with frontier markets

Downloads 99 (534,446)

International diversification with frontier markets

Journal of Financial Economics, Forthcoming
Number of pages: 48 Posted: 20 Apr 2022
Dave Berger, Kuntara Pukthuanthong and J. Jimmy Yang
Oregon State University, University of Missouri, Columbia and Oregon State University
Downloads 99 (539,216)

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Frontier markets; International equity markets; Market Integration; International diversification

9.

Covered Interest Rate Parity Deviations, COVID-19 Pandemic Infection Cases, and Vaccination

Number of pages: 37 Posted: 15 Sep 2022
Yu-Lun Chen, Wan-Shin Mo and J. Jimmy Yang
Chung Yuan Christian University, National ChiaYi University Department of Applied Economics and Oregon State University
Downloads 92 (560,232)

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Covered interest rate parity (CIP), COVID-19 pandemic, Stringency index, Cross-currency basis.

10.

Asymmetric Dynamic Correlations and Portfolio Management between Bitcoin and Stablecoins

Number of pages: 32 Posted: 24 Feb 2023
Kuo-Shing Chen and J. Jimmy Yang
Ming Chuan University and Oregon State University
Downloads 71 (650,530)

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Hedging strategy, DCC-GJR-GARCH model, Dollar-pegged stablecoins, FinTech

11.

The Impact of FOMC Announcements on Return and Volatility Spillovers in Us Treasury Futures

Downloads 45 (801,501)

The Impact of FOMC Announcements on Return and Volatility Spillovers in Us Treasury Futures

Number of pages: 43 Posted: 30 Mar 2024
Yu-Lun Chen, Chiu-Ya Fu and J. Jimmy Yang
Chung Yuan Christian University, Chung Yuan Christian University and Oregon State University
Downloads 36 (894,910)

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US Treasury futures, Federal Open Market Committee (FOMC), Federal funds rate, Price discovery.

The Impact of FOMC Announcements on Return and Volatility Spillovers in Us Treasury Futures

Number of pages: 55 Posted: 16 Oct 2024
Yu-Lun Chen, Chiu-Ya Fu and J. Jimmy Yang
Chung Yuan Christian University, Chung Yuan Christian University and Oregon State University
Downloads 9 (1,197,941)

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US Treasury futures, Federal Open Market Committee (FOMC), Federal funds rate, Price discovery.

12.

Return Spillover and its Determinants in China's Financial Markets

Number of pages: 46 Posted: 05 Oct 2022
Wan-Shin Mo, J. Jimmy Yang, Yu-Lun Chen and Rong-Ling Qin
National ChiaYi University Department of Applied Economics, Oregon State University, Chung Yuan Christian University and Chung Yuan Christian University
Downloads 42 (823,305)

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Financial connectedness, Diebold and Yilmaz index, CNH/USD, CNY/USD

13.

SDR Adjustment and FX Liquidity

Downloads 37 (862,439)

SDR Adjustment and FX Liquidity

Number of pages: 47 Posted: 23 Mar 2023
Yu-Lun Chen and J. Jimmy Yang
Chung Yuan Christian University and Oregon State University
Downloads 23 (1,024,643)

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Special drawing rights (SDR), Liquidity spillover, Liquidity commonality

SDR Adjustment and FX Liquidity

Number of pages: 47 Posted: 16 May 2023
Yu-Lun Chen and J. Jimmy Yang
Chung Yuan Christian University and Oregon State University
Downloads 14 (1,133,506)

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Special drawing rights (SDR), Liquidity spillover, Liquidity commonality

14.

Investor Sentiment and Stock Market Crashes: A Heliobiological Perspective

Number of pages: 52 Posted: 30 Oct 2024
Chia-Chen Teng, Wei-Shao Wu and J. Jimmy Yang
Chung Yuan Christian University - Department of Finance, National Taipei University of Business and Oregon State University
Downloads 18 (1,049,271)

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Investor sentiment, Market crashes, Heliobiological, Solar activities, SEM

Other Papers (1)

Total Downloads: 45
Actions:
Email selected abstracts
1.

Price Impact of Order Revisions: Evidence from Order Spoofing

Number of pages: 55 Posted: 27 Mar 2023
Jianqiang Chen, Pei-Fang Hsieh and J. Jimmy Yang
National Tsing Hua University, National Tsing Hua University - Department of Quantitative Finance and Oregon State University
Downloads 45

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Price Impact, Price discovery, Order Revision, Spoofing