Huu Nhan Duong

Monash University - Department of Banking and Finance

Melbourne

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

24

DOWNLOADS
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SSRN RANKINGS

Top 26,147

in Total Papers Downloads

1,356

CITATIONS

1

Scholarly Papers (24)

1.

Dynamic Volume-Return Relation, Information Asymmetry, and Trade Size: An Analysis of Australian Market

Finance and Corporate Governance Conference 2011 Paper
Number of pages: 36 Posted: 01 Dec 2010 Last Revised: 05 Sep 2014
Yang Sun, Huu Nhan Duong and Harminder Singh
School of Accounting, Economics and Finance, Deakin University, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 79 (231,056)

Abstract:

size, Information Asymmetry, Volume, Return

2.

Volume Reaction to Firm Specific News Announcements

Number of pages: 24 Posted: 29 Aug 2012 Last Revised: 02 Oct 2012
Huu Nhan Duong, Petko S. Kalev and Priyantha Mudalige
Monash University - Department of Banking and Finance, University of South Australia - Centre for Applied Financial Studies and University of South Australia - Business School, Centre for Applied Financial Studies
Downloads 68 (248,812)

Abstract:

Institutional investors, Individual investors, Abnormal volume, Standard volume, Firm specific news, Scheduled news, Unscheduled news

3.

Measuring Immediate Price Impact Using Nonparametric Models

Number of pages: 61 Posted: 25 Jan 2015
Manh Pham, Huu Nhan Duong and Paul Lajbcygier
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 67 (181,731)

Abstract:

Market Impact, Indexing, High Frequency Trading, Nonparametric, Generalized Additive Models

4.

The Information Content of Special Orders

Pacific-Basin Finance Journal, Forthcoming, FIRN Research Paper No. 2786185
Number of pages: 37 Posted: 05 Jun 2016
Huu Nhan Duong, Paul Lajbcygier and Van H. Vu
Monash University - Department of Banking and Finance, Monash University - Department of Banking & Finance and affiliation not provided to SSRN
Downloads 64 (279,971)

Abstract:

Fill-and-Kill orders, All-or-Nothing orders, Institutional Investors, Price Impact, High Frequency Trading

5.

A Comparison of the Forecasting Ability of Immediate Price Impact Models

Number of pages: 37 Posted: 28 Oct 2014 Last Revised: 22 Sep 2015
Manh Pham, Huu Nhan Duong and Paul Lajbcygier
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Banking and Finance and Monash University - Department of Banking & Finance
Downloads 60 (241,324)

Abstract:

Market Impact, Trading Costs, Out-of-sample forecasting

6.

Trading Volume, Realized Volatility and Jumps on the Australian Stock Market

Journal of International Financial Markets Institutions and Money, Forthcoming
Number of pages: 33 Posted: 10 May 2014
Monash University, Monash University - Department of Banking and Finance, University of South Australia - Centre for Applied Financial Studies and Deakin University - School of Accounting, Economics and Finance
Downloads 59 (241,324)

Abstract:

Volatility, Information flow, Jump

Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

Number of pages: 43 Posted: 23 Jun 2016
University of South Australia - Business School, Centre for Applied Financial Studies, University of South Australia - Centre for Applied Financial Studies, University of South Australia and Monash University - Department of Banking and Finance
Downloads 30 (391,566)

Abstract:

Institutional and Individual Investors; Competing and Announcing Firms; Returns; Net Order Flow; Earnings Announcements; Informed Trading

Individual and Institutional Informed Trading in Competing Firms Around Earnings Announcements

Number of pages: 43 Posted: 22 Jan 2016 Last Revised: 01 May 2016
University of South Australia - Business School, Centre for Applied Financial Studies, University of South Australia - Centre for Applied Financial Studies, University of South Australia and Monash University - Department of Banking and Finance
Downloads 18 (455,289)

Abstract:

Institutional and Individual Investors; Competing and Announcing Firms; Returns; Net Order Flow; Earnings Announcements; Informed Trading

8.

Trading Volume Around Firm-Specific Announcements

26th Australasian Finance and Banking Conference 2013
Number of pages: 41 Posted: 26 Aug 2013 Last Revised: 21 Oct 2013
Priyantha Mudalige, Petko S. Kalev and Huu Nhan Duong
University of South Australia - Business School, Centre for Applied Financial Studies, University of South Australia - Centre for Applied Financial Studies and Monash University - Department of Banking and Finance
Downloads 42 (291,703)

Abstract:

Institutional investors, Individual investors, Standard volume, Abnormal volume, Firm-specific announcements, Scheduled announcements, Unscheduled announcements

9.

Information Asymmetry, Trade Size, and the Dynamic Volume-Return Relation: Evidence from the Australian Securities Exchange

Financial Review, Forthcoming
Number of pages: 38 Posted: 29 May 2014
Yang Sun, Huu Nhan Duong and Harminder Singh
School of Accounting, Economics and Finance, Deakin University, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 39 (326,972)

Abstract:

Trade-size, Information Asymmetry, Volume-Return Relation

10.

Anonymity and the Information Content of the Limit Order Book

Journal of International Financial Markets, Institutions and Money, Vol. 30, 2014
Number of pages: 36 Posted: 29 May 2014
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Banking and Finance and University of South Australia - Centre for Applied Financial Studies
Downloads 22 (381,768)

Abstract:

11.

Liquidity Provision and Informed Trading by Individual Investors

Pacific-Basin Finance Journal, Forthcoming, 2014 Financial Markets & Corporate Governance Conference
Number of pages: 45 Posted: 31 Jan 2014 Last Revised: 07 Feb 2015
Xiao Tian, Binh Huu Do, Huu Nhan Duong and Petko S. Kalev
University of South Australia, Monash University, Monash University - Department of Banking and Finance and University of South Australia - Centre for Applied Financial Studies
Downloads 13 (404,169)

Abstract:

Individual investors, Future stock returns, Algorithmic trading, Liquidity provision, Informed trading

12.

Information Content of Directors’ Trading Around Acquisition

Pacific Basin Finance Journal, Forthcoming, 2015 Financial Markets & Corporate Governance Conference
Number of pages: 45 Posted: 31 Jan 2015 Last Revised: 22 Apr 2016
Syed Shams, Huu Nhan Duong and Harminder Singh
University of Southern Queensland, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 6 (399,474)

Abstract:

Directors’ trading, abnormal returns, information content, operating performance

13.

Pre-trade Transparency and the Information Content of the Limit Order Book

Market Microstructure and Nonlinear Dynamics - Keeping Financial Crisis in Context, edited by Gilles Dufrénot, Fredj Jawadi and Wael Louhichi (Eds), Springer-Verlag, 2014, 2012 Financial Markets & Corporate Governance Conference, 24th Australasian Finance and Banking Conference 2011 Paper,
Number of pages: 31 Posted: 26 Aug 2011 Last Revised: 08 Feb 2015
Huu Nhan Duong, Petko S. Kalev and Yang Sun
Monash University - Department of Banking and Finance, University of South Australia - Centre for Applied Financial Studies and University of South Australia
Downloads 6 (434,411)

Abstract:

Limit Order Book, Pre-trade Transparency, Information Content, Interest Rate Futures

14.

Anonymity and Order Submissions

Pacific-Basin Finance Journal, Vol. 25, 2013
Number of pages: 37 Posted: 07 Aug 2009 Last Revised: 07 Feb 2015
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Banking and Finance and University of South Australia - Centre for Applied Financial Studies
Downloads 4 (459,843)
Citation 1

Abstract:

Anonymity; Institutional investors; Individual investors; Order submissions

15.

Information Asymmetry, Trade Size, and the Dynamic Volume‐Return Relation: Evidence from the Australian Securities Exchange

Financial Review, Vol. 49, Issue 3, pp. 539-564, 2014
Number of pages: 26 Posted: 26 Jul 2014
Yang Sun, Huu Nhan Duong and Harminder Singh
University of South Australia, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 1 (525,728)
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Abstract:

trade size, information asymmetry, volume‐return relation

16.

Does Foreign Competition Affect Stock Market Liquidity?

Number of pages: 46 Posted: 12 Jan 2017
Department of Economics and Finance, La Trobe University, La Trobe University -Department of Economics and Finance, Monash University - Department of Banking and Finance and Deakin University
Downloads 0 (336,074)

Abstract:

Stock Liquidity; Foreign Competition; Import Tariff

17.

Stock Market Liquidity and Firm Value: An Empirical Examination of the Australian Market

International Review of Finance, Vol. 16, Issue 4, pp. 639-646, 2016
Number of pages: 8 Posted: 07 Dec 2016
Trang Nguyen, Huu Nhan Duong and Harminder Singh
University of Queensland, Monash University - Department of Banking and Finance and Deakin University - School of Accounting, Economics and Finance
Downloads 0 (535,747)
  • Add to Cart

Abstract:

18.

Powerful CEOs and Stock Price Crash Risk

FIRN Research Paper No. 2791707
Number of pages: 57 Posted: 20 Jun 2016 Last Revised: 08 Feb 2017
La Trobe University, La Trobe University -Department of Economics and Finance and Monash University - Department of Banking and Finance
Downloads 0 (55,668)

Abstract:

CEO Power, Stock Price Crash Risk, Takeover Index, Earnings Management, Tax Avoidance, CFO Option Incentives, CEO Overconfidence

19.

Individual and Institutional Trading Volume Around Firm-Specific Announcements

Number of pages: 36 Posted: 22 Jan 2016
Priyantha Mudalige, Petko S. Kalev and Huu Nhan Duong
University of South Australia - Business School, Centre for Applied Financial Studies, University of South Australia - Centre for Applied Financial Studies and Monash University - Department of Banking and Finance
Downloads 0 (336,074)

Abstract:

Institutional investors, Individual investors, Trading volume, Abnormal volume, Firm-specific announcements, Scheduled announcements, Unscheduled announcements

20.

Dividend Initiations, Information Content and Informed Trading in the Options Market

2016 Financial Markets and Corporate Governance
Number of pages: 48 Posted: 12 Oct 2015 Last Revised: 18 Jan 2016
La Trobe University -Department of Economics and Finance, Monash University - Department of Banking and Finance, University of Birmingham - Department of Accounting and Finance and Dept. of Economics and Finance, La Trobe University
Downloads 0 (284,729)

Abstract:

Dividend initiations, options trading, O/S, call/put options, volatility surface, abnormal earnings, stock liquidity

21.

Order Aggressiveness of Institutional and Individual Investors

Pacific-Basin Finance Journal, Vol. 17, No. 5, 2009
Posted: 07 Feb 2015
Monash University - Department of Banking and Finance, University of South Australia - Centre for Applied Financial Studies and Monash University

Abstract:

Limit order book, Institutional and individual investors, Order aggressiveness

22.

Informed Trading in Option Markets around Accelerated Share Repurchase Announcements

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 46 Posted: 22 Aug 2014 Last Revised: 31 Jan 2017
La Trobe University - Faculty of Business, Economics and Law, La Trobe University -Department of Economics and Finance, Monash University - Department of Banking and Finance and University of Birmingham - Department of Accounting and Finance
Downloads 0 (485,174)

Abstract:

Accelerated share repurchase, options trading, option to shares ratio, option volume, option liquidity, pseudo analysis, implied volatility skew and spread, volatility surface.

23.

The Samuelson Hypothesis in Futures Markets: An Analysis Using Intraday Data

Journal of Banking and Finance, Vol. 32, No. 4, 2008
Posted: 29 May 2014
Huu Nhan Duong and Petko S. Kalev
Monash University - Department of Banking and Finance and University of South Australia - Centre for Applied Financial Studies

Abstract:

24.

A Test of the Samuelson Hypothesis Using Realized Range

Journal of Futures Markets, Vol 28, issue 7, 2008
Posted: 29 May 2014
Petko S. Kalev and Huu Nhan Duong
University of South Australia - Centre for Applied Financial Studies and Monash University - Department of Banking and Finance

Abstract:

Other Papers (1)

Total Downloads: 1    Citations: 0
1.

The Information Content of Special Orders

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 34 Posted: 01 Feb 2016
Huu Nhan Duong, Paul Lajbcygier and Van H. Vu
Monash University - Department of Banking and Finance, Monash University - Department of Banking & Finance and affiliation not provided to SSRN
Downloads 0 (279,971)

Abstract:

Fill-and-Kill orders, All-or-Nothing orders, Institutional Investors, Price Impact, High Frequency Trading