George H. K. Wang

George Mason University - Department of Finance

Fairfax, VA 22030

United States

SCHOLARLY PAPERS

22

DOWNLOADS
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3,586

SSRN CITATIONS
Rank 19,905

SSRN RANKINGS

Top 19,905

in Total Papers Citations

5

CROSSREF CITATIONS

37

Scholarly Papers (22)

1.

Are Algorithmic Trades Informed? - An Empirical Analysis of Algorithmic Trading Around Earnings Announcements

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 46 Posted: 22 Aug 2012 Last Revised: 15 Sep 2015
The University of Sydney - Discipline of Finance, University of Sydney Business School, George Mason University - Department of Finance, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 408 (75,219)

Abstract:

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algorithmic trades [AT], execution algorithms, earnings announcements

2.

When Size Matters: The Case of Equity Index Futures

EFMA 2004 Basel Meetings Paper
Number of pages: 52 Posted: 12 Jun 2004
George H. K. Wang and Aysegul Ates
George Mason University - Department of Finance and Commodity Futures Trading Commission (CFTC)
Downloads 358 (87,163)
Citation 1

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Regular index futures, E-mini index futures, Market quality, Market fragmentation, Contract size and Clientele differences

3.

Transaction Tax and Market Quality of the Taiwan Stock Index Futures

Journal of Futures Market, Forthcoming
Number of pages: 38 Posted: 06 Jun 2006
Robin K. Chou and George H. K. Wang
National Chengchi University and George Mason University - Department of Finance
Downloads 331 (95,244)
Citation 1

Abstract:

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Index Futures, Market Quality, Transaction Tax

4.

Liquidity and the Evolution of Price Discovery on Floor Versus Screen-Based Trading Systems: An Analysis of the Foreign Exchange Futures Markets

Number of pages: 54 Posted: 13 Jul 2005
Aysegul Ates and George H. K. Wang
Commodity Futures Trading Commission (CFTC) and George Mason University - Department of Finance
Downloads 238 (135,121)
Citation 3

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Microstructure, foreign exchange futures markets, floor versus screen trading

5.

Jumps and Trading Activity in Interest Rate Futures Markets: The Response to Macroeconomic Announcements

Number of pages: 44 Posted: 23 Mar 2010 Last Revised: 29 Nov 2010
C. Johan Bjursell, George H. K. Wang and Robert I. Webb
Barclays Capital, George Mason University - Department of Finance and McIntire School of Commerce
Downloads 222 (144,526)
Citation 2

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realized variation, bipower variation, jump statistics, interest rate futures, macro announcements, price and trading volume patterns

6.

The Price Impact of Institutional Trades on S&P 500 Index Futures

Number of pages: 27 Posted: 27 Aug 2007
Alex Frino, Andrew Lepone and George H. K. Wang
The University of Sydney - Discipline of Finance, University of Sydney and George Mason University - Department of Finance
Downloads 197 (161,775)

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Price Impact, Futures markets

7.

Volatility and Trading Activity Following Changes in the Size of Futures Contracts

Number of pages: 30 Posted: 03 Feb 2008
Johan Bjursell, Alex Frino, Yiuman Tse and George H. K. Wang
Credit Suisse AG, The University of Sydney - Discipline of Finance, University of Texas at San Antonio - College of Business and George Mason University - Department of Finance
Downloads 191 (166,326)

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: Price volatility, Trading Frequency, Trade Size, Change in Size of Futures Contracts.

8.

The Impacts of Individual Day Trading Strategies on Market Liquidity and Volatility: Evidence from the Taiwan Index Futures Market

Number of pages: 53 Posted: 06 Apr 2013
Robin K. Chou, George H. K. Wang and Yun-Yi Wang
National Chengchi University, George Mason University - Department of Finance and Feng Chia University
Downloads 188 (168,755)

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Individuals, Day trading, Foreign institutional trading, Trading strategies, Liquidity, Volatility

9.

Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures

Journal of Futures Markets, Forthcoming
Number of pages: 38 Posted: 21 Dec 2011 Last Revised: 03 Aug 2012
Junmao Chiu, Huimin Chung and George H. K. Wang
College of Management, Yuan Ze University, National Chiao-Tung University - Graduate Institute of Finance and George Mason University - Department of Finance
Downloads 182 (173,817)
Citation 1

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Liquidity Provision, Limit Order Market, Informed Traders, Individual Traders

10.

Large Trades and Intraday Futures Price Behavior

Journal of Futures Markets, Vol. 28, No. 12, pp. 1147-1181, December 2008
Number of pages: 49 Posted: 18 Dec 2008
Alex Frino, Johan Bjursell, George H. K. Wang and Andrew Lepone
The University of Sydney - Discipline of Finance, Credit Suisse AG, George Mason University - Department of Finance and University of Sydney
Downloads 164 (190,202)

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Market Price Impacts, Liquidity Effects, Information Effects, Large Trades, Futures Price Behavior

11.

Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets

Number of pages: 31 Posted: 18 Jan 2010
Wing H. Chan, George H. K. Wang and Li Yang
Wilfrid Laurier University - School of Business & Economics, George Mason University - Department of Finance and UNSW Australia Business School, School of Banking and Finance
Downloads 160 (194,408)
Citation 1

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Weather, Inventory, Volatility Jump Dynamics, Natural Gas Futures, Spot Markets

12.

Would a Financial Transaction Tax Affect Financial Market Activity? Insights from Future Markets

Cato Institute Policy Analysis No. 72
Number of pages: 24 Posted: 02 Mar 2013
George H. K. Wang and Jot Yau
George Mason University - Department of Finance and Seattle University - Albers School of Business and Economics
Downloads 159 (195,453)

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financial transaction tax, US financial market regulation, bank regulation in the United States, American financial market laws, federal regulation of the financial industry

13.

Investor Sentiment and Price Discovery: Evidence from the Pricing Dynamics between the Futures and Spot Markets

Number of pages: 46 Posted: 15 Aug 2014 Last Revised: 19 Aug 2015
Robin K. Chou, Chu-Bin Lin and George H. K. Wang
National Chengchi University (NCCU), National Chengchi University and George Mason University - Department of Finance
Downloads 154 (200,802)

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Behavioral finance, Information shares, Investor sentiment, Lead-lag relation, Pricing dynamics

14.

Inventory Announcements, Jump Dynamics and Volatility in U.S. Energy Futures Markets

Number of pages: 45 Posted: 25 Mar 2011
C. Johan Bjursell, James E. Gentle and George H. K. Wang
Barclays Capital, George Mason University and George Mason University - Department of Finance
Downloads 122 (241,419)
Citation 1

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realized variation, bipower variation, jump statistics, energy futures price, trading volume behavior and inventory news events

15.

Transaction Tax and Market Quality of U.S. Futures Markets: An Ex-Ante Analysisi

Review of Futures Markets, July 2012, p. 141-177
Number of pages: 48 Posted: 05 Sep 2012
C. Johan Bjursell, George H. K. Wang and Jot Yau
Barclays Capital, George Mason University - Department of Finance and Seattle University
Downloads 121 (242,922)

Abstract:

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16.

VPIN, Jump Dynamics and Inventory Announcements in Energy Futures Markets

Journal of Futures Markets, Forthcoming
Number of pages: 49 Posted: 21 Mar 2017
Johan Bjursell, George H. K. Wang and Hui Zheng
Credit Suisse AG, George Mason University - Department of Finance and Discipline of Finance, The University of Sydney
Downloads 95 (287,432)
Citation 1

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VPIN, Order floow toxicity, Price jumps, Inventory announcements, Crude oil futures, Natural gas futures

17.

Order Aggressiveness, Trading Patience, and Trader Types in a Limit Order Market

Journal of Futures Markets, Forthcoming
Number of pages: 49 Posted: 24 Oct 2016 Last Revised: 02 Nov 2016
Junmao Chiu, Huimin Chung and George H. K. Wang
College of Management, Yuan Ze University, National Chiao-Tung University - Graduate Institute of Finance and George Mason University - Department of Finance
Downloads 95 (287,432)

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Limit-order book; Order aggressiveness; Trading patience; Pre-trade transparency; Trader types

18.

The Impacts of Large Trades by Trader Types on Intraday Futures Prices: Evidence from the Taiwan Futures Exchange

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 42 Posted: 22 Aug 2010 Last Revised: 29 Nov 2010
Robin K. Chou, George H. K. Wang, Yun-Yi Wang and C. Johan Bjursell
National Chengchi University, George Mason University - Department of Finance, Feng Chia University and Barclays Capital
Downloads 82 (315,110)

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Large Trades, Trader Types, Total Price Effects, Liquidity Effects, Information Effects, Futures Price Behavior

19.

Multiple Transactions Model: A Panel Data Approach to Estimate Housing Market Indices

Journal of Real Estate Research, Vol. 29, No. 3, 2007
Number of pages: 26 Posted: 15 Nov 2007
Andre Gao and George H. K. Wang
affiliation not provided to SSRN and George Mason University - Department of Finance
Downloads 64 (361,713)
Citation 1

Abstract:

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R11, R14, R21

20.

The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 54 Posted: 26 Jul 2014
Robin K. Chou, George H. K. Wang and Yun-Yi Wang
National Chengchi University, George Mason University - Department of Finance and Feng Chia University
Downloads 47 (417,304)
Citation 1

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Margins, Trading activity, Trader types, Liquidity, Volatility

21.

Securities Transaction Taxes and Market Quality of Equity and Futures Markets: Issues and Evidence

MERCATUS RESEARCH, George Mason University School of Business Research Paper No. 18-10
Number of pages: 15 Posted: 07 Jun 2018
George H. K. Wang
George Mason University - Department of Finance
Downloads 8 (624,134)

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22.

Transaction Tax and Market Quality of U.S. Futures Markets: An Ex-Ante Analysis

Posted: 02 Sep 2012
George H. K. Wang, C. Johan Bjursell and Jot Yau
George Mason University - Department of Finance, Barclays Capital and Seattle University

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Transaction Tax, Trading volume, Bid-Ask spread, Price Volatility, Futures Markets

Other Papers (1)

Total Downloads: 12
1.

Investor Sentiment and Price Discovery: Evidence from the Pricing Dynamics between the Futures and Spot Markets

Number of pages: 45 Posted: 05 Feb 2015
Robin K. Chou, Chu-Bin Lin and George H. K. Wang
National Chengchi University (NCCU), National Chengchi University and George Mason University - Department of Finance
Downloads 12

Abstract:

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Information shares, Investor sentiment, Lead-lag relation, Limits to arbitrage