George H. K. Wang

George Mason University - Finance Area

Fairfax, VA 22030

United States

SCHOLARLY PAPERS

21

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CITATIONS
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20

Scholarly Papers (21)

1.

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 - Finance Area and Commodity Futures Trading Commission (CFTC)
Downloads 328 (73,624)
Citation 2

Abstract:

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

2.

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 - Finance Area
Downloads 291 (78,596)
Citation 5

Abstract:

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Index Futures, Market Quality, Transaction Tax

3.

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 - Finance Area, University of Sydney Business School and Discipline of Finance, The University of Sydney
Downloads 289 (65,881)
Citation 1

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algorithmic trades [AT], execution algorithms, earnings announcements

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 - Finance Area
Downloads 220 (114,692)
Citation 2

Abstract:

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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 - Finance Area and McIntire School of Commerce
Downloads 188 (124,954)
Citation 2

Abstract:

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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 - Finance Area
Downloads 181 (136,661)

Abstract:

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Price Impact, Futures markets

7.

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 - Finance Area
Downloads 164 (147,333)

Abstract:

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

8.

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 - Finance Area
Downloads 163 (142,269)
Citation 1

Abstract:

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

9.

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 - Finance Area and University of Sydney
Downloads 139 (171,374)
Citation 2

Abstract:

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

10.

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 - Finance Area and Feng Chia University
Downloads 123 (159,375)

Abstract:

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

11.

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, National Chengchi University and George Mason University - Finance Area
Downloads 120 (200,295)

Abstract:

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

12.

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 - Finance Area and UNSW Australia Business School, School of Banking and Finance
Downloads 94 (194,206)
Citation 1

Abstract:

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

13.

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 - Finance Area
Downloads 93 (208,098)
Citation 1

Abstract:

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

14.

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 - Finance Area and Seattle University
Downloads 83 (216,361)

Abstract:

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15.

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 - Finance Area and Seattle University - Albers School of Business and Economics
Downloads 79 (190,573)

Abstract:

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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

16.

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 - Finance Area, Feng Chia University and Barclays Capital
Downloads 62 (282,255)
Citation 1

Abstract:

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

17.

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 - Finance Area
Downloads 61 (300,917)
Citation 1

Abstract:

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R11, R14, R21

18.

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 - Finance Area and Feng Chia University
Downloads 29 (358,105)

Abstract:

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Margins, Trading activity, Trader types, Liquidity, Volatility

19.

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 - Finance Area and Discipline of Finance, The University of Sydney
Downloads 0 (298,443)
Citation 1

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

20.

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 - Finance Area
Downloads 0 (296,039)

Abstract:

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

21.

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 - Finance Area, 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: 4    Citations: 0
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, National Chengchi University and George Mason University - Finance Area
Downloads 0 (200,295)

Abstract:

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