Chen Yao

The Chinese University of Hong Kong (CUHK) - CUHK Business School

Assistant Professor of Finance

Cheng Yu Tung Building

Shatin, N.T.

Hong Kong

http://sites.google.com/site/chenyaosite/research

SCHOLARLY PAPERS

10

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Top 6,582

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9,489

SSRN CITATIONS
Rank 10,078

SSRN RANKINGS

Top 10,078

in Total Papers Citations

75

CROSSREF CITATIONS

48

Scholarly Papers (10)

1.

The Externalities of High Frequency Trading

WBS Finance Group Research Paper No. 180
Number of pages: 56 Posted: 26 May 2012 Last Revised: 26 Dec 2019
Mao Ye, Chen Yao and Jiading Gai
University of Illinois at Urbana-Champaign, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 3,454 (4,643)
Citation 29

Abstract:

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Externality, Positional Game, High-Frequency Trading, Liquidity, Price Efficiency, Quote Stuffing , Supercomputing

2.
Downloads 1,908 ( 12,193)
Citation 7

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 31-2011, Midwest Finance Association 2012 Annual Meetings Paper, WBS Finance Group Research Paper No. 167
Number of pages: 47 Posted: 23 Jul 2011 Last Revised: 26 Dec 2019
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 1,299 (21,616)
Citation 5

Abstract:

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TAQ data, Odd-lots, Price Discovery, Transparency, Order Imbalance, Retail Trading

What’s Not There: The Odd-Lot Bias in TAQ Data

Johnson School Research Paper Series No. 16-2012, AFA 2013 San Diego Meetings Paper, WBS Finance Group Research Paper No. 176
Number of pages: 57 Posted: 17 Mar 2012 Last Revised: 26 Dec 2019
Maureen O'Hara, Chen Yao and Mao Ye
Cornell University - Samuel Curtis Johnson Graduate School of Management, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 609 (61,891)
Citation 14

Abstract:

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3.

Why Trading Speed Matters: A Tale of Queue Rationing under Price Controls

Number of pages: 44 Posted: 10 Aug 2014 Last Revised: 13 Aug 2017
Chen Yao and Mao Ye
The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 1,011 (31,673)
Citation 25

Abstract:

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High-Frequency Trading, Liquidity, Tick Size, Price Controls, Queue Rationing

The Price Effects of Liquidity Shocks: A Study of SEC's Tick-Size Experiment

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 07 Dec 2017 Last Revised: 07 Apr 2020
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 782 (44,557)
Citation 5

Abstract:

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tick size pilot, liquidity, information risk, price efficiency, news re- sponse, investor horizon, liquidity risk, liquidity premium, cost of capital, JOBS Act, SEC

The Price Effects of Liquidity Shocks: A Study of Sec's Tick-Size Experiment

Number of pages: 58 Posted: 13 Aug 2018
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 20 (724,399)
Citation 2

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The Price Effects of Liquidity Shocks: A Study of SEC's Tick-Size Experiment

CEPR Discussion Paper No. DP12486
Number of pages: 63 Posted: 12 Dec 2017
Boston College, Carroll School of Management, The Vanguard Group, Inc. and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 3 (899,256)
Citation 5
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information risk, investor horizon, JOBS Act, liquidity, liquidity premium, liquidity risk, news response rate, price efficiency, tick size pilot program

5.

Why Discrete Price Fragments U.S. Stock Exchanges and Disperses Their Fee Structures

Review of Financial Studies, 2019
Number of pages: 65 Posted: 26 Nov 2014 Last Revised: 30 Jul 2019
Yong Chao, Chen Yao and Mao Ye
University of Louisville - College of Business - Department of Economics, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 778 (45,468)
Citation 15

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price dispersion, market fragmentation, make-take fees, exchange competition, two-sided market

6.

Tick Size Constraints, Market Structure, and Liquidity

WBS Finance Group Research Paper No. 212
Number of pages: 51 Posted: 24 Nov 2013 Last Revised: 26 Dec 2019
Mao Ye and Chen Yao
University of Illinois at Urbana-Champaign and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 592 (64,899)

Abstract:

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price constraints, high-frequency trading, maker/taker fees, liquidity, tick size non-price competition

7.

Discrete Pricing and Market Fragmentation: A Tale of Two-Sided Markets

American Economic Review, Vol. 107, No. 5, 2017
Number of pages: 5 Posted: 23 Jan 2017
Yong Chao, Chen Yao and Mao Ye
University of Louisville - College of Business - Department of Economics, The Chinese University of Hong Kong (CUHK) - CUHK Business School and University of Illinois at Urbana-Champaign
Downloads 468 (86,763)
Citation 9

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Discrete Pricing, Market Fragmentation, Two-Sided Markets

8.

Do Hidden Orders Contain Information? Evidence from Cross-Sectional Returns and Corporate Events

Number of pages: 42 Posted: 25 Aug 2017 Last Revised: 02 Oct 2017
Chen Yao
The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 217 (196,172)

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Hidden Order, Underplayed, Information, Assert Return, Corporate Events

9.

U Disappeared: How Index Funds Reshape Intraday Stock Market Dynamics

Number of pages: 52 Posted: 12 Dec 2019 Last Revised: 16 Feb 2021
Wenxi Jiang and Chen Yao
CUHK Business School, The Chinese University of Hong Kong and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 208 (204,048)
Citation 1

Abstract:

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index fund, intraday stock liquidity, price informativeness, diurnal pattern, market close

10.

The Effect of a Closing auction on Market Quality and Market Efficiency in the Stock Exchange of Hong Kong

Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper AP No. 02/2021
Number of pages: 28 Posted: 07 May 2021 Last Revised: 09 Jun 2022
Kalok Chan and Chen Yao
CUHK Business School and The Chinese University of Hong Kong (CUHK) - CUHK Business School
Downloads 48 (542,635)

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