Woon K. Wong

IMRU, Cardiff Business School

Senior Research Associate

Cardiff CF10 3EU

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS
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Top 16,851

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3,014

SSRN CITATIONS
Rank 23,669

SSRN RANKINGS

Top 23,669

in Total Papers Citations

9

CROSSREF CITATIONS

24

Scholarly Papers (17)

1.

Backtesting Value-at-Risk Based on Tail Losses

Number of pages: 32 Posted: 05 Dec 2007 Last Revised: 10 Nov 2008
Woon K. Wong
IMRU, Cardiff Business School
Downloads 446 (67,511)
Citation 1

Abstract:

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Value-at-Risk, tail risk, backtesting, risk management, risk capital

2.

Backtesting Trading Risk of Commercial Banks Using Expected Shortfall

Journal of Banking and Finance, Forthcoming
Number of pages: 30 Posted: 24 May 2008
Woon K. Wong
IMRU, Cardiff Business School
Downloads 275 (116,779)
Citation 3

Abstract:

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Value-at-Risk, expected shortfall, backtesting, saddlepoint technique

3.

Probability of Information-Based Trading as a Pricing Factor in Taiwan Stock Market

Number of pages: 29 Posted: 02 Apr 2008
Ralph C. Lu and Woon K. Wong
Ming Chuan University - Department of Finance and IMRU, Cardiff Business School
Downloads 274 (117,246)
Citation 4

Abstract:

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Information-based trading, cross-sectional asset pricing test

4.

Can Price Limits Help When the Price is Falling? Evidence from Transactions Data on the Shanghai Stock Exchange

China Economic Review, Forthcoming
Number of pages: 34 Posted: 06 Feb 2008 Last Revised: 26 Aug 2008
Woon K. Wong, Bo Liu and Yong Zeng
IMRU, Cardiff Business School, University of Electronic Science and Technology of China (UESTC) and University of Electronic Science and Technology of China (UESTC)
Downloads 274 (117,246)
Citation 3

Abstract:

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Price limit rules, magnet effect, delayed price discovery, transactions data, Shanghai Stock Exchange

5.

Social-Media Sentiment, Limited Attention, and Stock Returns

Number of pages: 73 Posted: 13 Dec 2019 Last Revised: 03 Jan 2020
Woon Sau Leung, Woon K. Wong and Gabriel Wong
The University of Edinburgh Business School, The University of Edinburgh, IMRU, Cardiff Business School and Cardiff University - Cardiff Business School
Downloads 263 (122,398)

Abstract:

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Tweet sentiment, StockTwits, Behavioral finance, Limited Attention, Stock returns

6.

Capturing Tail Risks Beyond VaR

Number of pages: 28 Posted: 07 Sep 2008 Last Revised: 10 Jul 2009
Woon K. Wong, Guobin Fan and Yong Zeng
IMRU, Cardiff Business School, School of Management and Economics, The University of Electronic Science and Technology of China and University of Electronic Science and Technology of China (UESTC)
Downloads 215 (149,438)

Abstract:

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Value-at-Risk, expected shortfall, tail risk, backtesting, saddlepoint technique

7.

Informed Trading and Liquidity in the Shanghai Stock Exchange

International Review of Financial Analysis, Forthcoming
Number of pages: 33 Posted: 17 Jan 2008 Last Revised: 10 Nov 2008
Woon K. Wong, Dijun Tan and Yixiang Tian
IMRU, Cardiff Business School, University of Electronic Science and Technology of China (UESTC) and University of Electronic Science and Technology of China (UESTC)
Downloads 207 (154,906)
Citation 1

Abstract:

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Informed trading, Liquidity trading, Duration, Volume, Volatility

8.

Risk Measurement and Management in a Crisis-Prone World

Number of pages: 26 Posted: 11 Sep 2008
Woon K. Wong and Laurence Copeland
IMRU, Cardiff Business School and Cardiff University - Cardiff Business School
Downloads 205 (156,312)
Citation 1

Abstract:

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Value-at-Risk, expected shortfall, tail risk contribution, saddlepoint technique, risk capital

9.

Backtesting the Tail Risk of VaR in Holding US Dollars

Applied Financial Economics, Forthcoming
Number of pages: 27 Posted: 05 Dec 2007 Last Revised: 27 May 2008
Woon K. Wong
IMRU, Cardiff Business School
Downloads 185 (171,797)
Citation 1

Abstract:

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Value-at-Risk, tail risk, foreign exchange, backtesting, saddlepoint technique

10.

Are Magnet Effects Caused by Uninformed Traders? Evidence from Taiwan Stock Exchange

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 27 Posted: 24 Dec 2007 Last Revised: 09 Jul 2008
Woon K. Wong, Matthew C. Chang and Anthony Tu
IMRU, Cardiff Business School, Chinese Culture University and National Chengchi University
Downloads 141 (216,440)

Abstract:

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limit, magnet effect, transactions data, information asymmetry, Taiwan Stock Exchange

11.

Informativeness of Order Flow: The Role of Institutions vs. Individuals

Number of pages: 36 Posted: 06 Feb 2008
Woon K. Wong and Eric Girardin
IMRU, Cardiff Business School and University Aix-Marseille 2 - GREQAM
Downloads 121 (243,634)
Citation 1

Abstract:

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Informativeness, Informed traders, uninformed traders, institutions, individuals

12.

Market Imperfections and the Information Content of Implied and Realized Volatility

Pacific-Basin Finance Journal, Forthcoming
Number of pages: 40 Posted: 13 Feb 2008
Woon K. Wong and Anthony Tu
IMRU, Cardiff Business School and National Chengchi University
Downloads 111 (259,284)

Abstract:

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Market imperfections, implied volatility, realized volatility, volatility forecasts, reality check test

13.

Information Content of Order Flow and Cross-Market Portfolio Rebalancing: Evidence for the Chinese Stock, Treasury and Corporate Bond Markets

HKIMR Working Paper No. 02/2010
Number of pages: 31 Posted: 22 Jun 2010
Eric Girardin, Dijun Tan and Woon K. Wong
University Aix-Marseille 2 - GREQAM, University of Electronic Science and Technology of China (UESTC) and IMRU, Cardiff Business School
Downloads 102 (275,039)
Citation 3

Abstract:

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Order Flow, Portfolio Rebalancing, Flight-to-quality, Chinese Financial Markets

14.

Information-Based Trade in the Shanghai Stock Market

Global Finance Journal, Forthcoming
Number of pages: 23 Posted: 10 Mar 2008 Last Revised: 23 Jul 2009
Laurence Copeland, Woon K. Wong and Yong Zeng
Cardiff University - Cardiff Business School, IMRU, Cardiff Business School and University of Electronic Science and Technology of China (UESTC)
Downloads 79 (323,049)
Citation 1

Abstract:

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15.

The Other Side of the Trading Story: Evidence from NYSE

Number of pages: 29 Posted: 08 Sep 2008 Last Revised: 12 Jul 2009
Woon K. Wong, Laurence Copeland and Ralph C. Lu
IMRU, Cardiff Business School, Cardiff University - Cardiff Business School and Ming Chuan University - Department of Finance
Downloads 60 (374,765)

Abstract:

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liquidity trade, informed trades

16.

An Optimal Orthogonal Variance Decomposition

Number of pages: 22 Posted: 16 Apr 2008 Last Revised: 10 Nov 2008
Woon K. Wong
IMRU, Cardiff Business School
Downloads 56 (387,461)

Abstract:

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Variance decomposition, Cholesky decomposition, square root matrix, stock returns, bond returns

17.

Auditor Quality Effects on the Relationship between Accruals, Cash Flows and Equity Returns: A Variance Decomposition Analysis

Posted: 23 Apr 2012 Last Revised: 21 Apr 2016
University of Bristol, Department of Accounting and Finance, Heriot-Watt University - School of Management and Languages and IMRU, Cardiff Business School

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accruals, auditor quality, cash flows, variance decomposition