Woon K. Wong

IMRU, Cardiff Business School

Senior Research Associate

Cardiff CF10 3EU

United Kingdom

SCHOLARLY PAPERS

16

DOWNLOADS
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Top 17,637

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2,727

SSRN CITATIONS
Rank 24,238

SSRN RANKINGS

Top 24,238

in Total Papers Citations

5

CROSSREF CITATIONS

24

Scholarly Papers (16)

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 442 (64,990)
Citation 1

Abstract:

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

2.

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 273 (112,311)
Citation 1

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

3.

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 272 (112,730)
Citation 1

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

4.

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 271 (113,149)
Citation 1

Abstract:

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Information-based trading, cross-sectional asset pricing test

5.

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 212 (145,296)

Abstract:

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

6.

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 206 (148,643)
Citation 1

Abstract:

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Informed trading, Liquidity trading, Duration, Volume, Volatility

7.

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 203 (151,436)

Abstract:

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

8.

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 (164,209)
Citation 1

Abstract:

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

9.

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 (206,979)

Abstract:

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

10.

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 (233,217)
Citation 1

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Informativeness, Informed traders, uninformed traders, institutions, individuals

11.

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 (248,269)

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

12.

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 96 (274,195)
Citation 3

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

13.

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 (309,492)
Citation 1

Abstract:

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14.

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 59 (365,153)

Abstract:

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liquidity trade, informed trades

15.

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 (371,542)

Abstract:

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

16.

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