Now showing items 1-3 of 3

    • Institutional Trading and Price Momentum 

      Yu, Jerry (International Review of Finance, 2008-03)
      This paper aims to explore the effect of institutional trading on the two asymmetric phenomena found by Lee and Swaminathan (2000): (1) asymmetric price momentum: price momentum is more pronounced among high turnover stocks; ...
    • Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets 

      Chiang, Min-Hsien; Lin, Tsai-Yin; Yu, Jerry (Journal of Business Finance & Accounting, 2009-09)
      This study investigates how limit orders affect liquidity in a purely order-driven futures market. Additionally, the possible asymmetric relationship between market depth and transitory volatility in bull and bear markets ...
    • Mutual Fund Herding and Price Discovery – Evidence from an Emerging Market 

      Yu, Jerry; Wang, Wann-Cherng (Advances in Investment Analysis and Portfolio Management, 2014)
      In this paper, we directly investigate the impact of mutual funds’ herding behavior on the price discovery process by using a VAR test procedure, which simultaneously and sequentially tests the multiple hypotheses of the ...