Recent Publications

"Investability and Retun Volatility in Emerging Equity Markets", with Kee-Hong Bae and Angela Ng, 2003, Journal of Financial Economics, forthcoming. (pdf file)     (appendix)

"What if Trading Location is Different from Business Location?" with Allaudeen Hameed and Sie-Ting Lau, 2003, Journal of Finance, forthcoming. (pdf file)

"The Informational Role of Stock and Option Volume," with Peter Chung and Wai-Ming Fong, 2002, Review of Financial Studies, forthcoming. (pdf file)

"Limit Orders, Depth, and Volatiltiy," with Hee-Joon Ahn and Kee-Hong Bae, Journal of Finance, 2001,Vol 56, 767-788. (pdf file)

"Depository Receipts, Country Funds, and the Peso Crash: The Intraday Evidence", with Warren Bailey and Peter Chung, Journal of Finance, 2000, Vol 55, 2693-2717.(pdf file)

"Trade Size, Order Imbalance, and the Volatility-Volume Relation," with Wai-Ming Fong, Journal of Financial Economics, 2000, Vol 57, 247-273.(pdf file)

"Profitability of Momentum Strategies in the International Equity Markets", with Allaudeen Hameed and Wilson Tong, Journal of Financial and Quantitative Analysis, 2000, Vol 35.(pdf file)

"Overnight Information and Intraday Trading Behavior: Evidence from NYSE Cross-Listed Stocks and their Local Market Information", with Mark Chockalingam and Wan Lai, Journal of Multinational Financial Management , 2000, Vol 10, 495-509. (pdf file)

"Bid-Ask Spread and Arbitrage Profitability: A Study of the Hong Kong Index Futures and Options Market", with Kee-Hong Bae and Yan-Leung Cheung, Journal of Futures Market , 1998, Vol 18, 743-763.(pdf file)

"Market Efficiency and the Returns to Technical Analysis", with Hank Bessembinder, Financial Management, 1998, Vol 27, No 2, 5-17.(pdf file)
 
 

Working Papers

"Asymmetric Price Distribution and Bid-Ask Quotes in the Stock Options Market", with Peter Chung.(pdf file)

"Under-pricing and Long-term Performance of IPOs in China", with K.C. John Wei and Junbo Wang. (pdf file)

”Tick Size Change and Liquidity Provision on the Tokyo Stock Exchange”, with Hee-Joon Ahn, Jun Cai, and Yasushi Hamao. (pdf file)

”Price Reversal and Momentum Strategies”, with Hung Wan Kot. (pdf file)

“Free Float and Market Liquidity: Evidence from Hong Kong Government’s Intervention,” with Yue-Cheong Chan and Wai-Ming Fong. (pdf file)

“Stock Price Synchronicity and Analyst Coverage in Emerging Markets,” with Allaudeen Hameed.