Details about Yin-Feng Gau

Access statistics for papers by Yin-Feng Gau.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pga214

Working Papers

2004

1. Forecasting Value-at-Risk Using the Markov-Switching ARCH Model
   Econometric Society 2004 Far Eastern Meetings, Econometric Society

Journal Articles

2017

1. Home bias in portfolio choices: social learning among partially informed agents
   Review of Quantitative Finance and Accounting, 2017, 48, (2), 527-556 View citations (3)
2. Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements
   The North American Journal of Economics and Finance, 2017, 42, (C), 172-192 View citations (6)
3. Macroeconomic announcements and price discovery in the foreign exchange market
   Journal of International Money and Finance, 2017, 79, (C), 232-254 View citations (31)

2016

4. Trading activities and price discovery in foreign currency futures markets
   Review of Quantitative Finance and Accounting, 2016, 46, (4), 793-818 View citations (14)

2015

5. Foreign exchange market intervention and price discovery
   Journal of the Japanese and International Economies, 2015, 38, (C), 214-227 View citations (2)

2014

6. Asymmetric responses of ask and bid quotes to information in the foreign exchange market
   Journal of Banking & Finance, 2014, 38, (C), 194-204 View citations (5)
7. Order choices under information asymmetry in foreign exchange markets
   Journal of International Financial Markets, Institutions and Money, 2014, 30, (C), 106-118

2013

8. Issuer Credit Ratings and Warrant-Pricing Errors
   Emerging Markets Finance and Trade, 2013, 49, (S3), 35-46
9. The effectiveness of position limits: Evidence from the foreign exchange futures markets
   Journal of Banking & Finance, 2013, 37, (11), 4501-4509 View citations (14)

2012

10. The predictability of excess returns in the emerging bond markets
    Applied Financial Economics, 2012, 22, (17), 1429-1451

2010

11. International asset allocation for incompletely-informed investors
    Journal of Financial Markets, 2010, 13, (4), 422-447 View citations (3)
12. News announcements and price discovery in foreign exchange spot and futures markets
    Journal of Banking & Finance, 2010, 34, (7), 1628-1636 View citations (124)

2009

13. Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange
    Journal of Futures Markets, 2009, 29, (1), 74-93 View citations (31)

2007

14. Expected risk and excess returns predictability in emerging bond markets
    Applied Economics, 2007, 39, (12), 1511-1529 View citations (8)
15. Intraday exchange rate volatility: ARCH, news and seasonality effects
    The Quarterly Review of Economics and Finance, 2007, 47, (1), 135-158 View citations (5)

2006

16. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market
    Pacific-Basin Finance Journal, 2006, 14, (2), 193-208 View citations (6)

2005

17. Intraday volatility in the Taipei FX market
    Pacific-Basin Finance Journal, 2005, 13, (4), 471-487 View citations (7)

2004

18. Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates
    Applied Economics Letters, 2004, 11, (4), 263-266 View citations (12)