Details about Yangru Wu

Access statistics for papers by Yangru Wu.

Last updated 2009-05-24. Update your information in the RePEc Author Service.

Short-id: pwu24

Working Papers

2007

1. Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
   Working Papers, Hong Kong Institute for Monetary Research

2005

2. Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration
   Working Papers, Hong Kong Institute for Monetary Research

2004

3. Momentum Trading, Mean Reveral and Overration in Chinese Stock Market
   Working Papers, Hong Kong Institute for Monetary Research

2003

4. A Re-examination of the Finite-Sample Properties of Pena and Rodriguez's Portmanteau Test of Lack of Fit for Time Series
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

2002

5. On the empirical size and power of normalized autocorrelation coefficients: A Monte Carlo investigation
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
6. On the size and power of portmanteau tests for randomness of a time series
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
7. On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: A Monte Carlo study and empirical example
   Departmental Working Papers, Chinese University of Hong Kong, Department of Economics View citations
   See also Journal Article in Applied Economics Letters (2005)
8. Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study
   Working Papers, Hong Kong Institute for Monetary Research

2001

9. Random Walk versus Breaking Trend in Stock Prices: Evidence from Emerging Markets
   Working Papers, Sydney - Department of Economics View citations
   Also in Working Papers, University of Sydney, Department of Economics (2000) View citations
   See also Journal Article in Journal of Banking & Finance (2003)

2000

10. Further Results on the Finite-Sample Distribution of Modified Portmanteau Tests for Randomness
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
11. On the Empirical Size of Normalized Autocorrelation Coefficients
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

1998

12. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Working Papers, Ohio State University, Department of Economics View citations
    See also Journal Article in Economic Journal (1998)

1997

13. Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Working Papers, Ohio State University, Department of Economics (1996) View citations

1996

14. Further results on the finite-sample distribution of Monti's portmanteau test for the adequacy of an ARMA (p,q) model
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics
15. On the Finite-Sample Distribution of Separate Tests for Univarite Time Series Models
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

1995

16. On the Finite-Sample Distribution of Monti's Portmanteau Test for the Adequacy of an ARMA (p,q) Model
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

1993

17. Are There Rational Bubbles in Foreign Exchange Markets? -- Some Direct Tests
    Departmental Working Papers, Chinese University of Hong Kong, Department of Economics

Journal Articles

2008

1. Effective fair pricing of international mutual funds
   Journal of Banking & Finance, 2008, 32, (11), 2307-2324

2006

2. Momentum and mean reversion across national equity markets
   Journal of Empirical Finance, 2006, 13, (1), 24-48 View citations

2005

3. A comparative study of the finite-sample performance of some portmanteau tests for randomness of a time series
   Computational Statistics & Data Analysis, 2005, 48, (2), 391-413
4. On the size and power of normalized autocorrelation coefficients
   Applied Financial Economics, 2005, 15, (1), 1-11
5. On the use of the sample partial autocorrelation for order determination in a pure autoregressive process: a Monte Carlo study and empirical example
   Applied Economics Letters, 2005, 12, (3), 133-139
   See also Working Paper (2002)

2004

6. Predictability of short-horizon returns in international equity markets
   Journal of Empirical Finance, 2004, 11, (4), 553-584 View citations

2003

7. Nonlinear prediction of exchange rates with monetary fundamentals
   Journal of Empirical Finance, 2003, 10, (5), 623-640 View citations
8. Random walk versus breaking trend in stock prices: Evidence from emerging markets
   Journal of Banking & Finance, 2003, 27, (4), 575-592 View citations
   See also Working Paper (2001)

2002

9. Explaining exchange rate risk in world stock markets: A panel approach
   Journal of Banking & Finance, 2002, 26, (10), 1951-1972
10. The Impact of Macroeconomic and Financial Variables on Market Risk: Evidence from International Equity Returns
    European Financial Management, 2002, 8, (4), 421-447

2001

11. The Effects of Inflation on the Number of Firms and Firm Size
    Journal of Money, Credit and Banking, 2001, 33, (2), 251-71

2000

12. Endogenous markups and the effects of income taxation:: Theory and evidence from OECD countries
    Journal of Public Economics, 2000, 77, (3), 383-406 View citations
13. Mean Reversion across National Stock Markets and Parametric Contrarian Investment Strategies
    Journal of Finance, 2000, 55, (2), 745-772 View citations
14. Monopolistic competition, increasing returns to scale, and the welfare costs of inflation
    Journal of Monetary Economics, 2000, 46, (2), 417-440 View citations

1999

15. Fixed Investment and Economic Growth in China
    Economic Change and Restructuring, 1999, 32, (1), 67-79 View citations

1998

16. An empirical investigation on the time-series behavior of the U.S.-China trade deficit
    Journal of Asian Economics, 1998, 9, (3), 467-485
17. Endogenous growth and the welfare costs of inflation: a reconsideration
    Journal of Economic Dynamics and Control, 1998, 22, (3), 465-482 View citations
18. Hysteresis in unemployment: Evidence from OECD countries
    The Quarterly Review of Economics and Finance, 1998, 38, (2), 181-192 View citations
19. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise
    Economic Journal, 1998, 108, (451), 1686-1706 View citations
    See also Working Paper (1998)

1997

20. Capital controls and covered interest parity in the EU: Evidence from a panel-data unit root test
    Review of World Economics (Weltwirtschaftliches Archiv), 1997, 133, (1), 76-89 View citations
21. Do Interest Rates Follow Unit-Root Processes? Evidence from Cross-Maturity Treasury Bill Yields
    Review of Quantitative Finance and Accounting, 1997, 8, (1), 69-81 View citations
22. Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis
    Journal of International Money and Finance, 1997, 16, (4), 609-623 View citations
23. Hysteresis in Unemployment: Evidence from 48 U.S. States
    Economic Inquiry, 1997, 35, (2), 235-43 View citations
24. Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility
    Economic Inquiry, 1997, 35, (2), 309-19 View citations
25. The trend behavior of real exchange rates: Evidence from OECD countries
    Review of World Economics (Weltwirtschaftliches Archiv), 1997, 133, (2), 282-296 View citations
26. Understanding Spot and Forward Exchange Rate Regressions
    Journal of Applied Econometrics, 1997, 12, (6), 715-34 View citations

1996

27. Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test
    Journal of Money, Credit and Banking, 1996, 28, (1), 54-63 View citations
28. Asymmetry in forward exchange rate bias: A puzzling result
    Economics Letters, 1996, 50, (3), 407-411
29. MEAN REVERSION IN EQUILIBRIUM REAL EXCHANGE RATES
    International Economic Journal, 1996, 10, (2), 85-104
30. Mean Reversion in Interest Rates: New Evidence from a Panel of OECD Countries
    Journal of Money, Credit and Banking, 1996, 28, (4), 604-21 View citations

1995

31. Are there rational bubbles in foreign exchange markets? Evidence from an alternative test
    Journal of International Money and Finance, 1995, 14, (1), 27-46 View citations