Details about Jian Yang

Access statistics for papers by Jian Yang.

Last updated 2009-07-07. Update your information in the RePEc Author Service.

Short-id: pya30

Working Papers

2006

1. Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market
   Working Papers, Federal Reserve Bank of St. Louis
2. Is value premium a proxy for time-varying investment opportunities: some time series evidence
   Working Papers, Federal Reserve Bank of St. Louis View citations

2005

3. The Emerging Market Crisis and Stock Market Linkages: Further Evidence
   IEPR Working Papers, Institute of Economic Policy Research (IEPR)
   See also Journal Article in Journal of Applied Econometrics (2006)

2004

4. International transmission of inflation among G-7 countries: a data-determined VAR analysis
   Working Papers, Federal Reserve Bank of St. Louis View citations
   See also Journal Article in Journal of Banking & Finance (2006)

2002

5. ASSET STORABILITY AND HEDGING EFFECTIVENESS IN COMMODITY FUTURES MARKETS
   Staff Papers, University of Delaware, Department of Food and Resource Economics
   See also Journal Article in Applied Economics Letters (2003)
6. THE INFORMATIONAL ROLE OF COMMODITY PRICES IN FORMULATING MONETARY POLICY: A REEXAMINATION
   Staff Papers, University of Delaware, Department of Food and Resource Economics
   See also Journal Article in Economics Letters (2003)

Journal Articles

2009

1. Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence
   Journal of Financial and Quantitative Analysis, 2009, 44, (01), 133-154
2. The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence
   Journal of Banking & Finance, 2009, 33, (4), 670-680

2008

3. Contagion around the October 1987 stock market crash
   European Journal of Operational Research, 2008, 184, (1), 291-310
4. Do Euro exchange rates follow a martingale? Some out-of-sample evidence
   Journal of Banking & Finance, 2008, 32, (5), 729-740
5. Fiscal policy and asset markets: A semiparametric analysis
   Journal of Econometrics, 2008, 147, (1), 141-150 View citations
6. U.S. Monetary Policy Surprises and Currency Futures Markets: A New Look
   The Financial Review, 2008, 43, (4), 509-541

2007

7. Causal linkages between US and Eurodollar interest rates: further evidence
   Applied Economics, 2007, 39, (2), 135-144
8. Interest rate linkages in the Eurocurrency market: Contemporaneous and out-of-sample Granger causality tests
   Journal of International Money and Finance, 2007, 26, (1), 86-103 View citations

2006

9. Information transmission between Eurocurrency and domestic interest rates: evidence from the UK
   Applied Financial Economics, 2006, 16, (9), 675-685
10. International transmission of inflation among G-7 countries: A data-determined VAR analysis
    Journal of Banking & Finance, 2006, 30, (10), 2681-2700
    See also Working Paper (2004)
11. The emerging market crisis and stock market linkages: further evidence
    Journal of Applied Econometrics, 2006, 21, (6), 727-744
    See also Working Paper (2005)

2005

12. European public real estate market integration
    Applied Financial Economics, 2005, 15, (13), 895-905
13. Futures Trading Activity and Commodity Cash Price Volatility
    Journal of Business Finance & Accounting, 2005-01, 32, (1-2), 297-323 View citations
14. Government bond market linkages: evidence from Europe
    Applied Financial Economics, 2005, 15, (9), 599-610 View citations
15. Information flows within and across sectors in Chinese stock markets
    The Quarterly Review of Economics and Finance, 2005, 45, (4-5), 767-780
16. International bond market linkages: a structural VAR analysis
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (1), 39-54
17. The relationship between stock returns and volatility in international stock markets
    Journal of Empirical Finance, 2005, 12, (5), 650-665 View citations

2004

18. On the stability of long-run relationships between emerging and US stock markets
    Journal of Multinational Financial Management, 2004, 14, (3), 233-248 View citations
19. The International Price Transmission in Stock Index Futures Markets
    Economic Inquiry, 2004, 42, (3), 370-386 View citations
20. The informational role of open interest in futures markets
    Applied Economics Letters, 2004, 11, (9), 569-573

2003

21. Asset storability and hedging effectiveness in commodity futures markets
    Applied Economics Letters, 2003, 10, (8), 487-491 View citations
    See also Working Paper (2002)
22. European Stock Market Integration: Does EMU Matter?
    Journal of Business Finance & Accounting, 2003-12, 30, (9-10), 1253-1276 View citations
23. Financial crisis and African stock market integration
    Applied Economics Letters, 2003, 10, (9), 527-533
24. Increasing Integration Between the United States and Other International Stock Markets?: A Recursive Cointegration Analysis
    Emerging Markets Finance and Trade, 2003, 39, (6), 39-53
25. Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis
    The Financial Review, 2003, 38, (4), 591-609 View citations
26. Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs
    Journal of Regional Science, 2003, 43, (1), 1-33 View citations
27. Stock market integration and financial crises: the case of Asia
    Applied Financial Economics, 2003, 13, (7), 477-486 View citations
28. The informational role of commodity prices in formulating monetary policy: a reexamination
    Economics Letters, 2003, 79, (2), 219-224
    See also Working Paper (2002)
29. The structure of interdependence in international stock markets
    Journal of International Money and Finance, 2003, 22, (2), 261-287 View citations

2001

30. Agricultural Liberalization Policy and Commodity Price Volatility: A GARCH Application
    Applied Economics Letters, 2001, 8, (9), 593-98 View citations
31. CURRENCY CONVERTIBILITY AND LINKAGE BETWEEN CHINESE OFFICIAL AND SWAP MARKET EXCHANGE RATES
    Contemporary Economic Policy, 2001, 19, (3), 347-359 View citations
32. Impact of Interest Rate Swaps on Corporate Capital Structure: An Empirical Investigation
    Applied Financial Economics, 2001, 11, (1), 75-81 View citations

2000

33. THE LAW OF ONE PRICE: DEVELOPED AND DEVELOPING COUNTRY MARKET INTEGRATION
    Journal of Agricultural and Applied Economics, 2000, 32, (03) View citations

1999

34. PRICE DISCOVERY IN WHEAT FUTURES MARKETS
    Journal of Agricultural and Applied Economics, 1999, 31, (02) View citations