Details about Yin-Feng Gau

Access statistics for papers by Yin-Feng Gau.

Last updated 2026-06-18. 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

2023

1. Price discovery and triangular arbitrage in currency markets
   Journal of International Money and Finance, 2023, 137, (C) View citations (2)

2022

2. Informativeness of trades around macroeconomic announcements in the foreign exchange market
   Journal of International Financial Markets, Institutions and Money, 2022, 78, (C) View citations (1)
3. Liquidity spillover in foreign exchange markets
   Finance Research Letters, 2022, 44, (C) View citations (8)
4. Price discovery in fiat currency and cryptocurrency markets
   Finance Research Letters, 2022, 47, (PA) View citations (11)
5. Risk-return trade-off in the Australian Securities Exchange: Accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration
   International Review of Economics & Finance, 2022, 80, (C), 384-401 View citations (1)

2017

6. 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)
7. 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)
8. 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

9. 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

10. Foreign exchange market intervention and price discovery
    Journal of the Japanese and International Economies, 2015, 38, (C), 214-227 View citations (3)

2014

11. 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)
12. Order choices under information asymmetry in foreign exchange markets
    Journal of International Financial Markets, Institutions and Money, 2014, 30, (C), 106-118

2013

13. Issuer Credit Ratings and Warrant-Pricing Errors
    Emerging Markets Finance and Trade, 2013, 49, (S3), 35-46
14. The effectiveness of position limits: Evidence from the foreign exchange futures markets
    Journal of Banking & Finance, 2013, 37, (11), 4501-4509 View citations (18)

2012

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

2010

16. International asset allocation for incompletely-informed investors
    Journal of Financial Markets, 2010, 13, (4), 422-447 View citations (3)
17. News announcements and price discovery in foreign exchange spot and futures markets
    Journal of Banking & Finance, 2010, 34, (7), 1628-1636 View citations (135)

2009

18. 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 (33)

2007

19. Expected risk and excess returns predictability in emerging bond markets
    Applied Economics, 2007, 39, (12), 1511-1529 View citations (8)
20. Intraday exchange rate volatility: ARCH, news and seasonality effects
    The Quarterly Review of Economics and Finance, 2007, 47, (1), 135-158 View citations (6)

2006

21. Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market
    Pacific-Basin Finance Journal, 2006, 14, (2), 193-208 View citations (7)

2005

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

2004

23. 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)