Details about Jinliang Li

Access statistics for papers by Jinliang Li.

Last updated 2025-02-09. Update your information in the RePEc Author Service.

Short-id: pli725

Journal Articles

2016

1. When noise trading fades, volatility rises
   Review of Quantitative Finance and Accounting, 2016, 47, (3), 475-512

2011

2. Cash trading and index futures price volatility
   Journal of Futures Markets, 2011, 31, (5), 465-486
3. Determinants and information of REIT pricing
   Applied Economics Letters, 2011, 18, (15), 1501-1505 View citations (2)
4. Stochastic volatility, liquidity and intraday information flow
   Applied Economics Letters, 2011, 18, (16), 1511-1515

2010

5. Bounded influence estimator for GARCH models: evidence from foreign exchange rates
   Applied Economics, 2010, 42, (11), 1437-1445 View citations (2)

2009

6. The Information Content of the NCREIF Index
   Journal of Real Estate Research, 2009, 31, (1), 93-116
   Also in Journal of Real Estate Research, 2009, 31, (1), 93-116 (2009) View citations (9)

2007

7. Is Illiquidity a Risk Factor? A Critical Look at Commission Costs
   Financial Analysts Journal, 2007, 63, (4), 28-39

2006

8. Daily Return Volatility, Bid-Ask Spreads, and Information Flow: Analyzing the Information Content of Volume
   The Journal of Business, 2006, 79, (5), 2697-2740 View citations (29)
9. PRESIDENTIAL ELECTION UNCERTAINTY AND COMMON STOCK RETURNS IN THE UNITED STATES
   Journal of Financial Research, 2006, 29, (4), 609-622 View citations (70)

2005

10. Intradaily periodicity and volatility spillovers between international stock index futures markets
    Journal of Futures Markets, 2005, 25, (6), 553-585 View citations (26)
11. Margin borrowing, stock returns, and market volatility: Evidence from margin credit balance
    Economics Letters, 2005, 87, (2), 273-278 View citations (3)

2004

12. To Trade or Not to Trade: The Effect of Broker Search and Discretionary Trading on Securities Market Performance
    The Financial Review, 2004, 39, (2), 271-292