Details about Jian Yang

Access statistics for papers by Jian Yang.

Last updated 2022-08-06. Update your information in the RePEc Author Service.

Short-id: pya30

Working Papers

2018

1. Disentangling and Assessing Uncertainties in Multiperiod Corporate Default Risk Predictions
   Papers, arXiv.org

2006

2. Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market
   Working Papers, Federal Reserve Bank of St. Louis View citations (1)
3. Is value premium a proxy for time-varying investment opportunities: some time series evidence
   Working Papers, Federal Reserve Bank of St. Louis View citations (5)
   See also Journal Article Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence, Journal of Financial and Quantitative Analysis, Cambridge University Press (2009) View citations (25) (2009)

2005

4. The Emerging Market Crisis and Stock Market Linkages: Further Evidence
   IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (2)
   See also Journal Article The emerging market crisis and stock market linkages: further evidence, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (44) (2006)

2004

5. International transmission of inflation among G-7 countries: a data-determined VAR analysis
   Working Papers, Federal Reserve Bank of St. Louis View citations (9)
   See also Journal Article International transmission of inflation among G-7 countries: A data-determined VAR analysis, Journal of Banking & Finance, Elsevier (2006) View citations (25) (2006)

2002

6. ASSET STORABILITY AND HEDGING EFFECTIVENESS IN COMMODITY FUTURES MARKETS
   Staff Papers, University of Delaware, Department of Food and Resource Economics View citations (1)
   See also Journal Article Asset storability and hedging effectiveness in commodity futures markets, Applied Economics Letters, Taylor & Francis Journals (2003) View citations (16) (2003)
7. 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 The informational role of commodity prices in formulating monetary policy: a reexamination, Economics Letters, Elsevier (2003) View citations (47) (2003)

1999

8. Agricultural Liberalization Policy and Commodity Price Volatility: A GARCH Application
   1999 Regional Committee NC-221, 1999, Mississauga, Ontario, Canada, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition View citations (1)
   See also Journal Article Agricultural liberalization policy and commodity price volatility: a GARCH application, Applied Economics Letters, Taylor & Francis Journals (2001) View citations (30) (2001)

Journal Articles

2021

1. Housing market spillovers through the lens of transaction volume: A new spillover index approach
   Journal of Empirical Finance, 2021, 64, (C), 351-378 View citations (13)
2. Price discovery in chinese agricultural futures markets: A comprehensive look
   Journal of Futures Markets, 2021, 41, (4), 536-555 View citations (17)
3. Volatility spillovers in commodity futures markets: A network approach
   Journal of Futures Markets, 2021, 41, (12), 1959-1987 View citations (19)

2020

4. Return and volatility transmission between China's and international crude oil futures markets: A first look
   Journal of Futures Markets, 2020, 40, (6), 860-884 View citations (42)

2019

5. China's financial network with international spillovers: A first look
   Pacific-Basin Finance Journal, 2019, 58, (C) View citations (10)
6. Institutional quality and sovereign credit default swap spreads
   Journal of Futures Markets, 2019, 39, (6), 686-703 View citations (1)

2018

7. Conditional co-skewness and safe-haven currencies: A regime switching approach
   Journal of Empirical Finance, 2018, 48, (C), 58-80 View citations (19)
8. Housing price spillovers in China: A high-dimensional generalized VAR approach
   Regional Science and Urban Economics, 2018, 68, (C), 98-114 View citations (24)
9. The impact of crude oil inventory announcements on prices: Evidence from derivatives markets
   Journal of Futures Markets, 2018, 38, (1), 38-65 View citations (17)

2017

10. Does corporate governance matter in competitive industries? Evidence from China
    Pacific-Basin Finance Journal, 2017, 43, (C), 238-255 View citations (7)

2016

11. Are there exploitable trends in commodity futures prices?
    Journal of Banking & Finance, 2016, 70, (C), 214-234 View citations (20)
12. Information Flow Between Forward and Spot Markets: Evidence From the Chinese Renminbi
    Journal of Futures Markets, 2016, 36, (7), 695-718 View citations (4)

2014

13. The differential impact of the bank–firm relationship on IPO underpricing: evidence from China
    Pacific-Basin Finance Journal, 2014, 30, (C), 207-232 View citations (5)

2013

14. Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm-Level Evidence
    Management Science, 2013, 59, (10), 2343-2359 View citations (47)
15. Fiscal deficits and mean reversion in real exchange rates
    Economics Letters, 2013, 118, (2), 300-303
16. Time-Varying Risk-Return Trade-off in the Stock Market
    Journal of Money, Credit and Banking, 2013, 45, (4), 623-650 View citations (13)
    Also in Journal of Money, Credit and Banking, 2013, 45, (4), 623-650 (2013) View citations (5)

2012

17. Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets
    The Journal of Real Estate Finance and Economics, 2012, 45, (2), 491-521 View citations (52)
18. Extreme Correlation of Stock and Bond Futures Markets: International Evidence
    The Financial Review, 2012, 47, (3), 565-587 View citations (13)
19. Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China
    Journal of Futures Markets, 2012, 32, (2), 99-121 View citations (80)
20. U.S. Monetary Policy Surprises and Mortgage Rates
    Real Estate Economics, 2012, 40, (3), 461-507 View citations (1)

2011

21. Linear and Nonlinear Predictability of International Securitized Real Estate Returns: A Reality Check
    Journal of Real Estate Research, 2011, 33, (4), 565-594 View citations (12)
22. U.S. Monetary Policy Surprises and International Securitized Real Estate Markets
    The Journal of Real Estate Finance and Economics, 2011, 43, (4), 459-490 View citations (19)

2010

23. Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
    Management Science, 2010, 56, (11), 2031-2049 View citations (28)
24. Nonlinearity and intraday efficiency tests on energy futures markets
    Energy Economics, 2010, 32, (2), 496-503 View citations (29)
25. Nonlinearity, data-snooping, and stock index ETF return predictability
    European Journal of Operational Research, 2010, 200, (2), 498-507 View citations (11)

2009

26. Do futures lead price discovery in electronic foreign exchange markets?
    Journal of Futures Markets, 2009, 29, (2), 137-156 View citations (50)
27. Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence
    Journal of Financial and Quantitative Analysis, 2009, 44, (1), 133-154 View citations (25)
    See also Working Paper Is value premium a proxy for time-varying investment opportunities: some time series evidence, Working Papers (2006) View citations (5) (2006)
28. Out‐of‐Sample Predictability in International Equity Markets: A Model Selection Approach
    The Financial Review, 2009, 44, (4), 559-582
29. The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence
    Journal of Banking & Finance, 2009, 33, (4), 670-680 View citations (91)

2008

30. Contagion around the October 1987 stock market crash
    European Journal of Operational Research, 2008, 184, (1), 291-310 View citations (35)
31. Do Euro exchange rates follow a martingale? Some out-of-sample evidence
    Journal of Banking & Finance, 2008, 32, (5), 729-740 View citations (25)
32. Fiscal policy and asset markets: A semiparametric analysis
    Journal of Econometrics, 2008, 147, (1), 141-150 View citations (31)
33. Realized volatility and correlation in energy futures markets
    Journal of Futures Markets, 2008, 28, (10), 993-1011 View citations (45)
34. U.S. Monetary Policy Surprises and Currency Futures Markets: A New Look
    The Financial Review, 2008, 43, (4), 509-541 View citations (6)

2007

35. Causal linkages between US and Eurodollar interest rates: further evidence
    Applied Economics, 2007, 39, (2), 135-144 View citations (3)
36. 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 (29)

2006

37. Central bank communications and equity ETFs
    Journal of Futures Markets, 2006, 26, (10), 959-995 View citations (2)
38. Information transmission between Eurocurrency and domestic interest rates: evidence from the UK
    Applied Financial Economics, 2006, 16, (9), 675-685 View citations (3)
39. International transmission of inflation among G-7 countries: A data-determined VAR analysis
    Journal of Banking & Finance, 2006, 30, (10), 2681-2700 View citations (25)
    See also Working Paper International transmission of inflation among G-7 countries: a data-determined VAR analysis, Working Papers (2004) View citations (9) (2004)
40. The emerging market crisis and stock market linkages: further evidence
    Journal of Applied Econometrics, 2006, 21, (6), 727-744 View citations (44)
    Also in Journal of Applied Econometrics, 2006, 21, (6), 727-744 (2006) View citations (8)
    See also Working Paper The Emerging Market Crisis and Stock Market Linkages: Further Evidence, IEPR Working Papers (2005) View citations (2) (2005)

2005

41. European public real estate market integration
    Applied Financial Economics, 2005, 15, (13), 895-905 View citations (12)
42. Futures Trading Activity and Commodity Cash Price Volatility
    Journal of Business Finance & Accounting, 2005, 32, (1‐2), 297-323 View citations (49)
43. Government bond market linkages: evidence from Europe
    Applied Financial Economics, 2005, 15, (9), 599-610 View citations (10)
44. Information flows within and across sectors in Chinese stock markets
    The Quarterly Review of Economics and Finance, 2005, 45, (4-5), 767-780 View citations (18)
45. International bond market linkages: a structural VAR analysis
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (1), 39-54 View citations (30)
46. The relationship between stock returns and volatility in international stock markets
    Journal of Empirical Finance, 2005, 12, (5), 650-665 View citations (64)

2004

47. 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 (12)
48. The International Price Transmission in Stock Index Futures Markets
    Economic Inquiry, 2004, 42, (3), 370-386 View citations (22)
49. The informational role of open interest in futures markets
    Applied Economics Letters, 2004, 11, (9), 569-573 View citations (6)

2003

50. Asset storability and hedging effectiveness in commodity futures markets
    Applied Economics Letters, 2003, 10, (8), 487-491 View citations (16)
    See also Working Paper ASSET STORABILITY AND HEDGING EFFECTIVENESS IN COMMODITY FUTURES MARKETS, Staff Papers (2002) View citations (1) (2002)
51. European Stock Market Integration: Does EMU Matter?
    Journal of Business Finance & Accounting, 2003, 30, (9‐10), 1253-1276 View citations (49)
52. Financial crisis and African stock market integration
    Applied Economics Letters, 2003, 10, (9), 527-533 View citations (43)
53. 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 View citations (15)
54. Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis
    The Financial Review, 2003, 38, (4), 591-609 View citations (46)
55. 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 (46)
56. Price and Volatility Transmission in International Wheat Futures
    Annals of Economics and Finance, 2003, 4, (1), 37-50 View citations (24)
57. Stock market integration and financial crises: the case of Asia
    Applied Financial Economics, 2003, 13, (7), 477-486 View citations (126)
58. The informational role of commodity prices in formulating monetary policy: a reexamination
    Economics Letters, 2003, 79, (2), 219-224 View citations (47)
    See also Working Paper THE INFORMATIONAL ROLE OF COMMODITY PRICES IN FORMULATING MONETARY POLICY: A REEXAMINATION, Staff Papers (2002) (2002)
59. The structure of interdependence in international stock markets
    Journal of International Money and Finance, 2003, 22, (2), 261-287 View citations (208)

2001

60. Agricultural liberalization policy and commodity price volatility: a GARCH application
    Applied Economics Letters, 2001, 8, (9), 593-598 View citations (30)
    See also Working Paper Agricultural Liberalization Policy and Commodity Price Volatility: A GARCH Application, 1999 Regional Committee NC-221, 1999, Mississauga, Ontario, Canada (1999) View citations (1) (1999)
61. Asset storability and price discovery in commodity futures markets: A new look
    Journal of Futures Markets, 2001, 21, (3), 279-300 View citations (113)
62. CURRENCY CONVERTIBILITY AND LINKAGE BETWEEN CHINESE OFFICIAL AND SWAP MARKET EXCHANGE RATES
    Contemporary Economic Policy, 2001, 19, (3), 347-359 View citations (6)
63. Impact of interest rate swaps on corporate capital structure: an empirical investigation
    Applied Financial Economics, 2001, 11, (1), 75-81 View citations (3)

2000

64. THE LAW OF ONE PRICE: DEVELOPED AND DEVELOPING COUNTRY MARKET INTEGRATION
    Journal of Agricultural and Applied Economics, 2000, 32, (3), 12 View citations (14)
    Also in Journal of Agricultural and Applied Economics, 2000, 32, (3), 429-440 (2000) View citations (15)
65. The wealth effect of swap usage in the food processing industry
    Agribusiness, 2000, 16, (3), 367-379

1999

66. PRICE DISCOVERY IN WHEAT FUTURES MARKETS
    Journal of Agricultural and Applied Economics, 1999, 31, (2), 12 View citations (23)
    Also in Journal of Agricultural and Applied Economics, 1999, 31, (2), 359-370 (1999) View citations (25)

1998

67. Market efficiency of US grain markets: Application of cointegration tests
    Agribusiness, 1998, 14, (2), 107-112 View citations (3)