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Details about Jian Yang

E-mail:
Homepage:http://scholar.google.com/citations?user=OgfdWE0AAAAJ&hl=en
Phone:303-315-8423
Postal address:Jian Yang The Business School University of Colorado Denver Denver, CO 80217-3364
Workplace:Business School, University of Colorado Denver, (more information at EDIRC)

Access statistics for papers by Jian Yang.

Last updated 2019-11-02. Update your information in the RePEc Author Service.

Short-id: pya30


Jump to Journal Articles

Working Papers

2018

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

2006

  1. Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
  2. Is value premium a proxy for time-varying investment opportunities: some time series evidence
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (5)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2009)

2005

  1. 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

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

2002

  1. ASSET STORABILITY AND HEDGING EFFECTIVENESS IN COMMODITY FUTURES MARKETS
    Staff Papers, University of Delaware, Department of Food and Resource Economics Downloads View citations (1)
    See also Journal Article in Applied Economics Letters (2003)
  2. THE INFORMATIONAL ROLE OF COMMODITY PRICES IN FORMULATING MONETARY POLICY: A REEXAMINATION
    Staff Papers, University of Delaware, Department of Food and Resource Economics Downloads
    See also Journal Article in Economics Letters (2003)

1999

  1. 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 Downloads
    See also Journal Article in Applied Economics Letters (2001)

Journal Articles

2019

  1. Institutional quality and sovereign credit default swap spreads
    Journal of Futures Markets, 2019, 39, (6), 686-703 Downloads

2018

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

2017

  1. Does corporate governance matter in competitive industries? Evidence from China
    Pacific-Basin Finance Journal, 2017, 43, (C), 238-255 Downloads View citations (2)

2016

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

2014

  1. The differential impact of the bank–firm relationship on IPO underpricing: evidence from China
    Pacific-Basin Finance Journal, 2014, 30, (C), 207-232 Downloads View citations (3)

2013

  1. Credit Risk Spillovers Among Financial Institutions Around the Global Credit Crisis: Firm-Level Evidence
    Management Science, 2013, 59, (10), 2343-2359 Downloads View citations (12)
  2. Fiscal deficits and mean reversion in real exchange rates
    Economics Letters, 2013, 118, (2), 300-303 Downloads
  3. Time‐Varying Risk–Return Trade‐off in the Stock Market
    Journal of Money, Credit and Banking, 2013, 45, (4), 623-650 Downloads View citations (8)

2012

  1. 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 Downloads View citations (29)
  2. Extreme Correlation of Stock and Bond Futures Markets: International Evidence
    The Financial Review, 2012, 47, (3), 565-587 Downloads View citations (7)
  3. 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 (41)
  4. U.S. Monetary Policy Surprises and Mortgage Rates
    Real Estate Economics, 2012, 40, (3), 461-507 Downloads

2011

  1. Linear and Nonlinear Predictability of International Securitized Real Estate Returns: A Reality Check
    Journal of Real Estate Research, 2011, 33, (4), 565-594 Downloads View citations (5)
  2. U.S. Monetary Policy Surprises and International Securitized Real Estate Markets
    The Journal of Real Estate Finance and Economics, 2011, 43, (4), 459-490 Downloads View citations (10)

2010

  1. Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
    Management Science, 2010, 56, (11), 2031-2049 Downloads View citations (14)
  2. Nonlinearity and intraday efficiency tests on energy futures markets
    Energy Economics, 2010, 32, (2), 496-503 Downloads View citations (19)
  3. Nonlinearity, data-snooping, and stock index ETF return predictability
    European Journal of Operational Research, 2010, 200, (2), 498-507 Downloads View citations (4)

2009

  1. Do futures lead price discovery in electronic foreign exchange markets?
    Journal of Futures Markets, 2009, 29, (2), 137-156 Downloads View citations (23)
  2. 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 Downloads View citations (16)
    See also Working Paper (2006)
  3. Out‐of‐Sample Predictability in International Equity Markets: A Model Selection Approach
    The Financial Review, 2009, 44, (4), 559-582 Downloads
  4. The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence
    Journal of Banking & Finance, 2009, 33, (4), 670-680 Downloads View citations (60)

2008

  1. Contagion around the October 1987 stock market crash
    European Journal of Operational Research, 2008, 184, (1), 291-310 Downloads View citations (21)
  2. Do Euro exchange rates follow a martingale? Some out-of-sample evidence
    Journal of Banking & Finance, 2008, 32, (5), 729-740 Downloads View citations (19)
  3. Fiscal policy and asset markets: A semiparametric analysis
    Journal of Econometrics, 2008, 147, (1), 141-150 Downloads View citations (23)
  4. Realized volatility and correlation in energy futures markets
    Journal of Futures Markets, 2008, 28, (10), 993-1011 Downloads View citations (30)
  5. U.S. Monetary Policy Surprises and Currency Futures Markets: A New Look
    The Financial Review, 2008, 43, (4), 509-541 Downloads View citations (3)

2007

  1. Causal linkages between US and Eurodollar interest rates: further evidence
    Applied Economics, 2007, 39, (2), 135-144 Downloads View citations (2)
  2. 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 Downloads View citations (22)

2006

  1. Central bank communications and equity ETFs
    Journal of Futures Markets, 2006, 26, (10), 959-995 Downloads View citations (2)
  2. Information transmission between Eurocurrency and domestic interest rates: evidence from the UK
    Applied Financial Economics, 2006, 16, (9), 675-685 Downloads View citations (3)
  3. International transmission of inflation among G-7 countries: A data-determined VAR analysis
    Journal of Banking & Finance, 2006, 30, (10), 2681-2700 Downloads View citations (11)
    See also Working Paper (2004)
  4. The emerging market crisis and stock market linkages: further evidence
    Journal of Applied Econometrics, 2006, 21, (6), 727-744 Downloads View citations (31)
    See also Working Paper (2005)

2005

  1. European public real estate market integration
    Applied Financial Economics, 2005, 15, (13), 895-905 Downloads View citations (10)
  2. Futures Trading Activity and Commodity Cash Price Volatility
    Journal of Business Finance & Accounting, 2005, 32, (1-2), 297-323 Downloads View citations (28)
    Also in Journal of Business Finance & Accounting, 2005, 32, (1‐2), 297-323 (2005) Downloads
  3. Government bond market linkages: evidence from Europe
    Applied Financial Economics, 2005, 15, (9), 599-610 Downloads View citations (10)
  4. Information flows within and across sectors in Chinese stock markets
    The Quarterly Review of Economics and Finance, 2005, 45, (4-5), 767-780 Downloads View citations (12)
  5. International bond market linkages: a structural VAR analysis
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (1), 39-54 Downloads View citations (20)
  6. The relationship between stock returns and volatility in international stock markets
    Journal of Empirical Finance, 2005, 12, (5), 650-665 Downloads View citations (41)

2004

  1. On the stability of long-run relationships between emerging and US stock markets
    Journal of Multinational Financial Management, 2004, 14, (3), 233-248 Downloads View citations (10)
  2. The International Price Transmission in Stock Index Futures Markets
    Economic Inquiry, 2004, 42, (3), 370-386 Downloads View citations (17)
  3. The informational role of open interest in futures markets
    Applied Economics Letters, 2004, 11, (9), 569-573 Downloads View citations (4)

2003

  1. Asset storability and hedging effectiveness in commodity futures markets
    Applied Economics Letters, 2003, 10, (8), 487-491 Downloads View citations (8)
    See also Working Paper (2002)
  2. European Stock Market Integration: Does EMU Matter?
    Journal of Business Finance & Accounting, 2003, 30, (9‐10), 1253-1276 Downloads
    Also in Journal of Business Finance & Accounting, 2003, 30, (9-10), 1253-1276 (2003) Downloads View citations (42)
  3. Financial crisis and African stock market integration
    Applied Economics Letters, 2003, 10, (9), 527-533 Downloads View citations (20)
  4. 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 Downloads View citations (6)
  5. Market Segmentation and Information Asymmetry in Chinese Stock Markets: A VAR Analysis
    The Financial Review, 2003, 38, (4), 591-609 Downloads View citations (34)
  6. Price Dynamics in the International Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs
    Journal of Regional Science, 2003, 43, (1), 1-33 Downloads View citations (32)
  7. Price and Volatility Transmission in International Wheat Futures
    Annals of Economics and Finance, 2003, 4, (1), 37-50 Downloads View citations (18)
  8. Stock market integration and financial crises: the case of Asia
    Applied Financial Economics, 2003, 13, (7), 477-486 Downloads View citations (83)
  9. The informational role of commodity prices in formulating monetary policy: a reexamination
    Economics Letters, 2003, 79, (2), 219-224 Downloads View citations (32)
    See also Working Paper (2002)
  10. The structure of interdependence in international stock markets
    Journal of International Money and Finance, 2003, 22, (2), 261-287 Downloads View citations (169)

2001

  1. Agricultural liberalization policy and commodity price volatility: a GARCH application
    Applied Economics Letters, 2001, 8, (9), 593-598 Downloads View citations (14)
    See also Working Paper (1999)
  2. Asset storability and price discovery in commodity futures markets: A new look
    Journal of Futures Markets, 2001, 21, (3), 279-300 Downloads View citations (62)
  3. CURRENCY CONVERTIBILITY AND LINKAGE BETWEEN CHINESE OFFICIAL AND SWAP MARKET EXCHANGE RATES
    Contemporary Economic Policy, 2001, 19, (3), 347-359 Downloads View citations (5)
  4. Impact of interest rate swaps on corporate capital structure: an empirical investigation
    Applied Financial Economics, 2001, 11, (1), 75-81 Downloads View citations (2)

2000

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

1999

  1. PRICE DISCOVERY IN WHEAT FUTURES MARKETS
    Journal of Agricultural and Applied Economics, 1999, 31, (2), 12 Downloads View citations (14)
    Also in Journal of Agricultural and Applied Economics, 1999, 31, (2), 359-370 (1999) Downloads View citations (16)

1998

  1. Market efficiency of US grain markets: Application of cointegration tests
    Agribusiness, 1998, 14, (2), 107-112 View citations (1)
 
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