no code implementations • 24 Mar 2024 • Qi Deng, Zhong-guo Zhou
We propose that the liquidity of an asset includes two components: liquidity jump and liquidity diffusion.
no code implementations • 18 Jul 2023 • Qi Deng, Linhong Zheng, Jiaqi Peng, Xu Li, Zhong-guo Zhou, Monica Hussein, Dingyi Chen, Mick Swartz
We find that the most efficient regulation regime in Chinese IPO pricing has four characteristics: 1) registration system, 2) no hard return caps nor trading curbs that restrict the initial return; 3) more specific listing rules for issuers, and 4) more stringent participation requirements for investors.
no code implementations • 27 Jun 2023 • Qi Deng, Zhong-guo Zhou
We establish innovative liquidity premium measures, and construct liquidity-adjusted return and volatility to model assets with extreme liquidity, represented by a portfolio of selected crypto assets, and upon which we develop a set of liquidity-adjusted ARMA-GARCH/EGARCH models.
no code implementations • 19 Nov 2022 • Qi Deng, Lunge Dai, Zixin Yang, Zhong-guo Zhou, Monica Hussein, Dingyi Chen, Mick Swartz
Based on our findings, we argue that the differences among the levels and determinants of initial return, monthly return (intrinsic value) and intramonth return (overreaction) in different time periods can be largely explained by regulation regime changes along two dimensions: 1) approval vs. registration and 2) listing day trading curbs and return limits.
