Joey Yang

Associate Professor, BEc Zhongnan, MFin PhD E.Cowan

  • 77 Citations
  • 5 h-Index
20042019
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Research Output 2004 2019

  • 77 Citations
  • 5 h-Index
  • 15 Article
  • 2 Working paper
  • 1 Chapter
  • 1 Conference paper
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Article
2019

The role of implied volatility in liquidity provision

Cahill, D., Fong, K., Wee, M. & Yang, J., 16 Apr 2019, In : Australian Journal of Management. 27 p.

Research output: Contribution to journalArticle

Implied volatility
Liquidity provision
Market conditions
Bid
Order book
2017
2 Citations (Scopus)

Media sentiment and trading strategies of different types of traders

Cahill, D., Wee, M. & Yang, J. W., 1 Sep 2017, In : Pacific Basin Finance Journal. 44, p. 160-172 13 p.

Research output: Contribution to journalArticle

Sentiment
Traders
Trading strategies
Retail
Investors
2016

Liquidation discount-a novel application of ARFIMA-GARCH

Singh, R. B., Gould, J., Chan, F. & Yang, J., Mar 2016, In : Journal of Empirical Finance. 36, p. 151-161 11 p.

Research output: Contribution to journalArticle

Discount
Integrated
Moving average
Liquidation
Autoregressive conditional heteroskedasticity
2 Citations (Scopus)

Pinning down an effective measure for probability of informed trading

Petchey, J., Wee, M. & Yang, J., 2016, In : Pacific-Basin Finance Journal. 40, Part B, p. 456-475 20 p.

Research output: Contribution to journalArticle

Probability of informed trading
Information-based trading
Announcement
Microstructure
Time-varying
3 Citations (Scopus)
2014
6 Citations (Scopus)

The microstructure of fear, the Fama-French factors and the global financial crisis of 2007 and 2008

Lim, D., Durand, R. B. & Yang, J., 2014, In : Global Finance Journal. 25, 3, p. 169-180

Research output: Contribution to journalArticle

Investors
Factors
Volatility index
Microstructure
Global financial crisis

Yet another ACD model: the autoregressive conditional directional duration (ACDD) model

Jeyasreedharan, N., Allen, D. E. & Yang, J., 2014, In : Annals of Financial Economics. 9, 1, p. 1450004-1-20

Research output: Contribution to journalArticle

2012
2 Citations (Scopus)
6 Citations (Scopus)

Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange

Yang, J. & Parwada, J., 2012, In : Quantitative Finance. 12, 5, p. 791-804

Research output: Contribution to journalArticle

2011
4 Citations (Scopus)
2009
5 Citations (Scopus)

Information Diffusion among International Fund Managers: Multicountry Evidence

Parwada, J. T. & Yang, J., 2009, In : Financial Management. 38, 4, p. 817-835

Research output: Contribution to journalArticle

Fund managers
Information diffusion
Managers
Investors
Peers
2005

An Examination of the Role of Time and its Impact on Price Revision

Allen, D., Peiris, S. & Yang, J., 2005, In : Australian Journal of Management. 30, 2, p. 283-303

Research output: Contribution to journalArticle

Time series models
Autoregressive process
Periodicity
Stochastic processes
Finance
39 Citations (Scopus)

Multivariate GARCH hedge ratios and hedging effectiveness in Australian futures markets

Yang, J. & Allen, D., 2005, In : Accounting and Finance. 45, 2, p. 301-321

Research output: Contribution to journalArticle

Generalized autoregressive conditional heteroscedasticity
Multivariate GARCH
Hedging effectiveness
Futures markets
Hedge ratio

Some statistical models for durations and an application to News Corporation stock prices

Peiris, S., Allen, D. & Yang, J., 2005, In : Mathematics and Computers in Simulation. 68, 5-6, p. 549-556

Research output: Contribution to journalArticle

Duration Models
Conditional Model
Stock Prices
Statistical Model
Minimum Mean Square Error
2004
8 Citations (Scopus)

Do UK stock prices deviate from fundmentals?

Allen, D. E. & Yang, J., 2004, In : Mathematics and Computers in Simulation. 64, 3-4, p. 373-383

Research output: Contribution to journalArticle

Stock Prices
Excess
Stock Returns
Deviation
Dividend