IDEAS home Printed from https://ideas.repec.org/f/pli397.html
   My authors  Follow this author

Shinhua Liu

Personal Details

First Name:Shinhua
Middle Name:
Last Name:Liu
Suffix:
RePEc Short-ID:pli397
[This author has chosen not to make the email address public]
Terminal Degree: Robert J. Trulaske, Sr. College of Business; University of Missouri (from RePEc Genealogy)

Affiliation

Department of Finance, Real Estate and Business Law
College of Business
University of Southern Mississippi

Hattiesburg, Mississippi (United States)
http://www.usm.edu/business/finance-real_estate-business_law
RePEc:edi:dfusmus (more details at EDIRC)

Research output

as
Jump to: Articles

Articles

  1. Kimberly R. Goodwin & Shinhua Liu, 2024. "Creating the XLRE: Market Implications for REITs and the Real Estate Sector," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 30(1), pages 54-65, January.
  2. Chang-Wen Duan & Ken Hung & Shinhua Liu, 2022. "Tick Size and Informed Trading: Evidence from the Taiwanese Stock Market," International Business Research, Canadian Center of Science and Education, vol. 15(1), pages 1-1, January.
  3. Liu, Shinhua, 2022. "Informational efficiency and GICS classification: Evidence from REITs," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 355-362.
  4. Kimberly R. Goodwin & Shinhua Liu, 2021. "GICS and the Real Estate Reclassification Revolution," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 27(2), pages 121-136, July.
  5. Shinhua Liu, 2020. "S&P 500 Affiliation and Stock Price Informativeness," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 21(3), pages 219-232, July.
  6. Shinhua Liu, 2016. "Are SPDR Options Good for the Underlying Stocks?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-27, December.
  7. Liu, Shinhua & Stowe, John D. & Hung, Ken, 2012. "Why U.S. firms delist from the Tokyo stock exchange: An empirical analysis," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 62-70.
  8. Liu, Shinhua, 2011. "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, vol. 63(2), pages 152-165, March.
  9. Shinhua Liu, 2010. "Equity Options and Underlying Stocks' Behavior: Further Evidence from Japan," International Review of Finance, International Review of Finance Ltd., vol. 10(3), pages 293-312, September.
  10. Liu, Shinhua, 2010. "Transaction costs and market efficiency: Evidence from commission deregulation," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 352-360, August.
  11. Liu, Shinhua, 2009. "The impacts of index options on the underlying stocks: The case of the S&P 100," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1034-1046, August.
  12. Shinhua Liu & Zhen Zhu, 2009. "Transaction Costs and Price Volatility: New Evidence from the Tokyo Stock Exchange," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(1), pages 65-83, August.
  13. Liu, Shinhua, 2009. "Index membership and predictability of stock returns: The case of the Nikkei 225," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 338-351, June.
  14. Shinhua Liu, 2008. "Index Futures and Predictability of the Underlying Stocks’ Returns: The Case of the Nikkei 225," Journal of Financial Services Research, Springer;Western Finance Association, vol. 34(1), pages 77-91, August.
  15. Liu, Shinhua, 2008. "Commission deregulation and performance of securities firms: Further evidence from Japan," Journal of Economics and Business, Elsevier, vol. 60(4), pages 355-368.
  16. Liu, Shinhua, 2007. "International cross-listing and stock pricing efficiency: An empirical study," Emerging Markets Review, Elsevier, vol. 8(4), pages 251-263, December.
  17. Shinhua Liu, 2007. "Currency Derivatives and Exchange Rate Forecastability," Financial Analysts Journal, Taylor & Francis Journals, vol. 63(4), pages 72-78, July.
  18. Shinhua Liu, 2007. "Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(3), pages 161-176, December.
  19. Liu, Shinhua, 2006. "The impacts of index rebalancing and their implications: Some new evidence from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 246-269, July.
  20. Shinhua Liu, 2000. "Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks," International Review of Finance, International Review of Finance Ltd., vol. 1(4), pages 245-267, December.
    RePEc:taf:apfelt:v:1:y:2005:i:4:p:199-204 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Shinhua Liu, 2020. "S&P 500 Affiliation and Stock Price Informativeness," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 21(3), pages 219-232, July.

    Cited by:

    1. Liu, Shinhua, 2022. "Informational efficiency and GICS classification: Evidence from REITs," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 355-362.

  2. Liu, Shinhua & Stowe, John D. & Hung, Ken, 2012. "Why U.S. firms delist from the Tokyo stock exchange: An empirical analysis," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 62-70.

    Cited by:

    1. Kashefi Pour, Eilnaz & Lasfer, Meziane, 2013. "Why do companies delist voluntarily from the stock market?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4850-4860.
    2. Li, Mingsheng & Liu, Karen & Zhu, Xiaorui, 2024. "The effects of NASDAQ delisting on firm performance," Research in International Business and Finance, Elsevier, vol. 67(PB).

  3. Liu, Shinhua, 2011. "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, vol. 63(2), pages 152-165, March.

    Cited by:

    1. Nawal Seif Kassim & Roslily Ramlee & Salina Kassim, 2017. "Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 40-51.
    2. Friedrich-Carl Franz, 2020. "Forecasting index changes in the German DAX family," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 135-153, March.
    3. Daria Gavrilova, 2023. "Effects Of Index Additions On Stock Price Informativeness," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 31, pages 39-64, June.
    4. Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark, 2014. "Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 20-35.
    5. Upeksha Perera & Rohana Dissanayake & Mangalika Jayasundara, 2016. "Assessing the Impact of S&P SL20 Index Construction on Listed Companies in Colombo Stock Exchange (CSE)," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 159-159, July.
    6. Gavrilova Daria, 2023. "The Price Impact of S&P 500 Affiliation," Studia Universitatis Babeș-Bolyai Oeconomica, Sciendo, vol. 68(1), pages 42-61, April.
    7. Neveen Ahmed & Aliaa Bassiouny, 2018. "The Effects of Index Changes on Stock Trading: Evidence from the EGX," Review of Economics & Finance, Better Advances Press, Canada, vol. 11, pages 55-66, February.
    8. Nico Katzke & Charlotte van Tiddens, 2019. "FTSE/JSE Index Migration: Testing for the Index Effect in Stocks Entering and Exiting the Top 40," Working Papers 10/2019, Stellenbosch University, Department of Economics.

  4. Shinhua Liu, 2010. "Equity Options and Underlying Stocks' Behavior: Further Evidence from Japan," International Review of Finance, International Review of Finance Ltd., vol. 10(3), pages 293-312, September.

    Cited by:

    1. Deven Bathia & Don Bredin, 2013. "An examination of investor sentiment effect on G7 stock market returns," The European Journal of Finance, Taylor & Francis Journals, vol. 19(9), pages 909-937, October.
    2. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.

  5. Liu, Shinhua, 2010. "Transaction costs and market efficiency: Evidence from commission deregulation," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 352-360, August.

    Cited by:

    1. de Resende, Charlene C. & Pereira, Adriano C.M. & Cardoso, Rodrigo T.N. & de Magalhães, A.R. Bosco, 2017. "Investigating market efficiency through a forecasting model based on differential equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 474(C), pages 199-212.

  6. Liu, Shinhua, 2009. "The impacts of index options on the underlying stocks: The case of the S&P 100," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 1034-1046, August.

    Cited by:

    1. GAO Tian Chen & GAO Hui, 2023. "Volatility and Asymmetric Effect of Crude Oil Options on Crude Oil Market: Empirical Evidence from China," Applied Economics and Finance, Redfame publishing, vol. 10(1), pages 4467-4467, February.
    2. Rif, Alexandru & Utz, Sebastian, 2021. "Short-term stock price reversals after extreme downward price movements," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 123-133.
    3. Hao, Jing & He, Feng & Liu-Chen, Baiao & Li, Zihe, 2021. "Price discovery and its determinants for the Chinese soybean options and futures markets," Finance Research Letters, Elsevier, vol. 40(C).

  7. Shinhua Liu & Zhen Zhu, 2009. "Transaction Costs and Price Volatility: New Evidence from the Tokyo Stock Exchange," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(1), pages 65-83, August.

    Cited by:

    1. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2020. "Non-Value-Added Tax to Improve Market Fairness," Working Papers hal-02881064, HAL.
    2. Iryna Veryzhenko & Arthur Jonath & Etienne Harb, 2022. "Non-Value-Added Tax to improve market fairness and quality," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-30, December.
    3. Filip Stanek & Jiri Kukacka, 2018. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
    4. Cappelletti, Giuseppe & Guazzarotti, Giovanni & Tommasino, Pietro, 2017. "The stock market effects of a securities transaction tax: Quasi-experimental evidence from Italy," Journal of Financial Stability, Elsevier, vol. 31(C), pages 81-92.
    5. Lavička, H. & Lichard, T. & Novotný, J., 2016. "Sand in the wheels or wheels in the sand? Tobin taxes and market crashes," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 328-342.
    6. Thornton Matheson, 2014. "The Effect of a Low-Rate Transaction Tax on a Highly Liquid Market," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 70(4), pages 487-510, December.
    7. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex Business School.
    8. Rosenthal, Dale W.R. & Thomas, Nordia Diana Marie, 2012. "Transact taxes in a price maker/taker market," MPRA Paper 40556, University Library of Munich, Germany.
    9. Danuse Nerudova, 2011. "Taxing the financial sector in the European Union," MENDELU Working Papers in Business and Economics 2011-16, Mendel University in Brno, Faculty of Business and Economics.
    10. European Commission, 2010. "Innovative Financing at a Global Level," Taxation Studies 0031, Directorate General Taxation and Customs Union, European Commission.
    11. Veryzhenko, Iryna & Harb, Etienne & Louhichi, Waël & Oriol, Nathalie, 2017. "The impact of the French financial transaction tax on HFT activities and market quality," Economic Modelling, Elsevier, vol. 67(C), pages 307-315.
    12. Thomas Hemmelgarn & Gaetan Nicodeme, 2010. "The 2008 Financial Crisis and Taxation Policy," Taxation Papers 20, Directorate General Taxation and Customs Union, European Commission.
    13. Thomas Hemmelgarn & Gaëtan Nicodème & Bogdan Tasnadi & Pol Vermote, 2016. "Financial Transaction Taxes in the European Union," Taxation Papers 62, Directorate General Taxation and Customs Union, European Commission.
    14. He, Eric & Jacob, Martin & Vashishtha, Rahul & Venkatachalam, Mohan, 2022. "Does differential taxation of short-term relative to long-term capital gains affect long-term investment?," Journal of Accounting and Economics, Elsevier, vol. 74(1).
    15. Yongheng Deng & Xin Liu & Shang-Jin Wei, 2014. "One Fundamental and Two Taxes: When Does a Tobin Tax Reduce Financial Price Volatility?," NBER Working Papers 19974, National Bureau of Economic Research, Inc.
    16. Alonso, Miguel A. & Rallo, Juan Ramón & Romero, Alberto, 2013. "El efecto de los impuestos a las transacciones financieras en la estabilidad de los mercados de capital. Un debate sin resolver," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(317), pages 207-231, enero-mar.
    17. Danuše Nerudová, 2013. "Taxing of financial sector as possible own resource of EU budget," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(4), pages 1051-1060.
    18. Scott Mixon, 2022. "US experience with futures transaction taxes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 413-427, March.
    19. Eichfelder, Sebastian & Lau, Mona, 2016. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," arqus Discussion Papers in Quantitative Tax Research 211, arqus - Arbeitskreis Quantitative Steuerlehre.
    20. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2018. "The impact of financial transaction taxes on stock markets: Short-run effects, long-run effects, and migration," arqus Discussion Papers in Quantitative Tax Research 228, arqus - Arbeitskreis Quantitative Steuerlehre.
    21. Atanas Pekanov & Margit Schratzenstaller-Altzinger, 2019. "A Global Financial Transaction Tax. Theory, Practice and Potential Revenues," WIFO Working Papers 582, WIFO.
    22. Liu, Shinhua & Stowe, John D. & Hung, Ken, 2012. "Why U.S. firms delist from the Tokyo stock exchange: An empirical analysis," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 62-70.
    23. Eichfelder, Sebastian & Lau, Mona & Noth, Felix, 2017. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," IWH Discussion Papers 4/2017, Halle Institute for Economic Research (IWH).
    24. Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.
    25. Stephan Meyer & Martin Wagener & Christof Weinhardt, 2015. "Politically Motivated Taxes in Financial Markets: The Case of the French Financial Transaction Tax," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(2), pages 177-202, April.

  8. Liu, Shinhua, 2009. "Index membership and predictability of stock returns: The case of the Nikkei 225," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 338-351, June.

    Cited by:

    1. Afego, Pyemo N., 2017. "Effects of changes in stock index compositions: A literature survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 228-239.
    2. Daya, Wael & Mazouz, Khelifa & Freeman, Mark, 2012. "Information efficiency changes following FTSE 100 index revisions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 1054-1069.
    3. Gygax, André F. & Otchere, Isaac, 2010. "Index composition changes and the cost of incumbency," Journal of Banking & Finance, Elsevier, vol. 34(10), pages 2500-2509, October.

  9. Liu, Shinhua, 2008. "Commission deregulation and performance of securities firms: Further evidence from Japan," Journal of Economics and Business, Elsevier, vol. 60(4), pages 355-368.

    Cited by:

    1. Chun-Yueh Lin, 2023. "Integrating the two-stage of non-radial DEA model and BCG methods to evaluate the performance with strategic trajectory: a case study of securities industry," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 22(3), pages 439-455, September.
    2. Juan Eberhard & Jaime F. Lavín & Alejandro Montecinos-Pearce & José Arenas, 2019. "Analyzing Stock Brokers’ Trading Patterns: A Network Decomposition and Spatial Econometrics Approach," Complexity, Hindawi, vol. 2019, pages 1-18, July.
    3. Demirbag, Mehmet & McGuinness, Martina & Akin, Ahmet & Bayyurt, Nizamettin & Basti, Eyup, 2016. "The professional service firm (PSF) in a globalised economy: A study of the efficiency of securities firms in an emerging market," International Business Review, Elsevier, vol. 25(5), pages 1089-1102.
    4. Tien Hoang Nguyen, & Xuan Minh Nguyen, & Thi Thu Ha Nguyen, & Quoc Trung Tran, 2017. "Ownership structure and performance of professional service firms in a declining industry: Evidence from Vietnamese securities firms," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(2), pages 142-151, May.
    5. Nguyen, Thien Hoang & Nguyen, Xuan Minh & Nguyen, Thi Thu Ha & Tran, Quoc Trung, 2017. "Ownership structure and performance of professional service firms in a declining industry: Evidence from Vietnamese securities firms1," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(2).

  10. Liu, Shinhua, 2007. "International cross-listing and stock pricing efficiency: An empirical study," Emerging Markets Review, Elsevier, vol. 8(4), pages 251-263, December.

    Cited by:

    1. Ghadhab, Imen & M’rad, Mouna, 2018. "Does US cross-listing come with incremental benefit for already UK cross-listed firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 188-204.
    2. Black, Bernard S. & de Carvalho, Antonio Gledson & Gorga, Érica, 2010. "Corporate governance in Brazil," Emerging Markets Review, Elsevier, vol. 11(1), pages 21-38, March.
    3. Bhagat, Sanjai & Malhotra, Shavin & Zhu, PengCheng, 2011. "Emerging country cross-border acquisitions: Characteristics, acquirer returns and cross-sectional determinants," Emerging Markets Review, Elsevier, vol. 12(3), pages 250-271, September.
    4. Olga Dodd & Aaron Gilbert, 2016. "The Impact of Cross-Listing on the Home Market's Information Environment and Stock Price Efficiency," The Financial Review, Eastern Finance Association, vol. 51(3), pages 299-328, August.
    5. Ghadhab, Imen & Hellara, Slaheddine, 2016. "Cross-listing and value creation," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 1-11.
    6. Mr. Raphael A Espinoza & Mr. Oral Williams & Mr. Ananthakrishnan Prasad, 2010. "Regional Financial Integration in the GCC," IMF Working Papers 2010/090, International Monetary Fund.
    7. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
    8. Eichfelder, Sebastian & Lau, Mona, 2016. "Financial transaction taxes: Announcement effects, short-run effects, and long-run effects," arqus Discussion Papers in Quantitative Tax Research 211, arqus - Arbeitskreis Quantitative Steuerlehre.
    9. Bruce Hearn & Jenifer Piesse, 2010. "Barriers to the development of small stock markets: A case study of Swaziland and Mozambique," Journal of International Development, John Wiley & Sons, Ltd., vol. 22(7), pages 1018-1037.
    10. Juan Benjamín Duarte Duarte & Juan Manuel Mascareñas Pérez-Iñigo, 2014. "¿Han sido los mercados bursátiles eficientes informacionalmente?," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, June.
    11. Abdallah, Abed AL-Nasser & Abdallah, Wissam, 2019. "Does cross-listing in the US improve investment efficiency? Evidence from UK firms," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 215-231.

  11. Shinhua Liu, 2007. "Securities Transaction Tax and Market Efficiency: Evidence from the Japanese Experience," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(3), pages 161-176, December.

    Cited by:

    1. Leonardo Becchetti & Massimo Ferrari, 2013. "The impact of the French Tobin tax," Econometica Working Papers wp47, Econometica.
    2. Sinha, Pankaj & Mathur, Kritika, 2012. "Evolution of security transaction tax in India," MPRA Paper 40165, University Library of Munich, Germany.
    3. Cappelletti, Giuseppe & Guazzarotti, Giovanni & Tommasino, Pietro, 2017. "The stock market effects of a securities transaction tax: Quasi-experimental evidence from Italy," Journal of Financial Stability, Elsevier, vol. 31(C), pages 81-92.
    4. Gunther Capelle-Blancard & Olena Havrylchyk, 2013. "The Impact of the French Securities Transaction Tax on Market Liquidity and Volatility," Post-Print halshs-00940251, HAL.
    5. Sinha, Pankaj & Mathur, Kritika, 2012. "Securities transaction tax and the stock market– an Indian experience," MPRA Paper 42743, University Library of Munich, Germany.
    6. Mitra, Sovan & Raju Chinthalapati, V.L. & Clark, Ephraim & McGroarty, Frank, 2019. "Stock-ADR Arbitrage: Microstructure Risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    7. Ms. Thornton Matheson, 2011. "Taxing Financial Transactions: Issues and Evidence," IMF Working Papers 2011/054, International Monetary Fund.
    8. Sinha, Pankaj & Mathur, Kritika, 2015. "Impact of Commodities Transaction Tax on Indian Commodity Futures," MPRA Paper 63677, University Library of Munich, Germany.
    9. Carlos Contreras & Mónica Contreras, 2015. "Estimación de la recaudación del Impuesto sobre Transacciones Financieras: el caso español," Hacienda Pública Española / Review of Public Economics, IEF, vol. 213(2), pages 109-143, June.
    10. Thornton Matheson, 2012. "Security transaction taxes: issues and evidence," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(6), pages 884-912, December.
    11. Copenhagen Economics, 2011. "Elasticities of Financial Instruments, Profits and Remuneration," Taxation Papers 30, Directorate General Taxation and Customs Union, European Commission.
    12. Liu, Shinhua, 2010. "Transaction costs and market efficiency: Evidence from commission deregulation," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 352-360, August.
    13. Liu, Shinhua & Stowe, John D. & Hung, Ken, 2012. "Why U.S. firms delist from the Tokyo stock exchange: An empirical analysis," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 62-70.
    14. Anna Pomeranets & Daniel G. Weaver, 2011. "Security Transaction Taxes and Market Quality," Staff Working Papers 11-26, Bank of Canada.
    15. Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.

  12. Liu, Shinhua, 2006. "The impacts of index rebalancing and their implications: Some new evidence from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 246-269, July.

    Cited by:

    1. Afego, Pyemo N., 2017. "Effects of changes in stock index compositions: A literature survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 228-239.
    2. Friedrich-Carl Franz, 2020. "Forecasting index changes in the German DAX family," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 135-153, March.
    3. Isaac L. Ochieng’ & Tobias O. Olweny & Oluoch J. Oluoch & Gordon O. Ochere, 2019. "Effect of foreign equity flows on stock market volatility in Kenya Empirical evidence at Nairobi securities exchange," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 8(3), pages 1-5.
    4. Wang, Chuan & Murgulov, Zoltan & Haman, Janto, 2015. "Impact of changes in the CSI 300 Index constituents," Emerging Markets Review, Elsevier, vol. 24(C), pages 13-33.
    5. Abdul Rahman & Prabina Rajib, 2018. "Index Revisions, Stock Liquidity and the Cost of Equity Capital," Global Business Review, International Management Institute, vol. 19(4), pages 1072-1089, August.
    6. Gang Chu & John W. Goodell & Xiao Li & Yongjie Zhang, 2023. "Understanding short‐term price pressure from index reconstitutions: Evidence from the CSI 300," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(2), pages 2421-2440, June.
    7. Chen, Wei-Kuang & Lin, Ching-Ting, 2016. "Asymmetric responses to stock index reconstitutions: Evidence from the CSI 300 index additions and deletions," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 36-48.
    8. Upeksha Perera & Rohana Dissanayake & Mangalika Jayasundara, 2016. "Assessing the Impact of S&P SL20 Index Construction on Listed Companies in Colombo Stock Exchange (CSE)," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 159-159, July.
    9. Ahmed, Rizwan & ullah, Subhan & Hudson, Robert & Gregoriou, Andros, 2023. "The implications of liquidity ratios: Evidence from Pakistan stock exchange limited," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 235-243.
    10. Liu, Shinhua, 2011. "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, vol. 63(2), pages 152-165.
    11. Konstantina Kappou, 2018. "The diminished effect of index rebalances," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 235-244, July.
    12. YAO, Dongmin & ZHOU, Shiyu & CHEN, Yijing, 2022. "Price effects in the Chinese stock market: Evidence from the China securities index (CSI300) based on regression discontinuity," Finance Research Letters, Elsevier, vol. 46(PB).
    13. Liu, Shinhua, 2009. "Index membership and predictability of stock returns: The case of the Nikkei 225," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 338-351, June.

  13. Shinhua Liu, 2000. "Changes in the Nikkei 500: New Evidence for Downward Sloping Demand Curves for Stocks," International Review of Finance, International Review of Finance Ltd., vol. 1(4), pages 245-267, December.

    Cited by:

    1. Afego, Pyemo N., 2017. "Effects of changes in stock index compositions: A literature survey," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 228-239.
    2. Ernest N. Biktimirov & Yuanbin Xu, 2019. "Market reactions to changes in the Dow Jones industrial average index," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 15(5), pages 792-812, May.
    3. Nawal Seif Kassim & Roslily Ramlee & Salina Kassim, 2017. "Impact of Inclusion into and Exclusion from the Shariah Index on a Stock Price and Trading Volume: An Event Study Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 40-51.
    4. Doeswijk, Ronald Q., 2005. "The index revision party," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 93-112.
    5. Chia-Jung Tu, 2012. "The Price Response to KIKKEI 225 Stocks Index Adjustments," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(4), pages 59-71.
    6. Jung-Wook Kim & Jason Lee & Randall Morck, 2009. "Characteristics of Observed Limit Order Demand and Supply Schedules for Individual Stocks," NBER Working Papers 14733, National Bureau of Economic Research, Inc.
    7. Okada, Katsuhiko & Isagawa, Nobuyuki & Fujiwara, Kenya, 2006. "Addition to the Nikkei 225 Index and Japanese market response: Temporary demand effect of index arbitrageurs," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 395-409, September.
    8. Lysle Boller & Fiona Scott Morton, 2020. "Testing the Theory of Common Stock Ownership," NBER Working Papers 27515, National Bureau of Economic Research, Inc.
    9. Azevedo, Alcino & Karim, Mohamad & Gregoriou, Andros & Rhodes, Mark, 2014. "Stock price and volume effects associated with changes in the composition of the FTSE Bursa Malaysian KLCI," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 20-35.
    10. Wang, Chuan & Murgulov, Zoltan & Haman, Janto, 2015. "Impact of changes in the CSI 300 Index constituents," Emerging Markets Review, Elsevier, vol. 24(C), pages 13-33.
    11. Erie Febrian & Aldrin Herwany & Adi Primadhi, 2013. "Market REsponse to the Composition Change of Islamic Index: Evidence from Indonesia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 7(5), pages 23-34.
    12. Chen, Wei-Kuang & Lin, Ching-Ting, 2016. "Asymmetric responses to stock index reconstitutions: Evidence from the CSI 300 index additions and deletions," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 36-48.
    13. Chakrabarti, Rajesh & Huang, Wei & Jayaraman, Narayanan & Lee, Jinsoo, 2005. "Price and volume effects of changes in MSCI indices - nature and causes," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1237-1264, May.
    14. Ahmed, Rizwan & ullah, Subhan & Hudson, Robert & Gregoriou, Andros, 2023. "The implications of liquidity ratios: Evidence from Pakistan stock exchange limited," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 235-243.
    15. Sascha Wilkens & Jens Wimschulte, 2005. "Price and Volume Effects Associated with 2003’s Major Reorganization of German Stock Indices," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 61-98, June.
    16. Liu, Shinhua, 2006. "The impacts of index rebalancing and their implications: Some new evidence from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(3), pages 246-269, July.
    17. W. K. Adrian Cheung & Eduardo Roca, 2010. "Do Pacific Basin Investors Value Corporate Sustainability?," Discussion Papers in Finance finance:201016, Griffith University, Department of Accounting, Finance and Economics.
    18. Neveen Ahmed & Aliaa Bassiouny, 2018. "The Effects of Index Changes on Stock Trading: Evidence from the EGX," Review of Economics & Finance, Better Advances Press, Canada, vol. 11, pages 55-66, February.
    19. Liu, Shinhua, 2011. "The price effects of index additions: A new explanation," Journal of Economics and Business, Elsevier, vol. 63(2), pages 152-165.
    20. Ken L. Bechmann, 2004. "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index: The KFX Index," Multinational Finance Journal, Multinational Finance Journal, vol. 8(1-2), pages 3-34, March-Jun.
    21. Joon Woo Park & Chang Won Lee, 2018. "Performance of stock price with changes in SRI governance index," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 25(6), pages 1121-1129, November.
    22. Vo Hong Duc & Doan Bao Huy, 2014. "Should Vietnamese firm’s stocks be listed in a MSCI Global Equity index? Experience drawn from the sample of 30 countries," HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE, HO CHI MINH CITY OPEN UNIVERSITY, vol. 4(1), pages 60-80.
    23. Yun, Jooyoung & Kim, Tong S., 2010. "The effect of changes in index constitution: Evidence from the Korean stock market," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 258-269, September.
    24. Kot, Hung Wan & Leung, Harry K.M. & Tang, Gordon Y.N., 2015. "The long-term performance of index additions and deletions: Evidence from the Hang Seng Index," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 407-420.
    25. Liu, Shinhua, 2009. "Index membership and predictability of stock returns: The case of the Nikkei 225," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 338-351, June.
    26. Adrian Wai Kong Cheung, 2011. "Do Stock Investors Value Corporate Sustainability? Evidence from an Event Study," Journal of Business Ethics, Springer, vol. 99(2), pages 145-165, March.
    27. Kin Ming Wong & Kwok Ping Tsang, 2023. "Inclusions and Exclusions of Stocks in Cross-Border Investments: The Case of Stock Connect," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 701-727, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Shinhua Liu should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.