For more of my papers, please go to My SSRN Author Page
SELECTED REFEREED JOURNAL ARTICLES
Yang, Jian, Yinggang Zhou, and Zijun Wang. "The Stock-Bond Correlation and Macroeconomic Conditions: One and a Half Centuries of Evidence," Journal of Banking and Finance, Vol.33, 2009, pp. 670-680.
Guo, Hui, Robert Savickas, Wang, Zijun, and Jian Yang. "Is Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence," Journal of Financial and Quantitative Analysis, Vol.44, No.1, February 2009, pp.133-154.
Cabrera, Juan F., Tao Wang, and Jian Yang. "Do Futures Lead Price Discovery in Electronic Foreign Exchange Markets?," Journal of Futures Markets, Vol.29, No.2, February 2009, pp.137-156.
Jansen, Dennis W., Qi Li, Wang, Zijun, and Jian Yang. "Fiscal Policy and Asset Markets: A Semiparametric Analysis," Journal of Econometrics, Vol.147, No.1, November 2008, pp.141-150.
Wang, Tao, Jian Yang, and Marc W. Simpson. "US Monetary Policy Surprises and Currency Futures Markets: A New Look," Financial Review, Vol.43, No.4, November 2008, pp.509-541.
Wang, Tao, Jingtao Wu, and Jian Yang. "Realized Volatility and Correlation in Energy Futures Markets," Journal of Futures Markets, Vol.28, No.10, October 2008, pp.993-1011.
Yang, Jian, Xiaojing Su, James W. Kolari. "Do Euro Exchange Rates Follow a Martingale? Some Out-of-Sample Evidence," Journal of Banking and Finance,Vol.32, No.5, May 2008, pp.729-740..
Yang, Jian, and David A. Bessler. "Contagion around the October 1987 Stock Market Crash," European Journal of Operational Research, Vol.184, No.1, January 2008, pp.291-310. (featured in The Washington Post, A03, December 17, 2007; Charlotte Observer, December 18, 2007; Times Union (Albany NY), December 31, 2007; Daily Herald (Utah), December 17, 2007; Arizona Daily Sun, December 18, 2007)
Wang, Zijun, Jian Yang, and Qi Li. "Interest Rate Linkages in the Eurocurrency Market: Contemporaneous and Out-of-Sample Granger Causality Tests," Journal of International Money and Finance, Vol.26, No.1, Feburary 2007, pp.86-103.
Wang, Tao, Jian Yang, and Jingtao Wu. "Central Bank Communications and Equity ETFs," Journal of Futures Markets, Vol.26, No.10, October 2006, pp.959-995.
Yang, Jian, Hui Guo, and Zijun Wang. "International Transmission of Inflation among G-7 Countries: A Data-Determined VAR Analysis," Journal of Banking and Finance, Vol.30, No.10, October 2006, pp.2681-2700.
Yang, Jian, Cheng Hsiao, Qi Li, and Zijun Wang. "The Emerging Market Crisis and Stock Market Linkages: Further Evidence," Journal of Applied Econometrics, Vol.21, No.6, September/October 2006, pp.727-744.
Li, Qi, Jian Yang, Cheng Hsiao, and Young-Jae Chang. "The Relationship between Expected Returns and Volatility in International Stock Markets," Journal of Empirical Finance, Vol.12, No.5, December 2005, pp.650-665. (Top 5 Hottest JEF Articles in 2005 and 2006)
Yang, Jian, R. Brian Balyeat, and David J. Leatham. "Futures Trading Activity and Commodity Cash Price Volatility," Journal of Business Finance and Accounting, Vol.32, No. 1&2, January/March 2005, pp. 295-321.
Yang, Jian, and David A. Bessler. "The International Price Transmission in Stock Index Futures Markets," Economic Inquiry, Vol. 42, No.3, July 2004, pp.370-386. (SWFA Best Paper in International Finance)
Yang, Jian. " Market Segmentation and Information Asymmetry in Chinese Stock Markets," Financial Review, Vol. 38, No.4, November 2003, pp. 591-609.
Awokuse, Titus O., and Jian Yang. "The Informational Role of Commodity Prices in Formulating Monetary Policy: A Reexamination," Economics Letters, Vol. 79, No.2, May 2003, pp. 219-224.
Yang, Jian, Insik Min, and Qi Li. "European Stock Market Integration: Does EMU Matter?" Journal of Business Finance and Accounting, Vol. 30, No. 9&10, November/December 2003, pp. 1253-1276. (AIB-SW McGraw-Hill/Irwin Distinguished Paper Award)
Bessler, David A., and Jian Yang. "The Structure of Interdependence in International Stock Markets," Journal of International Money and Finance, Vol. 22, No. 2, April 2003, pp. 261-287. (Abridged in The CFA Digest, November 2003, Vol. 33., No. 4, pp.61-62; Top 5 most requested JIMF articles in 2003; Reprinted in the four-volume collection Financial Markets, Volume 2, Jeff Madura Ed., Sage Publications Ltd ; SSCI No. 2 most cited JIMF articles published during 2003-2008)
Bessler, David A., Jian Yang, and Metha Wongcharupan."Price Dynamics in the Interantional Wheat Market: Modeling with Error Correction and Directed Acyclic Graphs" Journal of Regional Science, Vol. 43, No.1, January 2003, pp.1-33. (lead article)
Yang, Jian, David A. Bessler, and David J. Leatham. "Asset Storability and Price Discovery of Commodity Futures Markets: A New Look," Journal of Futures Markets, Vol. 21, No. 3, March 2001, pp. 279-300. (SSCI No. 1 most cited JFM articles published during 2001-2008)
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