Jing Yang - Latest
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Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing
Recent research suggests that quantitative easing (QE) may affect a broad range of asset prices through a portfolio balance channel. Using novel security-level holding data of individual US mutual funds, we establish evidence that portfolio rebalancing occurred both within and across funds. -
An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds
The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size. -
Alternative Trading Systems: Does One Shoe Fit All?
This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer. -
The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts.