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Associate Professor Jianxin Wang

Biography

Jianxin Wang received his B.sc. from Tsinghua University in Beijing, China, and his Ph.D. in economics from Northwestern University in the United States. He worked as a financial analyst in Chicago before joining the University of New South Wales. He has held visiting positions in Yonsei University, South Korea, the Capital Market and Financial Institution Supervisory Agency of Indonesia, Beijing and Nankai Universities in China, and the Central Economic-Mathematical Institute, Academy of Sciences, USSR. He joined UTS in April 2011.

Associate Professor, Finance Discipline Group
Core Member, QFRC - Quantitative Finance
PhD Economics
 
Phone
+61 2 9514 9744

Research Interests

Volatility dynamics, measuring and modelling liquidity, measuring and modelling information flow, Asian emerging financial markets, foreign exchange markets, currency internationalization.

Can supervise: Yes

Conferences

Jing, N. & Wang, J. 2015, 'Evaluate the international talents in professional social networks using the entropy weight method', Proceedings - 2015 International Conference on Computational Science and Computational Intelligence, CSCI 2015, 2015 International Conference on Computational Science and Computational Intelligence (CSCI), IEEE, Las Vegas, USA, pp. 220-225.
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Social network, especially international professional social network, not only gives users a chance to promote their own profiles, but also gives companies a platform to locate international talents. However, the social network has a great number of users across the countries, who generate huge amount of information everyday, which makes it very difficult for the hiring companies to find excellent international talents. In this context, this article bases on LinkedIn as the international professional social network and proposes a research model to effectively find international talents. Firstly, we establish an evaluation model using a group of evaluation indices based on the online professional profile, Secondly, we use the model to evaluate users' LinkedIn profile on each index and the weights of each index through entropy weight method, Thirdly, it integrates these values and weights into one comprehensive score for the user's profile, which can be used to rank the international talents and help the company recruiting, Finally, a group of LinkedIn users' profiles are randomly selected and we have conducted experiments on these profiles to validate the research model.
Yang, M. & Wang, J. 2011, 'Modelling the risk-return relationship which simultaneously takes into account of the risk premium and the volatility-feedback effect', Frontiers in Financial Econometrics Workshop, Brisbane, Queensland, Australia.

Journal articles

Wang, J. & Yang, M. 2015, 'How well does the weighted price contribution measure price discovery?', JOURNAL OF ECONOMIC DYNAMICS & CONTROL, vol. 55, pp. 113-129.
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Chai, E.F.L., Lee, A.D. & Wang, J. 2015, 'Global information distribution in the gold OTC markets', International Review of Financial Analysis, vol. 41, pp. 206-217.
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© 2015 Elsevier Inc. This paper aims to estimate the global information distribution in the OTC gold market. Using the two-scale realized variance as a proxy for information flow, we estimate the information shares of Asia, Europe, London/New York and the United States, with London/New York covering the two-hour overlapping trading in London afternoon and New York morning. We find that over the sample period of 1996 to 2012, the average daily information shares are 17%, 31%, 22%, and 30% for Asia, Europe, London/New York and the U.S., respectively. On a per-hour basis, the information share of London/New York is over two and half times of those of the rest of Europe and the U.S., and over five times of the information share of Asia. Despite doubling its share of OTC trading, Asia's information share actually declined from about 20% in the late 1990s to around 15% in 2009-2012, with the opposite trend for the London/New York market. Private information flow, measured by the volatility impact of unexpected order flows, has a flatter distribution across Asia, Europe, and the U.S., possibly due to the presence of the same large gold dealers in different markets. The declining information share of Asia and the concentration of information to the two-hour London/New York trading raise concerns for regional market development and global market stability.
Wang, J. & Yang, M. 2015, 'Corrigendum to 'How well does the weighted price contribution measure price discovery?' [J. Econ. Dyn. Control 55 (2015) 113–129]', JOURNAL OF ECONOMIC DYNAMICS & CONTROL, vol. 57, pp. 131-131.
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Gochoco-Bautista, M., Wang, J. & Yang, M. 2014, 'Commodity price, carry trade and the volatility and liquidity of Asian currencies', The World Economy, vol. 37, no. 6, pp. 63-78.
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This study examines how the volatility and liquidity of 10 Asian exchange rates against the US dollar change with volatilities in commodity price and carry trade over the period of January 2000 to June 2010. We find that uncertainties in commodity markets and carry trades are significantly correlated with the volatilities and the bid-ask spreads of most Asian currencies. The correlation with carry trade is generally stronger and has been rising over the sample period. While high volatilities in carry trade are associated with high volatilities in many Asian currencies, high volatilities in commodity price do not coincide with excessive volatilities in Asian currencies. This suggests that investors and policymakers should be more concerned with the volatility in carry trade.
Gochoco-Bautista, M., Sotocinal, N. & Wang, J. 2014, 'Corporate investments in Asian markets: Financial conditions, financial development, and financial constraints', World Development, vol. 57, pp. 63-78.
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Wang, J. 2014, 'Overnight price discovery and the internationalization of a currency: The case of the Korean Won', Pacific-Basin Finance Journal, vol. 29, pp. 86-95.
Wang, J. 2013, 'Liquidity commonality among Asian equity markets', Pacific-Basin Finance Journal, vol. 21, no. 1, pp. 1209-1231.
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This paper examines the impact of a set of common factors on liquidity variations in twelve Asian equity markets. The cross-market liquidity co-movements, i.e. liquidity commonality, represent an important dimension of capital market integration. I find that (1) liquidity variations in Asian equity markets are increasingly driven by the common factors. By 2009 and early 2010, the common factors account for 15% of daily liquidity variations in Asian emerging markets, and for 22% in Asian developed markets. (2) Volatility as a factor for liquidity commonality is at least as important as the cross-market average liquidity. It explains 12.4% of liquidity variations in Asian developed markets after the global financial crisis. (3) Regional factors affect local market liquidity through shocks in liquidity and volatility. U.S. and U.K. factors have little direct impact on Asian emerging markets. They affect liquidity in Asian developed markets mainly through volatility. The findings shed new light on the level of market integration in Asia and associated liquidity risks.
Wang, J. 2013, 'The impact of foreign ownership on stock volatility in Indonesia', Asia-Pacific Journal of Financial Studies, vol. 42, no. 3, pp. 493-509.
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This study documents the negative relationship between foreign ownership and the future volatility of Indonesian stocks. The calming effect of foreign ownership is present before, during, and after the Asian financial crisis. It is independent of gross and net foreign trading and the stocks historical volatility. The effect increases with the level of foreign holdings. The findings are contrary to the volatility impact of institutional ownership in developed markets, and indicate the presence of different economic mechanisms leading to the opposite volatility impact from foreign ownership and foreign trading.
Wang, J. & Yang, M. 2013, 'On the risk return relationship', Journal of Empirical Finance, vol. 21, no. March, pp. 132-141.
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While the risk return trade-off theory suggests a positive relationship between the expected return and the conditional volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have approximately the same size with opposite signs for the daily excess returns of seven major developed markets. For the same data set, we also find that a linear relationship between the expected return and the conditional standard deviation is preferable to polynomial-type nonlinear specifications. Our results have a potential to explain some of the mixed findings documented by previous studies.
Wang, J., Gochoco-bautista, M. & Sotocinal, N. 2013, 'Corporate investments in asian emerging markets: Financial conditions, financial development, and financial constraints', ADB Economics Working Paper Series, vol. 346, no. NA, pp. 1-26.
Motivated by the literature on the finance-growth nexus, this paper explores the mechanisms through which finance affects corporate investments and capital accumulation. We separate the effects of financial conditions from those of financial development.
Wang, J. 2011, 'Forecasting volatility in Asian stock markets: Contributions of local, regional, and global factors', Asian Development Review, vol. 28, no. 2, pp. 32-57.
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This paper examines volatility forecasting for the broad market indices of 12 Asian stock markets. After considering the long memory in volatility and volatility jumps, the paper incorporates local, regional, and global factors into a heterogeneous autoregressive model for volatility forecasting. Compared to several existing studies, the model produces smaller forecasting errors. The empirical findings shed new light on the spillover effect from regional and global factors to local market volatility. Despite the common perception of increased globalization, the paper finds that volatility in Asia is primarily driven by local factors. During the period January 2005 to April 2010, regional and global factors explain 2%-3% of the volatility in the next 10 days for Asian emerging markets, and 3%-6% for Asian developed markets. There was no significant increase in the contribution of global factors to local market volatility
Wang, J. & Yang, M. 2011, 'Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets', Journal of Financial Markets, vol. 14, no. 1, pp. 82-108.
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This paper presents two methods to measure market-specific contributions to price discovery in non-overlapping sequential markets: one is a non-parametric approach using high-frequency data and the other is a structural VAR model based on open-to-close returns. The methods complement the existing methodologies for comparing price discovery in parallel markets. Using these methods, we estimate the information shares of four sequential markets for the trading of AUD, JPY, EUR, and GBP against USD over an eight-year period. We find that price discovery in the foreign exchange markets are still dominated by Europe and the United States, particularly the London New York overlapping trading hours. Asia is losing information shares to Europe in the trading of AUD and JPY. The significance of the "housewives of Tokyo" in currency trading may have been overstated.
Wang, J. & Yang, M. 2009, 'Asymmetric volatility in the foreign exchange markets', Journal of International Financial Markets, Institutions & Money, vol. 19, no. 4, pp. 597-615.
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We examine the presence or absence of asymmetric volatility in the exchange rates of Australian dollar (AUD), Euro (EUR), British pound (GBP) and Japanese yen (JPY), all against US dollar. Our investigation is based on a variant of the heterogeneous autoregressive realized volatility model, using daily realized variance and return series from 1996 to 2004. We find that a depreciation against USD leads to significantly greater volatility than an appreciation for AUD and GBP, whereas the opposite is true for JPY. Relative to volatility on days following a positive one-standard-deviation return, volatility on days following a negative one-standard-deviation return is higher by 6.6% for AUD, 6.1% for GBP, and 21.2% for JPY. The realized volatility of EUR appears to be symmetric. These results are robust to the removal of jump component from realized volatility and the sub-samplings defined by structural-changes. The asymmetry in AUD, GBP and JPY appears to be embedded in the continuous component of realized volatility rather than the jump component.
Rhee, S. & Wang, J. 2009, 'Foreign institutional ownership and stock market liquidity: Evidence from Indonesia', Journal of Banking and Finance, vol. 33, no. 7, pp. 1312-1324.
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From January 2002 to August 2007, foreign institutions held almost 70% of the free-float value of the Indonesian equity market, or 41% of the total market capitalization. Over the same period, liquidity on the Jakarta Stock Exchange improved substantially with the average bidask spread more than halved and the average depth more than doubled. In this study we examine the Granger causality between foreign institutional ownership and liquidity, while controlling for persistence in foreign ownership and liquidity measures. We find that foreign holdings have a negative impact on future liquidity: a 10% increase in foreign institutional ownership in the current month is associated with approximately 2% increase in the bidask spread, 3% decrease in depth, and 4% rise in price sensitivity in the next month, challenging the view that foreign institutions enhance liquidity in small emerging markets. Our findings are consistent with the negative liquidity impact of institutional investor ownership in developed markets.
Wang, J. 2007, 'Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand', Journal of Development Economics, vol. 84, no. 2, pp. 798-811.
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This paper documents a strong contemporaneous relationship between foreign equity trading and market volatility in Indonesia and Thailand. Although foreign selling accounts for only a small portion of daily trading, it has the highest explanatory power for market volatility in both countries. Trading within foreign and local investor groups is often negatively related to volatility. The findings are robust to different sub-periods and different measures for volatility and trading activities. We explore two economic explanations for the asymmetric effects of foreign and local investors
Wang, J. 2007, 'Foreign ownership and volatility dynamics of Indonesian stocks', Asia Pacific Financial Markets, vol. 14, no. 3, pp. 201-210.
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This note explores how foreign ownership and participation affect the volatility dynamics of individual stocks in Indonesia. After controlling for size and turnover, we show that stocks with high foreign holdings have greater volatility persistence and lead other stocks in the daily volatility changes. The finding holds during and after the Asian financial crisis, and is consistent with domestic investors mimicking foreign trading.
Carpenter, A. & Wang, J. 2007, 'Herding and the information content of trades in the Australian dollar market', Pacific-Basin Finance Journal, vol. 15, no. 2, pp. 173-194.
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This study shows that the information content of FX transactions depends on the identity of market participants. Using spot FX transactions of a major Australian bank, we find that central banks have the greatest price impact, followed by non-bank financial institutions (NBFIs) such as hedge funds and mutual funds. Trades by non-financial corporations have the least impact on dealer pricing. In the interbank market, dealers with greater private information tend to choose direct trading which has lower post-trade transparency. Indirect trading via brokers is partially revealed to the market and has little price impact. The price impact largely comes from institutions in the top quartile of the trading volume. Furthermore, NBFIs have the greatest propensity for herding, followed by interbank dealers. Non-financial corporations do not herd in their trades. Except for central banks, the differential impact of market participants can largely be explained by their propensity for herding
Henker, T. & Wang, J. 2006, 'On the importance of timing specifications in market microstructure research', journal of financial markets, vol. 9, no. 2, pp. 162-179.
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This paper highlights the importance of timing specifications in empirical market microstructure studies. Small changes in the data matching process and the timing specification of economic variables can significantly alter the outcomes of empirical research. Using the methodology developed by Lee and Ready [1991. Journal of Finance 46(2) 733746], we show that their 5-second rule is not appropriate for matching quotes with transactions for NYSE stocks in the TAQ data set, and the prevailing quotes are the ones immediately before the trades. We demonstrate the significance of the timing specifications of economic variables using the Huang and Stoll [1997. Review of Financial Studies 10, 9951034] spread decomposition model. Seemingly minor variations from the theoretical model result in severe biases in the estimated parameters. Correcting the timing errors provide much more realistic spread component estimates than those achieved in the literature.
Wang, J. 2001, 'Quote revision and information flow among foreign exchange dealers', Journal of International Financial Markets, Institutions and Money, vol. 11, no. 2, pp. 115-136.
Wang, J. 1999, 'Asymmetric information and the bid-ask spread: An empirical comparison between automated order execution and open outcry auction', Journal of International Financial Markets, Institutions and Money, vol. 9, no. 2, pp. 115-128.
Wang, J. & Wong, H. 1997, 'The predictability of Asian exchange rates: Evidence from Kalman filter and ARCH estimations', Journal of Multinational Financial Management, vol. 7, no. 3, pp. 231-252.
Bollerslev, T., Domowitz, I. & Wang, J. 1997, 'Order flow and the bid-ask spread: An empirical probability model of screen-based trading', Journal of Economic Dynamics and Control, vol. 21, no. 8-9, pp. 1471-1491.
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Domowitz, I. & Wang, J. 1994, 'Auctions as algorithms: Computerized trade execution and price discovery', Journal of Economic Dynamics and Control, vol. 18, no. 1, pp. 29-60.
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