Yin-Feng Gau : Citation Profile

National Central University

7

H index

5

i10 index

272

Citations

RESEARCH PRODUCTION:

18

Articles

1

Papers

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 20
   Journals where Yin-Feng Gau has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 9 (3.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga214
   Updated: 2026-01-10    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Yin-Feng Gau.

Is cited by:

HU, YANG (8)

Oxley, Les (6)

Corbet, Shaen (5)

Siklos, Pierre (4)

Plíhal, Tomáš (4)

Hou, Yang (4)

TSAI, WEI-CHE (3)

Hammoudeh, Shawkat (3)

Osborn, Denise (3)

Li, Youwei (3)

Savva, Christos (3)

Cites to:

Bollerslev, Tim (32)

Andersen, Torben (20)

Ito, Takatoshi (19)

Lyons, Richard (13)

Menkhoff, Lukas (13)

Diebold, Francis (13)

Evans, Martin (12)

Melvin, Michael (11)

Vega, Clara (11)

West, Kenneth (10)

Newey, Whitney (10)

Main data

Where Yin-Feng Gau has published?

Journals with more than one article published# docs
Journal of Banking & Finance3
Review of Quantitative Finance and Accounting2
Pacific-Basin Finance Journal2

Recent works citing Yin-Feng Gau (2025 and 2024)

YearTitle of citing document
2025Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China. (2025). Chen, Jing ; Zhao, Chengzhi ; Han, Qian ; Guo, Qian. In: Emerging Markets Review. RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000561.

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2024Reassessing the information transmission and pricing influence of Shanghai crude oil futures: A time-varying perspective. (2024). Lin, Boqiang ; Su, Tong. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006856.

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2024Price discovery of the Chinese crude oil options and futures markets. (2024). Yang, Zhini ; Zou, MI ; Han, Lin. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323011819.

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2024The impact of position limits on options trading. (2024). Switzer, Lorne ; Tu, Qiao. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013417.

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2024Financial Reporting Complexity, Investor Sentiment, and Stock Prices. (2024). Chang, Ya-Kai ; Chung, Min-Hsi. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000564.

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2024Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064.

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2024The profitability of lead–lag arbitrage at high frequency. (2024). Dionne, Georges ; Yergeau, Gabriel ; Poutre, Cedric. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:3:p:1002-1021.

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2025The pass-through of macro variable to volatility co-movement among U.S. currency and commodity futures markets system. (2025). Yousaf, Imran ; Wang, Jiqian ; Marco, Chi Keung ; Dai, Xingyu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000078.

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2024Do loosened trading rules restore the stock index futures price discovery ability in China?. (2024). Wang, Ziqiao ; Zhao, Yuepeng ; Zhang, Xiaotao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:389-397.

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2024Commonality in liquidity and corporate default risk - Evidence from China. (2024). Fu, Yumei ; Li, Jintian ; He, Feng ; Zan, Bingyan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000734.

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2024Exploring the use of emotional sentiment to understanding market response to unexpected corporate pivots. (2024). HU, YANG ; Corbet, Shaen ; Hou, Yang ; Taffler, Richard ; Cioroianu, Iulia ; Larkin, Charles. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924000977.

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2024MODELING AND ANALYSIS OF YIELD CURVE AND EXCHANGE RATE FORMATION IN PRO-MARKET MONETARY OPERATIONS. (2024). Mustika, Kusfisiami Wima ; Fista, Geyana Ledy ; Harun, Cicilia Anggadewi ; Sasongko, Aryo ; Safitri, Dila ; Kurniati, Puput ; Larasati, Karanissa ; Dinianyadharani, Aninditha Kemala. In: Working Papers. RePEc:idn:wpaper:wp092024.

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2025Dynamic Linkages and Temporal Relationships Between Spot and Future Index Prices: Empirical Evidence from India Using Non-linear GARCH–BEKK. (2025). Bhat, Suhail Ahmad ; Gulam, Younis Ahmed ; Lone, Umer Mushtaq. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:2:d:10.1007_s10690-024-09464-9.

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2025Investor Structure and Corn Futures Price Volatility in China: Evidence Based on the Agent-Based Model. (2025). Zhao, Yuhe ; Ju, Ronghua. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:2:d:10.1007_s10614-024-10613-5.

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2025Cryptocurrency markets, macroeconomic news announcements and energy consumption. (2025). ben Omrane, Walid ; Qi, Qianru ; Saadi, Samir. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:1:d:10.1007_s10479-023-05500-5.

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2024Time‐varying price discovery in regular and microbitcoin futures. (2024). Chen, Yulun ; Yang, Jimmy J. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:103-121.

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2024Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market. (2024). Chen, Yulun ; Xu, KE ; Liu, BO. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:4:p:605-618.

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2025Price Discovery in Bitcoin Spot or Futures? The Jury Is Out. (2025). Frino, Alex ; Webb, Robert I ; Gaudiosi, Robert ; Zhou, Ivy Z. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:269-288.

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2025Does Trading Method Alignment Improve Market Efficiency? Evidence From Taiwan Single‐Stock Futures Market. (2025). Hsieh, Chiawei ; Chen, Chiafeng ; Hung, Juicheng ; Chiu, Chienliang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:7:p:802-816.

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Works by Yin-Feng Gau:

YearTitleTypeCited
2004Forecasting Value-at-Risk Using the Markov-Switching ARCH Model In: Econometric Society 2004 Far Eastern Meetings.
[Full Text][Citation analysis]		paper0
2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article6
2010International asset allocation for incompletely-informed investors In: Journal of Financial Markets.
[Full Text][Citation analysis]		article2
2014Order choices under information asymmetry in foreign exchange markets In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article0
2010News announcements and price discovery in foreign exchange spot and futures markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article127
2013The effectiveness of position limits: Evidence from the foreign exchange futures markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article18
2014Asymmetric responses of ask and bid quotes to information in the foreign exchange market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2017Macroeconomic announcements and price discovery in the foreign exchange market In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article31
2015Foreign exchange market intervention and price discovery In: Journal of the Japanese and International Economies.
[Full Text][Citation analysis]		article3
2005Intraday volatility in the Taipei FX market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article5
2006Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market In: Pacific-Basin Finance Journal.
[Full Text][Citation analysis]		article6
2007Intraday exchange rate volatility: ARCH, news and seasonality effects In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article5
2016Trading activities and price discovery in foreign currency futures markets In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article14
2017Home bias in portfolio choices: social learning among partially informed agents In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]		article3
2013Issuer Credit Ratings and Warrant-Pricing Errors In: Emerging Markets Finance and Trade.
[Full Text][Citation analysis]		article0
2004Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates In: Applied Economics Letters.
[Full Text][Citation analysis]		article9
2012The predictability of excess returns in the emerging bond markets In: Applied Financial Economics.
[Full Text][Citation analysis]		article0
2007Expected risk and excess returns predictability in emerging bond markets In: Applied Economics.
[Full Text][Citation analysis]		article7
2009Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange In: Journal of Futures Markets.
[Full Text][Citation analysis]		article32

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