Profiles

Caihong Xu

Caihong Xu

Assistant Professor

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Works at Stockholm Business School
Telephone 08-16 44 94
Email caihong.xu@sbs.su.se
Visiting address Kräftriket, hus 3, 7, 15 och 24
Room 7:227
Postal address Företagsekonomiska institutionen 106 91 Stockholm

About me

Caihong Xu is Assistant Professor in Finance at Stockholm Business School, Stockholm University. She obtained her PhD Degree from Stockholm Business School in November 2013.  

 

Teaching

She teaches the course Empirical Finance at the bachelor level and Financial Institutions Management in the Master Programme of Banking and Finance. She is also the PhD co-supervisor of Ester Feléz Viñas.

 

Research

Caihong Xu's research focuses on Market Microstructure, Derivatives and Empirical Asset Pricing. She has published papers in journals such as Journal of Futures Markets and Review of Futures Markets.

Current working paper:

Market openness and market quality in gold markets. 

Co-authered with Dong Zhang, forthcoming in Journal of Futures Markets.

 

 

Publications

A selection from Stockholm University publication database
  • 2014. Caihong Xu. Journal of futures markets 34 (8), 731-756

    This study investigates the limit order book characteristics and the intertwined dynamics between trading patience, order flows, and liquidity in an index futures market. The limit order book displays a hump shape and the steepness of the hump is positively related to the number of large market orders. Bid and ask prices tend to move together in the same direction. Moreover, higher proportion of patient traders and higher order arrival rate lead to higher liquidity, after controlling for volatility and the intraday time effect. Liquidity is found to have a feedback effect on trading patience and the order arrival rate. 

  • 2014. Caihong Xu. Journal of futures markets 34 (9), 868-882

    Recently, the NASDAQ-OMX Nordic Exchange announced a change of expiration day for the OMXS 30 index futures and options. The OMXS 30 index derivatives used to expire on the fourth Friday of the expiry month while derivatives on individual stocks expired on the third Friday. After the change, derivatives on both the index and individual stocks expire on the third Friday of the expiry month making the third Friday the “quadruple witching Friday” since stock futures, stock options, index futures and index options expire simultaneously. This contractual change provides a unique opportunity to investigate its impact on expiration-day effects. The results show that there is hardly any expiration-day effect due to the derivatives expirations before or after the contractual change, except the abnormally higher trading volumes at the stock derivatives expirations before the change, and on the quadruple witching Fridays after the change. Most importantly, there is no significantly intensified abnormal volume, volatility or price distortion effect due to the seemingly “extraordinary” change in the OMXS 30 index derivatives, despite the quadruple witching expirations after the change.

  • 2012. Lars Nordén, Caihong Xu. Journal of futures markets 32 (1), 47-74

    This study investigates the dynamic relationship between option happiness (the steepness of the volatility smirk) and relative index option liquidity. We find that, on a daily basis, option happiness is significantly dependent on the relative liquidity between option series with different moneyness. In particular, deterioration (improvement) in liquidity of an out-of-the-money put option relative to a concurrent at-the-money call option would lead to higher (lower) option happiness. This relationship is robust to relative option liquidity measures based on bid-ask spreads, option price impacts, and option order book imbalances. The results also show a significant maturity effect in option happiness, consistent with the notion that options are “dying smiling”.

  • 2011. Caihong Xu, Lars Nordén, Björn Hagströmer. Review of Futures Markets 19 (3), 247-281

    Recently, the Shanghai Futures Exchange (SHFE) introduced gold futures trading in China. This paper is the first to study the SHFE gold futures, and to evaluate the futures hedging effectiveness since the introduction. The results show that hedging with gold futures reduces the variance of a hedged gold spot position by about 88% in its first two years of existence. During the second half of 2008, however, when the global financial crisis escalated, the variance reduction dropped to about 70%. Overall, the new Chinese gold futures prove to be attractive and well-needed hedging vehicles for domestic Chinese gold producers, refiners, consumers and investors.

Show all publications by Caihong Xu at Stockholm University

Last updated: September 19, 2018

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