Dr. Ke Xu

Ke Xu joined the Department of Economics in the summer of 2017. She successfully defended her PhD thesis in Economics at Queen's University in September.

Dr. Xu’s research interests are financial market microstructure theory and empirics, applied time series analysis, and macroeconomics. In her recent work, she has examined the effect of high frequency trading on market liquidity in an environment with asymmetric information.

Her publications have appeared in the Journal of Emprical Finance and Journal of Futures Markets.

Interests

• Financial market microstructure
• Applied time series analysis
• Macroeconomics

Courses

• ECON 435, Financial Economics

Selected publications

• “Fractional cointegration and price discovery in Canadian commodities,'' with Kenneth Stewart, and Zeyang Cao, 2022, North American Journal of Economics and Finance 63: 101799, https://doi.org/10.1016/j.najef.2022.101799
• “COVID-19 vaccine and post-pandemic recovery: Evidence from Bitcoin cross-asset implied volatility spillover,” with Michael Di, 2022, Finance Research Letters 50: 103289, https://doi.org/10.1016/j.frl.2022.103289.
• "Trade friction and price discovery in the USD-CAD spot and forward Markets" with Stella Yan, Victor Song and Jian Chen, 2022, North American Journal of Economics and Finance 59: 101628
• "Fractional cointegration in bitcoin spot and futures markets", Journal of Futures Markets, forthcoming 2021, DOI: 10.1002/fut.22216
• "The impact of RMB’s SDR inclusion on price discovery in onshore-offshore markets" (with Yu-Lun Chen), Journal of Banking & Finance, Available online March, 2021; //doi.org/10.1016/j.jbankfin.2021.106124.
• "Stock market openness and market quality: evidence from the Shanghai-Hong Kong Stock Connect Program" with Xinwei Zheng, Deng Pan, Li Xing and Xuekui Zhang, 2020, Journal of Financial Research 43(2): 373-406
• "Who Makes the Market During Stressed Periods? HFTs vs. Dealers" (September 29, 2017).  Available at SSRN: https://ssrn.com/abstract=3045506
• "Economic significance of commodity return forecasts from the fractionally cointegrated VAR model" (with Sepideh Dolatabadi, Paresh Narayan and Morten Ørregaard Nielsen), Journal of Futures Markets, 2017; 1–24. doi/10.1002/fut.21866.
• "A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets" (with Sepideh Dolatabadi and Morten Ørregaard Nielsen), Journal of Empirical Finance 38B, 623-639, 2016 
• "A fractionally cointegrated VAR analysis of price discovery in commodity futures markets" (with Sepideh Dolatabadi and Morten Ørregaard Nielsen), Journal of Futures Markets 35, 339-356, 2015