All Outputs (82)

Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China (2020)
Journal Article
Wang, Z., Li, Y., & He, F. (2020). Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China. Research in international business and finance, 53, Article 101233. https://doi.org/10.1016/j.ribaf.2020.101233

This study explores the spillovers between economic policy uncertainty (EPU) and stock market realized volatility (RV). The monthly index of Chinese and US EPU and RV are used to analyze the pairwise directional spillovers. We find that RV is a net r... Read More about Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China.

How did order-flow impact bond prices during the European Sovereign Debt Crisis? (2019)
Journal Article
Lin, Z., Hamill, P. A., Li, Y., Sun, Z., & Waterworth, J. (2020). How did order-flow impact bond prices during the European Sovereign Debt Crisis?. International Review of Economics and Finance, 67, 13-24. https://doi.org/10.1016/j.iref.2019.12.008

The impact of trades on price dynamics in the European sovereign debt markets is of significant importance to policy makers and market participants. This paper uses high-frequency quote and transaction data from the MTS European sovereign bond inter-... Read More about How did order-flow impact bond prices during the European Sovereign Debt Crisis?.

Social media effect, investor recognition and the cross-section of stock returns (2019)
Journal Article
Meng, X., Zhang, W., Li, Y., Cao, X., & Feng, X. (2020). Social media effect, investor recognition and the cross-section of stock returns. International review of financial analysis, https://doi.org/10.1016/j.irfa.2019.101432

Investor recognition affects cross-sectional stock returns. In informationally incomplete markets, investors have limited recognition of all securities, and their holding of stocks with low recognition requires compensation for being imperfectly dive... Read More about Social media effect, investor recognition and the cross-section of stock returns.

Intraday time-series momentum: Evidence from China (2019)
Journal Article
Jin, M., Kearney, F., Li, Y., & Yang, Y. C. (in press). Intraday time-series momentum: Evidence from China. Journal of Futures Markets, https://doi.org/10.1002/fut.22084

This study conducts an investigation of intraday time‐series momentum across four Chinese commodity futures contracts: copper, steel, soybean, and soybean meal. Our results indicate that the first half‐hour return positively predicts the last half‐ho... Read More about Intraday time-series momentum: Evidence from China.

Overnight momentum, informational shocks, and late informed trading in China (2019)
Journal Article
Gao, Y., Han, X., Li, Y., & Xiong, X. (2019). Overnight momentum, informational shocks, and late informed trading in China. International review of financial analysis, 66, 101394. https://doi.org/10.1016/j.irfa.2019.101394

Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the over... Read More about Overnight momentum, informational shocks, and late informed trading in China.

Selling vertically differentiated products under one channel or two? A quality segmentation model for differentiated distribution channels (2019)
Journal Article
Chai, J., Yan, W., Li, Y., Palmer, M., & Huang, Q. (2019). Selling vertically differentiated products under one channel or two? A quality segmentation model for differentiated distribution channels. Journal of the Operational Research Society, https://doi.org/10.1080/01605682.2019.1605469

Many manufacturers, including Lenovo, Sony, Procter & Gamble, and Buckle, have adopted differentiated distribution channels to market vertically differentiated products. However, there is scant literature addressing the issue of quality differentiati... Read More about Selling vertically differentiated products under one channel or two? A quality segmentation model for differentiated distribution channels.

Bottom-up sentiment and return predictability of the market portfolio (2019)
Journal Article
Guo, J., Li, Y., & Zheng, M. (2019). Bottom-up sentiment and return predictability of the market portfolio. Finance research letters, 29, 57-60. https://doi.org/10.1016/j.frl.2019.03.008

This paper provides strong evidence that market sentiment measured bottom-up from individual-stock sentiment is negatively related to future long-term market returns and is positively correlated with contemporaneous returns.

Heterogeneous agent models in financial markets: A nonlinear dynamics approach (2018)
Journal Article
He, X. Z., Li, Y., & Zheng, M. (2019). Heterogeneous agent models in financial markets: A nonlinear dynamics approach. International review of financial analysis, 62, 135-149. https://doi.org/10.1016/j.irfa.2018.11.016

Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rationa... Read More about Heterogeneous agent models in financial markets: A nonlinear dynamics approach.

A new attention proxy and order imbalance: Evidence from China (2018)
Journal Article
Gao, Y., Xiong, X., Feng, X., Li, Y., & Vigne, S. A. (2019). A new attention proxy and order imbalance: Evidence from China. Finance research letters, 29, 411-417. https://doi.org/10.1016/j.frl.2018.11.009

In this paper, we propose a new direct proxy for investors' attention in the Chinese stock market: daily abnormal reading quantity of each stock's posts on the Eastmoney guba website. Using A-shares samples of the Shanghai Stock Exchange, we find tha... Read More about A new attention proxy and order imbalance: Evidence from China.

Sustainable decisions on product upgrade confrontations with remanufacturing operations (2018)
Journal Article
Sun, L., Zhang, L., & Li, Y. (2018). Sustainable decisions on product upgrade confrontations with remanufacturing operations. Sustainability, 10(11), Article 4090. https://doi.org/10.3390/su10114090

In recent decades, remanufacturing is perceived to be an environmentally friendly option due to the reduced consumption of materials, energy etc. It should be noted that whether the remanufacturing operations are undertaken by the original equipment... Read More about Sustainable decisions on product upgrade confrontations with remanufacturing operations.

Price discovery in the Chinese gold market (2018)
Journal Article
Jin, M., Li, Y., Wang, J., & Yang, Y. C. (2018). Price discovery in the Chinese gold market. Journal of Futures Markets, 38(10), 1262-1281. https://doi.org/10.1002/fut.21938

This study conducts price discovery analysis in the Chinese gold market. Our results indicate that Chinese gold market price discovery occurs predominantly in the futures market. The result is robust to numerous different measures of price discovery,... Read More about Price discovery in the Chinese gold market.

Long memory in financial markets: A heterogeneous agent model perspective (2018)
Journal Article
Zheng, M., Liu, R., & Li, Y. (2018). Long memory in financial markets: A heterogeneous agent model perspective. International review of financial analysis, 58, 38-51. https://doi.org/10.1016/j.irfa.2018.04.001

During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the... Read More about Long memory in financial markets: A heterogeneous agent model perspective.

Did long-memory of liquidity signal the European sovereign debt crisis? (2018)
Journal Article
Sun, Z., Hamill, P. A., Li, Y., Yang, Y. C., & Vigne, S. A. (2019). Did long-memory of liquidity signal the European sovereign debt crisis?. Annals of Operations Research, 282(1-2), 355-377. https://doi.org/10.1007/s10479-018-2850-y

This paper analyses high frequency MTS data to comprehensively evaluate the liquidity of the European sovereign bond markets before and during the European sovereign debt crisis for eleven countries. The Hill index, Generalized Hurst exponent and Dyn... Read More about Did long-memory of liquidity signal the European sovereign debt crisis?.

An analysis of liquidity skewness for European sovereign bond markets (2018)
Journal Article
Yan, W., Hamill, P., Li, Y., Vigne, S. A., & Waterworth, J. (2018). An analysis of liquidity skewness for European sovereign bond markets. Finance research letters, 26, 274-280. https://doi.org/10.1016/j.frl.2018.02.027

We examine liquidity skewness by providing an analysis of bid-ask spreads for a comprehensive high-frequency dataset comprising Eurozone countries’ sovereign bonds. European sovereign bond markets exhibited increasing positive skewness over the sampl... Read More about An analysis of liquidity skewness for European sovereign bond markets.

Asset allocation with time series momentum and reversal (2018)
Journal Article
He, X.-Z., Li, K., & Li, Y. (2018). Asset allocation with time series momentum and reversal. Journal of Economic Dynamics and Control, 91, 441-457. https://doi.org/10.1016/j.jedc.2018.02.004

To capture the well documented time series momentum and reversal in asset price, we develop a continuous-time asset price model, derive the optimal investment strategy theoretically, and test the strategy empirically. We show that, by combining marke... Read More about Asset allocation with time series momentum and reversal.

Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches (2018)
Journal Article
Fan, M., Li, Y., & Liu, J. (2018). Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches. Research in international business and finance, 46, 131-140. https://doi.org/10.1016/j.ribaf.2017.12.004

We compare the performance of two volatility scaling methods in momentum strategies: (i) the constant volatility scaling approach of Barroso and Santa-Clara (2015), and (ii) the dynamic volatility scaling method of Daniel and Moskowitz (2016). We per... Read More about Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches.

Liquidity skewness in the London Stock Exchange (2017)
Journal Article
Hsieh, T. H., Li, Y., McKillop, D. G., & Wu, Y. (2018). Liquidity skewness in the London Stock Exchange. International review of financial analysis, 56, 12-18. https://doi.org/10.1016/j.irfa.2017.12.006

We study liquidity on the London Stock Exchange. We find that the average bid-ask spread declines, but that the skewness of the spread increases. These results are robust to firm size, trading volume and price level. Our findings hold when the bid-as... Read More about Liquidity skewness in the London Stock Exchange.

The adaptiveness in stock markets: testing the stylized facts in the DAX 30 (2017)
Journal Article
He, X. Z., & Li, Y. (2017). The adaptiveness in stock markets: testing the stylized facts in the DAX 30. Journal of Evolutionary Economics, 27(5), 1071-1094. https://doi.org/10.1007/s00191-017-0505-9

By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed an... Read More about The adaptiveness in stock markets: testing the stylized facts in the DAX 30.

Can investor sentiment be a momentum time-series predictor? Evidence from China (2017)
Journal Article
Han, X., & Li, Y. (2017). Can investor sentiment be a momentum time-series predictor? Evidence from China. Journal of Empirical Finance, 42, 212-239. https://doi.org/10.1016/j.jempfin.2017.04.001

This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable moment... Read More about Can investor sentiment be a momentum time-series predictor? Evidence from China.

Models of mortality rates–analysing the residuals (2017)
Journal Article
O’hare, C., & Li, Y. (2017). Models of mortality rates–analysing the residuals. Applied economics, 49(52), 5309-5323. https://doi.org/10.1080/00036846.2017.1305092

The area of mortality modelling has received significant attention over the last 25 years owing to the need to quantify and forecast improving mortality rates. This need is driven primarily by the concern of governments, insurance and actuarial profe... Read More about Models of mortality rates–analysing the residuals.