Details about Youwei Li

Access statistics for papers by Youwei Li.

Last updated 2025-01-21. Update your information in the RePEc Author Service.

Short-id: pli495

Working Papers

2021

1. The Role of Hedge Funds in the Asset Pricing: Evidence from China
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article The role of hedge funds in the asset pricing: evidence from China, The European Journal of Finance, Taylor & Francis Journals (2022) (2022)

2020

2. Momentum and the Cross-Section of Stock Volatility
   QBS Working Paper Series, Queen's University Belfast, Queen's Business School
   See also Journal Article Momentum and the Cross-section of Stock Volatility, Journal of Economic Dynamics and Control, Elsevier (2022) View citations (3) (2022)
3. Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach
   MPRA Paper, University Library of Munich, Germany View citations (2)
   See also Journal Article Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach, International Review of Financial Analysis, Elsevier (2022) View citations (1) (2022)

2019

4. Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Bayesian Value-at-Risk backtesting: The case of annuity pricing, European Journal of Operational Research, Elsevier (2021) View citations (4) (2021)
5. How Did Order-Flow Impact Bond Prices During the European Sovereign Debt Crisis?
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article How did order-flow impact bond prices during the European Sovereign Debt Crisis?, International Review of Economics & Finance, Elsevier (2020) (2020)
6. Intraday Time-series Momentum: Evidence from China
   MPRA Paper, University Library of Munich, Germany View citations (3)
   See also Journal Article Intraday time‐series momentum: Evidence from China, Journal of Futures Markets, John Wiley & Sons, Ltd. (2020) View citations (11) (2020)
7. Overnight Momentum, Informational Shocks, and Late-Informed Trading in China
   MPRA Paper, University Library of Munich, Germany View citations (20)
   See also Journal Article Overnight momentum, informational shocks, and late informed trading in China, International Review of Financial Analysis, Elsevier (2019) View citations (15) (2019)

2018

8. Long memory in financial markets: A heterogeneous agent model perspective
   MPRA Paper, University Library of Munich, Germany View citations (8)
   See also Journal Article Long memory in financial markets: A heterogeneous agent model perspective, International Review of Financial Analysis, Elsevier (2018) View citations (8) (2018)

2017

9. Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China
   RIEI Working Papers, Xi'an Jiaotong-Liverpool University, Research Institute for Economic Integration View citations (84)
   See also Journal Article Can investor sentiment be a momentum time-series predictor? Evidence from China, Journal of Empirical Finance, Elsevier (2017) View citations (84) (2017)
10. Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches, Research in International Business and Finance, Elsevier (2018) View citations (8) (2018)

2016

11. A rising e-channel tide lifts all boats? The impact of manufacturer multi-channel encroachment on traditional selling and leasing
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article A Rising E-Channel Tide Lifts All Boats? The Impact of Manufacturer Multichannel Encroachment on Traditional Selling and Leasing, Discrete Dynamics in Nature and Society, Hindawi (2016) View citations (1) (2016)
12. Eurozone network connectedness during calm and crisis: evidence from the MTS platform for interdealer trading of European sovereign debt
    MPRA Paper, University Library of Munich, Germany
13. Modelling mortality: Are we heading in the right direction?
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Modelling mortality: are we heading in the right direction?, Applied Economics, Taylor & Francis Journals (2017) View citations (1) (2017)
14. Models of Mortality rates - analysing the residuals
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article Models of mortality rates – analysing the residuals, Applied Economics, Taylor & Francis Journals (2017) View citations (1) (2017)
15. Price Discovery in the Chinese Gold Market
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article Price discovery in the Chinese gold market, Journal of Futures Markets, John Wiley & Sons, Ltd. (2018) View citations (22) (2018)
16. The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity
    MPRA Paper, University Library of Munich, Germany
17. US Dollar Carry Trades in the Era of “Cheap Money”
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article US Dollar Carry Trades in the Era of "Cheap Money", Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences (2016) (2016)

2015

18. Optimal Time Series Momentum
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (1)
19. Price Discovery in the Dual-Platform US Treasury Market
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Price discovery in the dual-platform US Treasury market, Global Finance Journal, Elsevier (2015) View citations (1) (2015)
20. Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (24)
    See also Journal Article Testing of a market fraction model and power-law behaviour in the DAX 30, Journal of Empirical Finance, Elsevier (2015) View citations (25) (2015)
21. The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (3)
    See also Journal Article The adaptiveness in stock markets: testing the stylized facts in the DAX 30, Journal of Evolutionary Economics, Springer (2017) View citations (4) (2017)

2014

22. Identifying structural breaks in stochastic mortality models
    MPRA Paper, University Library of Munich, Germany View citations (5)

2006

23. On microscopic simulation models of financial markets
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (3)
24. The Econometric Analysis of Microscopic Simulation Models
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2006) View citations (1)
    Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (1)
    See also Journal Article Econometric analysis of microscopic simulation models, Quantitative Finance, Taylor & Francis Journals (2010) View citations (11) (2010)
25. The Non- and Semiparametric Analysis of MS Models: Some Applications
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (5)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2006) View citations (5)

2005

26. Heterogeneity, Profitability and Autocorrelations
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (4)
    Also in Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney (2005) View citations (9)
27. Long Memory, Heterogeneity and Trend Chasing
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney View citations (4)
    Also in Computing in Economics and Finance 2005, Society for Computational Economics (2005) View citations (2)

Journal Articles

2025

1. Beyond threats: Extreme heatwaves and economic resilience in China
   Finance Research Letters, 2025, 71, (C)
2. Performance of energy ETFs and climate risks
   Energy Economics, 2025, 141, (C)
3. Social responsibility and corporate borrowing
   The European Journal of Finance, 2025, 31, (2), 122-146
4. The nexus of overnight trend and asset prices in China
   Journal of Economic Dynamics and Control, 2025, 170, (C)
5. The sword of damocles: Debt and depression
   International Review of Financial Analysis, 2025, 98, (C)

2024

6. A comparative and conceptual intellectual study of environmental topic in economic and finance
   International Review of Financial Analysis, 2024, 91, (C) View citations (3)
7. Analysts’ forecast anchoring and discontinuous market reaction: evidence from China
   The European Journal of Finance, 2024, 30, (14), 1676-1701
8. Financial literacy and household financial resilience
   Finance Research Letters, 2024, 63, (C) View citations (4)
9. Human capital in the financial sector and corporate innovation: Evidence from China
   The British Accounting Review, 2024, 56, (5) View citations (3)
10. Recycling and/or reusing: when product innovation meets the recast of WEEE direct
    International Journal of Production Research, 2024, 62, (19), 7018-7029 View citations (1)
11. The impact of climate policy uncertainty on stock price synchronicity: Evidence from China
    Finance Research Letters, 2024, 69, (PB)

2023

12. CSR performance and firm idiosyncratic risk in a data-rich environment: The role of retail investor attention
    Journal of International Financial Markets, Institutions and Money, 2023, 89, (C) View citations (15)
13. Do green bonds affect stock returns and corporate environmental performance? Evidence from China
    Economics Letters, 2023, 232, (C) View citations (7)
14. Future of jobs in China under the impact of artificial intelligence
    Finance Research Letters, 2023, 55, (PA) View citations (1)
15. How does green credit policy affect polluting firms' dividend policy? The China experience
    International Review of Financial Analysis, 2023, 88, (C) View citations (7)
16. How state ownership affects corporate R&D: An inverted‐U‐shaped relationship
    International Journal of Finance & Economics, 2023, 28, (3), 3183-3197
17. Order book price impact in the Chinese soybean futures market
    International Journal of Finance & Economics, 2023, 28, (1), 606-625
18. The smog that hovers: Air pollution and asset prices
    Finance Research Letters, 2023, 53, (C) View citations (1)

2022

19. A reexamination of factor momentum: How strong is it?
    The Financial Review, 2022, 57, (3), 585-615 View citations (29)
20. Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective
    Finance Research Letters, 2022, 49, (C) View citations (10)
21. Competition or Authorization—Manufacturers’ Choice of Remanufacturing Strategies
    Sustainability, 2022, 14, (19), 1-29
22. Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending
    The European Journal of Finance, 2022, 28, (17), 1745-1769 View citations (1)
23. Low liquidity beta anomaly in China
    Emerging Markets Review, 2022, 50, (C) View citations (2)
24. Momentum and the Cross-section of Stock Volatility
    Journal of Economic Dynamics and Control, 2022, 144, (C) View citations (3)
    See also Working Paper Momentum and the Cross-Section of Stock Volatility, QBS Working Paper Series (2020) (2020)
25. Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach
    International Review of Financial Analysis, 2022, 79, (C) View citations (1)
    See also Working Paper Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach, MPRA Paper (2020) View citations (2) (2020)
26. Shunned stocks and market states
    The European Journal of Finance, 2022, 28, (7), 705-717 View citations (4)
27. The Asymmetric Overnight Return Anomaly in the Chinese Stock Market
    JRFM, 2022, 15, (11), 1-20
28. The role of hedge funds in the asset pricing: evidence from China
    The European Journal of Finance, 2022, 28, (2), 219-243
    See also Working Paper The Role of Hedge Funds in the Asset Pricing: Evidence from China, MPRA Paper (2021) View citations (1) (2021)
29. What Can Explain Momentum? Evidence from Decomposition
    Management Science, 2022, 68, (8), 6184-6218 View citations (6)
30. Why do small businesses have difficulty in accessing bank financing?
    International Review of Financial Analysis, 2022, 84, (C) View citations (5)

2021

31. Bayesian Value-at-Risk backtesting: The case of annuity pricing
    European Journal of Operational Research, 2021, 293, (2), 786-801 View citations (4)
    See also Working Paper Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing, MPRA Paper (2019) View citations (1) (2019)
32. Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency
    Journal of International Financial Markets, Institutions and Money, 2021, 75, (C) View citations (5)
33. Investor heterogeneity and momentum-based trading strategies in China
    International Review of Financial Analysis, 2021, 74, (C) View citations (16)
34. Same same but different – Stylized facts of CTA sub strategies
    International Review of Financial Analysis, 2021, 74, (C) View citations (2)
35. Should a retailer sell its own extended warranties or resell those from the manufacturer when confronting supplier encroachment?
    Journal of the Operational Research Society, 2021, 72, (9), 2046-2058
36. The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies
    International Review of Financial Analysis, 2021, 78, (C) View citations (17)
37. Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?
    Journal of International Financial Markets, Institutions and Money, 2021, 74, (C) View citations (8)

2020

38. Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China
    Research in International Business and Finance, 2020, 53, (C) View citations (48)
39. How did order-flow impact bond prices during the European Sovereign Debt Crisis?
    International Review of Economics & Finance, 2020, 67, (C), 13-24
    See also Working Paper How Did Order-Flow Impact Bond Prices During the European Sovereign Debt Crisis?, MPRA Paper (2019) (2019)
40. Intraday time‐series momentum: Evidence from China
    Journal of Futures Markets, 2020, 40, (4), 632-650 View citations (11)
    See also Working Paper Intraday Time-series Momentum: Evidence from China, MPRA Paper (2019) View citations (3) (2019)
41. Investor overconfidence and the security market line: New evidence from China
    Journal of Economic Dynamics and Control, 2020, 117, (C) View citations (14)
42. Selling vertically differentiated products under one channel or two? A quality segmentation model for differentiated distribution channels
    Journal of the Operational Research Society, 2020, 71, (8), 1180-1198 View citations (4)
43. Social media effect, investor recognition and the cross-section of stock returns
    International Review of Financial Analysis, 2020, 67, (C) View citations (9)

2019

44. A new attention proxy and order imbalance: Evidence from China
    Finance Research Letters, 2019, 29, (C), 411-417 View citations (11)
45. Bottom-up sentiment and return predictability of the market portfolio
    Finance Research Letters, 2019, 29, (C), 57-60 View citations (6)
46. Did long-memory of liquidity signal the European sovereign debt crisis?
    Annals of Operations Research, 2019, 282, (1), 355-377 View citations (1)
47. Heterogeneous agent models in financial markets: A nonlinear dynamics approach
    International Review of Financial Analysis, 2019, 62, (C), 135-149 View citations (10)
48. Overnight momentum, informational shocks, and late informed trading in China
    International Review of Financial Analysis, 2019, 66, (C) View citations (15)
    See also Working Paper Overnight Momentum, Informational Shocks, and Late-Informed Trading in China, MPRA Paper (2019) View citations (20) (2019)

2018

49. An analysis of liquidity skewness for European sovereign bond markets
    Finance Research Letters, 2018, 26, (C), 274-280 View citations (10)
50. Asset allocation with time series momentum and reversal
    Journal of Economic Dynamics and Control, 2018, 91, (C), 441-457 View citations (18)
51. Liquidity skewness in the London Stock Exchange
    International Review of Financial Analysis, 2018, 56, (C), 12-18 View citations (4)
52. Long memory in financial markets: A heterogeneous agent model perspective
    International Review of Financial Analysis, 2018, 58, (C), 38-51 View citations (8)
    See also Working Paper Long memory in financial markets: A heterogeneous agent model perspective, MPRA Paper (2018) View citations (8) (2018)
53. Price discovery in the Chinese gold market
    Journal of Futures Markets, 2018, 38, (10), 1262-1281 View citations (22)
    See also Working Paper Price Discovery in the Chinese Gold Market, MPRA Paper (2016) View citations (10) (2016)
54. Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches
    Research in International Business and Finance, 2018, 46, (C), 131-140 View citations (8)
    See also Working Paper Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches, MPRA Paper (2017) (2017)
55. Sustainable Decisions on Product Upgrade Confrontations with Remanufacturing Operations
    Sustainability, 2018, 10, (11), 1-16 View citations (3)

2017

56. Can investor sentiment be a momentum time-series predictor? Evidence from China
    Journal of Empirical Finance, 2017, 42, (C), 212-239 View citations (84)
    See also Working Paper Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China, RIEI Working Papers (2017) View citations (84) (2017)
57. Modelling mortality: are we heading in the right direction?
    Applied Economics, 2017, 49, (2), 170-187 View citations (1)
    See also Working Paper Modelling mortality: Are we heading in the right direction?, MPRA Paper (2016) (2016)
58. Models of mortality rates – analysing the residuals
    Applied Economics, 2017, 49, (52), 5309-5323 View citations (1)
    See also Working Paper Models of Mortality rates - analysing the residuals, MPRA Paper (2016) (2016)
59. The adaptiveness in stock markets: testing the stylized facts in the DAX 30
    Journal of Evolutionary Economics, 2017, 27, (5), 1071-1094 View citations (4)
    See also Working Paper The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30, Research Paper Series (2015) View citations (3) (2015)

2016

60. A Rising E-Channel Tide Lifts All Boats? The Impact of Manufacturer Multichannel Encroachment on Traditional Selling and Leasing
    Discrete Dynamics in Nature and Society, 2016, 2016, 1-18 View citations (1)
    See also Working Paper A rising e-channel tide lifts all boats? The impact of manufacturer multi-channel encroachment on traditional selling and leasing, MPRA Paper (2016) View citations (2) (2016)
61. Identifying the relative importance of stock characteristics
    Journal of Multinational Financial Management, 2016, 34, (C), 80-91 View citations (1)
62. US Dollar Carry Trades in the Era of "Cheap Money"
    Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (5), 374-404
    See also Working Paper US Dollar Carry Trades in the Era of “Cheap Money”, MPRA Paper (2016) View citations (1) (2016)

2015

63. Price discovery in the dual-platform US Treasury market
    Global Finance Journal, 2015, 28, (C), 95-110 View citations (1)
    See also Working Paper Price Discovery in the Dual-Platform US Treasury Market, MPRA Paper (2015) View citations (2) (2015)
64. Testing of a market fraction model and power-law behaviour in the DAX 30
    Journal of Empirical Finance, 2015, 31, (C), 1-17 View citations (25)
    See also Working Paper Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30, Research Paper Series (2015) View citations (24) (2015)

2014

65. Is mortality spatial or social?
    Economic Modelling, 2014, 42, (C), 198-207 View citations (3)

2012

66. Do Low-Priced Stocks Drive Long-Term Contrarian Performance on the London Stock Exchange?
    The Financial Review, 2012, 47, (3), 501-530 View citations (3)
67. Explaining young mortality
    Insurance: Mathematics and Economics, 2012, 50, (1), 12-25 View citations (22)

2011

68. Long-term return reversals--Value and growth or tax? UK evidence
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (3), 347-368 View citations (7)

2010

69. Do benchmark African equity indices exhibit the stylized facts?
    Global Finance Journal, 2010, 21, (1), 71-97 View citations (1)
70. Econometric analysis of microscopic simulation models
    Quantitative Finance, 2010, 10, (10), 1187-1201 View citations (11)
    See also Working Paper The Econometric Analysis of Microscopic Simulation Models, Other publications TiSEM (2006) View citations (1) (2006)

2008

71. Heterogeneity, convergence, and autocorrelations
    Quantitative Finance, 2008, 8, (1), 59-79 View citations (51)

2007

72. Power-law behaviour, heterogeneity, and trend chasing
    Journal of Economic Dynamics and Control, 2007, 31, (10), 3396-3426 View citations (91)