Details about Chi Keung marco lau

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Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pla429

Working Papers

2022

1. Assessing Debt Stationarity and Sustainability in the Longer Run with Fourier DF Unit Root Tests and Time-Varying Fiscal Reaction Functions
   Working Papers of BETA, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg
   Also in Working Papers, International Network for Economic Research - INFER (2022)

2020

2. Monetary Policy Uncertainty Spillovers in Time- and Frequency-Domains
   Working Papers, University of Pretoria, Department of Economics View citations (4)
   See also Journal Article in Journal of Economic Structures (2020)
3. Time-Varying Influence of Household Debt on Inequality in United Kingdom
   Working Papers, University of Pretoria, Department of Economics View citations (2)
   See also Journal Article in Empirical Economics (2021)

2019

4. Are Uncertainties across the World Convergent?
   Working Papers, University of Pretoria, Department of Economics View citations (5)
   See also Journal Article in Economics Bulletin (2020)
5. Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
   Working Papers, University of Pretoria, Department of Economics View citations (5)
   See also Journal Article in Journal of Behavioral Finance (2022)
6. Macroeconomic Uncertainty Connections across the US States: Evidence from a Bayesian Graphical Structural VAR (BGSVAR) Model
   Working Papers, University of Pretoria, Department of Economics
7. Moments-Based Spillovers across Gold and Oil Markets
   Working Papers, University of Pretoria, Department of Economics View citations (1)
   See also Journal Article in Energy Economics (2020)
8. Risk Aversion and Bitcoin Returns in Normal, Bull, and Bear Markets
   Working Papers, University of Pretoria, Department of Economics View citations (3)
9. The Predictability between Bitcoin and US Technology Stock Returns: Granger Causality in Mean, Variance, and Quantile
   Working Papers, University of Pretoria, Department of Economics
10. The Relationship between Economic Uncertainty and Corporate Tax Rates
    Working Papers, University of Pretoria, Department of Economics

2018

11. Determinants of Retailers' Cross-channel Integration: An Innovation Diffusion Perspective on Omni-channel Retailing
    Post-Print, HAL
12. Impact of Volatility and Equity Market Uncertainty on Herd Behaviour: Evidence from UK REITs
    ERES, European Real Estate Society (ERES) View citations (6)
    Also in Working Papers, University of Pretoria, Department of Economics (2016) View citations (3)
13. Is There a Role for Uncertainty in Forecasting Output Growth in OECD Countries? Evidence from a Time Varying Parameter-Panel Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Applied Economics (2019)
14. Jumps Beyond the Realms of Cricket: India’s Performance in One Day Internationals and Stock Market Movements
    Working Papers, University of Pretoria, Department of Economics View citations (1)
    See also Journal Article in Journal of Applied Statistics (2020)
15. Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment
    Working Papers, University of Pretoria, Department of Economics
16. The Role of Housing Sentiment in Forecasting US Home Sales Growth: Evidence from a Bayesian Compressed Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics
17. Time-Varying Impact of Geopolitical Risks on Oil Prices
    Working Papers, University of Pretoria, Department of Economics View citations (4)
    See also Journal Article in Defence and Peace Economics (2020)

2017

18. Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data
    Working Papers, University of Pretoria, Department of Economics
    Also in CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster (2017)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2022)
19. Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in The Quarterly Review of Economics and Finance (2018)
20. Does Global Fear Predict Fear in BRICS Stock Markets? Evidence from a Bayesian Graphical VAR Model
    Working Papers, University of Pretoria, Department of Economics View citations (4)
21. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
    Working Papers, University of Pretoria, Department of Economics
    See also Journal Article in Advances in Decision Sciences (2019)
22. U.S. Fiscal Policy and Asset Prices: The Role of Partisan Conflict
    Working papers, University of Connecticut, Department of Economics View citations (2)
    Also in Working Papers, University of Pretoria, Department of Economics (2017) View citations (2)
    See also Journal Article in International Review of Finance (2019)

2016

23. An Analysis of the Relationship between U.S. State Level Carbon Dioxide Emissions and Health Care Expenditure
    Working Papers, University of Pretoria, Department of Economics View citations (1)
24. The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model
    Working Papers, University of Pretoria, Department of Economics View citations (6)
    See also Journal Article in Empirica (2019)

2013

25. A R&D Based Real Business Cycle Model
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article in International Review of Economics (2016)
26. Determinants of Innovative Activities: Evidence from Europe and Central Asia Region
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article in The Singapore Economic Review (SER) (2015)
27. EXPLORATIVE VERSUS EXPLOITATIVE ALLIANCES—EVIDENCE FROM THE GLASS INDUSTRY IN CHINA
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article in Journal of Chinese Economic and Business Studies (2015)
28. Financial Development, Econmic Growth and R&D Cyclical Movement
    MPRA Paper, University Library of Munich, Germany View citations (1)
29. Hedging China’s Energy Oil Market Risks
    MPRA Paper, University Library of Munich, Germany View citations (1)
30. The Conditional CAPM, Cross-Section Returns and Stochastic Volatility
    MPRA Paper, University Library of Munich, Germany View citations (2)

2012

31. Determinants of firm competitiveness: case of the Turkish textile and apparel industry
    MPRA Paper, University Library of Munich, Germany View citations (4)
32. The Effects of Religious Beliefs on the Working Decisions of Women: Some Evidence from Turkey
    MPRA Paper, University Library of Munich, Germany

2011

33. Panel Unit Root Test with Nonlinear Mean Reversion and Smooth Breaks
    MPRA Paper, University Library of Munich, Germany

2010

34. Strategic asset allocation and intertemporal demands: with commodities as an asset class
    MPRA Paper, University Library of Munich, Germany View citations (1)

2007

35. Forecasting Monthly Prices and Quantities: A Study of Apparel Cottons Export
    EcoMod2007, EcoMod
36. Import Demand Response of MFA Apparel/Non-Apparel Fibers & Cottons in the U.S.: A Case of China & HK
    EcoMod2007, EcoMod

2006

37. MFA Fibers Imported From China & H.K. to U.S. - a Structural Change Analysis
    EcoMod2006, EcoMod

Journal Articles

2022

1. Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
   Studies in Nonlinear Dynamics & Econometrics, 2022, 26, (1), 73-98
   See also Working Paper (2017)
2. Causality and dynamic spillovers among cryptocurrencies and currency markets
   International Journal of Finance & Economics, 2022, 27, (2), 2026-2040 View citations (6)
3. Does policy uncertainty affect economic globalization? An empirical investigation
   Applied Economics, 2022, 54, (22), 2510-2528 View citations (3)
4. Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment
   Journal of Behavioral Finance, 2022, 23, (3), 241-261
   See also Working Paper (2019)
5. Hotel Revenue Convergence: Evidence Across Star Hotels in Chinese Provinces
   Atlantic Economic Journal, 2022, 50, (1), 37-51
6. Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic
   Journal of International Financial Markets, Institutions and Money, 2022, 79, (C) View citations (22)
7. Risk transmissions between bitcoin and traditional financial assets during the COVID-19 era: The role of global uncertainties
   International Review of Financial Analysis, 2022, 81, (C) View citations (26)
8. Sovereign ESG and corporate investment: New insights from the United Kingdom
   Technological Forecasting and Social Change, 2022, 183, (C) View citations (3)
9. Twitter-Based uncertainty and cryptocurrency returns
   Research in International Business and Finance, 2022, 59, (C) View citations (16)

2021

10. Competition and Profitability: Impacts on Stability in Chinese Banking
    International Journal of the Economics of Business, 2021, 28, (2), 197-220
11. Effects of idiosyncratic jumps and co-jumps on oil, gold, and copper markets
    Energy Economics, 2021, 104, (C) View citations (14)
12. Market Integration between Turkey and Eurozone Countries
    Emerging Markets Finance and Trade, 2021, 57, (9), 2674-2686 View citations (1)
13. On the intraday return curves of Bitcoin: Predictability and trading opportunities
    International Review of Financial Analysis, 2021, 76, (C) View citations (9)
14. Preferences and Tourism Development under Uncertainty: An Empirical Study
    Sustainability, 2021, 13, (5), 1-9 View citations (2)
15. Risk aversion and Bitcoin returns in extreme quantiles
    Economics Bulletin, 2021, 41, (3), 1374-1386
16. THE RELATIONSHIP BETWEEN ECONOMIC POLICY UNCERTAINTY AND CORPORATE TAX RATES
    Annals of Financial Economics (AFE), 2021, 16, (01), 1-13 View citations (1)
17. The asymmetric effect of bitcoin on altcoins: evidence from the nonlinear autoregressive distributed lag (NARDL) model
    Finance Research Letters, 2021, 40, (C) View citations (15)
18. Time-varying influence of household debt on inequality in United Kingdom
    Empirical Economics, 2021, 61, (4), 1917-1933
    See also Working Paper (2020)

2020

19. Are Uncertainties across the World Convergent?
    Economics Bulletin, 2020, 40, (1), 855-862 View citations (3)
    See also Working Paper (2019)
20. Dependence structure in the Australian electricity markets: New evidence from regular vine copulae
    Energy Economics, 2020, 90, (C) View citations (10)
21. Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models
    Research in International Business and Finance, 2020, 54, (C) View citations (9)
22. Graph theory-based network analysis of regional uncertainties of the US Economy
    Physica A: Statistical Mechanics and its Applications, 2020, 540, (C) View citations (2)
23. Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements
    Journal of Applied Statistics, 2020, 47, (6), 1109-1127 View citations (1)
    See also Working Paper (2018)
24. Listed zombie firms and top executive gender: Evidence from an emerging market
    Pacific-Basin Finance Journal, 2020, 62, (C) View citations (8)
25. Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets
    International Review of Financial Analysis, 2020, 71, (C) View citations (11)
26. Moments-based spillovers across gold and oil markets
    Energy Economics, 2020, 89, (C) View citations (23)
    See also Working Paper (2019)
27. Monetary policy uncertainty spillovers in time and frequency domains
    Journal of Economic Structures, 2020, 9, (1), 1-30 View citations (4)
    See also Working Paper (2020)
28. The impact of Baidu Index sentiment on the volatility of China's stock markets
    Finance Research Letters, 2020, 32, (C) View citations (21)
29. The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country
    Finance Research Letters, 2020, 32, (C) View citations (6)
30. Time-Varying Impact of Geopolitical Risks on Oil Prices
    Defence and Peace Economics, 2020, 31, (6), 692-706 View citations (31)
    See also Working Paper (2018)
31. Uncertainty and herding behavior: evidence from cryptocurrencies
    Research in International Business and Finance, 2020, 54, (C) View citations (7)

2019

32. Bank performance in China: A Perspective from Bank efficiency, risk-taking and market competition
    Pacific-Basin Finance Journal, 2019, 56, (C), 290-309 View citations (29)
33. Convergence clustering in the Chinese provinces: New evidence from several macroeconomic indicators
    Review of Development Economics, 2019, 23, (3), 1331-1346
34. Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model
    Energy Economics, 2019, 78, (C), 129-142 View citations (14)
35. Dynamic connectedness and integration in cryptocurrency markets
    International Review of Financial Analysis, 2019, 63, (C), 257-272 View citations (186)
36. Effects of the geopolitical risks on Bitcoin returns and volatility
    Research in International Business and Finance, 2019, 47, (C), 511-518 View citations (91)
37. Is there a role for uncertainty in forecasting output growth in OECD countries? Evidence from a time-varying parameter-panel vector autoregressive model
    Applied Economics, 2019, 51, (33), 3624-3631 View citations (9)
    See also Working Paper (2018)
38. OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration
    Advances in Decision Sciences, 2019, 23, (4), 1-23 View citations (3)
    See also Working Paper (2017)
39. Segmenting global tourism markets: A panel club convergence approach
    Annals of Tourism Research, 2019, 75, (C), 165-185 View citations (2)
40. The causal relationship between Bitcoin attention and Bitcoin returns: Evidence from the Copula-based Granger causality test
    Finance Research Letters, 2019, 28, (C), 160-164 View citations (89)
41. The effectiveness of the legal system and inbound tourism
    Annals of Tourism Research, 2019, 76, (C), 24-35 View citations (9)
42. The impact of US uncertainty on the Euro area in good and bad times: evidence from a quantile structural vector autoregressive model
    Empirica, 2019, 46, (2), 353-368 View citations (48)
    See also Working Paper (2016)
43. The role of uncertainty measures on the returns of gold
    Economics Letters, 2019, 185, (C) View citations (38)
44. Trading volume and the predictability of return and volatility in the cryptocurrency market
    Finance Research Letters, 2019, 29, (C), 340-346 View citations (69)
45. US Fiscal Policy and Asset Prices: The Role of Partisan Conflict
    International Review of Finance, 2019, 19, (4), 851-862 View citations (3)
    See also Working Paper (2017)

2018

46. Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles
    The Quarterly Review of Economics and Finance, 2018, 69, (C), 297-307 View citations (84)
    See also Working Paper (2017)
47. Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation
    Finance Research Letters, 2018, 26, (C), 145-149 View citations (270)
48. Does global fear predict fear in BRICS stock markets? Evidence from a Bayesian Graphical Structural VAR model
    Emerging Markets Review, 2018, 34, (C), 124-142 View citations (43)
49. Energy consumption and economic growth: New evidence from the OECD countries
    Energy, 2018, 153, (C), 27-34 View citations (137)
50. Estimating Peak uranium production in China – Based on a Stella model
    Energy Policy, 2018, 120, (C), 250-258 View citations (7)
51. Inter- and intra-regional analysis on spillover effects across international stock markets
    Research in International Business and Finance, 2018, 46, (C), 420-429 View citations (5)
52. The effects of uncertainty measures on the price of gold
    International Review of Financial Analysis, 2018, 58, (C), 1-7 View citations (76)
53. U.S. state-level carbon dioxide emissions: Does it affect health care expenditure?
    Renewable and Sustainable Energy Reviews, 2018, 91, (C), 521-530 View citations (14)

2017

54. Asymmetry in spillover effects: Evidence for international stock index futures markets
    International Review of Financial Analysis, 2017, 53, (C), 94-111 View citations (10)
55. How deviations from FOMC’s monetary policy decisions from a benchmark monetary policy rule affect bank profitability: evidence from U.S. banks
    Journal of Financial Economic Policy, 2017, 9, (4), 354-371
56. Institutions and gravity model: the role of political economy and corporate governance
    Eurasian Business Review, 2017, 7, (3), 421-436 View citations (10)

2016

57. A Nonlinear Model of Military Expenditure Convergence: Evidence From Estar Nonlinear Unit Root Test
    Defence and Peace Economics, 2016, 27, (3), 392-403 View citations (15)
58. An R&D-based real business cycle model
    International Review of Economics, 2016, 63, (4), 327-358
    See also Working Paper (2013)
59. Commodity markets volatility transmission: Roles of risk perceptions and uncertainty in financial markets
    Journal of International Financial Markets, Institutions and Money, 2016, 44, (C), 35-45 View citations (37)
60. Intra- and inter-regional return and volatility spillovers across emerging and developed markets: Evidence from stock indices and stock index futures
    International Review of Financial Analysis, 2016, 43, (C), 96-114 View citations (107)
61. Investors’ sentiment and US Islamic and conventional indexes nexus: A time–frequency analysis
    Finance Research Letters, 2016, 19, (C), 54-59 View citations (26)
62. Suppressed ion-scale turbulence in a hot high-β plasma
    Nature Communications, 2016, 7, (1), 1-11
63. Volatility spillovers across stock index futures in Asian markets: Evidence from range volatility estimators
    Finance Research Letters, 2016, 17, (C), 158-166 View citations (89)

2015

64. DETERMINANTS OF INNOVATIVE ACTIVITIES: EVIDENCE FROM EUROPE AND CENTRAL ASIA REGION
    The Singapore Economic Review (SER), 2015, 60, (01), 1-18 View citations (18)
    See also Working Paper (2013)
65. Explorative versus exploitative alliances: evidence from the glass industry in China
    Journal of Chinese Economic and Business Studies, 2015, 13, (2), 127-146 View citations (1)
    See also Working Paper (2013)
66. Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul
    Journal of International Financial Markets, Institutions and Money, 2015, 34, (C), 337-355 View citations (7)

2014

67. THE EFFECT OF INTERNATIONAL SOCCER GAMES ON EXCHANGE RATES USING EVIDENCE FROM TURKEY
    Journal of Advanced Studies in Finance, 2014, 5, (2), 145-156 View citations (2)
68. The conditional equity premium, cross-sectional returns and stochastic volatility
    Economic Modelling, 2014, 38, (C), 316-327 View citations (4)

2013

69. Experience-based corporate corruption and stock market volatility: Evidence from emerging markets
    Emerging Markets Review, 2013, 17, (C), 1-13 View citations (17)
70. Hedging with Chinese Aluminum Futures: International Evidence with Return and Volatility Spillover Indices Under Structural Breaks
    Emerging Markets Finance and Trade, 2013, 49, (S1), 37-48 View citations (6)
71. New evidence of regional income divergence in post-reform Russia
    Applied Economics, 2013, 45, (18), 2675-2682 View citations (13)

2012

72. Do energy prices converge across Russian regions?
    Economic Modelling, 2012, 29, (5), 1623-1631 View citations (15)
73. Price regulation and relative price convergence: Evidence from the retail gasoline market in Canada
    Energy Policy, 2012, 40, (C), 325-334 View citations (32)
74. Some cautions on the use of nonlinear panel unit root tests: Evidence from a modified series-specific non-linear panel unit-root test
    Economic Modelling, 2012, 29, (3), 810-816 View citations (14)
75. TECHNOLOGY TRANSFER, FINANCE CHANNELS, AND SME PERFORMANCE: NEW EVIDENCE FROM DEVELOPING COUNTRIES
    The Singapore Economic Review (SER), 2012, 57, (03), 1-20 View citations (4)

2011

76. Do structural breaks in exchange rate volatility matter? Evidence from Asia-Pacific currencies
    Iktisat Isletme ve Finans, 2011, 26, (304), 57-78 View citations (2)
77. Technology transfer and enterprise performance: a firm-level analysis in China
    Journal of Business Economics and Management, 2011, 13, (3), 489-498 View citations (1)

2010

78. Convergence Across the United States: Evidence from Panel ESTAR Unit Root Test
    International Advances in Economic Research, 2010, 16, (1), 52-64 View citations (5)
79. New evidence about regional income divergence in China
    China Economic Review, 2010, 21, (2), 293-309 View citations (37)

2009

80. A more powerful panel unit root test with an application to PPP
    Applied Economics Letters, 2009, 16, (1), 75-80 View citations (13)
81. Determinants of Competitiveness: Observations in China's Textile and Apparel Industries
    China & World Economy, 2009, 17, (2), 45-64 View citations (2)

Edited books

2015

1. Innovation, Finance, and the Economy
   Eurasian Studies in Business and Economics, Springer View citations (2)