Details about Youwei Li

Access statistics for papers by Youwei Li.

Last updated 2023-07-31. 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 in The European Journal of Finance (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 in Journal of Economic Dynamics and Control (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 in International Review of Financial Analysis (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 in European Journal of Operational Research (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 in International Review of Economics & Finance (2020)
6. Intraday Time-series Momentum: Evidence from China
   MPRA Paper, University Library of Munich, Germany View citations (3)
   See also Journal Article in Journal of Futures Markets (2020)
7. Overnight Momentum, Informational Shocks, and Late-Informed Trading in China
   MPRA Paper, University Library of Munich, Germany View citations (15)
   See also Journal Article in International Review of Financial Analysis (2019)

2018

8. Long memory in financial markets: A heterogeneous agent model perspective
   MPRA Paper, University Library of Munich, Germany View citations (6)
   See also Journal Article in International Review of Financial Analysis (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 (63)
   See also Journal Article in Journal of Empirical Finance (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 in Research in International Business and Finance (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 in Discrete Dynamics in Nature and Society (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 in Applied Economics (2017)
14. Models of Mortality rates - analysing the residuals
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article in Applied Economics (2017)
15. Price Discovery in the Chinese Gold Market
    MPRA Paper, University Library of Munich, Germany View citations (10)
    See also Journal Article in Journal of Futures Markets (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 in Czech Journal of Economics and Finance (Finance a uver) (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 in Global Finance Journal (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 (23)
    See also Journal Article in Journal of Empirical Finance (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 in Journal of Evolutionary Economics (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
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (1)
    Other publications TiSEM, Tilburg University, School of Economics and Management (2006) View citations (1)
    See also Journal Article in Quantitative Finance (2010)
25. The Non- and Semiparametric Analysis of MS Models: Some Applications
    Discussion Paper, Tilburg University, Center for Economic Research View citations (5)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (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

2023

1. Future of jobs in China under the impact of artificial intelligence
   Finance Research Letters, 2023, 55, (PA)
2. How does green credit policy affect polluting firms' dividend policy? The China experience
   International Review of Financial Analysis, 2023, 88, (C)
3. How state ownership affects corporate R&D: An inverted‐U‐shaped relationship
   International Journal of Finance & Economics, 2023, 28, (3), 3183-3197
4. Order book price impact in the Chinese soybean futures market
   International Journal of Finance & Economics, 2023, 28, (1), 606-625
5. The smog that hovers: Air pollution and asset prices
   Finance Research Letters, 2023, 53, (C)

2022

6. A reexamination of factor momentum: How strong is it?
   The Financial Review, 2022, 57, (3), 585-615 View citations (7)
7. Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective
   Finance Research Letters, 2022, 49, (C) View citations (4)
8. Competition or Authorization—Manufacturers’ Choice of Remanufacturing Strategies
   Sustainability, 2022, 14, (19), 1-29
9. Cultural diversity and borrowers’ behavior: evidence from peer-to-peer lending
   The European Journal of Finance, 2022, 28, (17), 1745-1769 View citations (1)
10. Low liquidity beta anomaly in China
    Emerging Markets Review, 2022, 50, (C)
11. Momentum and the Cross-section of Stock Volatility
    Journal of Economic Dynamics and Control, 2022, 144, (C)
    See also Working Paper (2020)
12. 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)
    See also Working Paper (2020)
13. Shunned stocks and market states
    The European Journal of Finance, 2022, 28, (7), 705-717
14. The Asymmetric Overnight Return Anomaly in the Chinese Stock Market
    JRFM, 2022, 15, (11), 1-20
15. 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 (2021)
16. Why do small businesses have difficulty in accessing bank financing?
    International Review of Financial Analysis, 2022, 84, (C) View citations (1)

2021

17. Bayesian Value-at-Risk backtesting: The case of annuity pricing
    European Journal of Operational Research, 2021, 293, (2), 786-801 View citations (3)
    See also Working Paper (2019)
18. Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency
    Journal of International Financial Markets, Institutions and Money, 2021, 75, (C)
19. Investor heterogeneity and momentum-based trading strategies in China
    International Review of Financial Analysis, 2021, 74, (C) View citations (7)
20. Same same but different – Stylized facts of CTA sub strategies
    International Review of Financial Analysis, 2021, 74, (C) View citations (2)
21. 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
22. 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 (8)
23. 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 (7)

2020

24. Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China
    Research in International Business and Finance, 2020, 53, (C) View citations (34)
25. 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 (2019)
26. Intraday time‐series momentum: Evidence from China
    Journal of Futures Markets, 2020, 40, (4), 632-650 View citations (8)
    See also Working Paper (2019)
27. Investor overconfidence and the security market line: New evidence from China
    Journal of Economic Dynamics and Control, 2020, 117, (C) View citations (11)
28. 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 (1)
29. Social media effect, investor recognition and the cross-section of stock returns
    International Review of Financial Analysis, 2020, 67, (C) View citations (8)

2019

30. A new attention proxy and order imbalance: Evidence from China
    Finance Research Letters, 2019, 29, (C), 411-417 View citations (9)
31. Bottom-up sentiment and return predictability of the market portfolio
    Finance Research Letters, 2019, 29, (C), 57-60 View citations (4)
32. Did long-memory of liquidity signal the European sovereign debt crisis?
    Annals of Operations Research, 2019, 282, (1), 355-377 View citations (1)
33. Heterogeneous agent models in financial markets: A nonlinear dynamics approach
    International Review of Financial Analysis, 2019, 62, (C), 135-149 View citations (8)
34. 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 (2019)

2018

35. An analysis of liquidity skewness for European sovereign bond markets
    Finance Research Letters, 2018, 26, (C), 274-280 View citations (7)
36. Asset allocation with time series momentum and reversal
    Journal of Economic Dynamics and Control, 2018, 91, (C), 441-457 View citations (14)
37. Liquidity skewness in the London Stock Exchange
    International Review of Financial Analysis, 2018, 56, (C), 12-18 View citations (4)
38. Long memory in financial markets: A heterogeneous agent model perspective
    International Review of Financial Analysis, 2018, 58, (C), 38-51 View citations (7)
    See also Working Paper (2018)
39. Price discovery in the Chinese gold market
    Journal of Futures Markets, 2018, 38, (10), 1262-1281 View citations (16)
    See also Working Paper (2016)
40. 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 (2017)
41. Sustainable Decisions on Product Upgrade Confrontations with Remanufacturing Operations
    Sustainability, 2018, 10, (11), 1-16 View citations (3)

2017

42. Can investor sentiment be a momentum time-series predictor? Evidence from China
    Journal of Empirical Finance, 2017, 42, (C), 212-239 View citations (63)
    See also Working Paper (2017)
43. Modelling mortality: are we heading in the right direction?
    Applied Economics, 2017, 49, (2), 170-187 View citations (1)
    See also Working Paper (2016)
44. Models of mortality rates – analysing the residuals
    Applied Economics, 2017, 49, (52), 5309-5323 View citations (1)
    See also Working Paper (2016)
45. 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 (2015)

2016

46. 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 (2016)
47. Identifying the relative importance of stock characteristics
    Journal of Multinational Financial Management, 2016, 34, (C), 80-91 View citations (1)
48. 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 (2016)

2015

49. Price discovery in the dual-platform US Treasury market
    Global Finance Journal, 2015, 28, (C), 95-110 View citations (1)
    See also Working Paper (2015)
50. 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 (24)
    See also Working Paper (2015)

2014

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

2012

52. Do Low-Priced Stocks Drive Long-Term Contrarian Performance on the London Stock Exchange?
    The Financial Review, 2012, 47, (3), 501-530 View citations (2)
53. Explaining young mortality
    Insurance: Mathematics and Economics, 2012, 50, (1), 12-25 View citations (20)

2011

54. 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

55. Do benchmark African equity indices exhibit the stylized facts?
    Global Finance Journal, 2010, 21, (1), 71-97 View citations (1)
56. Econometric analysis of microscopic simulation models
    Quantitative Finance, 2010, 10, (10), 1187-1201 View citations (10)
    See also Working Paper (2006)

2008

57. Heterogeneity, convergence, and autocorrelations
    Quantitative Finance, 2008, 8, (1), 59-79 View citations (50)

2007

58. Power-law behaviour, heterogeneity, and trend chasing
    Journal of Economic Dynamics and Control, 2007, 31, (10), 3396-3426 View citations (90)