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Details about Youwei Li

Workplace:Business School, University of Hull, (more information at EDIRC)

Access statistics for papers by Youwei Li.

Last updated 2022-05-07. Update your information in the RePEc Author Service.

Short-id: pli495


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Working Papers

2021

  1. The Role of Hedge Funds in the Asset Pricing: Evidence from China
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2022)

2020

  1. Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in International Review of Financial Analysis (2022)

2019

  1. Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in European Journal of Operational Research (2021)
  2. How Did Order-Flow Impact Bond Prices During the European Sovereign Debt Crisis?
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in International Review of Economics & Finance (2020)
  3. Intraday Time-series Momentum: Evidence from China
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in Journal of Futures Markets (2020)
  4. Overnight Momentum, Informational Shocks, and Late-Informed Trading in China
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in International Review of Financial Analysis (2019)

2018

  1. Long memory in financial markets: A heterogeneous agent model perspective
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article in International Review of Financial Analysis (2018)

2017

  1. 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 Downloads View citations (44)
    See also Journal Article in Journal of Empirical Finance (2017)
  2. Risk adjusted momentum strategies: a comparison between constant and dynamic volatility scaling approaches
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Research in International Business and Finance (2018)

2016

  1. 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 Downloads View citations (2)
    See also Journal Article in Discrete Dynamics in Nature and Society (2016)
  2. 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 Downloads
  3. Modelling mortality: Are we heading in the right direction?
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Economics (2017)
  4. Models of Mortality rates - analysing the residuals
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Applied Economics (2017)
  5. Price Discovery in the Chinese Gold Market
    MPRA Paper, University Library of Munich, Germany Downloads View citations (10)
    See also Journal Article in Journal of Futures Markets (2018)
  6. The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity
    MPRA Paper, University Library of Munich, Germany Downloads
  7. US Dollar Carry Trades in the Era of “Cheap Money”
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Czech Journal of Economics and Finance (Finance a uver) (2016)

2015

  1. Optimal Time Series Momentum
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (1)
  2. Price Discovery in the Dual-Platform US Treasury Market
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Global Finance Journal (2015)
  3. 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 Downloads View citations (21)
    See also Journal Article in Journal of Empirical Finance (2015)
  4. The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads View citations (3)
    See also Journal Article in Journal of Evolutionary Economics (2017)

2014

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

2006

  1. On microscopic simulation models of financial markets
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (3)
  2. The Econometric Analysis of Microscopic Simulation Models
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (2006) Downloads View citations (1)
    Computing in Economics and Finance 2004, Society for Computational Economics (2004) Downloads View citations (1)

    See also Journal Article in Quantitative Finance (2010)
  3. The Non- and Semiparametric Analysis of MS Models: Some Applications
    Other publications TiSEM, Tilburg University, School of Economics and Management Downloads View citations (5)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (2006) Downloads View citations (5)

2005

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

Journal Articles

2022

  1. Low liquidity beta anomaly in China
    Emerging Markets Review, 2022, 50, (C) Downloads
  2. 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) Downloads
    See also Working Paper (2020)
  3. The role of hedge funds in the asset pricing: evidence from China
    The European Journal of Finance, 2022, 28, (2), 219-243 Downloads
    See also Working Paper (2021)

2021

  1. Bayesian Value-at-Risk backtesting: The case of annuity pricing
    European Journal of Operational Research, 2021, 293, (2), 786-801 Downloads View citations (2)
    See also Working Paper (2019)
  2. Dark matters: The effects of dark trading restrictions on liquidity and informational efficiency
    Journal of International Financial Markets, Institutions and Money, 2021, 75, (C) Downloads
  3. Investor heterogeneity and momentum-based trading strategies in China
    International Review of Financial Analysis, 2021, 74, (C) Downloads View citations (2)
  4. Same same but different – Stylized facts of CTA sub strategies
    International Review of Financial Analysis, 2021, 74, (C) Downloads
  5. 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 Downloads
  6. 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) Downloads
  7. 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) Downloads View citations (1)

2020

  1. Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China
    Research in International Business and Finance, 2020, 53, (C) Downloads View citations (17)
  2. How did order-flow impact bond prices during the European Sovereign Debt Crisis?
    International Review of Economics & Finance, 2020, 67, (C), 13-24 Downloads
    See also Working Paper (2019)
  3. Intraday time‐series momentum: Evidence from China
    Journal of Futures Markets, 2020, 40, (4), 632-650 Downloads View citations (4)
    See also Working Paper (2019)
  4. Investor overconfidence and the security market line: New evidence from China
    Journal of Economic Dynamics and Control, 2020, 117, (C) Downloads View citations (6)
  5. 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 Downloads View citations (1)
  6. Social media effect, investor recognition and the cross-section of stock returns
    International Review of Financial Analysis, 2020, 67, (C) Downloads View citations (2)

2019

  1. A new attention proxy and order imbalance: Evidence from China
    Finance Research Letters, 2019, 29, (C), 411-417 Downloads View citations (4)
  2. Bottom-up sentiment and return predictability of the market portfolio
    Finance Research Letters, 2019, 29, (C), 57-60 Downloads View citations (1)
  3. Did long-memory of liquidity signal the European sovereign debt crisis?
    Annals of Operations Research, 2019, 282, (1), 355-377 Downloads View citations (1)
  4. Heterogeneous agent models in financial markets: A nonlinear dynamics approach
    International Review of Financial Analysis, 2019, 62, (C), 135-149 Downloads View citations (1)
  5. Overnight momentum, informational shocks, and late informed trading in China
    International Review of Financial Analysis, 2019, 66, (C) Downloads View citations (6)
    See also Working Paper (2019)

2018

  1. An analysis of liquidity skewness for European sovereign bond markets
    Finance Research Letters, 2018, 26, (C), 274-280 Downloads View citations (5)
  2. Asset allocation with time series momentum and reversal
    Journal of Economic Dynamics and Control, 2018, 91, (C), 441-457 Downloads View citations (11)
  3. Liquidity skewness in the London Stock Exchange
    International Review of Financial Analysis, 2018, 56, (C), 12-18 Downloads View citations (4)
  4. Long memory in financial markets: A heterogeneous agent model perspective
    International Review of Financial Analysis, 2018, 58, (C), 38-51 Downloads View citations (5)
    See also Working Paper (2018)
  5. Price discovery in the Chinese gold market
    Journal of Futures Markets, 2018, 38, (10), 1262-1281 Downloads View citations (12)
    See also Working Paper (2016)
  6. Risk adjusted momentum strategies: A comparison between constant and dynamic volatility scaling approaches
    Research in International Business and Finance, 2018, 46, (C), 131-140 Downloads View citations (4)
    See also Working Paper (2017)
  7. Sustainable Decisions on Product Upgrade Confrontations with Remanufacturing Operations
    Sustainability, 2018, 10, (11), 1-16 Downloads View citations (3)

2017

  1. Can investor sentiment be a momentum time-series predictor? Evidence from China
    Journal of Empirical Finance, 2017, 42, (C), 212-239 Downloads View citations (44)
    See also Working Paper (2017)
  2. Modelling mortality: are we heading in the right direction?
    Applied Economics, 2017, 49, (2), 170-187 Downloads View citations (1)
    See also Working Paper (2016)
  3. Models of mortality rates – analysing the residuals
    Applied Economics, 2017, 49, (52), 5309-5323 Downloads View citations (1)
    See also Working Paper (2016)
  4. The adaptiveness in stock markets: testing the stylized facts in the DAX 30
    Journal of Evolutionary Economics, 2017, 27, (5), 1071-1094 Downloads View citations (3)
    See also Working Paper (2015)

2016

  1. 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 Downloads View citations (2)
    See also Working Paper (2016)
  2. Identifying the relative importance of stock characteristics
    Journal of Multinational Financial Management, 2016, 34, (C), 80-91 Downloads View citations (1)
  3. US Dollar Carry Trades in the Era of "Cheap Money"
    Czech Journal of Economics and Finance (Finance a uver), 2016, 66, (5), 374-404 Downloads
    See also Working Paper (2016)

2015

  1. Price discovery in the dual-platform US Treasury market
    Global Finance Journal, 2015, 28, (C), 95-110 Downloads
    See also Working Paper (2015)
  2. Testing of a market fraction model and power-law behaviour in the DAX 30
    Journal of Empirical Finance, 2015, 31, (C), 1-17 Downloads View citations (22)
    See also Working Paper (2015)

2014

  1. Is mortality spatial or social?
    Economic Modelling, 2014, 42, (C), 198-207 Downloads View citations (2)

2012

  1. Do Low-Priced Stocks Drive Long-Term Contrarian Performance on the London Stock Exchange?
    The Financial Review, 2012, 47, (3), 501-530 Downloads View citations (2)
  2. Explaining young mortality
    Insurance: Mathematics and Economics, 2012, 50, (1), 12-25 Downloads View citations (19)

2011

  1. Long-term return reversals--Value and growth or tax? UK evidence
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (3), 347-368 Downloads View citations (5)

2010

  1. Do benchmark African equity indices exhibit the stylized facts?
    Global Finance Journal, 2010, 21, (1), 71-97 Downloads View citations (1)
  2. Econometric analysis of microscopic simulation models
    Quantitative Finance, 2010, 10, (10), 1187-1201 Downloads View citations (9)
    See also Working Paper (2006)

2008

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

2007

  1. Power-law behaviour, heterogeneity, and trend chasing
    Journal of Economic Dynamics and Control, 2007, 31, (10), 3396-3426 Downloads View citations (87)
 
Page updated 2022-06-27