Details about Li Yang

Access statistics for papers by Li Yang.

Last updated 2015-04-07. Update your information in the RePEc Author Service.

Short-id: pya242

Journal Articles

2014

1. Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets
   The North American Journal of Economics and Finance, 2014, 28, (C), 265-272 View citations (9)
2. Hedging crude oil using refined product: A regime switching asymmetric DCC approach
   Energy Economics, 2014, 46, (C), 472-484 View citations (46)
3. Oil price shocks and agricultural commodity prices
   Energy Economics, 2014, 44, (C), 22-35 View citations (144)

2013

4. Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis
   Journal of Futures Markets, 2013, 33, (4), 327-342 View citations (3)
5. Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia‐Pacific Currencies
   Journal of Futures Markets, 2013, 33, (8), 696-723 View citations (7)
6. Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries
   Journal of Comparative Economics, 2013, 41, (4), 1220-1239 View citations (364)

2011

7. Optimal production strategy under demand fluctuations: Technology versus capacity
   European Journal of Operational Research, 2011, 214, (2), 393-402 View citations (9)
8. The Informational Role of Stock and Warrant Trades: Empirical Evidence from China
   Emerging Markets Finance and Trade, 2011, 47, 78-93 View citations (3)

2010

9. The effects of structural breaks and long memory on currency hedging
   Journal of Futures Markets, 2010, 30, (7), 607-632 View citations (7)

2009

10. Intraday return and volatility spill‐over across international copper futures markets
    International Journal of Managerial Finance, 2009, 5, (1), 135-149 View citations (9)

2008

11. Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets
    Journal of Banking & Finance, 2008, 32, (2), 187-198 View citations (55)
12. Hedging with Chinese metal futures
    Global Finance Journal, 2008, 19, (2), 123-138 View citations (8)

2006

13. Spot‐futures spread, time‐varying correlation, and hedging with currency futures
    Journal of Futures Markets, 2006, 26, (10), 1019-1038 View citations (23)

2005

14. Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data
    The Quarterly Review of Economics and Finance, 2005, 45, (4-5), 730-747 View citations (8)

2004

15. Alternative settlement methods and Australian individual share futures contracts
    Journal of International Financial Markets, Institutions and Money, 2004, 14, (5), 473-490 View citations (2)

2003

16. Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market
    International Review of Economics & Finance, 2003, 12, (4), 495-512 View citations (2)
17. Options expiration effects and the role of individual share futures contracts
    Journal of Futures Markets, 2003, 23, (11), 1107-1118 View citations (8)

1997

18. The value of public information in commodity futures markets
    Journal of Economic Behavior & Organization, 1997, 32, (4), 559-570 View citations (40)