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Details about Li Yang

E-mail:
Homepage:http://www.banking.unsw.edu.au/liyang
Workplace:School of Banking and Finance, UNSW Business School, UNSW Sydney, (more information at EDIRC)

Access statistics for papers by Li Yang.

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

Short-id: pya242


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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 Downloads View citations (5)
  2. Hedging crude oil using refined product: A regime switching asymmetric DCC approach
    Energy Economics, 2014, 46, (C), 472-484 Downloads View citations (15)
  3. Oil price shocks and agricultural commodity prices
    Energy Economics, 2014, 44, (C), 22-35 Downloads View citations (60)

2013

  1. Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis
    Journal of Futures Markets, 2013, 33, (4), 327-342 View citations (2)
  2. Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia‐Pacific Currencies
    Journal of Futures Markets, 2013, 33, (8), 696-723 View citations (6)
  3. Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries
    Journal of Comparative Economics, 2013, 41, (4), 1220-1239 Downloads View citations (156)

2011

  1. Optimal production strategy under demand fluctuations: Technology versus capacity
    European Journal of Operational Research, 2011, 214, (2), 393-402 Downloads View citations (5)
  2. The Informational Role of Stock and Warrant Trades: Empirical Evidence from China
    Emerging Markets Finance and Trade, 2011, 47, 78-93 Downloads View citations (2)

2010

  1. The effects of structural breaks and long memory on currency hedging
    Journal of Futures Markets, 2010, 30, (7), 607-632 Downloads View citations (6)

2009

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

2008

  1. Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets
    Journal of Banking & Finance, 2008, 32, (2), 187-198 Downloads View citations (40)
  2. Hedging with Chinese metal futures
    Global Finance Journal, 2008, 19, (2), 123-138 Downloads View citations (6)

2006

  1. Spot‐futures spread, time‐varying correlation, and hedging with currency futures
    Journal of Futures Markets, 2006, 26, (10), 1019-1038 Downloads View citations (22)

2005

  1. 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 Downloads View citations (5)

2004

  1. Alternative settlement methods and Australian individual share futures contracts
    Journal of International Financial Markets, Institutions and Money, 2004, 14, (5), 473-490 Downloads View citations (1)

2003

  1. Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market
    International Review of Economics & Finance, 2003, 12, (4), 495-512 Downloads View citations (1)
  2. Options expiration effects and the role of individual share futures contracts
    Journal of Futures Markets, 2003, 23, (11), 1107-1118 Downloads View citations (4)

1997

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