Details about Libo Yin

Access statistics for papers by Libo Yin.

Last updated 2021-03-18. Update your information in the RePEc Author Service.

Short-id: pyi113

Working Papers

2017

1. Does investor attention matter? The attention-return relation in gold futures market
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (1)

2016

2. What drives long-term oil market volatility? Fundamentals versus Speculation
   Economics Discussion Papers, Kiel Institute for the World Economy (IfW Kiel) View citations (8)
   See also Journal Article What drives long-term oil market volatility? Fundamentals versus speculation, Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel) (2016) View citations (8) (2016)

Journal Articles

2021

1. Adjusted dividend-price ratios and stock return predictability: Evidence from China
   International Review of Financial Analysis, 2021, 73, (C) View citations (6)
2. Systemic risk in international stock markets: Role of the oil market
   International Review of Economics & Finance, 2021, 71, (C), 592-619 View citations (4)
3. The impact of operating flexibility on firms’ performance during the COVID-19 outbreak: Evidence from China
   Finance Research Letters, 2021, 38, (C) View citations (9)
4. Understanding cryptocurrency volatility: The role of oil market shocks
   International Review of Economics & Finance, 2021, 72, (C), 233-253 View citations (27)

2020

5. Aggregate profit instability and time variations in momentum returns: Evidence from China
   Pacific-Basin Finance Journal, 2020, 60, (C) View citations (1)
6. Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market
   The North American Journal of Economics and Finance, 2020, 51, (C) View citations (54)
7. Can the intermediary capital risk predict foreign exchange rates?
   Finance Research Letters, 2020, 37, (C) View citations (3)
8. Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility
   International Review of Financial Analysis, 2020, 71, (C) View citations (31)
9. Firms' profit instability and the cross-section of stock returns: Evidence from China
   Research in International Business and Finance, 2020, 53, (C) View citations (2)
10. Firm’s quality increases and the cross-section of stock returns: Evidence from China
    International Review of Economics & Finance, 2020, 66, (C), 228-243 View citations (3)
11. Intermediary asset pricing in commodity futures returns
    Journal of Futures Markets, 2020, 40, (11), 1711-1730 View citations (5)
12. International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming
    Computational Economics, 2020, 55, (2), 383-405 View citations (1)
13. Oil shocks and stock volatility: new evidence via a Bayesian, graph-based VAR approach
    Applied Economics, 2020, 52, (11), 1163-1180 View citations (5)

2019

14. Can investors attention on oil markets predict stock returns?
    The North American Journal of Economics and Finance, 2019, 48, (C), 786-800 View citations (10)
15. Can skewness of the futures‐spot basis predict currency spot returns?
    Journal of Futures Markets, 2019, 39, (11), 1435-1449 View citations (5)
16. Can skewness predict currency excess returns?
    The North American Journal of Economics and Finance, 2019, 48, (C), 628-641 View citations (4)
17. Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets
    The North American Journal of Economics and Finance, 2019, 50, (C) View citations (6)
18. Chinese Stock Returns and the Role of News-Based Uncertainty
    Emerging Markets Finance and Trade, 2019, 55, (13), 2949-2969 View citations (3)
19. Common idiosyncratic volatility and returns: From an investment horizon perspective
    International Journal of Finance & Economics, 2019, 24, (1), 370-390
20. Comparison and analysis of two nitrogen expansion cycles for BOG Re-liquefaction systems for small LNG ships
    Energy, 2019, 172, (C), 769-776 View citations (19)
21. Currency strategies based on momentum, carry trade and skewness
    Physica A: Statistical Mechanics and its Applications, 2019, 517, (C), 121-131 View citations (1)
22. Dynamic link between oil prices and exchange rates: A non-linear approach
    Energy Economics, 2019, 84, (C) View citations (25)
23. Forecasting the oil prices: What is the role of skewness risk?
    Physica A: Statistical Mechanics and its Applications, 2019, 534, (C) View citations (6)
24. It's not that important: The negligible effect of oil market uncertainty
    International Review of Economics & Finance, 2019, 60, (C), 62-84 View citations (3)
25. News implied volatility and long-term foreign exchange market volatility
    International Review of Financial Analysis, 2019, 61, (C), 126-142 View citations (7)
26. Oil market uncertainty and international business cycle dynamics
    Energy Economics, 2019, 81, (C), 728-740 View citations (5)
27. Our currency, your attention: Contagion spillovers of investor attention on currency returns
    Economic Modelling, 2019, 80, (C), 49-61 View citations (15)
28. The effect of oil returns on the stock markets network
    Physica A: Statistical Mechanics and its Applications, 2019, 533, (C) View citations (4)
29. The predictive performance of the currency futures basis for spot returns
    Quantitative Finance, 2019, 19, (3), 391-405 View citations (1)
30. Uncertainty and currency performance: A quantile-on-quantile approach
    The North American Journal of Economics and Finance, 2019, 48, (C), 702-729 View citations (13)
31. Understanding stock market volatility: What is the role of U.S. uncertainty?
    The North American Journal of Economics and Finance, 2019, 48, (C), 582-590 View citations (56)

2018

32. Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach
    Physica A: Statistical Mechanics and its Applications, 2018, 508, (C), 434-453 View citations (9)
33. Does NVIX matter for market volatility? Evidence from Asia-Pacific markets
    Physica A: Statistical Mechanics and its Applications, 2018, 492, (C), 506-516 View citations (3)
34. Does investor attention matter? The attention-return relationships in FX markets
    Economic Modelling, 2018, 68, (C), 644-660 View citations (20)
35. Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors
    Journal of Futures Markets, 2018, 38, (10), 1246-1261 View citations (17)
36. Forecasting the CNY-CNH pricing differential: The role of investor attention
    Pacific-Basin Finance Journal, 2018, 49, (C), 232-247 View citations (8)
37. Investor Attention and Stock Returns: International Evidence
    Emerging Markets Finance and Trade, 2018, 54, (14), 3168-3188 View citations (6)
38. Investor attention and currency performance: international evidence
    Applied Economics, 2018, 50, (23), 2525-2551 View citations (6)
39. Is the relationship between gold and the U.S. dollar always negative? The role of macroeconomic uncertainty
    Applied Economics, 2018, 50, (4), 354-370 View citations (5)
40. Oil and the short-term predictability of stock return volatility
    Journal of Empirical Finance, 2018, 47, (C), 90-104 View citations (95)
41. Oil prices and news-based uncertainty: Novel evidence
    Energy Economics, 2018, 72, (C), 331-340 View citations (20)
42. Optimistic bias of analysts' earnings forecasts: Does investor sentiment matter in China?
    Pacific-Basin Finance Journal, 2018, 49, (C), 147-163 View citations (21)
43. The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China
    Physica A: Statistical Mechanics and its Applications, 2018, 497, (C), 218-235 View citations (2)

2017

44. Can investor attention predict oil prices?
    Energy Economics, 2017, 66, (C), 547-558 View citations (73)
45. Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model
    Journal of Empirical Finance, 2017, 43, (C), 130-142 View citations (118)
46. Oil volatility risk and stock market volatility predictability: Evidence from G7 countries
    Energy Economics, 2017, 68, (C), 240-254 View citations (34)
47. Predictability of structural co-movement in commodity prices: the role of technical indicators
    Quantitative Finance, 2017, 17, (5), 795-812 View citations (12)
48. Systemic risk and dynamics of contagion: a duplex inter-bank network
    Quantitative Finance, 2017, 17, (9), 1435-1445 View citations (12)
49. The effects of investor attention on commodity futures markets
    Journal of Futures Markets, 2017, 37, (10), 1031-1049 View citations (23)
50. The role of news-based implied volatility among US financial markets
    Economics Letters, 2017, 157, (C), 24-27 View citations (33)

2016

51. Does oil price respond to macroeconomic uncertainty? New evidence
    Empirical Economics, 2016, 51, (3), 921-938 View citations (25)
52. Environmental Efficiency and Its Determinants for Manufacturing in China
    Sustainability, 2016, 9, (1), 1-18 View citations (3)
53. Exogenous shocks and the spillover effects between uncertainty and oil price
    Energy Economics, 2016, 54, (C), 224-234 View citations (53)
54. Macroeconomic impacts on commodity prices: China vs. the United States
    Quantitative Finance, 2016, 16, (3), 489-500 View citations (9)
55. Macroeconomic policy uncertainty shocks on the Chinese economy: a GVAR analysis
    Applied Economics, 2016, 48, (51), 4907-4921 View citations (24)
56. Predicting the oil prices: Do technical indicators help?
    Energy Economics, 2016, 56, (C), 338-350 View citations (66)
57. What drives long-term oil market volatility? Fundamentals versus speculation
    Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), 2016, 10, 1-26 View citations (8)
    See also Working Paper What drives long-term oil market volatility? Fundamentals versus Speculation, Economics Discussion Papers (2016) View citations (8) (2016)

2015

58. Co-movements in commodity prices: Global, sectoral and commodity-specific factors
    Economics Letters, 2015, 126, (C), 96-100 View citations (15)
59. Do foreign institutional investors stabilize the capital market?
    Economics Letters, 2015, 136, (C), 73-75 View citations (12)
60. Exogenous impacts on the links between energy and agricultural commodity markets
    Energy Economics, 2015, 49, (C), 350-358 View citations (36)
61. Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance
    Computational Economics, 2015, 45, (1), 151-181 View citations (1)

2014

62. Macroeconomic uncertainty: does it matter for commodity prices?
    Applied Economics Letters, 2014, 21, (10), 711-716 View citations (32)
63. Spillovers of macroeconomic uncertainty among major economies
    Applied Economics Letters, 2014, 21, (13), 938-944 View citations (46)

2013

64. Exogenous Shocks and Information Transmission in Global Copper Futures Markets
    Journal of Futures Markets, 2013, 33, (8), 724-751 View citations (11)
65. Options strategies for international portfolios with overall risk management via multi-stage stochastic programming
    Annals of Operations Research, 2013, 206, (1), 557-576 View citations (2)