Professor Li   Yang
Professor

Professor Li Yang

  • Ph.D., University of Illinois at Urbana- Champaign
  • M.S., Tsinghua University, China
  • B.S., Tsinghua University, China
Business School
Sch of Bank & Fin
Phone
+61 2 9065 5511
Location
UNSW Business School Level 3, Room 326

Publications

  • Book Chapters | 2014
    Professor Li Yang
    Lien D; Lee G; yang L; Zhou C, 2014, 'Evaluating the Effectiveness of Futures Hedging', in Lee CF; Lee JC (ed.), Handbook of Financial Econometrics and Statistics, Springer, pp. 1891 - 1908, http://dx.doi.org/10.1007/978-1-4614-7750-1_70
    Book Chapters | 2009
    Professor Li Yang
    Yang L, 2009, 'Hedging Effectiveness with S&P 500 Index Futures under Different Volatility Regimes', in Catlere PN (ed.), Financial Hedging, edn. Original, Nova Science Publishers Inc, pp. 53 - 76
    Book Chapters | 2005
    Professor Li Yang
    Yang L, 2005, 'Settlement Specifications on Commodity Futures Contracts', in Bellows AR (ed.), Focus on Agricultural Economics, edn. 2005, Nova Science Publisher, Inc, New York, pp. 53 - 76
  • Journal articles | 2018
    Professor Li Yang
    Lien D; Lee G; Yang L; Zhang Y, 2018, 'Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis', North American Journal of Economics and Finance, vol. 46, pp. 187 - 201, http://dx.doi.org/10.1016/j.najef.2018.04.006
    Journal articles | 2018
    Professor Li Yang
    Liu L; Wang Y; Yang L, 2018, 'Predictability of crude oil prices: An investor perspective', Energy Economics, vol. 75, pp. 193 - 205, http://dx.doi.org/10.1016/j.eneco.2018.08.010
    Journal articles | 2018
    Professor Li Yang
    Pan Z; Wang Q; Wang Y; Yang L, 2018, 'Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model', Energy Economics, vol. 72, pp. 177 - 187, http://dx.doi.org/10.1016/j.eneco.2018.04.008
    Journal articles | 2016
    Professor Li Yang
    Wang Y; Wu C; Yang L, 2016, 'Forecasting crude oil market volatility: A Markov switching multifractal volatility approach', International Journal of Forecasting, vol. 32, pp. 1 - 9, http://dx.doi.org/10.1016/j.ijforecast.2015.02.006
    Journal articles | 2015
    Professor Li Yang
    Yang L; Wu C; Wang Y, 2015, 'Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?', Management Science, vol. 61, pp. 2870 - 2889, http://dx.doi.org/10.1287/mnsc.2014.2028
    Journal articles | 2014
    Professor Li Yang
    Yu X; Yang L, 2014, 'Pricing american options using a nonparametric entropy approach', Discrete Dynamics in Nature and Society, vol. 2014, http://dx.doi.org/10.1155/2014/369795
    Journal articles | 2014
    Professor Li Yang
    Pan Z; Wang Y; Yang L, 2014, 'Hedging crude oil using refined product: A regime switching asymmetric DCC approach', Energy Economics, vol. 46, pp. 472 - 484, http://dx.doi.org/10.1016/j.eneco.2014.05.014
    Journal articles | 2014
    Professor Li Yang
    Lien D; Yang L; Zhou C; Lee G, 2014, 'Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets', North American Journal of Economics and Finance, vol. 28, pp. 265 - 272, http://dx.doi.org/10.1016/j.najef.2014.03.008
    Journal articles | 2014
    Professor Li Yang
    Wang Y; Wu C; Yang L, 2014, 'Oil price shocks and agricultural commodity prices', Energy Economics, vol. 44, pp. 22 - 35, http://dx.doi.org/10.1016/j.eneco.2014.03.016
    Journal articles | 2013
    Professor Li Yang
    Yang L; Zhou C; Lien D, 2013, 'Dynamic and asymmetric dependences between Chinese yuan and other Asia-pacific currencies', Journal of Futures Markets, vol. 33, pp. 696 - 723, http://dx.doi.org/10.1002/fut.21609
    Journal articles | 2013
    Professor Li Yang
    Wang Y; Wu C; Yang L, 2013, 'Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries', Journal of Comparative Economics, vol. 41, pp. 1220 - 1239, http://dx.doi.org/10.1016/j.jce.2012.12.004
    Journal articles | 2013
    Professor Li Yang
    Lien D; Lim G; Yang L; Zhou C, 2013, 'Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis', Journal of Futures Markets, vol. 33, pp. 327 - 342, http://dx.doi.org/10.1002/fut.21554
    Journal articles | 2010
    Professor Li Yang
    Yang L, 2010, 'The Informational Role of Stock and Warrant Trades: Empirical Evidence from China', Emerging Markets Finance and Trade, vol. 47, pp. 78 - 93, http://dx.doi.org/10.2753/REE1540-496X4701S107
    Journal articles | 2010
    Professor Li Yang
    Yang L, 2010, 'Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets', Journal of Futures Markets, vol. 18, http://dx.doi.org/10.2139/ssrn.1537762
    Journal articles | 2009
    Professor Li Yang
    Lien D; Yang L, 2009, 'Intraday return and volatility spill-over across international copper futures markets', International Journal of Managerial Finance, vol. 5, pp. 135 - 149, http://dx.doi.org/10.1108/17439130910932378
    Journal articles | 2009
    Professor Li Yang
    Yang L, 2009, 'The Effects of Structural Breaks and Long Memory on Currency Hedging', Journal of Futures Markets, vol. 30, pp. 1 - 26, http://dx.doi.org/10.1002/fut.20436
    Journal articles | 2008
    Professor Li Yang
    Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, vol. 32, pp. 187 - 198, http://dx.doi.org/10.1016/j.bankfin.2007.01.026
    Journal articles | 2008
    Professor Li Yang
    Lien D; Yang L, 2008, 'Hedging with Chinese metal futures', Global Finance Journal, vol. 19, pp. 123 - 128, http://dx.doi.org/10.1016/j.gfj.2008.01.004
    Journal articles | 2008
    Professor Li Yang
    Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, vol. 32, pp. 187 - 198, http://dx.doi.org/10.1016/j.jbankfin.2007.01.026
    Journal articles | 2006
    Professor Li Yang
    Lien D; Yang L, 2006, 'Spot-futures spread, time-varying correlation, and hedging with currency futures', Journal of Futures Markets, vol. 26, pp. 1019 - 1038, http://dx.doi.org/10.1002/fut.20225
    Journal articles | 2005
    Professor Li Yang
    Lien D; Yang L, 2005, 'Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data', The Quarterly Review of Economics and Finance, vol. 45, pp. 730 - 747, http://dx.doi.org/10.1016/j.qref.2004.06.002
    Journal articles | 2004
    Professor Li Yang
    Yang L; Lien D, 2004, 'Return Autocorrelations on individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United kingdom Markets', Review of Pacific Basin Financial Markets and Policies, vol. 7, pp. 397 - 422, http://dx.doi.org/10.1142/S0219091504000160
    Journal articles | 2004
    Professor Li Yang
    Lien D; Yang L, 2004, 'Alternative settlement methods and Australian individual share futures contracts', Journal of International Financial Markets Institutions and Money, vol. 14, pp. 473 - 490, http://dx.doi.org/10.1016/j.intfin.2004.01.001
    Journal articles | 2004
    Professor Li Yang
    Lien D; Yang L, 2004, 'Return Autocorrelations on Individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United Kingdom Markets', Review of Pacific Basin Financial Markets and Policies, vol. 07, pp. 397 - 422
    Journal articles | 2003
    Professor Li Yang
    Yang L; Lien D, 2003, 'Options expiration effects and the role of individual share futures contracts', Journal of Futures Markets, vol. 23, pp. 1107 - 1118, http://dx.doi.org/10.1002/fut.10100
    Journal articles | 2003
    Professor Li Yang
    Yang L; Lien D, 2003, 'Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market', International Review of Economics and Finance, vol. 12, pp. 495 - 512, http://dx.doi.org/10.1016/S1059-0560(03)00036-4
    Journal articles | 2000
    Professor Li Yang
    Stoodley MA; Jones N; Yang L; Brown CJ, 2000, 'Mechanisms underlying the formation and enlargement of noncommunicating syringomyelia: experimental studies', Neurosurgical Focus, vol. 8, pp. 1 - 7
    Journal articles | 1997
    Professor Li Yang
    Garcia PD; Irwin SH; Leuthold RM; Yang L, 1997, 'The value of public information in commodity futures markers', Journal of Economic Behavior and Organization, pp. 559 - 570
  • Working Papers | 2015
    Professor Li Yang
    Lee G; Yang L, 2015, Impact of truncation on model-free implied moment estimator, http://dx.doi.org10.2139/ssrn.2485513

Awards

Grants

  • Australian Research Council Discovery Grant 2017, "Investment Irreversibility, Policy Uncertainty, and Hedging Strategies", with D. Foster ($264,000)
  • Australian Research Council Discovery Grant 2009, "Building Flexible Multivariate Models and their application in Finance", with R. Kohn ($520,000)
  • Australian Research Council Linkage Grant 2008, "Information Content of Order Flows in the Foreign Exchange and Commodities Markets", with D. Foster, J. Wang and X. Yang ($110,000)

Media