Yiuman Tse

University of Missouri at Saint Louis

Professor

1 University Blvd.

St Louis, MO 63121

United States

SCHOLARLY PAPERS

17

DOWNLOADS

527

SSRN CITATIONS

0

CROSSREF CITATIONS

9

Scholarly Papers (17)

1.

Cross-Asset Time-Series Momentum: Crude Oil Volatility and Global Stock Markets

Number of pages: 59 Posted: 24 May 2021 Last Revised: 23 Sep 2022
Auckland University of Technology, University of Adelaide, University of Missouri at Saint Louis and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 169 (256,751)

Abstract:

Loading...

Cross-asset predictability; Crude oil market; International stock markets; OVX; Time-series momentum

2.

The SOFR and the Fed's Influence Over Market Interest Rates

Economics Letters, Forthcoming
Number of pages: 16 Posted: 25 Jun 2021 Last Revised: 27 Sep 2021
Ivan Indriawan, Feng Jiao and Yiuman Tse
University of Adelaide, University of Lethbridge - Dhillon School of Business and University of Missouri at Saint Louis
Downloads 151 (280,363)

Abstract:

Loading...

SOFR, LIBOR, target fed funds rate

3.

Price Discovery Between Forward-Looking SOFR and LIBOR

Number of pages: 15 Posted: 18 Nov 2021 Last Revised: 04 Feb 2022
Ivan Indriawan, Feng Jiao and Yiuman Tse
University of Adelaide, University of Lethbridge - Dhillon School of Business and University of Missouri at Saint Louis
Downloads 97 (385,958)

Abstract:

Loading...

SOFR, LIBOR, forward-looking term rates, price discovery

Market Quality around Macroeconomic News Announcements: Evidence from the US and Canadian Markets

Number of pages: 31 Posted: 10 Nov 2016
Open University of the Netherlands - School of Management, University of Adelaide, Auckland University of Technology - Faculty of Business & Law and University of Missouri at Saint Louis
Downloads 49 (563,446)

Abstract:

Loading...

Cross-Listings, Market Microstructure, Market Quality

Market Quality Around Macroeconomic News Announcements: Evidence from the Us and Canadian Markets

International Review of Finance, Vol. 19, Issue 3, pp. 575-612, 2019
Number of pages: 38 Posted: 26 May 2020
Open University of the Netherlands - School of Management, University of Adelaide, Auckland University of Technology and University of Missouri at Saint Louis
Downloads 1 (979,465)

Abstract:

Loading...

5.

Volatility in Us Dairy Futures Market

Number of pages: 29 Posted: 03 Apr 2022
Steve Z. Fan, Jeff Jump, Yiuman Tse and Linda Yu
University of Wisconsin - Whitewater, affiliation not provided to SSRN, University of Missouri at Saint Louis and affiliation not provided to SSRN
Downloads 34 (633,607)

Abstract:

Loading...

Dairy commodities futures, volatility, information uncertainty, USDA announcements, FMMO pricing

6.

International Transmission of Information: A Study of the Relationship between the U.S. and Greek Stock Markets

Multinational Finance Journal, Vol. 3, No. 1, p. 19-40, 1999
Number of pages: 22 Posted: 17 Jul 2015
National and Kapodistrian University of Athens, University of Missouri at Saint Louis, State University of New York at Buffalo and Syracuse University
Downloads 23 (711,455)

Abstract:

Loading...

cointegration, clustering, EGARCH, heteroskedasticity, spillover

7.

Black mouth, investor attention and stock return

Number of pages: 51
Ziyang Hong, Qingfu Liu, Yiuman Tse and Zilu Wang
University of California, Davis - College of Letters and Science, Fudan University - School of Economics, University of Missouri at Saint Louis and Fudan University - School of Economics
Downloads 3

Abstract:

Loading...

Black mouth, Disinformation, Investor attention, Stock return, Information diffusion

8.

Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?

Management Science, Vol. 43, No. 11 (Nov., 1997), pp. 1564-1576 Published by: INFORMS
Posted: 05 Jan 2022
Michigan State University, affiliation not provided to SSRN, University of Vaasa and University of Missouri at Saint Louis

Abstract:

Loading...

Stock index futures, Volatility spillovers, Extreme value estimators, VAR, Variance decomposition

9.

Illuminating the Profitability of Pairs Trading: A Test of Relative Pricing Efficiency of Markets for Water Utility Stocks

Gutierrez, J., and Y. Tse. (2011) “Illuminating the profitability of pairs trading: A test of relative pricing efficiency of markets for water utility stocks.” Journal of Trading, vol. 6, pp. 50-64., https://doi.org/10.3905/jot.2011.6.2.050
Posted: 21 May 2019
Jose A. Gutierrez and Yiuman Tse
Sam Houston State University and University of Missouri at Saint Louis

Abstract:

Loading...

Relative pricing, arbitrage, cointegration, pairs trading, forecasting

10.

Overnight Returns of Stock Indexes: Evidence from ETFs and Futures

International Review of Economics & Finance, Forthcoming
Posted: 23 Feb 2017
Qingfu Liu and Yiuman Tse
Independent and University of Missouri at Saint Louis

Abstract:

Loading...

Overnight returns, Volatility, VaR, Index ETFs and futures

11.

Return Seasonality in the Foreign Exchange Market

Applied Economics Letters, Forthcoming
Posted: 01 Feb 2017
Yiuman Tse
University of Missouri at Saint Louis

Abstract:

Loading...

Return Seasonality, Foreign Exchange Market, Currency Futures, Trading Strategies

12.

Extended Trading in Chinese Index Markets: Informed or Uninformed?

Pacific-Basin Finance Journal, Vol. 36, 2016
Posted: 26 Sep 2016
Hua Renhai, Qingfu Liu and Yiuman Tse
Independent, Independent and University of Missouri at Saint Louis

Abstract:

Loading...

Extended trading, Chinese index markets

13.

Time Series Momentum and Volatility Scaling

Journal of Financial Markets, Forthcoming
Posted: 02 Jun 2016
Abby Kim, Yiuman Tse and John K. Wald
affiliation not provided to SSRN, University of Missouri at Saint Louis and University of Texas at San Antonio

Abstract:

Loading...

momentum, futures pricing, international asset allocation

14.

Risk Management and Firm Value: Recent Theory and Evidence

International Journal of Accounting and Information Management, Vol 24 No. 1, 2016, pp. 56-81
Posted: 11 May 2016
Timothy A. Krause and Yiuman Tse
Penn State Behrend and University of Missouri at Saint Louis

Abstract:

Loading...

Risk management, Derivatives, Enterprise risk management, Firm value

15.

The Relationship between Commodity Price and Currency Exchange Rate: Evidence from the Futures Markets

Commodity Prices and Markets, East Asia Seminar on Economics, Volume 20, pp. 47-71, 2011
Posted: 07 Apr 2016
Kalok Chan, Yiuman Tse and Michael Williams
CUHK Business School, University of Missouri at Saint Louis and Governors State University

Abstract:

Loading...

currency and commodity futures markets

16.

Do Industries Lead Stock Markets? A Reexamination

Journal of Empirical Finance, December 2015
Posted: 19 Nov 2015
Yiuman Tse
University of Missouri at Saint Louis

Abstract:

Loading...

Asset pricing, financial markets and macroeconomy, information and market efficiency

17.

Insured Uncovered Interest Parity

Finance Research Letters, Forthcoming
Posted: 21 Jun 2013
Yiuman Tse and John K. Wald
University of Missouri at Saint Louis and University of Texas at San Antonio

Abstract:

Loading...

Uncovered interest parity, carry trade, CDS