Yiuman Tse

University of Missouri at Saint Louis

Professor

1 University Blvd.

St Louis, MO 63121

United States

SCHOLARLY PAPERS

15

DOWNLOADS

200

SSRN CITATIONS

0

CROSSREF CITATIONS

11

Scholarly Papers (15)

1.

Cross-asset Time-series Momentum: Crude Oil Options and Global Stock Markets

Number of pages: 53 Posted: 24 May 2021 Last Revised: 21 Jun 2021
Auckland University of Technology, Auckland University of Technology - Department of Finance, University of Missouri at Saint Louis and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 69 (413,187)

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cross-asset predictability, time-series momentum, options straddle returns, crude oil market, international stock markets

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
Auckland University of Technology - Department of Finance, University of Lethbridge - Faculty of Management and University of Missouri at Saint Louis
Downloads 68 (413,187)

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SOFR, LIBOR, target fed funds rate

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, Auckland University of Technology - Department of Finance, Auckland University of Technology - Faculty of Business & Law and University of Missouri at Saint Louis
Downloads 44 (514,179)

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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, Auckland University of Technology - Department of Finance, Auckland University of Technology and University of Missouri at Saint Louis
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4.

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 18 (655,536)

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cointegration, clustering, EGARCH, heteroskedasticity, spillover

5.

Does Index Speculation Impact Commodity Prices? An Intraday Analysis

Financial Review, Vol. 48, Issue 3, pp. 365-383, 2013
Number of pages: 19 Posted: 06 Jul 2013
Yiuman Tse and Michael Williams
University of Missouri at Saint Louis and Governors State University
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index speculation, commodity prices, intraday data

6.

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

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Relative pricing, arbitrage, cointegration, pairs trading, forecasting

7.

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

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Overnight returns, Volatility, VaR, Index ETFs and futures

8.

Return Seasonality in the Foreign Exchange Market

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

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

9.

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

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Extended trading, Chinese index markets

10.

Time Series Momentum and Volatility Scaling

Journal of Financial Markets, Forthcoming
Posted: 02 Jun 2016
Abby Kim, Yiuman Tse and John K. Wald
Securities and Exchange Commission, University of Missouri at Saint Louis and University of Texas at San Antonio

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momentum, futures pricing, international asset allocation

11.

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

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Risk management, Derivatives, Enterprise risk management, Firm value

12.

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

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currency and commodity futures markets

13.

Asymmetric Volatility, Skewness, and Downside Risk in Different Asset Classes: Evidence from Futures Markets

Financial Review, Vol. 51, Issue 1, pp. 83-111, 2016
Number of pages: 29 Posted: 14 Jan 2016
Yiuman Tse
University of Missouri at Saint Louis
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asymmetric volatility, skewness, coskewness, downside risk, international futures

14.

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

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

15.

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

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Uncovered interest parity, carry trade, CDS