Zhangxin Frank Liu

The University of Western Australia Business School

Assistant Professor

School of Business

35 Stirling Highway

Crawley, Western Australia 6009

Australia

  • The University of Western Australia Business School

SCHOLARLY PAPERS

12

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1,825

CITATIONS

4

Scholarly Papers (12)

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1.

Bitcoin Time-of-Day, Day-of-Week and Month-of-Year Effects in Returns and Trading Volume

Number of pages: 21 Posted: 19 Dec 2017 Last Revised: 21 Dec 2017
Dirk G. Baur, Daniel Cahill, Keith Godfrey and Zhangxin Frank Liu
University of Western Australia - Business School, University of Western Australia, The University of Western Australia - Department of Accounting and Finance and The University of Western Australia Business School
Downloads 828 (28,211)
Citation 1

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Bitcoin; blockchain; day-of-week effects; January effect; Halloween effect; arbitrage; market efficiency

2.

Private Debt: Volatility, Credit Risk, and Returns

Asian Finance Association (AsianFA) 2016 Conference, 29th Australasian Finance and Banking Conference 2016
Number of pages: 42 Posted: 22 May 2015 Last Revised: 20 Aug 2016
Douglas J. Cumming, Grant Fleming and Zhangxin Frank Liu
Florida Atlantic University, Continuity Capital Partners and The University of Western Australia Business School
Downloads 317 (94,374)
Citation 1

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Private debt, performance, trading strategies, excess returns, credit risk, liquidity, volatility

3.

Hitting SKEW for SIX

2013 Financial Markets & Corporate Governance Conference, 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 49 Posted: 19 Dec 2012 Last Revised: 03 Jun 2016
Zhangxin Frank Liu and Robert W. Faff
The University of Western Australia Business School and University of Queensland
Downloads 225 (135,068)

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Skewness Index; Risk-Neutral Moments; SKEW; VIX; State-Preference Pricing

4.

I Am a Blockchain Too...

Downloads 216 (140,530)

I Am a Blockchain Too...

Number of pages: 28 Posted: 06 Jun 2018 Last Revised: 05 Apr 2019
Daniel Cahill, Dirk G. Baur, Zhangxin Frank Liu and Joey (Wenling) Yang
University of Western Australia, University of Western Australia - Business School, The University of Western Australia Business School and The University of Western Australia
Downloads 198 (152,228)

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Blockchain; Bitcoin; announcement; event study; investor attention.

I am a Blockchain too...

2019 Financial Markets & Corporate Governance Conference
Number of pages: 27 Posted: 22 Jan 2019
Daniel Cahill, Dirk G. Baur, Zhangxin Frank Liu and Joey (Wenling) Yang
University of Western Australia, University of Western Australia - Business School, The University of Western Australia Business School and The University of Western Australia
Downloads 18 (550,256)

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Blockchain; Bitcoin; announcement; event study; investor attention

5.

Model-Free Risk-Neutral Moments and Proxies

Number of pages: 64 Posted: 10 Aug 2015 Last Revised: 06 Jul 2016
Zhangxin Frank Liu and Thijs van der Heijden
The University of Western Australia Business School and University of Melbourne - Department of Finance
Downloads 183 (163,874)
Citation 2

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Risk-Neutral Moments, Skewness, Kurtosis, Implied Volatility Smirk, Skew, Curvature, VIX

6.

The Returns to Private Debt: Primary Issuances Versus Secondary Acquisitions

Financial Analysts Journal, Forthcoming
Number of pages: 33 Posted: 05 Oct 2018
Douglas J. Cumming, Grant Fleming and Zhangxin Frank Liu
Florida Atlantic University, Continuity Capital Partners and The University of Western Australia Business School
Downloads 52 (379,832)

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Private Debt, Performance, Trading Strategies, Excess Returns, Volatility, Credit Risk, Funding Liquidity

7.

Partial Moment Volatility Indices

Accounting & Finance, Vol. 58, Issue 1, pp. 195-215, 2018
Number of pages: 21 Posted: 28 Mar 2018
Zhangxin Frank Liu and Michael J. O'Neill
The University of Western Australia Business School and Bond University - Bond Business School
Downloads 2 (636,697)
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Lower Partial Moment, Upper Partial Moment, State‐Preference Pricing, VIX

8.

Financial Constraints and Investment Thirst in Chinese Reverse Merger Companies

Accounting & Finance, Vol. 57, Issue 5, pp. 1315-1347, 2017
Number of pages: 33 Posted: 27 Mar 2018
Zijian Cheng, Grant Fleming and Zhangxin Frank Liu
Shandong University - Department of Accounting, Continuity Capital Partners and The University of Western Australia Business School
Downloads 1 (649,346)
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China, Financial Constraints, Initial public offering, Investment Thirst, Reverse Mergers, State‐Owned Enterprises

9.

Fund Volatility Index Using Equity Market State Prices

Accounting & Finance, Vol. 57, Issue 3, pp. 837-853, 2017
Number of pages: 17 Posted: 06 Sep 2017
Michael O'Neill and Zhangxin Frank Liu
Bond University - Bond Business School and The University of Western Australia Business School
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State price volatility, Mutual fund

10.

State‐Preference Pricing and Volatility Indices

Accounting & Finance, Vol. 57, Issue 3, pp. 815-836, 2017
Number of pages: 22 Posted: 06 Sep 2017
Zhangxin Frank Liu and Michael O'Neill
The University of Western Australia Business School and Bond University - Bond Business School
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State‐preference pricing, VIX, Volatility forecasting

11.

Tail Risk Hedging for Mutual Funds Using Equity Market State Prices

Australian Journal of Management, Vol. 41, No. 4, 2016
Posted: 04 Nov 2016
Michael O'Neill and Zhangxin Frank Liu
Bond University - Bond Business School and The University of Western Australia Business School

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mutual fund, state price volatility

12.

A State‐Price Volatility Index for China's Stock Market

Accounting & Finance, Vol. 56, Issue 3, pp. 607-626, 2016
Number of pages: 20 Posted: 02 Sep 2016
Michael O'Neill, Kent Wang and Zhangxin Frank Liu
Bond University - Bond Business School, University of Queensland and The University of Western Australia Business School
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State‐Price Volatility, Fear gauge, China stock market