Zhangxin Frank Liu

The University of Western Australia Business School

Assistant Professor

School of Business

35 Stirling Highway

Crawley, Western Australia 6009

Australia

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 25,384

SSRN RANKINGS

Top 25,384

in Total Papers Downloads

1,825

CITATIONS

4

Scholarly Papers (12)

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.
Downloads 216 (140,530)

I Am a Blockchain Too...

Number of pages: 28 Posted: 06 Jun 2018 Last Revised: 05 Apr 2019
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
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
Downloads 1 (649,346)
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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
Downloads 0 (667,289)
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State‐Price Volatility, Fear gauge, China stock market