Xiaoming Li

Massey University - School of Economics and Finance (Albany)

Private Bag 102904

North Shore

Auckland, 0745

New Zealand

SCHOLARLY PAPERS

49

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9,616

SSRN CITATIONS
Rank 27,849

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Top 27,849

in Total Papers Citations

32

CROSSREF CITATIONS

11

Scholarly Papers (49)

1.

On the Value of Technical Analysis for Stock Traders in China

Massey University Commerce Working Paper No. 03.03
Number of pages: 20 Posted: 19 Feb 2004
Xiaoming Li and Kong-Jun Chen
Massey University - School of Economics and Finance (Albany) and Massey University - Department of Commerce
Downloads 970 (45,918)

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Technical analysis, return predictability, trading volume, weak-form efficiency, China's stock market

2.

China's Evolving Stock Market Efficiency Reconsidered: The Kalman Filter Analysis

Number of pages: 18 Posted: 05 Feb 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 523 (102,772)
Citation 1

Abstract:

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3.

International Stock Market Integration: Evidence from Nonlinear Cointegration Analysis

Number of pages: 23 Posted: 05 Feb 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 516 (104,431)

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nonlinear cointegration, rank test, stock markets

4.

Correlation in Commodity Futures and Equity Markets Around the World: Long-Run Trend and Short-Run Fluctuation

Number of pages: 41 Posted: 26 Feb 2012
Xiaoming Li, Bing Zhang and Zhijie Du
Massey University - School of Economics and Finance (Albany), Nanjing University - School of Management and Engineering and affiliation not provided to SSRN
Downloads 510 (105,953)
Citation 1

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Commodity futures, Equity, Conditional correlation, Long-run trend

5.

On Unstable Beta Risk and its Modelling Techniques for New Zealand Industry Portfolios

Massey University Commerce Working Paper No. 03.01
Number of pages: 28 Posted: 18 Feb 2004
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 414 (135,592)
Citation 4

Abstract:

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Time-varying beta, Stochastic volatility, GARCH, Kalman filter, New Zealand

6.

How Important is Economic Policy Uncertainty for Capital Structure Decisions? Evidence from US Firms

Number of pages: 48 Posted: 16 Jan 2018
Xiaoming Li and Mei Qiu
Massey University - School of Economics and Finance (Albany) and Massey University - Massey Business School
Downloads 413 (135,951)
Citation 2

Abstract:

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7.

Lead Lag Direction and Price Discovery of the S&P/ASX 200 Share Price Index and the S&P/ASX 200 Index Options

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 50 Posted: 27 Aug 2007
Klaus Buhr, Lawrence C. Rose and Xiaoming Li
Massey University - School of Economics and Finance, Massey University and Massey University - School of Economics and Finance (Albany)
Downloads 374 (152,582)
Citation 3

Abstract:

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Causality, error correction, price discovery

8.

Order Flow, Volatility and Fuzzy Logic: Technical Analyses for Currency Trading

Number of pages: 53 Posted: 04 Jun 2017
Vincent Kleinbrod and Xiaoming Li
affiliation not provided to SSRN and Massey University - School of Economics and Finance (Albany)
Downloads 348 (164,631)

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Order flow; Volatility; Multivariate fuzzy logic; Neuro fuzzy logic; Technical analysis; Currency trading

9.

Comparing Mean Variance Tests with Stochastic Dominance When Assessing International Portfolio Diversification Benefits

Massey University Commerce Working Paper No. 04.04
Number of pages: 36 Posted: 05 Feb 2007
Southeastern Louisiana University - Department of Marketing and Finance, Massey University - School of Economics and Finance (Albany) and Massey University
Downloads 327 (176,004)
Citation 4

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Stochastic dominance, International diversification, Asian crisis

10.

A Note on New Zealand Stock Market Efficiency

Number of pages: 13 Posted: 06 Feb 2007
Xiaoming Li and Jian Xu
Massey University - School of Economics and Finance (Albany) and Jing Tian Law Firm
Downloads 299 (193,564)
Citation 1

Abstract:

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11.

The Causal Relationship between Government Revenue and Expenditure in China: An Application of Vec and VAR Modelling

Number of pages: 24 Posted: 05 Feb 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 285 (203,343)

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Government revenue, Government expenditure, Granger causality, Stationarity, Cointegration

12.

New Evidence on Economic Policy Uncertainty and Equity Risk Premium

Number of pages: 61 Posted: 24 Jan 2017
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 262 (221,416)
Citation 2

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Equity premium, Government policy uncertainty, Risk appetite, China

13.

Dynamic Asymmetric Tail Dependence in Asian Developed Futures Markets

Massey University Commerce Working Paper No. 06.16
Number of pages: 38 Posted: 06 Feb 2007
Qing Xu and Xiaoming Li
Massey University - Department of Commerce and Massey University - School of Economics and Finance (Albany)
Downloads 261 (222,235)

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Tail dependence, Time varying two-parameter copula, Two-Stage Estimation, Threshold GARCH, Conditional skewed-t distribution, Goodness-of-fit test

14.

How Do Policy and Information Shocks Impact Co-Movements of China's T-Bond and Stock Markets

Massey University Commerce Working Paper No. 06.14
Number of pages: 27 Posted: 05 Feb 2007
Xiaoming Li and Liping Zou
Massey University - School of Economics and Finance (Albany) and School of Economics and Finance, Massey Univeristy, Albany
Downloads 234 (247,432)
Citation 1

Abstract:

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Macroeconomic austerity, Dynamic correlation, T-bond market, Stock market

15.

Order Flow and Exchange Rate Co-Movement

Asian Finance Association (AsianFA) 2017 Conference
Number of pages: 61 Posted: 05 Jan 2017
Vincent Kleinbrod and Xiaoming Li
affiliation not provided to SSRN and Massey University - School of Economics and Finance (Albany)
Downloads 230 (251,527)

Abstract:

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Order Flow, Exchange Rate, Co-Movement

16.

The Long-Run and Short-Run Multipliers of Fiscal Policy in the Chinese Economy

Massey University, Commerce Working Paper No. 03.02
Number of pages: 26 Posted: 18 Feb 2004
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 218 (266,964)

Abstract:

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17.

The No-Short Return Premium

Number of pages: 41 Posted: 24 Jan 2017 Last Revised: 29 Mar 2019
Danling Jiang and Xiaoming Li
College of Business, Stony Brook University and Massey University - School of Economics and Finance (Albany)
Downloads 205 (280,114)

Abstract:

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Short-Sale Regulation; Return Comovement; Limits to Arbitrage; Mispricing

18.

The Tail Risk of Emerging Stock Markets

Massey U. College of Business Research Paper No. 6
Number of pages: 29 Posted: 05 Jun 2009 Last Revised: 06 Jul 2009
Xiaoming Li and Lawrence C. Rose
Massey University - School of Economics and Finance (Albany) and Massey University
Downloads 192 (297,229)

Abstract:

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Emerging markets, Investable stocks, Noninvestable stocks, Tail risk, Tail dependence

19.

Asymmetric Dynamics in Exchange Rate Correlations: Price Stability or Export Competitiveness?

Number of pages: 9 Posted: 05 Feb 2007
Xiaoming Li and Xuewen Zhao
Massey University - School of Economics and Finance (Albany) and affiliation not provided to SSRN
Downloads 186 (305,881)

Abstract:

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Asymmetry, Conditional correlation, Exchange rate

20.

Global Equity-Commodity Market Correlations: Financial Crises and Broken Trends

Number of pages: 50 Posted: 16 Jan 2013
Xiaoming Li and Bing Zhang
Massey University - School of Economics and Finance (Albany) and Nanjing University - School of Management and Engineering
Downloads 183 (310,249)

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commodity index, equity index, correlation trend, financial crisis, structural break

21.

Return Predictability, Leverage Effect and Volatility Transmission: How Informationally Efficient are China's A-Share and B-Share Markets?

Number of pages: 36 Posted: 05 Feb 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 162 (345,371)
Citation 1

Abstract:

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A shares, B shares, weak-form efficiency; return volatility, China

22.

Do COVID-19 Vaccinations Stabilize Foreign Exchange Markets? Global Evidence

Number of pages: 49 Posted: 09 Nov 2021 Last Revised: 03 Mar 2022
Thao T.T. Nguyen, Son Duy Pham and Xiaoming Li
Massey University- School of Economics and Finance, Massey University -School of Economics and Finance and Massey University - School of Economics and Finance (Albany)
Downloads 159 (350,784)

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COVID-19 vaccinations; Exchange rate volatility; Realized volatility; Heterogeneous Autoregressive model; Measurement errors.

23.

China's Economic Growth: Evidence from Multiple-Break Unit Root Tests

Number of pages: 34 Posted: 05 Feb 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 152 (364,116)

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China, economic growth, unit roots, structural breaks, steady state

24.

A Test Procedure for Evaluating Copula-Based Multivariate Density Forecasts

Number of pages: 9 Posted: 05 Jun 2009
Xiaoming Li and Qing Xu
Massey University - School of Economics and Finance (Albany) and Massey University - Department of Commerce
Downloads 147 (374,278)
Citation 1

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Multivariate density forecast, Copula model, Superior predictive ability test, Multiple model comparison

25.

Firm Characteristics, Stock Returns and Structural Change: A Panel Data Analysis of China’s Investable Companies

Number of pages: 31 Posted: 02 Jul 2010
Xiaoming Li and Huaiyu Duan
Massey University - School of Economics and Finance (Albany) and affiliation not provided to SSRN
Downloads 146 (376,355)

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Investable stocks, firm characteristics, stock market liberalization, panel regression

26.

How do Exchange Rates Co-Move? A Study on the Currencies of Five Inflation-Targeting Countries

Massey U. College of Business Research Paper No. 17
Number of pages: 31 Posted: 02 Jul 2010
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 140 (388,948)

Abstract:

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Exchange rate correlation, Interest rate differentials, ADCCE model, Inflation-targeting countries

27.

Economic Policy Uncertainty Shocks and Stock-Bond Correlations: Evidence from the US Market

Forthcoming in Economics Letters
Number of pages: 13 Posted: 19 Apr 2015 Last Revised: 14 May 2015
Xiaoming Li, Bing Zhang and Ruzhao Gao
Massey University - School of Economics and Finance (Albany), Nanjing University - Department of Finance and Insurance and Nanjing University - School of Management and Engineering
Downloads 130 (412,167)
Citation 6

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policy uncertainty shock, stock-bond correlation, asymmetry

28.

The Informational Role of Options Trading Volume in the Australian Index Options Markets

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 61 Posted: 24 Jan 2010
Xiaoming Li, Lawrence Rose and Klaus Buhr
Massey University - School of Economics and Finance (Albany), affiliation not provided to SSRN and Massey University - School of Economics and Finance
Downloads 121 (437,946)

Abstract:

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Option Volume Volatility

29.

Which Oil Shocks Matter to Capital Structure? Evidence from Around the World

Number of pages: 55 Posted: 20 Sep 2021 Last Revised: 03 Mar 2022
Son Duy Pham, Thao T.T. Nguyen and Xiaoming Li
Massey University -School of Economics and Finance, Massey University- School of Economics and Finance and Massey University - School of Economics and Finance (Albany)
Downloads 114 (455,055)

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Oil shocks; Capital structure; Macroeconomic variables; Firm characteristics.

30.

Traversing the Short-Sale-Ban and the No-Ban Regime: A New Tale of the Old Overvaluation Story

Number of pages: 47 Posted: 19 Sep 2011
Xiaoming Li, Min Bai and Min Bai
Massey University - School of Economics and Finance (Albany) and Massey UniversityIndependent
Downloads 108 (473,513)
Citation 1

Abstract:

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Short-sale ban, regime, stock valuation, opinion dispersion

31.

The Effects of Fiscal Policy on Human Capital Accumulation: Evidence from OECD Countries

Number of pages: 6 Posted: 05 Feb 2007
K. Peren Arin and Xiaoming Li
Zayed University and Massey University - School of Economics and Finance (Albany)
Downloads 108 (473,513)

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Dynamic Panel, Fiscal Policy, Human Capital

32.

Rethinking Long Memory and Structural Breaks in the Forward Premium

Number of pages: 41 Posted: 05 Jun 2009
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 106 (479,942)
Citation 1

Abstract:

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Long memory, Structural breaks, Sampling frequency, Forward premium anomaly

33.

US Economic Policy Uncertainty and Co-Movements between Chinese and US Stock Markets

Number of pages: 23 Posted: 19 Apr 2016
Xiaoming Li and Lu Peng
Massey University - School of Economics and Finance (Albany) and CITIC Securities
Downloads 105 (483,252)

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Economic policy uncertainty; international stock market co-movements; China; U.S

34.

Assessing Tail-Related Risks in Asian Equity Markets: A Gpd Approach

Number of pages: 44 Posted: 05 Feb 2007
Xiaoming Li and Qing Xu
Massey University - School of Economics and Finance (Albany) and Massey University - Department of Commerce
Downloads 103 (489,871)

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generalised Pareto distribution, volatility filtering, VaR, expected shortfall, Asian equity markets

35.

Asymmetric Exchange Rate Dependence: An Empirical Investigation for Small Inflation-Targeting Economies

Number of pages: 33 Posted: 05 Jun 2009
Xiaoming Li and Qing Xu
Massey University - School of Economics and Finance (Albany) and Massey University - Department of Commerce
Downloads 84 (558,408)

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inflation targeting, exchange rate, asymmetric tail dependence, copula

36.

China Being Buffeted from within and Without: An Analysis of its Macroeconomic Policies

Number of pages: 38 Posted: 06 Feb 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 82 (566,531)
Citation 1

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Asian financial crisis, economic growth slowdown, exchange rate, macroeconomic stabilisation policy, long-run development strategy

37.

A Quasi-Bayesian Analysis of Structural Breaks in China's Output and Productivity Series

Number of pages: 12 Posted: 05 Feb 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 79 (579,228)

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Predictive likelihood criterion, structural breaks, model selection, China

38.

The Joint Effects of Economic Policy Uncertainty and Firm Characteristics on Capital Structure: Evidence From US Firms

Journal of International Money and Finance, Vol. 110, Forthcoming
Number of pages: 42 Posted: 20 Nov 2020
Xiaoming Li and Mei Qiu
Massey University - School of Economics and Finance (Albany) and Massey University - Massey Business School
Downloads 77 (587,698)

Abstract:

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Economic Policy Uncertainty; Firm Characteristics; Capital Structure; US Firms

39.

Firm-Level Policy Risk in China: The Effects on Corporate Leverage Target Following Behaviour

Number of pages: 50 Posted: 12 Jun 2020
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 74 (600,844)
Citation 1

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Firm-level policy risk; Leverage target; Speed of adjustment; Chinese firms

40.

Short-Selling Constraints and Stock-Valuation Pattern: A Regime-Event Analysis

Applied Economics, Forthcoming
Number of pages: 46 Posted: 22 Apr 2016
Min Bai, Min Bai, Xiaoming Li and Yafeng Qin
Massey UniversityIndependent, Massey University - School of Economics and Finance (Albany) and Massey University - School of Economics and Finance
Downloads 72 (610,062)

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Short-sale ban; regime; stock valuation; opinion dispersion

41.

The 'Inward and Westward' Shifts in the Strategic Emphases of China's Economic Development

Number of pages: 25 Posted: 05 Feb 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 70 (619,429)

Abstract:

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42.

From the EMS to EMU: Has There Been Any Change in the Behaviour of Exchange Rate Correlation?

Number of pages: 17 Posted: 25 May 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 68 (629,119)

Abstract:

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43.

Manacled Short Sellers and Return Premium: New Evidence

European Financial Management (2022), Vol. 28, No. 2, pp. 403-432
Number of pages: 46 Posted: 14 Sep 2022
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 50 (728,625)

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Short-sale regulation, overconfidence bias, mispricing, Hong Kong market

44.

A Game-Theoretical Study of Alternative Policies in China: Can Locally Initiated Investment Expansion Be Regulated?

Number of pages: 28 Posted: 05 Feb 2007
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 50 (728,625)

Abstract:

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45.

How Are Economic Policy Uncertainty Shocks Transmitted to Capital Structure? Chinese Evidence

International Journal of Managerial Finance, Forthcoming
Number of pages: 35 Posted: 14 Sep 2022
Xiaoming Li and Mei Qiu
Massey University - School of Economics and Finance (Albany) and Massey University - Massey Business School
Downloads 41 (789,600)
Citation 1

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Policy-risk-induced equity return, Leverage target, Speed of adjustment, Chinese firms

46.

Non-Tariff Measures and Free Trade Agreements

Number of pages: 8 Posted: 01 Feb 2022
Xiaoming Li and Thang Viet Vu
Massey University - School of Economics and Finance (Albany) and affiliation not provided to SSRN
Downloads 39 (804,279)

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Non-tariff measures, Free trade agreements, Gravity model, Linear probability regression

47.

Reforming China's Financial System and Monetary Policies: A Sovereign Remedy for Locally Initiated Investment Expansion?

Journal of Development Economics, Vol. 62, pp. 423-443, 2000
Number of pages: 21 Posted: 31 Oct 2000 Last Revised: 18 Sep 2011
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 39 (804,279)

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China, Investment competition, Financial reform, Monetary policy

48.

Volatility Connectedness Across Oil-Dependent Currencies: A Multivariate Har with Measurement Errors Approach

Number of pages: 68 Posted: 17 Nov 2022
Thao T.T. Nguyen, Hung Xuan Do and Xiaoming Li
Massey University- School of Economics and Finance, Massey University, Albany campus and Massey University - School of Economics and Finance (Albany)
Downloads 30 (877,280)

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Foreign exchange, Volatility Spillover, Realized volatility, Measurement errors, Multivariate heterogeneous autoregressive model, Regime switching

49.

Downside Risk and Its Drivers in China’s Securities Markets: Does Greenness Make Bonds A Safer Haven?

Number of pages: 53 Posted: 22 May 2024
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 10 (1,086,550)

Abstract:

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Green Bonds; Downside Risk; Hybrid-X4 Model; Value-at-Risk; Expected Shortfall; Climate Policy Uncertainty; Diebold-Mariano Test