Xiaoming Li

Massey University - School of Economics and Finance (Albany)

Private Bag 102904

North Shore

Auckland, 0745

New Zealand

SCHOLARLY PAPERS

43

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CITATIONS
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18

Scholarly Papers (43)

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 900 (24,629)

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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 486 (56,085)

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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 448 (62,026)

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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 411 (68,834)

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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 352 (82,524)
Citation 3

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

6.

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 281 (105,743)

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Causality, error correction, price discovery

7.

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 274 (108,668)
Citation 1

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8.

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 244 (122,505)

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

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 238 (125,624)
Citation 3

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Stochastic dominance, International diversification, Asian crisis

10.

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 234 (127,769)

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

11.

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 213 (139,947)

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

12.

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 200 (148,495)
Citation 6

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

13.

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 187 (158,006)

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14.

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 165 (176,547)
Citation 1

Abstract:

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

15.

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 161 (180,207)

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

16.

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 160 (181,167)

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

17.

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 155 (186,058)

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Equity premium, Government policy uncertainty, Risk appetite, China

18.

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 155 (187,071)

Abstract:

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Order Flow, Exchange Rate, Co-Movement

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 154 (187,071)

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Asymmetry, Conditional correlation, Exchange rate

20.

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 139 (203,415)

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

21.

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 131 (213,361)

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

22.

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 127 (218,527)
Citation 1

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

23.

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 - College of Business
Downloads 121 (226,608)

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24.

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 102 (256,081)
Citation 1

Abstract:

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

25.

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 89 (279,710)

Abstract:

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Option Volume Volatility

26.

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 87 (283,656)

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

27.

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 85 (287,826)

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

28.

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 85 (287,826)

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

29.

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 78 (302,986)

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Dynamic Panel, Fiscal Policy, Human Capital

30.

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 70 (322,217)

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policy uncertainty shock, stock-bond correlation, asymmetry

31.

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 61 (346,085)

Abstract:

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

32.

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 59 (351,727)
Citation 1

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

33.

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 58 (354,756)

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inflation targeting, exchange rate, asymmetric tail dependence, copula

34.

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 57 (357,774)

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Predictive likelihood criterion, structural breaks, model selection, China

35.

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 and Min Bai
Massey University - School of Economics and Finance (Albany) and Independent
Downloads 50 (379,724)

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

36.

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 47 (389,870)

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37.

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

Applied Economics, Forthcoming
Number of pages: 46 Posted: 22 Apr 2016
Min Bai, Xiaoming Li and Yafeng Qin
Independent, Massey University - School of Economics and Finance (Albany) and Massey University - School of Economics and Finance
Downloads 46 (393,200)

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

38.

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 43 (403,858)

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39.

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 29 (461,493)

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40.

A Revisit of International Stock Market Linkages: New Evidence from Rank Tests for Nonlinear Cointegration

Scottish Journal of Political Economy, Vol. 53, No. 2, pp. 174-197, May 2006
Number of pages: 24 Posted: 08 May 2006
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 27 (471,433)
Citation 1
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41.

China's Economic Growth: What Do We Learn from Multiple-Break Unit Root Tests?

Scottish Journal of Political Economy, Vol. 52, No. 2, pp. 261-281, May 2005
Number of pages: 21 Posted: 09 Jun 2005
Xiaoming Li
Massey University - School of Economics and Finance (Albany)
Downloads 26 (476,637)
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42.

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 18 (521,149)

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China, Investment competition, Financial reform, Monetary policy

43.

Is Technical Analysis Useful for Stock Traders in China? Evidence from the Szse Component A-Share Index

Pacific Economic Review, Vol. 11, No. 4, pp. 477-488, December 2006
Number of pages: 12 Posted: 07 Dec 2006
Kong-Jun Chen and Xiaoming Li
Massey University - Department of Commerce and Massey University - School of Economics and Finance (Albany)
Downloads 16 (532,517)
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Other Papers (1)

Total Downloads: 6    Citations: 0
1.

In Practice: Short Sale Restrictions Imply Higher Returns

CFA Institute, Asia-Pacific Research Exchange (ARX), April 2017
Number of pages: 3 Posted: 12 May 2017
Danling Jiang and Xiaoming Li
College of Business, Stony Brook University and Massey University - School of Economics and Finance (Albany)
Downloads 6

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