Donald D. Lien

University of Texas at San Antonio - College of Business - Department of Economics

Professor

6900 North Loop 1604 West

San Antonio, TX 78249

United States

  • University of Texas at San Antonio - College of Business - Department of Economics

    • Email
    • Tel: 210-458-4313
    • Fax: 210-458-4308
SCHOLARLY PAPERS

48

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Scholarly Papers (48)

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1.

Some Recent Developments in Futures Hedging

Number of pages: 41 Posted: 28 Dec 2000
Donald D. Lien and Yiu Kuen Tse
University of Texas at San Antonio - College of Business - Department of Economics and Singapore Management University - School of Social Sciences
Downloads 1,006 (27,484)
Citation 13

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2.

Exchange Traded Funds, Liquidity, and Market Volatility

Applied Financial Economics (2013)
Number of pages: 37 Posted: 29 Sep 2012 Last Revised: 13 Jan 2017
Timothy A. Krause, Sina Ehsani and Donald D. Lien
Penn State Behrend, Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 738 (42,256)
Citation 10

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Exchange Traded Fund, ETF, Volatility Spillover, Liquidity, Volume

3.

Cash Settlement and Price Discovery in Futures Markets

Downloads 672 ( 47,922)
Citation 9

Cash Settlement and Price Discovery in Futures Markets

Number of pages: 23 Posted: 18 Aug 2001
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 672 (47,278)
Citation 9

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Price Discovery Function, Futures Markets, Geweke Measures, Cash Settlement

Cash Settlement and Price Discovery in Futures Markets

Quarterly Journal of Business and Economics, Vol. 40, No. 2, pp. 65-77
Posted: 17 Dec 2003
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics

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Price Discovery Function, Futures Markets, Geweke Measures, Cash Settlement

4.

Spot-Futures Spread, Time-Varying Correlation, and Hedging with Currency Futures

Journal of Futures Markets, Forthcoming
Number of pages: 30 Posted: 22 Feb 2006
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 648 (50,333)

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Asymmetric effects of spot-futures spread, Dynamic conditional correlation, Currency futures hedging, GARCH specification

5.

Using High, Low, Open and Closing Prices to Estimate the Effects of Cash Settlement on Futures Prices

Downloads 550 ( 61,934)
Citation 1

Using High, Low, Open and Closing Prices to Estimate the Effects of Cash Settlement on Futures Prices

Number of pages: 21 Posted: 23 Mar 2001
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 550 (61,238)
Citation 1

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Stochastic Volatility Model, Quasi-Maximum Likelihood, Cash Settlement, Feeder Cattle Futures Contract

Using High, Low, Open and Closing Prices to Estimate the Effects of Cash Settlement on Futures Prices

Posted: 30 Jul 2002
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics

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Stochastic Volatility Model, Quasi-Maximum Likelihood, Cash Settlement, Feeder Cattle Futures Contract

6.

Capital Controls and Foreign Direct Investment

Downloads 393 ( 92,749)
Citation 6

Capital Controls and Foreign Direct Investment

Number of pages: 25 Posted: 14 Jul 2003
Elizabeth Asiedu and Donald D. Lien
University of Kansas - Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 393 (91,964)
Citation 6

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Capital controls, capital flows, developing countries, foreign direct investment, liberalization

Capital Controls and Foreign Direct Investment

Posted: 20 Mar 2004
Elizabeth Asiedu and Donald D. Lien
University of Kansas - Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics

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Capital controls, capital flows, current account restrictions, developing countries, foreign direct investment, liberalization

7.

Hedging with Chinese Metal Futures

Number of pages: 32 Posted: 13 Mar 2007
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 387 (94,439)

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Time-varying Variance and Correlation, Long Memory in Volatility, Dynamic Hedging, and Chinese Metal Futures Markets

8.

Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets

Number of pages: 27 Posted: 18 Feb 2007
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 381 (96,212)
Citation 12

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Dynamic hedging strategy, Asymmetric basis effect, Time-varying volatility and correlation of spot and futures returns

9.

Are Options Redundant? Further Evidence from Currency Futures Markets

Number of pages: 23 Posted: 27 May 2002
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 347 (106,862)

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Currency futures options, Geweke measures, Market efficiency

10.

Futures Hedging Under Mark-to-Market Risk

Journal of Futures Markets, Vol. 23, No. 4, 2003
Number of pages: 16 Posted: 17 Oct 2007
Anlong Li and Donald D. Lien
KL Capital and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 259 (145,818)

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Futures, Hedging, Marking-to-market

11.

Commodity Financialization and Herd Behavior in Commodity Futures Markets

International Review of Financial Analysis, Vol. 39, 2015
Number of pages: 28 Posted: 17 May 2013 Last Revised: 28 Apr 2015
Riza Demirer, Hsiang-Tai Lee and Donald D. Lien
Southern Illinois University Edwardsville - Department of Economics & Finance, National Chi Nan University - Department of Finance and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 240 (157,031)
Citation 2

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herd behavior, commodity financialization, return dispersion, Markov Switching

12.

Designing Information Markets for Decision Making

AEI-Brookings Joint Center Working Paper No. 05-23
Number of pages: 48 Posted: 08 Dec 2005
Paul C. Tetlock, Robert W. Hahn and Donald D. Lien
Columbia Business School - Finance, Technology Policy Institute and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 202 (184,988)
Citation 1

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information markets, decision markets

13.

Measuring the Effect of Sexual Orientation on Income: Evidence of Discrimination?

Contemporary Economic Policy, Vol. 20, pp. 394-414, 2002
Number of pages: 21 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 193 (192,763)
Citation 1

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GBL, behavioral economics, gay, lesbian, civil rights, logit, logistic, discrete dependent variables, limited dependent variables, misreporting, nonresponse, mis-reporting, non-response

14.

Democracy, Foreign Direct Investment and Natural Resources

Number of pages: 39 Posted: 18 Dec 2010
Elizabeth Asiedu and Donald D. Lien
University of Kansas - Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 184 (201,128)
Citation 22

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Democracy, Foreign Direct Investment, Natural Resources

15.

Measuring the Impacts of Cash Settlement: A Stochastic Volatility Approach

Downloads 175 (210,105)
Citation 1

Measuring the Impacts of Cash Settlement: A Stochastic Volatility Approach

Number of pages: 25 Posted: 16 Apr 2001
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 175 (210,190)
Citation 1

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Stochastic Volatility Model, Quasi-Maximum Likelihood, Cash Settlement, Feeder Cattle Futures Contract

Measuring the Impacts of Cash Settlement: A Stochastic Volatility Approach

Posted: 30 Jul 2002
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics

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Stochastic Volatility Model, Quasi-Maximum Likelihood, Cash Settlement, Feeder Cattle Futures Contract

16.

The Effects of China's Split-Share Reform on Firms’ Capital Structure Choice

Applied Economics, Volume 48, 2016 - Issue 27
Number of pages: 44 Posted: 23 Oct 2015 Last Revised: 06 Nov 2016
Liang Guo, Donald D. Lien and Ya Dai
California State University, East Bay, University of Texas at San Antonio - College of Business - Department of Economics and Analytic Focus LLC
Downloads 157 (230,388)
Citation 2

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Split-share reform, Capital structure, Trade-off theory, Pecking order theory, Dynamic target adjustment models

17.

Futures versus Stocks: A Stochastic Dominance Study in Malaysian Markets

Number of pages: 35 Posted: 17 May 2009 Last Revised: 21 Mar 2012
Hooi Hooi Lean, Donald D. Lien and Wing-Keung Wong
Universiti Sains Malaysia, University of Texas at San Antonio - College of Business - Department of Economics and Asia University, Department of Finance
Downloads 145 (246,002)
Citation 4

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stochastic dominance, index futures, arbitrage opportunity, Malaysian

18.

The Effect of Structural Breaks and Long Memory on Currency Hedging

Journal of Futures Markets, Forthcoming
Number of pages: 34 Posted: 18 Jan 2010
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 112 (298,345)

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Structural breaks, Short and long memory GARCH models, Dynamic hedging strategy, Currency futures

19.

Herding and Flash Events: Evidence From the 2010 Flash Crash

Finance Research Letters, 2019
Number of pages: 9 Posted: 02 Nov 2018 Last Revised: 28 Dec 2018
Riza Demirer, Karyl Leggio and Donald D. Lien
Southern Illinois University Edwardsville - Department of Economics & Finance, Loyola University Maryland and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 99 (324,334)
Citation 1

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Herding, Flash Crash

20.

A Note on Minimum Riskiness Hedge Ratio

Finance Research Letters, Vol. 15, 2015
Number of pages: 11 Posted: 17 Aug 2014 Last Revised: 13 Jan 2017
Sina Ehsani and Donald D. Lien
Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 95 (333,013)
Citation 1

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riskiness, economic index of riskiness, operational measure of riskiness, hedge ratio

21.

Convergence to Efficiency in FTSE-100 Futures Market

Number of pages: 32 Posted: 25 Jan 2011
Ju Xiang and Donald D. Lien
Central University of Finance and Economics (CUFE) and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 79 (372,796)

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EMH, FTSE, effeciency, futures market, puzzle, wavelet

22.

Effects of Passive Intensity on Aggregate Price Dynamics

Downloads 66 (411,529)
Citation 1

Effects of Passive Intensity on Aggregate Price Dynamics

Number of pages: 39 Posted: 17 Aug 2014 Last Revised: 09 Jun 2015
Sina Ehsani and Donald D. Lien
Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 66 (416,790)

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passive investment, price dynamics, comovement, synchronism, systematic volatility, idiosyncratic volatility

Effects of Passive Intensity on Aggregate Price Dynamics

Financial Review, Vol. 50, Issue 3, pp. 363-391, 2015
Number of pages: 29 Posted: 17 Jul 2015
Sina Ehsani and Donald D. Lien
Northern Illinois University and University of Texas at San Antonio - College of Business - Department of Economics
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passive investment, comovement, systematic volatility, idiosyncratic volatility

23.

Does Society Benefit from Investor Overconfidence in the Ability of Financial Market Experts?

Journal of Economic Behavior and Organization, Vol. 58, pp. 95-116, 2005
Number of pages: 22 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 55 (449,916)

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Overconfidence, Heterogeneous beliefs, Disagreement, Financial markets, Expert, Trust

24.

Bad Volatility Is Not Always Bad: Evidence from the Commodity Markets

Number of pages: 45 Posted: 10 Jul 2019
Ivan Indriawan, Donald D. Lien, Tai-Yong Roh and Yahua Xu
Auckland University of Technology - Department of Finance, University of Texas at San Antonio - College of Business - Department of Economics, Liaoning University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 47 (481,351)

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Commodity markets; Upside and downside variance risk premiums; Asymmetric risk; Prediction

25.

Intraday Return Predictability in the Crude Oil Market: The Role of EIA Inventory Announcements

Number of pages: 43 Posted: 09 Apr 2021
Ivan Indriawan, Donald D. Lien, Zhuzhu Wen and Yahua Xu
Auckland University of Technology - Department of Finance, University of Texas at San Antonio - College of Business - Department of Economics, PBCSF, Tsinghua University and Central University of Finance and Economics (CUFE) - China Economics and Management Academy
Downloads 44 (498,759)

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Crude oil market, EIA announcements, Intraday momentum, Return predictability

26.

Dynamic Correlation: A Tool for Hedging House Price Risk?

Journal of Real Estate Portfolio Management, Vol. 13, No. 1, pp. 17-28, 2007
Number of pages: 12 Posted: 15 Oct 2010
Nathan Berg, Anthony Yanxiang Gu and Donald D. Lien
University of Otago, Department of Economics, SUNY at Geneseo - John Wiley Jones School of Business and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 44 (494,329)

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Real Estate, Time-Varying Risk, Time-Dependent Variance, Risk Premium, Risk Aversion, Housing Risk, Portfolio Choice, Ecological Rationality, Behavioral Economics, Bounded Rationality

27.

Liquidity Connectedness in the Foreign Exchange Market

Number of pages: 55 Posted: 08 Jul 2021
Junmao Chiu, Hsiu-Chuan Lee and Donald D. Lien
National Sun Yat-sen University-Department of Finance, Ming Chuan University and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 41 (512,543)

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Liquidity connectedness; Currency risk; Carry-trade returns; FX market

28.

Same-Sex Sexual Behavior: U.S. Frequency Estimates from Survey Data with Simultaneous Misreporting and Non-Response

Applied Economics, Vol. 38, No. 7, pp. 757-769, 2006
Number of pages: 13 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 37 (526,838)

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Homosexual, Heterosexual, Sexual Orientation, Gay, Lesbian, Economic Demography, Discrete Dependent Variable, Augmented Logit, Mis-reporting, Nonresponse

29.

Tracking-Error Decision Rules and Accumulated Wealth

Applied Mathematical Finance, Vol. 10, No. 2, pp. 91-119, 2003
Number of pages: 30 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 29 (569,730)
Citation 1

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Behavioral Economics, Normative Economics, Bounded Rationality, Ecological Rationality, Agent-Based, Computational Economics, Choice Under Uncertainty, Third Moment, Risk, Procedural Rationality

30.

Rent Seeking and Allocative Efficiency

Number of pages: 11 Posted: 13 Dec 2002
Donald D. Lien
University of Texas at San Antonio - College of Business - Department of Economics
Downloads 27 (581,895)
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31.

Fertility and Economic Growth: Do Immigrant Maids Play a Role?

Number of pages: 13 Posted: 14 Jan 2003
Sucharita Ghosh and Donald D. Lien
The University of Akron and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 24 (601,308)
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32.

State-Dependent Preferences and Futures Hedging: The Effects of Basis Risk

Number of pages: 7 Posted: 02 Jul 2004
Donald D. Lien
University of Texas at San Antonio - College of Business - Department of Economics
Downloads 21 (621,551)
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33.

Sexual Orientation and Self-Reported Lying

Review of Economics of the Household, Vol. 1, No. 7, pp. 83-104
Number of pages: 22 Posted: 15 Oct 2010
Nathan Berg and Donald D. Lien
University of Otago, Department of Economics and University of Texas at San Antonio - College of Business - Department of Economics
Downloads 20 (628,574)

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Deception, Sexual orientation, Gay, Misreporting, Non-response

34.

Asymmetric Effects of Cultural Institutes on Trade and Foreign Direct Investment

The World Economy, Vol. 42, Issue 5, pp. 1520-1553, 2019
Number of pages: 34 Posted: 16 Apr 2019
Donald D. Lien, David Bojanic and Melody Lo
University of Texas at San Antonio - College of Business - Department of Economics, University of Texas at San Antonio and University of Texas at San Antonio
Downloads 1 (777,921)
Citation 1
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bilateral trade, cultural institutes, foreign direct investment, gravity model

35.

Does the Confucius Institute Network Impact Cultural Distance?: A Panel Data Analysis of Cross-Border Flows in and Out of China

Ghosh, Sucharita, Lien, Donald and Steven Yamarik, 2017, "Does the Confucius Institute Network Impact Cultural Distance? A Panel Data Analysis of Cross-Border Flows in and out of China," Asian Economic Journal, vol 31(3), pages 299-323.
Posted: 26 Aug 2018
Sucharita Ghosh, Donald D. Lien and Steven Yamarik
The University of Akron, University of Texas at San Antonio - College of Business - Department of Economics and California State University, Long Beach - Department of Economics

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Confucius Institute, China, Culture, Tourism, International Trade, Foreign Investment, Portfolio Equity

36.

Does the Confucius Institute Impact International Travel to China?: A Panel Data Analysis

Lien, Donald, Sucharita Ghosh and Steven Yamarik, 2014. “Does the Confucius Institute Impact International Travel to China? A Panel Data Analysis,” Applied Economics 46(17), pp 1985-1995.
Posted: 26 Aug 2018
Donald D. Lien, Sucharita Ghosh and Steven Yamarik
University of Texas at San Antonio - College of Business - Department of Economics, The University of Akron and California State University, Long Beach - Department of Economics

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International Tourism, Confucius Institute, China

37.

Implied Volatility Dynamics Among Exchange-Traded Funds and Their Largest Component Stocks

Journal of Derivatives, Vol. 22, No. 1, 2014, pp. 7-26
Posted: 12 May 2016
Timothy A. Krause and Donald D. Lien
Penn State Behrend and University of Texas at San Antonio - College of Business - Department of Economics

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ETFs, implied volatility, options SPDR industry sectors, spillovers

38.

Borderplex Menu Evidence for the Law of One Price: A Convergence Approach

Applied Economics Letters, Vol. 16, No. 17, 2009, DOI: 10.1080/13504850701675516
Posted: 27 Feb 2016
Yong Bao, Thomas M. Fullerton and Donald D. Lien
Purdue University, University of Texas at El Paso - College of Business Administration and University of Texas at San Antonio - College of Business - Department of Economics

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39.

Production and Hedging with Optimism and Pessimism under Ambiguity

International Review of Economics & Finance, Vol. 50, 2017
Posted: 08 Aug 2014 Last Revised: 30 Apr 2017
Donald D. Lien and Chia-Feng (Jeffrey) Yu
University of Texas at San Antonio - College of Business - Department of Economics and University of Adelaide - Business School

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Price Ambiguity, Optimism, Pessimism, Production, Hedging

40.

Production and Anticipatory Hedging Under Time-Inconsistent Preferences

Journal of Futures Markets, Forthcoming
Posted: 10 Feb 2014 Last Revised: 05 Jan 2015
Donald D. Lien and Chia-Feng (Jeffrey) Yu
University of Texas at San Antonio - College of Business - Department of Economics and University of Adelaide - Business School

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Hyperbolic Discounting, Anticipatory Hedging Timing, Futures, Options

41.

Time-Inconsistent Investment, Financial Constraints, and Cash Flow Hedging

International Review of Financial Analysis, Vol. 35, 2014
Posted: 11 Dec 2013 Last Revised: 05 Jan 2015
Donald D. Lien and Chia-Feng (Jeffrey) Yu
University of Texas at San Antonio - College of Business - Department of Economics and University of Adelaide - Business School

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Time-Inconsistent Preferences; Investment Timing; Financial Constraints; Cash Flow Hedging

42.

Dynamic and Asymmetric Dependences between Chinese Yuan and Other Asia-Pacific Currencies

Journal of Futures Markets, March 2013, FIRN Research Paper
Posted: 11 May 2013
Donald D. Lien, Chongfeng Wu, Li Yang and Chunyang Zhou
University of Texas at San Antonio - College of Business - Department of Economics, Shanghai Jiao Tong University (SJTU) - Aetna School of Management, UNSW Australia Business School, School of Banking and Finance and Shanghai Jiao Tong University (SJTU)

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Dynamic dependences, Currencies in Asian Pacific

43.

Optimal Managerial Hedging and Contracting with Self-Esteem Concerns

International Review of Economics & Finance, Forthcoming
Posted: 09 Apr 2013 Last Revised: 04 Jan 2015
Chongwoo Choe, Donald D. Lien and Chia-Feng (Jeffrey) Yu
Monash University - Department of Economics, University of Texas at San Antonio - College of Business - Department of Economics and University of Adelaide - Business School

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Managerial Hedging, Executive Compensation, Self-Esteem, Agency Cost

44.

Confucius Institute Effects on China's Trade and FDI: Isn't it Delightful When Folks Afar Study Hanyu?

International Review of Economics & Finance, Vol. 21, No. 1, 2012
Posted: 06 Jul 2011
Donald D. Lien, Chang Hoon Oh and W. Travis Selmier
University of Texas at San Antonio - College of Business - Department of Economics, University of Kansas, School of Business and Indiana University Bloomington - Department of Political Science

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Confucius Institute, trade, foreign direct investment, China, soft power

45.

The Value of Planned Death

Journal of Socio-Economics, Vol. 39, No. 6, 2010
Posted: 07 Jul 2010 Last Revised: 29 Aug 2015
Donald D. Lien and Leo H. Chan
University of Texas at San Antonio - College of Business - Department of Economics and Woodbury School of Business, Utah Valley University

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Euthanasia, physician assisted suicide, planned death

46.

Availability and Settlement of Individual Stock Futures and Options Expiration Effects: Evidence from High-Frequency Data

Quarterly Review of Economics and Finance, Forthcoming
Posted: 24 Jan 2005
Donald D. Lien and Li Yang
University of Texas at San Antonio - College of Business - Department of Economics and UNSW Australia Business School, School of Banking and Finance

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Individual stock futures, settlement method of futures contract, expiration effects

47.

The Use and Abuse of the Hedging Effectiveness Measure

Posted: 23 Dec 2004
Donald D. Lien
University of Texas at San Antonio - College of Business - Department of Economics

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Hedging effectiveness, OLS hedge ratio, unconditional variance, conditional variance

48.

Cash Settlement and Futures Price Volatility: Evidence from Options Data

Forthcoming in Advances in Quantitative Analysis of Finance & Accounting
Posted: 01 Aug 2002
Leo H. Chan and Donald D. Lien
Woodbury School of Business, Utah Valley University and University of Texas at San Antonio - College of Business - Department of Economics

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Cash Settlement, Implied Volatility, Live/Lean Hog Futures Options, GARCH Models