Author Page for Youwei Li

Risk Adjusted Momentum Strategies: A Comparison between Constant and Dynamic Volatility Scaling Approaches

Research in International Business and Finance, Forthcoming

Number of pages: 22 Posted: 28 Nov 2017 Last Revised: 14 Apr 2020

Queen's University Belfast, Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School

Downloads 915 (38,381)

Citation 2

Abstract:

2.

A Reexamination of Factor Momentum：How Strong is It？

The Financial Review, (2022). DOI: https://doi.org/10.1111/fire.12300

Number of pages: 52 Posted: 13 May 2021 Last Revised: 10 Jun 2022

Minyou Fan, Youwei Li, Ming Liao and Jiadong Liu

Queen's University Belfast, Queen's Management School, Hull University Business School, Nankai University, The School of Finance and Queen's University Belfast - Queen's Management School

Downloads 823 (44,332)

Abstract:

3.

Momentum and the Cross-Section of Stock Volatility

Downloads 608 ( 66,031)

Citation 2

2

Momentum and the Cross-Section of Stock Volatility

QMS Research Paper 2020/01

Number of pages: 58 Posted: 21 Feb 2020 Last Revised: 21 Sep 2021

Minyou Fan, Fearghal Kearney, Youwei Li and Jiadong Liu

Queen's University Belfast, Queen's Management School, Queen's University Belfast - Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School

Downloads 327 (135,983)

Citation 2

Abstract:

Momentum and the Cross-Section of Stock Volatility

Number of pages: 54 Posted: 07 Dec 2021

Minyou Fan, Fearghal Kearney, Youwei Li and Jiadong Liu

Queen's University Belfast, Queen's Management School, Queen's University Belfast - Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School

Downloads 281 (159,300)

Abstract:

4.

Asset Allocation with Time Series Momentum and Reversal

Number of pages: 51 Posted: 17 Feb 2017 Last Revised: 19 Feb 2017

Xuezhong He, Kai Li and Youwei Li

Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Hull University Business School

Downloads 587 (69,020)

Citation 7

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5.

Optimality of Momentum and Reversal

Number of pages: 52 Posted: 17 Jul 2014

Xuezhong He, Kai Li and Youwei Li

Xi'an Jiaotong-Liverpool University (XJTLU), Macquarie Business School, Macquarie University and Hull University Business School

Downloads 514 (81,401)

Citation 2

Abstract:

6.

The Forward Premium Bias, Carry Trade Return and the Risks of Volatility and Liquidity

Number of pages: 60 Posted: 04 Jun 2016

Ali Shehadeh, Youwei Li and Michael Moore

University of Jordan, Hull University Business School and University of Warwick - Warwick Business School

Downloads 355 (125,160)

Citation 1

Abstract:

7.

Intraday Time-series Momentum: Evidence from China

Journal of Futures Markets, Forthcoming, QMS Research Paper 2019/12

Number of pages: 38 Posted: 13 Dec 2019 Last Revised: 11 Dec 2020

Muzhao Jin, Fearghal Kearney, Youwei Li and Yung Chiang Yang

Queen's University Management School, Queen's University Belfast - Queen's Management School, Hull University Business School and affiliation not provided to SSRN

Downloads 304 (147,635)

Citation 2

Abstract:

8.

The Econometric Analysis of Microscopic Simulation Models

CentER Discussion Paper No. 2006-99

Number of pages: 46 Posted: 25 Oct 2006

Youwei Li, Bas Donkers and Bertrand Melenberg

Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)

Downloads 297 (151,282)

Citation 4

Abstract:

9.

Price Discovery in the Dual-Platform US Treasury Market

Downloads 295 (152,363)

2

Price Discovery in the Dual-Platform US Treasury Market

Number of pages: 30 Posted: 11 Jan 2011 Last Revised: 19 Sep 2011

Peter G. Dunne, Youwei Li and Zhuowei Sun

Central Bank of Ireland, Hull University Business School and Queen's University Belfast - School of Management

Downloads 295 (151,520)

Citation 2

Abstract:

Price Discovery in the Dual-Platform US Treasury Market

Posted: 04 Feb 2011

Peter G. Dunne, Youwei Li and Zhuowei Sun

Central Bank of Ireland, Hull University Business School and Queen's University Belfast - School of Management

Abstract:

10.

Low Liquidity Beta Anomaly in China

Number of pages: 40 Posted: 11 Dec 2014 Last Revised: 14 Jun 2021

Michael Frömmel, Xing Han, Youwei Li and Samuel Vigne

Ghent University - Department of Financial Economics, University of Auckland Business School, Hull University Business School and Trinity College (Dublin) - Trinity Business School

Downloads 274 (164,309)

Citation 1

Abstract:

11.

Long-Term Return Reversals –Value and Growth or Tax? UK Evidence

Number of pages: 38 Posted: 18 Feb 2009 Last Revised: 27 Oct 2010

Yuliang Wu and Youwei Li

University of Bradford and Hull University Business School

Downloads 272 (165,578)

Citation 3

Abstract:

12.

Investor Overconfidence and the Security Market Line: New Evidence from China

Macquarie University Faculty of Business & Economics Research Paper

Number of pages: 62 Posted: 27 Nov 2018 Last Revised: 18 Jun 2020

Xing Han, Kai Li and Youwei Li

University of Auckland Business School, Macquarie Business School, Macquarie University and Hull University Business School

Downloads 235 (191,117)

Citation 3

Abstract:

13.

Can Investor Sentiment Be a Momentum Time-Series Predictor? Evidence from China

Number of pages: 62 Posted: 23 Mar 2017

Xing Han and Youwei Li

University of Auckland Business School and Hull University Business School

Downloads 233 (192,689)

Abstract:

14.

Explaining Young Mortality

Number of pages: 31 Posted: 06 Nov 2010 Last Revised: 23 Sep 2011

Colin O'Hare and Youwei Li

Monash University - Department of Econometrics & Business Statistics and Hull University Business School

Downloads 225 (199,186)

Abstract:

15.

The Non- and Semiparametric Analysis of Ms Models: Some Applications

CentER Discussion Paper No. 2006-95

Number of pages: 19 Posted: 24 Oct 2006

Youwei Li, Bas Donkers and Bertrand Melenberg

Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)

Downloads 212 (210,538)

Citation 3

Abstract:

16.

US Dollar Carry Trades in the Era of 'Cheap Money'

Number of pages: 34 Posted: 18 Apr 2016

Ali Shehadeh, Péter Erdős, Youwei Li and Michael Moore

University of Jordan, RPM Risk & Portfolio Management AB, Stockholm, Sweden, Hull University Business School and University of Warwick - Warwick Business School

Downloads 203 (219,137)

Citation 1

Abstract:

17.

Do Low-Priced Stocks Drive Long-Term Contrarian Performance on the London Stock Exchange?

Number of pages: 40 Posted: 14 Sep 2011

Yuliang Wu, Youwei Li and Philip Hamill

University of Bradford, Hull University Business School and Ulster Business School

Downloads 198 (224,125)

Abstract:

18.

Same Same But Different -- Stylized Facts of CTA Sub Strategies

Number of pages: 26 Posted: 19 Feb 2021

Péter Erdős, Youwei Li, Ruipeng Liu, Alexander Mende and Alexander Mende

RPM Risk & Portfolio Management AB, Stockholm, Sweden, Hull University Business School, Deakin University and University of HannoverRPM Risk & Portfolio Management AB

Downloads 184 (239,026)

Abstract:

19.

Identifying Structural Breaks in Stochastic Mortality Models

Journal of Risk and Uncertainty in Engineering part B, Forthcoming

Number of pages: 28 Posted: 20 Dec 2012 Last Revised: 30 Oct 2014

Colin O'Hare and Youwei Li

Monash University - Department of Econometrics & Business Statistics and Hull University Business School

Downloads 184 (239,026)

Citation 8

Abstract:

20.

Price Discovery in the Chinese Gold Market

Journal of Futures Markets, Forthcoming

Number of pages: 42 Posted: 06 May 2016 Last Revised: 15 Dec 2019

Muzhao Jin, Youwei Li, Jian-Xin Wang and Yung Chiang Yang

Queen's University Management School, Hull University Business School, University of Technology Sydney and affiliation not provided to SSRN

Downloads 172 (253,171)

Citation 5

Abstract:

21.

Investor Heterogeneity and Momentum-based Trading Strategies in China

Number of pages: 46 Posted: 11 Sep 2020 Last Revised: 10 Dec 2020

Ya Gao, Xing Han, Youwei Li and Xiong Xiong

Tianjin University - College of Management and Economics, University of Auckland Business School, Hull University Business School and College of Management and Economics and China Center for Social Computing and Analytics

Downloads 156 (274,746)

Citation 2

Abstract:

22.

What Can Explain Momentum? Evidence From Decomposition

Management Science. DOI: https://doi.org/10.1287/mnsc.2021.4135

Number of pages: 66 Posted: 19 Feb 2021 Last Revised: 15 Jun 2022

Jiaqi Guo, Peng Li and Youwei Li

Birmingham Business School, University of Leeds - Division of Accounting and Finance and Hull University Business School

Downloads 151 (282,125)

Abstract:

23.

Overnight Momentum, Informational Shocks, and Late-Informed Trading in China

Number of pages: 43 Posted: 05 Nov 2019

Ya Gao, Xing Han, Youwei Li and Xiong Xiong

Tianjin University - College of Management and Economics, University of Auckland Business School, Hull University Business School and College of Management and Economics and China Center for Social Computing and Analytics

Downloads 146 (291,491)

Abstract:

24.

Shunned Stocks and Market States

European Journal of Finance, 28(7), 2022, 705-717. DOI: https://doi.org/10.1080/1351847X.2021.2015699, The University of Auckland Business School Research Paper

Number of pages: 29 Posted: 06 Dec 2021 Last Revised: 08 Nov 2022

Xing Han, Youwei Li and Olena Onishchenko

University of Auckland Business School, Hull University Business School and University of Otago

Downloads 134 (310,045)

Abstract:

25.

The Adaptiveness in Stock Markets: Testing the Stylized Facts in the DAX 30

Number of pages: 39 Posted: 28 Sep 2015

Xuezhong He and Youwei Li

Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School

Downloads 129 (319,025)

Citation 2

Abstract:

26.

Bayesian Value-at-Risk Backtesting: The Case of Annuity Pricing

European Journal of Operational Research, Volume 293, Issue 2, pp. 786-801, 1 September 2021, DOI 10.1016/j.ejor.2020.12.051

Number of pages: 111 Posted: 27 Nov 2019 Last Revised: 06 Jul 2022

Melvern Leung, Youwei Li, Athanasios A. Pantelous and Samuel Vigne

Monash University - Department of Econometrics & Business Statistics, Hull University Business School, Monash University - Department of Econometrics & Business Statistics and Trinity College (Dublin) - Trinity Business School

Downloads 128 (320,774)

Citation 1

Abstract:

27.

Is Mortality Spatial or Social?

Economic Modelling, Vol. 42, 2014

Number of pages: 26 Posted: 20 Dec 2012 Last Revised: 21 Oct 2014

Colin O'Hare and Youwei Li

Monash University - Department of Econometrics & Business Statistics and Hull University Business School

Downloads 128 (320,774)

Abstract:

28.

Testing of a Market Fraction Model and Power-Law Behaviour in the DAX 30

Journal of Empirical Finance, Volume 31, March 2015, Pages 1–17

Number of pages: 35 Posted: 11 Jan 2015 Last Revised: 22 Sep 2015

Xuezhong He and Youwei Li

Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School

Downloads 117 (342,406)

Abstract:

29.

Structural Breaks in Mortality Models: An International Comparison

Number of pages: 26 Posted: 28 Oct 2014

Colin O'Hare and Youwei Li

Monash University - Department of Econometrics & Business Statistics and Hull University Business School

Downloads 103 (373,658)

Citation 1

Abstract:

30.

Models of Mortality - Analysing the Residuals

Number of pages: 34 Posted: 28 Oct 2014

Colin O'Hare and Youwei Li

Monash University - Department of Econometrics & Business Statistics and Hull University Business School

Downloads 103 (373,658)

Abstract:

31.

Was a Deterioration in ‘Connectedness’ a Leading Indicator of the European Sovereign Debt Crisis?

Journal of International Financial Markets, Institutions and Money, Volume 74, September 2021, 101300 DOI: 10.1016/j.intfin.2021.101300

Number of pages: 35 Posted: 11 May 2016 Last Revised: 23 Nov 2021

Philip Anthony Hamill, Youwei Li, Athanasios A. Pantelous, Samuel Vigne and James Waterworth

Ulster University at Jordanstown, Hull University Business School, Monash University - Department of Econometrics & Business Statistics, Trinity College (Dublin) - Trinity Business School and Queen's University Belfast, Students

Downloads 99 (383,517)

Citation 4

Abstract:

32.

Order Book Price Impact in the Chinese Soybean Futures Market

Number of pages: 47 Posted: 19 Feb 2021

Muzhao Jin, Fearghal Kearney, Youwei Li and Yung Chiang Yang

Queen's University Management School, Queen's University Belfast - Queen's Management School, Hull University Business School and affiliation not provided to SSRN

Downloads 97 (388,556)

Abstract:

33.

Social Media Effect, Investor Recognition and the Cross-Section of Stock Returns

International Review of Financial Analysis, Forthcoming

Number of pages: 46 Posted: 13 Dec 2019

Meng Xiangtong, Wei Zhang, Youwei Li, Xing Cao and Xu Feng

Tianjin University - College of Management and Economics, Tianjin University - College of Management and Economics, Hull University Business School, Tianjin University - College of Management and Economics and Tianjin University - College of Management and Economics

Downloads 95 (393,703)

Abstract:

34.

Short-Run Disequilibrium Adjustment and Long-Run Equilibrium in the International Stock Markets: A Network-Based Approach

International Review of Financial Analysis, Volume 79, 102002, January 2022, DOI: 10.1016/j.irfa.2021.102002

Number of pages: 60 Posted: 26 May 2020 Last Revised: 27 Dec 2021

Yanhua Chen, Youwei Li, Athanasios A. Pantelous and H. Eugene Stanley

Institute for Risk and Uncertainty, University of Liverpool, UK, Hull University Business School, Monash University - Department of Econometrics & Business Statistics and Boston University - Center for Polymer Studies

Downloads 81 (433,970)

Abstract:

35.

Long Memory in Financial Markets: A Heterogeneous Agent Model Perspective

Number of pages: 29 Posted: 01 Mar 2018

Min Zheng, Ruipeng Liu and Youwei Li

China Institute for Actuarial Science, Central University of Finance and Economics, China, Deakin University and Hull University Business School

Downloads 73 (460,181)

Citation 1

Abstract:

36.

Identifying the Relative Importance of Stock Characteristics in the UK Market

Journal of Multinational Financial Management, Vol. 34, 2016, pp 80-91.

Number of pages: 27 Posted: 01 Aug 2014 Last Revised: 16 Dec 2020

Declan French, Yuliang Wu and Youwei Li

Queen's University Management School, University of Bradford and Hull University Business School

Downloads 73 (460,181)

Abstract:

37.

Heterogeneous Agent Models in Financial Markets: A Nonlinear Dynamics Approach

Number of pages: 34 Posted: 19 Dec 2018

Xuezhong He, Youwei Li and Min Zheng

Xi'an Jiaotong-Liverpool University (XJTLU), Hull University Business School and China Institute for Actuarial Science, Central University of Finance and Economics, China

Downloads 67 (481,428)

Abstract:

38.

How Did Order-Flow Impact Bond Prices During the European Sovereign Debt Crisis?

Number of pages: 24 Posted: 30 Oct 2019

Zhongguo Lin, Youwei Li, Philip Anthony Hamill, Zhuowei Sun and James Waterworth

Tianjin University, Hull University Business School, Ulster University at Jordanstown, Queen's University Belfast - School of Management and Queen's University Belfast, Students

Downloads 60 (508,753)

Abstract:

39.

A Rising E-Channel Tide Lifts All Boats? The Impact of Manufacturer Multi-Channel Encroachment on Traditional Selling and Leasing

Number of pages: 32 Posted: 16 Apr 2016

Wei Yan, Youwei Li, Ying Wu and Mark Palmer

School of Management and Economics of University of Electronic Science and Technology of China, Chengdu, China, Hull University Business School, Chongqing University of Science and Technology and Queen’s University Belfast

Downloads 57 (521,136)

Citation 1

Abstract:

40.

The Role of Hedge Funds in Asset Pricing: Evidence from China

Number of pages: 59 Posted: 18 Feb 2021

JING ZHANG, Wei Zhang, Youwei Li and Xu Feng

Tianjin University-College of Management and Economics, Tianjin University - College of Management and Economics, Hull University Business School and Tianjin University - College of Management and Economics

Downloads 56 (525,513)

Abstract:

41.

A Comparative Intellectual and Conceptual Study of Environmental Topic in Economic & Finance

Number of pages: 42 Posted: 02 Dec 2022

Meilan Yan, Youwei Li, Athanasios A. Pantelous, Samuel Vigne and Dalu Zhang

Loughborough University, Hull University Business School, Monash University - Department of Econometrics & Business Statistics, Trinity College (Dublin) - Trinity Business School and University of Salford - Salford Business School

Downloads 43 (592,490)

Abstract:

42.

Econometric Analysis of Microscopic Simulation Models

Quantitative Finance, (2010), 10(10), 1187-1201

Posted: 30 Oct 2014

Youwei Li, Bas Donkers and Bertrand Melenberg

Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)

Abstract:

43.

Do Benchmark African Equity Indices Exhibit the Stylized Facts?

Global Finance Journal, Vol. 21, No. 1, 2010

Posted: 28 May 2010

Youwei Li, Philip Hamill and Kwaku K. Opong

Hull University Business School, Ulster Business School and University of Glasgow - Adam Smith Business School

Abstract:

44.

Power-Law Behaviour , Heterogeneity, and Trend Chasing

Journal of Economic Dynamics and Control, Vol. 31, No. 10, 2007

Posted: 17 Mar 2009

Xuezhong He and Youwei Li

Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School

Abstract:

45.

Heterogeneity, Convergence, and Autocorrelations

Quantitative Finance, Vol. 8, No. 1, 2008

Posted: 17 Mar 2009

Xuezhong He and Youwei Li

Xi'an Jiaotong-Liverpool University (XJTLU) and Hull University Business School

Youwei Li

Hull University Business School

Professor of Finance

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Scholarly Papers (45)

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