Youwei Li

Hull University Business School

Professor of Finance

University of Hull

Hull, HU6 7RX

United Kingdom

  • Hull University Business School

SCHOLARLY PAPERS

41

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SSRN CITATIONS
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Top 19,587

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32

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20

Scholarly Papers (41)

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1.

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
Minyou Fan, Youwei Li and Jiadong Liu
Queen's University Belfast, Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 732 (41,588)
Citation 2

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Cross-sectional momentum, Time series momentum, Momentum crashes, Volatility scaling

2.

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
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 536 (62,318)
Citation 7

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Momentum, reversal, optimal asset allocation, performance

3.

Optimality of Momentum and Reversal

Number of pages: 52 Posted: 17 Jul 2014
Xuezhong He, Kai Li and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 482 (71,066)
Citation 2

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momentum, reversal, portfolio choice, optimality, profitability.

4.

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 337 (107,746)
Citation 1

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FX rates, Currency carry trade, Forward-bias puzzle, FX risk premium

5.

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 286 (128,528)
Citation 4

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Microscopic simulation models, Econometric analysis

6.

Price Discovery in the Dual-Platform US Treasury Market

Downloads 276 (133,407)

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 276 (132,740)
Citation 2

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Microstructure, Treasury Market, Bid-Ask Spread, Price Discovery

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

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Microstructure, Treasury Market, Bid-Ask Spread, Price Discovery

7.

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
Queen's University Belfast and Hull University Business School
Downloads 263 (140,189)
Citation 3

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overreaction, UK stock market

8.

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 218 (168,214)

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9.

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 211 (173,424)
Citation 3

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Microscopic simulation models, Probability density function, Spectral density function, Memory parameters

10.

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 206 (177,443)
Citation 8

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Investor Sentiment, Return Predictability, Bias Correction, China

11.

Momentum and the Cross-Section of Stock Volatility

QMS Research Paper 2020/01
Number of pages: 47 Posted: 21 Feb 2020
Minyou Fan, Fearghal Kearney, Youwei Li and Jiadong Liu
Queen's University Belfast, Queen's Management School, Queen's Management School, Hull University Business School and Queen's University Belfast - Queen's Management School
Downloads 202 (180,733)
Citation 2

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Cross-sectional momentum, Momentum crashes, Generalised risk-adjusted momentum, Excess volatility, Volatility timing

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 195 (187,482)
Citation 3

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Beta Anomaly, Betting Against Beta, Overconfidence, Trading Volume, Mutual Fund

13.

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 191 (190,157)
Citation 1

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Commodity Trading Advisors (CTAs), Foreign Exchange Rate, Carry Trade

14.

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

Downloads 188 (192,897)
Citation 2

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
Queen's University Belfast, Hull University Business School and Ulster Business School
Downloads 187 (193,705)

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contrarian performance, London Stock Exchange, price level

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

Financial Review, Vol. 47, Issue 3, pp. 501-530, 2012
Number of pages: 30 Posted: 07 Jul 2012
Yuliang Wu, Youwei Li and Philip Hamill
Queen's University Belfast, Hull University Business School and Ulster Business School
Downloads 1 (799,391)
Citation 1
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contrarian performance, London Stock Exchange, price level

15.

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 172 (208,389)
Citation 8

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Mortality, stochastic models, forecasting, structural breaks

16.

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 University College Dublin (UCD) College of Business
Downloads 161 (220,397)
Citation 5

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Chinese gold market, Futures, Price discovery, Information share, Component share, Information leadership share, Sequential price discovery

17.

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 Management School, Hull University Business School and University College Dublin (UCD) College of Business
Downloads 159 (222,833)
Citation 1

Abstract:

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Intraday Predictability, Time-Series, Momentum

18.

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 126 (268,072)

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Mortality rates, Frailty models, Deprivation measures

19.

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
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Hull University Business School
Downloads 119 (279,680)
Citation 2

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Adaptiveness, fundamental and technical analysis, stylized facts, power-law, tail index

20.

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
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Hull University Business School
Downloads 116 (284,785)

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Asset pricing, fundamentalists and trend followers, (FI)GARCH, power-law, tail index

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 101 (313,397)
Citation 1

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Investor Heterogeneity, Intraday Return, Overnight Return, Momentum

22.

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 98 (319,531)

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intraday momentum, overnight return, price jump, late-informed trading

23.

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: 18 Apr 2021
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 97 (321,663)
Citation 1

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Decision analysis; Value-at-Risk; Backtesting; Bayesian framework; Longevity risk

24.

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 95 (325,964)
Citation 1

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25.

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 95 (325,964)

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Mortality, stochastic models, forecasting, structural breaks. hurst exponents

26.

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

Number of pages: 35 Posted: 11 May 2016 Last Revised: 04 Jan 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 93 (330,462)
Citation 3

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Financial Crisis, Networks, Sovereign Bonds, Connectedness

27.

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 62 (415,916)
Citation 1

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Heterogeneity, Bounded Rationality, Asymmetrical Beliefs, Long Memory, Modified R/S Test

28.

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, Queen's University Belfast and Hull University Business School
Downloads 61 (419,208)

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stock characteristics, factor models

29.

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 Feng Xu
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 54 (444,076)

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social media, investor recognition, asset pricing

30.

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
University of Technology Sydney (UTS) - Finance Discipline Group, Business School, Hull University Business School and China Institute for Actuarial Science, Central University of Finance and Economics, China
Downloads 44 (484,174)

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stylized facts, anomalies, heterogeneous beliefs, nonlinear dynamics, stability and bifurcation

31.

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

Number of pages: 53 Posted: 26 May 2020 Last Revised: 28 Oct 2020
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 43 (488,558)

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International Stock Markets; Cointegration; Error Correction Model; Complex Network Theory; Financial Crisis

32.

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 Management School
Downloads 43 (488,558)
Citation 1

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E-commerce, Channels of distribution, Durable goods, Durability, Selling and leasing

33.

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

Number of pages: 26 Posted: 19 Feb 2021
Péter Erdős, Youwei Li, Ruipeng Liu and Alexander Mende
RPM Risk & Portfolio Management AB, Stockholm, Sweden, Hull University Business School, Deakin University and RPM Risk & Portfolio Management AB
Downloads 41 (497,382)

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Commodity Trading Advisors, trend following, fundamental strategy, contrarian strategy, stylized facts

34.

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 Management School, Hull University Business School and University College Dublin (UCD) College of Business
Downloads 38 (511,120)

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Order flow imbalance, Limit order book, Price impact, Futures markets

35.

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 29 (557,668)

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Order-flow, Price impact, Trading intensity, Sovereign Bonds

36.

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 Feng Xu
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 22 (608,458)

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Hedge funds, stock mispricing, asset pricing, arbitrage

37.

A Reexamination of Factor Momentum：How Strong is It？

Number of pages: 44 Posted: 13 May 2021 Last Revised: 14 May 2021
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 16 (664,638)

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Time-series momentum; Factor momentum; Return continuation; Betting against beta

38.

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)

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39.

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

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Africa All-Share Index, Stylized facts, GARCH, Fat-tails, Long memory

40.

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
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Hull University Business School

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Asset pricing, fundamentalists and trend followers, market fraction, stability, learning, power-law

41.

Heterogeneity, Convergence, and Autocorrelations

Quantitative Finance, Vol. 8, No. 1, 2008
Posted: 17 Mar 2009
Xuezhong He and Youwei Li
University of Technology Sydney (UTS) - Finance Discipline Group, Business School and Hull University Business School

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Asset pricing, heterogeneous beliefs, market fraction, stability, bifurcation, market behaviour, limiting distribution, autocorrelation