Youwei Li

Hull University Business School

Professor of Finance

University of Hull

Hull, HU6 7RX

United Kingdom

  • Hull University Business School

SCHOLARLY PAPERS

44

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SSRN CITATIONS
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Top 19,404

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31

CROSSREF CITATIONS

22

Scholarly Papers (44)

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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 861 (38,496)
Citation 2

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

2.

A Reexamination of Factor Momentum：How Strong is It？

The Financial Review, Forthcoming
Number of pages: 52 Posted: 13 May 2021 Last Revised: 06 Apr 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 725 (48,521)

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Time series momentum; Factor momentum; Return continuation; Factor investing.

3.

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 560 (67,704)
Citation 7

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Momentum, reversal, optimal asset allocation, performance

4.

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 501 (77,723)
Citation 2

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momentum, reversal, portfolio choice, optimality, profitability.

5.

Momentum and the Cross-Section of Stock Volatility

Downloads 482 ( 81,414)
Citation 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 296 (140,013)
Citation 2

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

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 186 (219,868)

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

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 347 (118,831)
Citation 1

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

7.

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 290 (143,763)
Citation 4

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Microscopic simulation models, Econometric analysis

8.

Price Discovery in the Dual-Platform US Treasury Market

Downloads 286 (145,893)
Citation 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 286 (145,165)
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

9.

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 268 (155,799)
Citation 3

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overreaction, UK stock market

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 265 (157,544)
Citation 1

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Liquidity, Liquidity Beta, Investor Sentiment, Asset Pricing, China

11.

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 246 (169,607)
Citation 2

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Intraday Predictability, Time-Series, Momentum

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 230 (180,915)
Citation 3

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

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 223 (186,203)

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Investor Sentiment, Return Predictability, Bias Correction, China

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 222 (187,031)

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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 (195,301)
Citation 3

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

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 197 (208,907)
Citation 1

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

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 192 (213,888)

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contrarian performance, London Stock Exchange, price level

18.

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 178 (228,324)
Citation 8

Abstract:

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Mortality, stochastic models, forecasting, structural breaks

19.

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 167 (240,984)
Citation 5

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

20.

What Can Explain Momentum? Evidence From Decomposition

Management Science, Forthcoming
Number of pages: 66 Posted: 19 Feb 2021 Last Revised: 18 Oct 2021
Jiaqi Guo, Peng Li and Youwei Li
Birmingham Business School, University of Leeds - Division of Accounting and Finance and Hull University Business School
Downloads 144 (272,216)

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Momentum, Momentum Candidate Variables, Momentum Decomposition, Momentum Crashes

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 135 (286,130)
Citation 2

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Investor Heterogeneity, Intraday Return, Overnight Return, Momentum

22.

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 (297,839)

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Mortality rates, Frailty models, Deprivation measures

23.

Shunned Stocks and Market States

European Journal of Finance, Forthcoming
Number of pages: 29 Posted: 06 Dec 2021
Xing Han, Youwei Li and Olena Onishchenko
University of Auckland Business School, Hull University Business School and University of Otago
Downloads 126 (301,366)

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Sin stocks, Social norms, Shunned stock hypothesis, Market states

24.

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 126 (301,366)
Citation 2

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

25.

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 123 (306,660)

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

26.

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 (317,857)

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

27.

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 116 (319,743)
Citation 1

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

28.

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 104 (344,742)

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

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 101 (351,446)
Citation 1

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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 98 (358,339)

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

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 96 (363,050)
Citation 4

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Financial Crisis, Networks, Sovereign Bonds, Connectedness

32.

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 82 (399,767)

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social media, investor recognition, asset pricing

33.

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 75 (420,483)

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

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 University Belfast - Queen's Management School, Hull University Business School and affiliation not provided to SSRN
Downloads 73 (426,825)

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

35.

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 67 (446,771)

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stock characteristics, factor models

36.

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 66 (450,230)
Citation 1

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

37.

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 53 (499,644)

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Hedge funds, stock mispricing, asset pricing, arbitrage

38.

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 53 (499,644)

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

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 Management School
Downloads 48 (521,126)
Citation 1

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

40.

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 43 (544,320)

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

41.

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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42.

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

43.

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

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

44.

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

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