Youwei Li

Hull University Business School

Professor of Finance

University of Hull

Hull, HU6 7RX

United Kingdom

SCHOLARLY PAPERS

28

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Top 10,032

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4,531

CITATIONS

2

Scholarly Papers (28)

1.

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

Number of pages: 22 Posted: 28 Nov 2017
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 496 (54,671)

Abstract:

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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, Department of Applied Finance, Macquarie University and Hull University Business School
Downloads 478 (57,188)

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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, Department of Applied Finance, Macquarie University and Hull University Business School
Downloads 453 (61,111)

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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
Queen's University Belfast - Finance, Hull University Business School and University of Warwick - Warwick Business School
Downloads 323 (90,870)

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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
Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 282 (105,241)
Citation 1

Abstract:

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Microscopic simulation models, Econometric analysis

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 263 (112,744)

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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 253 (117,961)
Citation 1

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overreaction, UK stock market

8.

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

CentER Discussion Paper No. 2006-95
Number of pages: 19 Posted: 24 Oct 2006
Hull University Business School, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Tilburg University - Center for Economic Research (CentER)
Downloads 207 (143,672)

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

9.

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 203 (146,335)

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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 180 (163,382)

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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 (664,922)
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contrarian performance, London Stock Exchange, price level

11.

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 Otago - Department of Accountancy and Finance and Hull University Business School
Downloads 177 (165,784)

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Investor Sentiment, Return Predictability, Bias Correction, China

12.

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

Number of pages: 34 Posted: 18 Apr 2016
Queen's University Belfast - Finance, RPM Risk & Portfolio Management AB, Stockholm, Sweden, Hull University Business School and University of Warwick - Warwick Business School
Downloads 176 (166,630)

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

13.

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 166 (175,492)

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Mortality, stochastic models, forecasting, structural breaks

14.

Price Discovery in the Chinese Gold Market

Number of pages: 42 Posted: 06 May 2016 Last Revised: 16 May 2018
Queen's University Management School, Hull University Business School, University of Technology Sydney and University College Dublin (UCD) College of Business
Downloads 141 (202,089)

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

15.

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 121 (226,446)

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Mortality rates, Frailty models, Deprivation measures

16.

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 112 (239,668)

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

17.

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 109 (244,385)

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

18.

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 85 (287,686)

Abstract:

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

19.

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 75 (309,800)

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20.

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

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 51 Posted: 27 Nov 2018 Last Revised: 12 May 2019
Xing Han, Kai Li and Youwei Li
University of Otago - Department of Accountancy and Finance, Department of Applied Finance, Macquarie University and Hull University Business School
Downloads 71 (319,619)

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

21.

Eurozone Network Connectedness During Calm and Crisis: Evidence from the MTS Platform for Interdealer Trading of European Sovereign Debt

Number of pages: 28 Posted: 11 May 2016
Youwei Li and James Waterworth
Hull University Business School and Queen's University Belfast, Students
Downloads 57 (357,651)

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European sovereign debt, MTS, Network, Connectedness, Return, Volatility

22.

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 45 (396,582)

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

23.

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 36 (430,767)

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

24.

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 21 (504,053)

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

25.

Econometric Analysis of Microscopic Simulation Models

Quantitative Finance, (2010), 10(10), 1187-1201
Posted: 30 Oct 2014
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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26.

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

27.

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

28.

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