Youwei Li

Hull University Business School

Professor of Finance

University of Hull

Hull, HU6 7RX

United Kingdom

  • Hull University Business School

SCHOLARLY PAPERS

33

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5

CROSSREF CITATIONS

17

Scholarly Papers (33)

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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 583 (47,175)

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, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 505 (56,628)
Citation 1

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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 463 (63,076)
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
The University of Jordan, Hull University Business School and University of Warwick - Warwick Business School
Downloads 326 (95,041)
Citation 1

Abstract:

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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 285 (110,024)
Citation 4

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Microscopic simulation models, Econometric analysis

6.

Price Discovery in the Dual-Platform US Treasury Market

Downloads 267 (117,897)

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 267 (117,288)

Abstract:

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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 255 (123,755)
Citation 2

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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 211 (149,025)

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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 210 (149,640)
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 Otago - Department of Accountancy and Finance and Hull University Business School
Downloads 187 (166,624)
Citation 3

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Investor Sentiment, Return Predictability, Bias Correction, China

11.

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
The University of Jordan, RPM Risk & Portfolio Management AB, Stockholm, Sweden, Hull University Business School and University of Warwick - Warwick Business School
Downloads 183 (169,913)
Citation 1

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

12.

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

Downloads 183 (169,913)
Citation 1

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 182 (170,731)

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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 (703,682)
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contrarian performance, London Stock Exchange, price level

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 168 (183,215)
Citation 6

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Mortality, stochastic models, forecasting, structural breaks

14.

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 150 (201,639)
Citation 2

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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 123 (236,048)

Abstract:

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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 (252,695)

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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 110 (255,995)
Citation 2

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

18.

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

Macquarie University Faculty of Business & Economics Research Paper
Number of pages: 56 Posted: 27 Nov 2018 Last Revised: 31 Dec 2019
Xing Han, Kai Li and Youwei Li
University of Otago - Department of Accountancy and Finance, Macquarie Business School, Macquarie University and Hull University Business School
Downloads 108 (259,193)

Abstract:

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

19.

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 90 (292,629)

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

20.

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 (326,601)
Citation 1

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21.

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

Number of pages: 27 Posted: 11 May 2016 Last Revised: 20 Oct 2019
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, Queen's University Belfast and Queen's University Belfast, Students
Downloads 69 (342,116)
Citation 2

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Financial Crisis, Networks, Sovereign Bonds, Connectedness

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 53 (390,019)

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

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 Otago - Department of Accountancy and Finance, Hull University Business School and College of Management and Economics and China Center for Social Computing and Analytics
Downloads 46 (414,348)

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

24.

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: 22 Jan 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 42 (429,514)

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Intraday Predictability, Time-Series, Momentum

25.

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 42 (429,514)
Citation 1

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

26.

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

Number of pages: 101 Posted: 27 Nov 2019
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 Queen's University Belfast
Downloads 34 (472,192)

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Bayesian decision theory; Value-at-Risk; Backtesting; Annuity pricing; Longevity risk

27.

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 33 (467,538)

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

28.

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 28 (492,130)

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social media, investor recognition, asset pricing

29.

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 25 (508,551)

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

30.

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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31.

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:

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

32.

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

33.

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