Yukun Shi

University of Glasgow

Adam Smith Business School

Glasgow, Scotland G12 8LE

United Kingdom

SCHOLARLY PAPERS

17

DOWNLOADS
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Top 44,883

in Total Papers Downloads

1,490

SSRN CITATIONS

2

CROSSREF CITATIONS

1

Scholarly Papers (17)

1.

Neural Network Copula Portfolio Optimization for Exchange Traded Funds

Quantitative Finance, forthcoming
Number of pages: 26 Posted: 01 Dec 2016 Last Revised: 05 Jan 2018
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, University of Glasgow, Department of Economics, University of Glasgow and University of Glasgow
Downloads 344 (123,587)
Citation 1

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Copulas, Neural Networks, Portfolio Optimization, ETF

2.

Social Media Coverage and Post-Earnings Announcement Drift: Evidence from Seeking Alpha

Number of pages: 39 Posted: 17 Jun 2020
Rong Ding, Hang ZHOU and Yukun Shi
University of Warwick - Warwick Business School, Nottingham University Business School China and University of Glasgow
Downloads 177 (235,750)

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Seeking Alpha, post-earnings announcement drift, institutional ownership, news coverage.

3.

Hedging and Speculative Pressures and the Transition of the Spot-Futures Relationship in Energy and Metal Markets

International Review of Financial Analysis, Forthcoming
Number of pages: 39 Posted: 28 May 2015 Last Revised: 17 Dec 2016
Jin Suk Park and Yukun Shi
Coventry University and University of Glasgow
Downloads 138 (288,864)

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Energy markets; Metal markets; Hedging pressure; Speculative pressure; Hedging performances

4.

Impact of Allowance Submissions in European Carbon Emission Markets

International Review of Financial Analysis, Forthcoming
Number of pages: 30 Posted: 17 Aug 2014 Last Revised: 14 May 2015
Dennis Philip and Yukun Shi
Durham University Business School and University of Glasgow
Downloads 108 (344,992)
Citation 1

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Carbon allowance submission, Carbon emission markets, EU ETS, Mispricing, Price discovery, Volatility spillovers

5.

Bankruptcy Prediction with Financial Systemic Risk

The European Journal of Finance, 26:7-8, 666-690
Number of pages: 50 Posted: 23 Jul 2019 Last Revised: 01 Jun 2020
University of Plymouth - Plymouth Business School, University of Glasgow, University of Essex - Essex Business School and Nottingham University Business School
Downloads 105 (351,608)

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Bankruptcy prediction; Systemic risk; Hazard model

6.

Optimal Hedging in Carbon Emission Markets Using Markov Regime Switching Models

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 32 Posted: 22 Apr 2015 Last Revised: 13 Apr 2016
Dennis Philip and Yukun Shi
Durham University Business School and University of Glasgow
Downloads 105 (351,608)

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Carbon emission markets, Dynamic hedging, Markov switching models, Dynamic conditional correlation

7.

Arbitrage Opportunities and Feedback Trading in Emissions and Energy Markets

Journal of International Financial Markets, Institutions and Money, Forthcoming
Number of pages: 48 Posted: 25 Oct 2014 Last Revised: 20 Feb 2015
Frankie Chau, Jing-Ming Kuo and Yukun Shi
Durham University Business School, University of Birmingham - Birmingham Business School and University of Glasgow
Downloads 104 (353,825)
Citation 1

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Feedback trading; Arbitrage opportunities; Emissions and energy markets; Conditional volatility

8.

Firm-Level Media Coverage, Bank Loans, and the Role of Institutional Environments

Number of pages: 77 Posted: 24 Jun 2020 Last Revised: 15 Mar 2022
Zhehao Jia, Donghui Li, Yukun Shi and Lu Xing
University of Plymouth - Plymouth Business School, UNSW Australia Business School, School of Banking and Finance, University of Glasgow and University of Glasgow
Downloads 86 (398,798)

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Loan Pricing, Media Coverage, Media Sentiment, Institutional Environment

9.

How Interdependent are Energy and Carbon Markets? Evidence from a Quantile-on-Quantile Regression Approach

Number of pages: 35 Posted: 22 Aug 2019
University of Southampton - Southampton Business School, University of Southampton, University of Glasgow, Southampton Business School, University of Southampton and Durham Business School
Downloads 84 (404,406)
Citation 1

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Carbon futures price; Energy futures prices; EU ETS; Quantile-on-Quantile; Causality-in-quantiles

10.

Carbon Price Forecasting: Which Driven Factors Can Help

Number of pages: 40 Posted: 30 Jul 2019
University of Southampton, University of Southampton - Southampton Business School, University of Warwick - Department of Statistics, University of Glasgow and Durham Business School
Downloads 81 (413,020)

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Carbon futures price prediction; Quantile group Lasso; Quantile group SCAD; Variable selection

11.

Does the Introduction of Index Futures Stabilize Stock Markets? Further Evidence from Emerging Markets

International Review of Economics & Finance, Forthcoming
Number of pages: 37 Posted: 15 Jun 2017 Last Revised: 07 Jan 2018
Southern Illinois University at Edwardsville, University of Glasgow, University of glasgow and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Downloads 69 (451,320)

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emerging markets, feedback trading, stabilization, stock index futures

12.

the Determinants of Retail Fuel Prices in the EU Evidence from the Spatial Panel Quantile Regression

Number of pages: 37 Posted: 25 Jan 2019
Xiaohang Ren, Zudi Lu, Yukun Shi and Cheng Yan
University of Southampton, University of Southampton, University of Glasgow and Durham Business School
Downloads 42 (563,299)

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spatial panel quantile model, retail fuel price, carbon futures price, oil market, cross-market integration

13.

Online Appendix to Accompany 'Parameter Calibration and Rediscovery in the Bates Model'

Number of pages: 9 Posted: 23 Sep 2019
Business School, East China University of Political Science and Law, Xi’an Jiaotong-liverpool University, Adam Smith Business School, University of Glasgow and University of Glasgow
Downloads 24 (672,399)

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14.

Internet Appendix to Accompany 'Bankruptcy Prediction with Financial Systemic Risk'

Number of pages: 10 Posted: 22 Jul 2019
University of Plymouth - Plymouth Business School, University of Glasgow, University of Essex - Essex Business School and Nottingham University Business School
Downloads 23 (679,849)

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15.

Institutional Shareholders’ Temporary Distraction: Acute Pain or Chronic Pain? Evidence from Bank Loans

Posted: 01 Jun 2022
Jinhong Hu, Zhehao Jia and Yukun Shi
University of Glasgow, University of Plymouth - Plymouth Business School and University of Glasgow

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Cost of bank loans; Institutional shareholder distraction; Institutional shareholders type; Agency cost; Information transparency; Access to credit

16.

Credit Market Segmentation, Access to Credit, and Corporate Risk-taking: Evidence from Asset-backed Securitisation

Posted: 01 Jun 2022
Zhehao Jia, Yukun Shi and Yeqin Zeng
University of Plymouth - Plymouth Business School, University of Glasgow and Durham University Business School, Finance and Economics

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Asset-backed securitisation; Corporate risk-taking; ABS borrowing; Access to credit

17.

Energy Efficiency Analysis of China’s Resource-based Cities under Different Scenarios — Based on the Super-SBM Model

Abstract Proceedings of 2019 International Conference on Resource Sustainability - Cities (icRS Cities)
Posted: 15 Jul 2019
Dan Yan, Ying Kong, Yukun Shi and Zinyang Zeng
Tsinghua University, Tsinghua University, University of Glasgow and Tsinghua University

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