Chun Liu

Tsinghua University - School of Economics and Management

Beijing, 100084

China

University of Toronto

105 St George Street

Toronto, Ontario M5S 3G8

Canada

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 34,747

SSRN RANKINGS

Top 34,747

in Total Papers Downloads

2,697

SSRN CITATIONS
Rank 4,708

SSRN RANKINGS

Top 4,708

in Total Papers Citations

358

CROSSREF CITATIONS

19

Scholarly Papers (9)

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 78 Posted: 22 Feb 2017 Last Revised: 27 Aug 2019
Zhuo Chen, Zhiguo He, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, Stanford University - Knight Management Center and University of TorontoTsinghua University - School of Economics and Management
Downloads 698 (67,813)
Citation 13

Abstract:

Loading...

Local Government Financing Vehicles, Municipal Corporate Bonds, Shadow Banking in China, Railroad Finance, Trust Companies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-29, PBCSF-NIFR Research Paper
Number of pages: 78 Posted: 04 Mar 2019 Last Revised: 14 Jan 2021
Zhuo Chen, Zhiguo He, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, Stanford University - Knight Management Center and University of TorontoTsinghua University - School of Economics and Management
Downloads 267 (208,620)
Citation 28

Abstract:

Loading...

Keywords: Local Government Financing Vehicles, Municipal Corporate Bonds, Political Cycle, Shadow Banking in China, Railroad Finance, Trust Companies

The Financing of Local Government in China: Stimulus Loan Wanes and Shadow Banking Waxes

NBER Working Paper No. w23598
Number of pages: 66 Posted: 25 Jul 2017 Last Revised: 25 Jun 2023
Zhuo Chen, Zhiguo He, Chun Liu and Chun Liu
Tsinghua University - PBC School of Finance, Stanford University - Knight Management Center and University of TorontoTsinghua University - School of Economics and Management
Downloads 62 (647,947)
Citation 40

Abstract:

Loading...

2.
Downloads 891 (49,649)
Citation 1

Overnight-Intraday Reversal Everywhere

Asian Finance Association (AsianFA) 2016 Conference
Number of pages: 52 Posted: 11 Feb 2016 Last Revised: 13 Sep 2023
Robert Kosowski, Chun Liu, Chun Liu, Yang Liu and Tianyu Wang
Imperial College Business School, University of TorontoTsinghua University - School of Economics and Management, Hunan University - College of Finance and Statistics and Tsinghua University, School of Economics and Management
Downloads 462 (113,814)
Citation 1

Abstract:

Loading...

Overnight return, Intraday return, Short-term reversal, Liquidity provision

Overnight-Intraday Reversal Everywhere

Number of pages: 52 Posted: 17 Oct 2023
Robert Kosowski, Chun Liu, Chun Liu, Yang Liu and Tianyu Wang
Imperial College Business School, University of TorontoTsinghua University - School of Economics and Management, Hunan University - College of Finance and Statistics and Tsinghua University, School of Economics and Management
Downloads 429 (124,268)

Abstract:

Loading...

Overnight return, Intraday return, Short-term reversal, Liquidity provision

3.

Stock Market Liberalization and Corporate Investment Revisited: Evidence from China

Journal of Banking and Finance, Forthcoming
Number of pages: 66 Posted: 09 Jan 2020 Last Revised: 07 Dec 2023
Zhisheng Li, Chun Liu, Chun Liu, Xiaoran Ni and Jiaren Pang
Zhongnan University of Economics and Law - School of Finance, University of TorontoTsinghua University - School of Economics and Management, Xiamen University - School of Economics and Tsinghua University - School of Economics & Management
Downloads 269 (208,955)
Citation 4

Abstract:

Loading...

Stock Market Liberalization; Stock Connect; Corporate Investment; Corporate Governance

4.

Variation in Put-Call Parity Violation and Option Returns

Number of pages: 51 Posted: 04 Aug 2022 Last Revised: 11 Nov 2022
Chun Liu, Chun Liu, Tianyu Wang, Yintian Wang and Hong Xiang
University of TorontoTsinghua University - School of Economics and Management, Tsinghua University, School of Economics and Management, Tsinghua University and The Hong Kong Polytechnic University
Downloads 252 (223,002)

Abstract:

Loading...

put-call parity, options return predictability

5.

Marginal Likelihood Calculation for Gelfand-Dey and Chib Method

Number of pages: 8 Posted: 21 Nov 2011
Chun Liu and Chun Liu
University of TorontoTsinghua University - School of Economics and Management
Downloads 134 (388,271)

Abstract:

Loading...

model comparison, structural break, heterogeneous autoregressive model

6.

Intraday Dynamics of Volatility and Duration: Evidence from Chinese Stocks

Number of pages: 26 Posted: 12 Nov 2011
Chun Liu, Chun Liu and John M. Maheu
University of TorontoTsinghua University - School of Economics and Management and McMaster University - Michael G. DeGroote School of Business
Downloads 108 (456,785)
Citation 2

Abstract:

Loading...

Market microstructure, Transaction horizon, High-frequency data, ACD, GARCH

7.

Quality or Quantity: The Impact of Disclosure on Mutual Funds Net Flow Changes

Number of pages: 52 Posted: 20 Dec 2023
Ziwen Ye, Feng Gao, Chun Liu and Chun Liu
Tsinghua University - Tsinghua University School of Economics and Management, Tsinghua University and University of TorontoTsinghua University - School of Economics and Management
Downloads 13 (1,009,648)

Abstract:

Loading...

Disclosure quality, Mutual funds, Net flow changes

8.

Geographical Proximity, Cultural Familiarity and Financial Information Production

Number of pages: 48
Han Hao, Chun Liu, Chun Liu and Shunzhi Pang
Tencent Inc., University of TorontoTsinghua University - School of Economics and Management and Tsinghua University - School of Economics & Management
Downloads 3

Abstract:

Loading...

Local Advantage, Geographical Proximity, Cultural Familiarity, Analyst Forecast Accuracy

9.

Are There Structural Breaks in Realized Volatility?

Journal of Financial Econometrics, Vol. 6, Issue 3, pp. 326-360, 2008
Posted: 17 Jun 2008
Chun Liu, Chun Liu and John M. Maheu
University of TorontoTsinghua University - School of Economics and Management and McMaster University - Michael G. DeGroote School of Business

Abstract:

Loading...

C22, C11, G10, change point, GARCH, Gibbs sampling, marginal likelihood, realized volatility