Li Yang : Citation Profile

Are you Li Yang?

UNSW (Australia)

6

H index

5

i10 index

257

Citations

RESEARCH PRODUCTION:

18

Articles

RESEARCH ACTIVITY:

   17 years (1997 - 2014). See details.
   Cites by year: 15
   Journals where Li Yang has often published
   Relations with other researchers
   Recent citing documents: 76.    Total self citations: 5 (1.91 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pya242
   Updated: 2018-10-13    RAS profile: 2015-04-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Li Yang.

Is cited by:

Irwin, Scott (10)

Salisu, Afees (7)

Basher, Syed (6)

Filis, George (5)

Prokopczuk, Marcel (4)

GUESMI, Khaled (4)

Manera, Matteo (4)

Carpantier, Jean-François (4)

Guesmi, Khaled (4)

Manfredo, Mark (3)

Allegret, Jean-Pierre (3)

Cites to:

Kilian, Lutz (21)

McAleer, Michael (18)

Engle, Robert (13)

Hamilton, James (11)

Bollerslev, Tim (8)

Caporin, Massimiliano (7)

Tansuchat, Roengchai (6)

Chang, Chia-Lin (6)

Patton, Andrew (5)

Woodford, Michael (4)

Apergis, Nicholas (4)

Main data

Where Li Yang has published?

Journals with more than one article published# docs
Journal of Futures Markets5
Energy Economics2

Recent works citing Li Yang (2018 and 2017)

YearTitle of citing document
2018Linkages Between Oil Price Shocks and Stock Returns Revisited. (2018). Masson, Virginie ; Doko Tchatoka, Firmin ; Parry, Sean. In: School of Economics Working Papers. RePEc:adl:wpaper:2018-01.

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2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2017Price reversal as potential expiration day effect of stock and index futures: evidence from Warsaw Stock Exchange. (2017). Suliga, Milena. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:201-225.

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2017A Temporal Impact Assessment Method for the Informational Content of USDA Reports in Corn and Soybean Futures Markets. (2017). Shonkwiler, J ; Ying, Jiahui. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258201.

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2017Too much information? How relevant are agricultural reports that provide similar information?. (2017). Kaus, Taylor T ; Mattos, Fabio L. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258367.

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2017Surprise and Dispersion: Informational Impact of USDA Announcements. (2017). Fernandez-Perez, Adrian ; Tourani-Rad, Alireza ; Indriawan, Ivan ; Frijns, Bart. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:259208.

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2018Is the Halloween Effect Present on the Markets for Agricultural Commodities?. (2018). Burakov, D ; Freidin, M. In: AGRIS on-line Papers in Economics and Informatics. RePEc:ags:aolpei:276110.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2017Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study. (2017). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Borradores de Economia. RePEc:bdr:borrec:1009.

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2018Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model. (2018). Ters, Kristyna ; Urban, Jorg. In: BIS Working Papers. RePEc:bis:biswps:689.

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2017Responses of Economic Activity to Global Oil Market Shocks: A Comparative Analysis of Major Net Oil-Producing and -Consuming Countries. (2017). Mavromaras, Kostas ; Worthington, Andrew C ; Sotoudeh, M-Ali . In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i::p:70-85.

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2017Modelling oil price-inflation nexus: The role of asymmetries and structural breaks. (2017). Salisu, Afees ; Olofin, Sam. In: Working Papers. RePEc:cui:wpaper:0020.

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2017The impact of crude oil prices on stock prices of oil firms: Should upstream-downstream dichotomy in supply chain be ignored?. (2017). Salisu, Afees ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0021.

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2017Are daily agricultural grains prices stationary? New evidence from GARCH-based unit root tests. (2017). Salisu, Afees ; Oloko, Tirimisiyu. In: Working Papers. RePEc:cui:wpaper:0036.

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2018Predicting the stock prices of G7 countries with Bitcoin prices. (2018). Salisu, Afees ; Isah, Kazeem ; Akanni, Lateef. In: Working Papers. RePEc:cui:wpaper:0054.

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2017Identifying Speculative Demand Shocks in Commodity Futures Markets through Changes in Volatility. (2017). Rieth, Malte ; Hachula, Michael . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1646.

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2017A Model of the Dynamic of the Relationship between Exchange Rate and Indonesia’s Export. (2017). Adam, Pasrun ; Rosnawintang, Rosnawintang ; Muthalib, Abd Aziz ; Nusantara, Ambo Wonua . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-33.

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2017The Dynamics of Financial and Macroeconomic Determinants in Natural Gas and Crude Oil Markets: Evidence from Organization for Economic Cooperation and Development/Gulf Cooperation Council/Organization. (2017). Karacaer-Ulusoy, Merve ; Kapusuzoglu, Ayhan . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-03-21.

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2018The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. (2018). Ulusoy, Veysel ; Ozdurak, Caner . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-18.

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2018International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries. (2018). Albaity, Mohamed ; Mustafa, Hasan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-9.

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2018Does Agricultural Commodity Price Co-move with Oil Price in the Time-Frequency Space? Evidence from the Republic of Korea. (2018). Meng, Xiangcai . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-04-16.

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2017How does investor attention affect international crude oil prices?. (2017). Zhang, Yue-Jun ; Ma, Chao-Qun ; Yao, Ting . In: Applied Energy. RePEc:eee:appene:v:205:y:2017:i:c:p:336-344.

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2017Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach. (2017). Salisu, Afees ; Isah, Kazeem. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:258-271.

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2017Financial contagion and volatility spillover: An exploration into Indian commodity derivative market. (2017). Sinha Roy, Saikat ; Sinharoy, Saikat. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:368-380.

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2018Oil and the short-term predictability of stock return volatility. (2018). Yin, Libo ; Wang, Yudong ; Wu, Chongfeng ; Wei, YU. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:90-104.

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2017Oil shocks and stock markets revisited: Measuring connectedness from a global perspective. (2017). Zhang, Dayong. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:323-333.

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2017Pure martingale and joint normality tests for energy futures contracts. (2017). Shrestha, Keshab ; Rassiah, Puspavathy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:174-184.

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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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2017A micro-based model for world oil market. (2017). Guerra, Sergio ; Rigobon, Roberto ; Molina, German ; Manzano, Osmel ; Reyes, Sergio Guerra ; Horst, Enrique Ter ; Espinasa, Ramon. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:431-449.

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2017Dynamic relationship of oil price shocks and country risks. (2017). Lee, Chien-Chiang ; Ning, Shao-Lin. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:571-581.

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2017Nonparametric panel data model for crude oil and stock market prices in net oil importing countries. (2017). Smyth, Russell ; Zhang, Xibin ; Silvapulle, Param ; Fenech, Jean-Pierre. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:255-267.

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2017Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression. (2017). You, Wanhai ; Tang, Yong ; Zhu, Huiming ; Guo, Yawei. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:1-18.

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2018Dynamic jumps in global oil price and its impacts on Chinas bulk commodities. (2018). Zhang, Chuanguo ; Yu, Danlin ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:297-306.

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2018Forecasting the prices of crude oil: An iterated combination approach. (2018). Zhang, Yaojie ; Huang, Dengshi ; Shi, Benshan ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:472-483.

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2018Markov switching GARCH models for Bayesian hedging on energy futures markets. (2018). Billio, Monica ; Osuntuyi, Anthony ; Casarin, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:545-562.

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2018Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272.

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2018Impacts of shifting Chinas final energy consumption to electricity on CO2 emission reduction. (2018). Zhao, Weigang ; Wei, Yi-Ming ; Wang, Ke ; Miao, BO ; Cao, Yunfei. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:359-369.

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2017What determines Chinas crude oil importing trade patterns? Empirical evidences from 55 countries between 1992 and 2015. (2017). Shao, Yanmin ; Wang, Shouyang ; Qiao, Han. In: Energy Policy. RePEc:eee:enepol:v:109:y:2017:i:c:p:854-862.

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2017The influence of global benchmark oil prices on the regional oil spot market in multi-period evolution. (2017). Sun, Xiaoqi ; Jiang, Meihui. In: Energy. RePEc:eee:energy:v:118:y:2017:i:c:p:742-752.

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2017The effects of oil shocks on export duration of China. (2017). Wang, Qizhen ; Zhu, Yingming . In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:55-61.

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2017Modelling oil price-inflation nexus: The role of asymmetries. (2017). Salisu, Afees ; Oyewole, Oluwatomisin ; Isah, Kazeem ; Akanni, Lateef. In: Energy. RePEc:eee:energy:v:125:y:2017:i:c:p:97-106.

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2017Oil price shocks and Chinas stock market. (2017). Wei, Yanfeng ; Guo, Xiaoying . In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:185-197.

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2018Time-varying effects of oil supply and demand shocks on Chinas macro-economy. (2018). Lin, Boqiang ; Gong, XU. In: Energy. RePEc:eee:energy:v:149:y:2018:i:c:p:424-437.

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2018Will the energy price bubble burst?. (2018). Lee, Chien-Chiang ; Liu, Tie-Ying. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:276-288.

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2017Oil shocks and stock markets: Dynamic connectedness under the prism of recent geopolitical and economic unrest. (2017). Filis, George ; Antonakakis, Nikolaos ; Chatziantoniou, Ioannis . In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:1-26.

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2017A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175.

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2017Hedging and speculative pressures and the transition of the spot-futures relationship in energy and metal markets. (2017). Shi, Yukun ; Park, Jin Suk. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:176-191.

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2018What do we know about oil prices and stock returns?. (2018). Smyth, Russell ; Narayan, Paresh Kumar. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:148-156.

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2017Return distribution, leverage effect and spot-futures spread on the hedging effectiveness. (2017). Kao, Wei-Shun ; Wu, Chien-Hui ; Changchien, Chang-Cheng ; Lin, Chu-Hsiung . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:158-162.

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2017On the relation between liquidity and the futures-cash basis: Evidence from a natural experiment. (2017). Han, Jianlei ; Pan, Zheyao . In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:115-131.

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2018The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets. (2018). Banerjee, Pradip ; Maitra, Debasish ; Christie-David, Rohan ; Chatrath, Arjun . In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:157-169.

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2017Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). Molnár, Peter ; Lyócsa, Štefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247.

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2017The impact of oil shocks on the housing market: Evidence from Canada and U.S. (2017). Escobari, Diego ; Egly, Peter V ; Killins, Robert N. In: Journal of Economics and Business. RePEc:eee:jebusi:v:93:y:2017:i:c:p:15-28.

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2017The effects of oil price shocks on U.S. stock order flow imbalances and stock returns. (2017). Tsouknidis, Dimitris ; Savva, Christos ; Lambertides, Neophytos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:137-146.

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2018The impact of oil-market shocks on stock returns in major oil-exporting countries. (2018). Basher, Syed ; Sadorsky, Perry ; Haug, Alfred A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:264-280.

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2017Does oil predict gold? A nonparametric causality-in-quantiles approach. (2017). Shahbaz, Muhammad ; Balcilar, Mehmet ; Ozdemir, Zeynel Abidin. In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:257-265.

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2018Do enterprise–bank relationships improve market quality? Evidence from Taiwan. (2018). Wang, Ming-Chang ; Chiang, Hsin-Chieh ; Ding, Yu-Jia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:79-91.

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2018A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries. (2018). Pavlova, Ivelina ; Parhizgari, Ali M ; de Boyrie, Maria E. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:10-22.

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2017Stock index hedging using a trend and volatility regime-switching model involving hedging cost. (2017). Su, Ender . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:233-254.

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2017Oil price shocks and American depositary receipt stock returns. (2017). Sharma, Shahil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1040-1056.

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2017Cointegration test of oil price and us dollar exchange rates for some oil dependent economies. (2017). Obi, Pat ; Bokpin, Godfred ; Mensah, Lord. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:304-311.

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2018The Interaction between Oil Price and Financial Stress: Evidence from the U.S. Data. (2018). Polat, Onur. In: Fiscaoeconomia. RePEc:fis:journl:180302.

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2017The Diversification Benefits of Including Carbon Assets in Financial Portfolios. (2017). Zhang, Yinpeng ; Yu, Xueying ; Liu, Zhixin. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:3:p:437-:d:93470.

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2017Dynamic and Volatility of World Agricultural Market Prices: Impacts on Importations and Food Security in WAEMU. (2017). Atozou, Baoubadi ; Akakpo, Koffi. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:12:p:180-194.

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2018The Financialization of Commodity Markets: A Short-lived Phenomenon?. (2018). Jegourel, Yves. In: Books & Reports. RePEc:ocp:dbbook:9-789954-971789.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry . In: Working Papers. RePEc:otg:wpaper:1710.

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2017The links between crude palm oil, conventional and Islamic stock markets: evidence from Malaysia based on continuous and discrete wavelet analysis. (2017). Masih, Abul ; Razak, Razman . In: MPRA Paper. RePEc:pra:mprapa:79717.

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2017Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2017). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: MPRA Paper. RePEc:pra:mprapa:80435.

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2017The Impact of Oil Shocks on the Housing Market: Evidence from Canada and U.S.. (2017). Escobari, Diego ; Egly, Peter V ; Killins, Robert N. In: MPRA Paper. RePEc:pra:mprapa:80529.

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2017The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach. (2017). Haug, Alfred ; Basher, Syed ; Sadorsky, Perry . In: MPRA Paper. RePEc:pra:mprapa:81638.

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2017A Volatility Analysis of Agricultural Commodity and Crude Oil Global Markets. (2017). Jelassi, Mohamed ; Trabelsi, Jamel ; del Lo, Gaye. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:4:y:2017:i:2:p:129-140.

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2018Volatility Linkages between Energy and Food Prices: Case of Selected Asian Countries. (2018). TAGHIZADEH-HESARY, Farhad ; Yoshino, Naoyuki ; Rasoulinezhad, Ehsan. In: ADBI Working Papers. RePEc:ris:adbiwp:0829.

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2018Shock transmission and volatility spillover in stock and commodity markets: evidence from advanced and emerging markets. (2018). coskun, yener ; Yelkenci, Tezer ; Cokun, Yener ; Vardar, Gulin. In: Eurasian Economic Review. RePEc:spr:eurase:v:8:y:2018:i:2:d:10.1007_s40822-018-0095-3.

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2017Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?. (2017). Razafindrabe, Tovonony ; Mignon, Valérie ; Allegret, Jean-Pierre ; Couharde, Ccile. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:18:p:1774-1793.

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2017Asymmetric effects of oil price shocks on stock returns: evidence from a two-stage Markov regime-switching approach. (2017). Zhu, Huiming ; Ren, Yinghua ; You, Wanhai ; Su, Xianfang . In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:25:p:2491-2507.

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2017How do oil supply and demand shocks affect Asian stock markets?. (2017). Koh, Wee Chian. In: Macroeconomics and Finance in Emerging Market Economies. RePEc:taf:macfem:v:10:y:2017:i:1:p:1-18.

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Works by Li Yang:

YearTitleTypeCited
2014Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article3
2011Optimal production strategy under demand fluctuations: Technology versus capacity In: European Journal of Operational Research.
[Full Text][Citation analysis]		article4
2014Oil price shocks and agricultural commodity prices In: Energy Economics.
[Full Text][Citation analysis]		article32
2014Hedging crude oil using refined product: A regime switching asymmetric DCC approach In: Energy Economics.
[Full Text][Citation analysis]		article9
2008Hedging with Chinese metal futures In: Global Finance Journal.
[Full Text][Citation analysis]		article5
2004Alternative settlement methods and Australian individual share futures contracts In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article1
2008Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article35
2013Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries In: Journal of Comparative Economics.
[Full Text][Citation analysis]		article95
1997The value of public information in commodity futures markets In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article28
2005Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]		article4
2003Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article1
2009Intraday return and volatility spill-over across international copper futures markets In: International Journal of Managerial Finance.
[Full Text][Citation analysis]		article5
2011The Informational Role of Stock and Warrant Trades: Empirical Evidence from China In: Emerging Markets Finance and Trade.
[Full Text][Citation analysis]		article2
2003Options expiration effects and the role of individual share futures contracts In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3
2006Spot‐futures spread, time‐varying correlation, and hedging with currency futures In: Journal of Futures Markets.
[Full Text][Citation analysis]		article19
2010The effects of structural breaks and long memory on currency hedging In: Journal of Futures Markets.
[Full Text][Citation analysis]		article4
2013Dynamic Dependence Between Liquidity and the S&P 500 Index Futures‐Cash Basis In: Journal of Futures Markets.
[Citation analysis]		article2
2013Dynamic and Asymmetric Dependences Between Chinese Yuan and Other Asia‐Pacific Currencies In: Journal of Futures Markets.
[Citation analysis]		article5

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