Search Results

Predicting the oil prices: Do technical indicators help?,
Libo Yin and Qingyuan Yang, in Energy Economics (2016)
Keywords: Oil price predictability; Technical indicators; Macroeconomic variables; Out-of-sample forecasts; Business cycle;

Oil market uncertainty and international business cycle dynamics,
Libo Yin and Jiabao Feng, in Energy Economics (2019)
Keywords: Oil volatility; Volatility risk premium (VRP); Business cycle; Linear and nonlinear causality tests; Heterogeneous panel causality;

Firm’s quality increases and the cross-section of stock returns: Evidence from China,
Libo Yin and Huiyi Liao, in International Review of Economics & Finance (2020)
Keywords: Quality; Quality increases premium; Chinese stock market; Cross-section of stock returns; Mispricing;

Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility,
Feng He and Libo Yin, in Journal of Forecasting (2021)

Adjusted dividend-price ratios and stock return predictability: Evidence from China,
Libo Yin and Jing Nie, in International Review of Financial Analysis (2021)
Keywords: Dividend-Price ratio; Return predictability; Semi-mandatory dividend policy; Signaling; Cash flow;

Big is brilliant: Understanding the Chinese size effect through profitability shocks,
Libo Yin and Huiyi Liao, in International Review of Financial Analysis (2021)
Keywords: Size effect; Expected stock returns; Profitability shocks; Empirical asset pricing;

Do dividends signal safety? Evidence from China,
Jing Nie and Libo Yin, in International Review of Financial Analysis (2022)
Keywords: Dividends; Signaling theory; Cash flow volatility; Chinese stock markets;

Intermediary asset pricing in currency carry trade returns,
Libo Yin and Jing Nie, in Journal of Futures Markets (2021)

Macroeconomic impacts on commodity prices: China vs. the United States,
Libo Yin and Liyan Han, in Quantitative Finance (2016)

China's diversification discount: The role of the information environment,
Libo Yin and Ruxue Bai, in International Review of Financial Analysis (2023)
Keywords: Diversification discount; Mispricing; Information uncertainty; Breakpoint;

Aggregate profit instability and time variations in momentum returns: Evidence from China,
Libo Yin and Ya Wei, in Pacific-Basin Finance Journal (2020)
Keywords: Aggregate profit instability; Momentum; Time series predictability of momentum; Market state; Risk price;

Causality between oil shocks and exchange rate: A Bayesian, graph-based VAR approach,
Libo Yin and Xiyuan Ma, in Physica A: Statistical Mechanics and its Applications (2018)
Keywords: Oil shocks; Exchange rates; Bayesian; Graph-based VAR; Causal structural relationship; Time-varying analysis;

Forecasting the oil prices: What is the role of skewness risk?,
Libo Yin and Yang Wang, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: Oil price predictability; Skewness risk; Out-of-sample forecasts; Business cycle;

Oil uncertainty and firms' risk-taking,
Libo Yin and Man Lu, in Energy Economics (2022)
Keywords: Oil uncertainty; Risk-taking; Real options; Growth opportunities; Risk aversion;

Oil shocks and stock volatility: new evidence via a Bayesian, graph-based VAR approach,
Libo Yin and Xiyuan Ma, in Applied Economics (2020)

National culture and international business cycle co-movements,
Tong Fang and Libo Yin, in Applied Economics (2024)

Macroeconomic uncertainty: does it matter for commodity prices?,
Libo Yin and Liyan Han, in Applied Economics Letters (2014)

Spillovers of macroeconomic uncertainty among major economies,
Libo Yin and Liyan Han, in Applied Economics Letters (2014)

Understanding climate policy uncertainty: Evidence from temporal and spatial domains,
Libo Yin and Hong Cao, in International Review of Financial Analysis (2024)
Keywords: Climate policy uncertainties; Commodity markets; Ripple-spreading network model; Positive and negative volatility;

Financialization of commodity markets: New evidence from temporal and spatial domains,
Libo Yin and Hong Cao, in Journal of Futures Markets (2024)

Oil price returns and firm's fixed investment: A production pattern,
Libo Yin and Sen Yang, in Energy Economics (2023)
Keywords: Oil price returns; Fixed investment; Oil shocks; Heterogeneity; Asymmetric effect;

The propagation effect of climate risks on global stock markets: Evidence from the time and space domains,
Libo Yin and Hong Cao, in Energy Economics (2024)
Keywords: Climate risks; Global stock market indexes; Propagation effect; Ripple-spreading network model; Temporal analysis; Spatial analysis;

Anatomy of recent value premium's travails,
Libo Yin and Huiyi Liao, in International Review of Financial Analysis (2024)
Keywords: Value effect; Composite profitability; Chinese market;

Hedging International Foreign Exchange Risks via Option Based Portfolio Insurance,
Libo Yin and Liyan Han, in Computational Economics (2015)
Keywords: Foreign exchange risk hedging, FX derivatives, Option-based portfolio insurance, Portfolio optimization,

International Assets Allocation with Risk Management via Multi-Stage Stochastic Programming,
Libo Yin and Liyan Han, in Computational Economics (2020)
Keywords: Stochastic programming, Option hedging strategy, Risk management, Portfolio optimization

The profitability effect: Insight from a dynamic perspective,
Libo Yin and Zhichen Yang, in International Review of Financial Analysis (2022)
Keywords: Profitability premium; Profitability growth; Profitability acceleration; Dynamic perspective; Irrational mispricing;

Options strategies for international portfolios with overall risk management via multi-stage stochastic programming,
Libo Yin and Liyan Han, in Annals of Operations Research (2013)
Keywords: Options strategies, Risk management, Multi-stage stochastic programming, Greek letters,

Intermediary capital risk and commodity futures volatility,
Libo Yin, Jing Nie and Liyan Han, in Journal of Futures Markets (2021)

Common idiosyncratic volatility and returns: From an investment horizon perspective,
Libo Yin, Tengjia Shu and Zhi Su, in International Journal of Finance & Economics (2019)

Can skewness of the futures‐spot basis predict currency spot returns?,
Xue Jiang, Liyan Han and Libo Yin, in Journal of Futures Markets (2019)

Intermediary asset pricing in commodity futures returns,
Libo Yin, Jing Nie and Liyan Han, in Journal of Futures Markets (2020)

The effects of investor attention on commodity futures markets,
Liyan Han, Ziying Li and Libo Yin, in Journal of Futures Markets (2017)

Is oil risk important for commodity-related currency returns?,
Libo Yin, Zhi Su and Man Lu, in Research in International Business and Finance (2022)
Keywords: Volatility risk premium; Currency returns; Oil risk; Out-of-sample forecasts;

Does NVIX matter for market volatility? Evidence from Asia-Pacific markets,
Zhi Su, Tong Fang and Libo Yin, in Physica A: Statistical Mechanics and its Applications (2018)
Keywords: News-based implied volatility; Uncertainty; Stock market volatility; GARCH-MIDAS; Volatility predictability;

The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China,
Zhi Su, Tengjia Shu and Libo Yin, in Physica A: Statistical Mechanics and its Applications (2018)
Keywords: Idiosyncratic volatility; Cross section of stock returns; Firm-level volatility; Common trend; A-Share stock of China;

Oil prices and news-based uncertainty: Novel evidence,
Zhi Su, Man Lu and Libo Yin, in Energy Economics (2018)
Keywords: News implied volatility; News-based uncertainty; Oil prices; Oil shocks; Wavelet coherence analysis;

The effect of oil returns on the stock markets network,
Liyan Han, Qiuna Lv and Libo Yin, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: Oil-stock market; Oil returns; Complex network; Network-based indicators;

Systemic risk in international stock markets: Role of the oil market,
Libo Yin, Jiabao Feng and Liyan Han, in International Review of Economics & Finance (2021)
Keywords: Systemic risk; Contagion risk; Delta conditional value at risk (ΔCoVaR); Oil market; Out-of-sample test;

Understanding cryptocurrency volatility: The role of oil market shocks,
Libo Yin, Jing Nie and Liyan Han, in International Review of Economics & Finance (2021)
Keywords: Oil market shocks; Cryptocurrency volatility; Macroeconomic uncertainty; Safe haven;

China's illiquidity premium: Due to risk-taking or mispricing?,
Zhi Su, Tongtong Lyu and Libo Yin, in Pacific-Basin Finance Journal (2022)
Keywords: Illiquidity premium; Risk; Mispricing; Sentiment;

Our currency, your attention: Contagion spillovers of investor attention on currency returns,
You Wu, Liyan Han and Libo Yin, in Economic Modelling (2019)
Keywords: Investor attention; Currency returns; Contagion; Asymmetric effect; Predictability;

Uncertainty and currency performance: A quantile-on-quantile approach,
Liyan Han, Yang Liu and Libo Yin, in The North American Journal of Economics and Finance (2019)
Keywords: Financial uncertainty; Macro uncertainty; Foreign exchange rates; Nonlinear relationship; Quantile-on-quantile method; Asymmetric impact;

Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets,
Xuan Mo, Zhi Su and Libo Yin, in The North American Journal of Economics and Finance (2019)
Keywords: Skewness of oil returns; Expected stock returns; Investor preference;

Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility,
Tong Fang, Zhi Su and Libo Yin, in International Review of Financial Analysis (2020)
Keywords: Cryptocurrency; Uncertainty; GARCH-MIDAS model; Hedging effectiveness;

The impact of operating flexibility on firms’ performance during the COVID-19 outbreak: Evidence from China,
Hao Liu, Xingjian Yi and Libo Yin, in Finance Research Letters (2021)
Keywords: Operating Flexibility; COVID-19; Real Options; Event Study;

Do stock prices react to announcements of corporate executives’ first-time elections as congress deputies? New evidence from the Chinese political system,
Libo Yin, Zhi Su and Tong Fang, in Finance Research Letters (2022)
Keywords: Political connections; Cumulative abnormal returns; Political system; Event study;

Are conditional illiquidity risks priced in China? A cross-sectional test,
Zhi Su, Tongtong Lyu and Libo Yin, in International Review of Financial Analysis (2022)
Keywords: Funding illiquidity; Conditional illiquidity risk; Risk premiums; CLCAPM;

Oil market uncertainty and excess returns on currency carry trade,
Zhi Su, Xuan Mo and Libo Yin, in Research in International Business and Finance (2021)
Keywords: Oil market uncertainty; Currency excess returns; Carry trade; Global risk aversion;

Does investor attention matter? The attention-return relation in gold futures market,
Liyan Han, Yang Xu and Libo Yin, from Kiel Institute for the World Economy (IfW Kiel) (2017)
Keywords: gold futures return, investor attention, link to futures basis, economic value

Systemic risk and dynamics of contagion: a duplex inter-bank network,
Ding Ding, Liyan Han and Libo Yin, in Quantitative Finance (2017)

The predictive performance of the currency futures basis for spot returns,
Liyan Han, Xue Jiang and Libo Yin, in Quantitative Finance (2019)

Predictability of structural co-movement in commodity prices: the role of technical indicators,
Libo Yin, Qingyuan Yang and Zhi Su, in Quantitative Finance (2017)

News implied volatility and long-term foreign exchange market volatility,
Yang Liu, Liyan Han and Libo Yin, in International Review of Financial Analysis (2019)
Keywords: News implied volatility; Foreign exchange market; Long-term volatility; Incremental effect; GARCH-MIDAS-X model;

Forecasting the CNY-CNH pricing differential: The role of investor attention,
Liyan Han, Yang Xu and Libo Yin, in Pacific-Basin Finance Journal (2018)
Keywords: CNY-CNH pricing differential; Investor attention; Out-of-sample forecast; Economic significance; Carry trade;

Does investor attention matter? The attention-return relationships in FX markets,
Liyan Han, Yang Xu and Libo Yin, in Economic Modelling (2018)
Keywords: Investor attention; Exchange rate; Attention-return relationships; Nonlinearity;

Understanding stock market volatility: What is the role of U.S. uncertainty?,
Zhi Su, Tong Fang and Libo Yin, in The North American Journal of Economics and Finance (2019)
Keywords: U.S. uncertainty; GARCH-MIDAS model; Stock market volatility; Market contagion;

Asymmetric volatility spillovers between international economic policy uncertainty and the U.S. stock market,
Feng He, Ziwei Wang and Libo Yin, in The North American Journal of Economics and Finance (2020)
Keywords: EPU; Asymmetric spillover; Time-varying; Volatility;

The role of news-based implied volatility among US financial markets,
Zhi Su, Tong Fang and Libo Yin, in Economics Letters (2017)
Keywords: News-based implied volatility; Financial markets; Long-term volatility; Predictability;

Can investor attention predict oil prices?,
Liyan Han, Qiuna Lv and Libo Yin, in Energy Economics (2017)
Keywords: Investor attention; Oil prices; Google search volume index; FGLS; Hybrid forecasting; Term structure;

Return and volatility connectedness across global ESG stock indexes: Evidence from the time-frequency domain analysis,
Jieru Wan, Libo Yin and You Wu, in International Review of Economics & Finance (2024)
Keywords: ESG stock indexes; Return connectedness; Volatility connectedness; Time-frequency domain; The COVID-19 pandemic; ESG attention;

Firms' profit instability and the cross-section of stock returns: Evidence from China,
Libo Yin, Ya Wei and Liyan Han, in Research in International Business and Finance (2020)
Keywords: Profit instability; Predictive power; Expected returns; Chinese stock market; Mispricing;

Macroeconomic policy uncertainty shocks on the Chinese economy: a GVAR analysis,
Liyan Han, Mengchao Qi and Libo Yin, in Applied Economics (2016)

Is the relationship between gold and the U.S. dollar always negative? The role of macroeconomic uncertainty,
Yimin Zhou, Liyan Han and Libo Yin, in Applied Economics (2018)

Investor attention and currency performance: international evidence,
Liyan Han, You Wu and Libo Yin, in Applied Economics (2018)

Does news uncertainty matter for commodity futures markets? Heterogeneity in energy and non‐energy sectors,
Yang Liu, Liyan Han and Libo Yin, in Journal of Futures Markets (2018)

Chinese Stock Returns and the Role of News-Based Uncertainty,
Zhi Su, Man Lu and Libo Yin, in Emerging Markets Finance and Trade (2019)

Investor Attention and Stock Returns: International Evidence,
Liyan Han, Ziying Li and Libo Yin, in Emerging Markets Finance and Trade (2018)

Downside Risk in the Oil Market: Does It Affect Stock Returns in China?,
Zhi Su, Xuan Mo and Libo Yin, in Emerging Markets Finance and Trade (2021)

The information content of Shanghai crude oil futures vs WTI benchmark: Evidence from temporal and spatial dimensions,
Libo Yin, Hong Cao and Yumei Guo, in Energy Economics (2024)
Keywords: Shanghai crude oil futures; Informational role; Ripple-spreading network model; West Texas intermediate benchmark;

A Non-Liner Decision Model for Green Crowdfunding Project Success: Evidence from China,
Jinbi Yang, Libo Liu and Chunxiao Yin, in IJERPH (2019)
Keywords: environmental sustainability; green crowdfunding project; decision making model; goal setting; project duration; non-linear

Oil volatility risk and stock market volatility predictability: Evidence from G7 countries,
Jiabao Feng, Yudong Wang and Libo Yin, in Energy Economics (2017)
Keywords: Stock realized volatility; Oil volatility risk premium; Predictive regression; Out-of-sample forecast; Economic significance;

Can skewness predict currency excess returns?,
Xue Jiang, Liyan Han and Libo Yin, in The North American Journal of Economics and Finance (2019)
Keywords: Skewness; Currency excess returns; Carry trade; Time-series test; Cross-sectional tests;

Currency strategies based on momentum, carry trade and skewness,
Xue Jiang, Liyan Han and Libo Yin, in Physica A: Statistical Mechanics and its Applications (2019)
Keywords: Momentum; Carry trade; Skewness; Currency excess returns;

Environmental Efficiency and Its Determinants for Manufacturing in China,
Xu Wang, Liyan Han and Libo Yin, in Sustainability (2016)
Keywords: economic efficiency; environmental efficiency; Tobit regression model; data envelopment analysis; environmental risk

Exogenous shocks and the spillover effects between uncertainty and oil price,
Lei Li, Libo Yin and Yimin Zhou, in Energy Economics (2016)
Keywords: Oil price; Equity-related uncertainty; Exogenous shocks; Spillover effects; Bivariate EGARCH models;

Does the green inspiration effect matter for stock returns? Evidence from the Chinese stock market,
Tong Fang, Zhi Su and Libo Yin, in Empirical Economics (2021)
Keywords: Green inspiration, Asset pricing, Stock returns, Factor models, Subsample analysis

Impact of crude oil price innovations on global stock market volatility: Evidence across time and space,
Libo Yin, Hong Cao and Yu Xin, in International Review of Financial Analysis (2024)
Keywords: Crude oil innovations; Global stock market volatility; Ripple-spreading network model; Time and space domains analysis;

Exogenous impacts on the links between energy and agricultural commodity markets,
Liyan Han, Yimin Zhou and Libo Yin, in Energy Economics (2015)
Keywords: Energy; Agricultural commodities; Multivariate normal mixture model; Financialization; Biofuel policy; Food crisis; Global financial crisis;

Dynamic link between oil prices and exchange rates: A non-linear approach,
Yang Xu, Liyan Han, Li Wan and Libo Yin, in Energy Economics (2019)
Keywords: Crude oil prices; Exchange rates; Normal mixture model; Business cycle; Oil price shocks; Global economic policy uncertainty;

Uncertainty‐driven oil volatility risk premium and international stock market volatility forecasting,
Tong Fang, Deyu Miao, Zhi Su and Libo Yin, in Journal of Forecasting (2023)

Optimistic bias of analysts' earnings forecasts: Does investor sentiment matter in China?,
Yanran Wu, Tingting Liu, Liyan Han and Libo Yin, in Pacific-Basin Finance Journal (2018)
Keywords: Investor sentiment; analysts' forecast bias; Conflicts of interests; Chinese stock market;

Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model,
Zhiyuan Pan, Yudong Wang, Chongfeng Wu and Libo Yin, in Journal of Empirical Finance (2017)
Keywords: Crude oil; Volatility; Regime switching; Mixed-frequency data sampling; Forecasting;

Oil and the short-term predictability of stock return volatility,
Yudong Wang, Yu Wei, Chongfeng Wu and Libo Yin, in Journal of Empirical Finance (2018)
Keywords: Crude oil volatility; Stock volatility; Predictive regression; Out-of-sample performance; Economic significance;

It's not that important: The negligible effect of oil market uncertainty,
Libo Yin, Jiabao Feng, Li Liu and Yudong Wang, in International Review of Economics & Finance (2019)
Keywords: Return predictability; Oil factors; Volatility risk premium; Out-of-sample forecast; Time-varying analysis;

Do foreign institutional investors stabilize the capital market?,
Liyan Han, Qingqing Zheng, Lei Li and Libo Yin, in Economics Letters (2015)
Keywords: Financial liberalization; Foreign Institutional Investor; Volatility;

Who Pays for the Pollution Fees? Cost Transmissions Along the Supply Chain,
Ying Li, Lei Li, Zhi Su and Libo Yin, from University of Bonn and University of Mannheim, Germany (2023)
Keywords: Input-Output-Linkage, Emission Fees, Incidence, Pass-Through

Hedging Along the Global Value Chain: Trade War and Firm Value,
Liyan Han, Lei Li, Huiyi Liao and Libo Yin, from University of Bonn and University of Mannheim, Germany (2024)
Keywords: Trade War, Global Supply Chain, Firm Value

Diversification or Specialization? The Responses of Multi-Product Exporters to Quota Removal,
Ruxue Bai, Lei Li, Ying Li and Libo Yin, from University of Bonn and University of Mannheim, Germany (2024)
Keywords: Import quota, multi-product firms, cannibalization effect, diversification, demand linkages, supply linkages, exports, stock market

Do terrorist attacks matter for currency excess returns?,
Yiye Liu, Liyan Han, You Wu and Libo Yin, in Finance Research Letters (2022)
Keywords: Terrorist attacks; Excess returns; Carry trade; FX markets;

Exploring the Contingent Effect of Community Equity on Users’ Intention to Share Information,
Kristijan Mirkovski, Chunxiao Yin, Libo Liu and Jinbi Yang, in Information Systems Frontiers (2019)
Keywords: Intention to share information, Social commerce sites, Community equity, Psychological motivations