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Li Yang

Acting Head of the School of Banking and Finance, AGSM Scholar, Associate Professor School of Banking & Finance

School of Banking ＆ Finance - PhD, University of Illinois at Urbana-Champaign | MS, Tsinghua University | BS, Tsinghua University

Journal Articles

Pan Z; Wang Q; Wang Y; Yang L, 2018, 'Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model', Energy Economics, vol. 72, pp. 177 - 187, http://dx.doi.org/10.1016/j.eneco.2018.04.008
Liu L; Wang Y; Yang L, 2018, 'Predictability of crude oil prices: An investor perspective', Energy Economics, vol. 75, pp. 193 - 205, http://dx.doi.org/10.1016/j.eneco.2018.08.010
Lien D; Lee G; Yang L; Zhang Y, 2018, 'Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis', North American Journal of Economics and Finance, vol. 46, pp. 187 - 201, http://dx.doi.org/10.1016/j.najef.2018.04.006
Wang Y; Wu C; Yang L, 2016, 'Forecasting crude oil market volatility: A Markov switching multifractal volatility approach', International Journal of Forecasting, vol. 32, pp. 1 - 9, http://dx.doi.org/10.1016/j.ijforecast.2015.02.006
Wang Y; Wu C; Yang L, 2015, 'Hedging with futures: Does anything beat the naïve hedging strategy?', Management Science, vol. 61, pp. 2870 - 2889, http://dx.doi.org/10.1287/mnsc.2014.2028
Lien D; Yang L; Zhou C; Lee G, 2014, 'Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets', The North American Journal of Economics and Finance, vol. 28, pp. 265 - 272, http://dx.doi.org/10.1016/j.najef.2014.03.008
Yu X; Yang L, 2014, 'Pricing american options using a nonparametric entropy approach', Discrete Dynamics in Nature and Society, vol. 2014, http://dx.doi.org/10.1155/2014/369795
Wang Y; Wu C; Yang L, 2014, 'Oil price shocks and agricultural commodity prices', Energy Economics, vol. 44, pp. 22 - 35, http://dx.doi.org/10.1016/j.eneco.2014.03.016
Pan Z; Wang Y; Yang L, 2014, 'Hedging crude oil using refined product: A regime switching asymmetric DCC approach', Energy Economics, vol. 46, pp. 472 - 484, http://dx.doi.org/10.1016/j.eneco.2014.05.014
Lien D; Wu C; Yang L; Zhou C, 2013, 'Dynamic and asymmetric dependences between Chinese Yuan and other Asia-Pacific currencies', Journal of Futures Markets, vol. 33, pp. 696 - 723, http://dx.doi.org/10.1002/fut.21609
Lien D; Lim G; Yang L; Zhou C, 2013, 'Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis', Journal of Futures Markets, vol. 33, pp. 327 - 342, http://dx.doi.org/10.1002/fut.21554
Wang Y; Wu C; Yang L, 2013, 'Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries', Journal of Comparative Economics, vol. 41, pp. 1220 - 1239, http://dx.doi.org/10.1016/j.jce.2012.12.004
Zhou C; Wu C; Yang L, 2011, 'The informational role of stock and warrant trades: Empirical evidence from China', Emerging Markets Finance and Trade, vol. 47, pp. 78 - 93, http://dx.doi.org/10.2753/REE1540-496X4701S107
Yang L, 2010, 'Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets', Journal of Futures Markets, vol. 18, http://dx.doi.org/10.2139/ssrn.1537762
Lien D; Yang L, 2010, 'The effects of structural breaks and long memory on currency hedging', Journal of Futures Markets, vol. 30, pp. 607 - 632, http://dx.doi.org/10.1002/fut.20436
Lien D; Yang L, 2009, 'Intraday return and volatility spill-over across international copper futures markets', International Journal of Managerial Finance, vol. 5, pp. 135 - 149, http://dx.doi.org/10.1108/17439130910932378
Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, vol. 32, pp. 187 - 198, http://dx.doi.org/10.1016/j.bankfin.2007.01.026
Lien D; Yang L, 2008, 'Hedging with Chinese metal futures', Global Finance Journal, vol. 19, pp. 123 - 138, http://dx.doi.org/10.1016/j.gfj.2008.01.004
Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, vol. 32, pp. 187 - 198, http://dx.doi.org/10.1016/j.jbankfin.2007.01.026
Lien D; Yang L, 2006, 'Spot-futures spread, time-varying correlation, and hedging with currency futures', Journal of Futures Markets, vol. 26, pp. 1019 - 1038, http://dx.doi.org/10.1002/fut.20225
Lien D; Yang L, 2005, 'Availability and settlement of individual stock futures and options expiration-day effects: Evidence from high-frequency data', Quarterly Review of Economics and Finance, vol. 45, pp. 730 - 747, http://dx.doi.org/10.1016/j.qref.2004.06.002
Lien D; Yang L, 2004, 'Alternative settlement methods and Australian individual share futures contracts', Journal of International Financial Markets, Institutions and Money, vol. 14, pp. 473 - 490, http://dx.doi.org/10.1016/j.intfin.2004.01.001
Lien D; Yang L, 2004, 'Return autocorrelations on individual stocks and corresponding futures: Evidence from Australian, Hong Kong, and United Kingdom markets', Review of Pacific Basin Financial Markets and Policies, vol. 7, pp. 397 - 422, http://dx.doi.org/10.1142/S0219091504000160
Lien D; Yang L, 2004, 'Return Autocorrelations on Individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United Kingdom Markets', Review of Pacific Basin Financial Markets and Policies, vol. 07, pp. 397 - 422
Lien D; Yang LI, 2003, 'Options expiration effects and the role of individual share futures contracts', Journal of Futures Markets, vol. 23, pp. 1107 - 1118, http://dx.doi.org/10.1002/fut.10100
Lien D; Yang L, 2003, 'Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market', International Review of Economics and Finance, vol. 12, pp. 495 - 512, http://dx.doi.org/10.1016/S1059-0560(03)00036-4
Stoodley MA; Jones NR; Yang L; Brown CJ, 2000, 'Mechanisms underlying the formation and enlargement of noncommunicating syringomyelia: experimental studies.', Neurosurg Focus, vol. 8, pp. E2, https://www.ncbi.nlm.nih.gov/pubmed/16676925
Garcia P; Irwin SH; Leuthold RM; Yang L, 1997, 'The value of public information in commodity futures markets', Journal of Economic Behavior & Organization, vol. 32, pp. 559 - 570, http://dx.doi.org/10.1016/s0167-2681(97)00013-9

Book Chapters

Lien D; Lee G; Yang L; Zhou C, 2015, 'Evaluating the effectiveness of futures hedging', in Handbook of Financial Econometrics and Statistics, pp. 1891 - 1908, http://dx.doi.org/10.1007/978-1-4614-7750-1_70
Yang L, 2009, 'Hedging Effectiveness with S&P 500 Index Futures under Different Volatility Regimes', in Catlere PN (ed.), Financial Hedging, edn. Original, Nova Science Publishers Inc, pp. 53 - 76
Yang L, 2005, 'Settlement Specifications on Commodity Futures Contracts', in Bellows AR (ed.), Focus on Agricultural Economics, edn. 2005, Nova Science Publisher, Inc, New York, pp. 53 - 76

Working Papers

Lee G; Yang L, 2015, Impact of truncation on model-free implied moment estimator, http://dx.doi.org10.2139/ssrn.2485513

Li Yang

Acting Head of the School of Banking and Finance, AGSM Scholar, Associate Professor School of Banking & Finance

Journal Articles

Book Chapters

Working Papers

Current Courses Taught

Research Grants