Selected Publications
2024
Carbon Dioxide Emissions and Environmental Risks: Long-term and Short-term, Risk Analysis, February 2024, with Sabri Boubaker, Yuhao Mu, and Yaosong Zhan.
https://doi.org/10.1111/risa.14281
Understanding the Complexity of Futures Markets Investing in China: Evidence from Deep Learning Techniques, Annals of Operations Research, with Nawazish Mirza, Rongyu You,Yaosong Zhan. https://doi.org/10.1007/s10479-024-06277-x
Digital Transformation Driving Green Innovation: Evidence from Chinese A-Share Firms, International Review of Economics and Finance, with Heimei Li and Virginie Hanchard.
https://doi.org/10.1016/j.iref.2024.103487
Digital Finance, Financing Constraints, and Green Technological Innovation: A Spatial Analysis, Global Finance Journal, May 2024, with Bo Li, Xuemei Jia, Fengping Ma.
https://doi.org/10.1016/j.gfj.2024.100988
Measuring Firm-level Manager Risk Perception, Finance Research Letters, with Yu He, Shanglin Lu, Ran Wei.
https://doi.org/10.1016/j.iref.2024.103487
Fee Structure and Equity Fund Manager’s Optimal Locking in Profits Strategy, International Review of Financial Analysis, with David Dickinson, Xuyuan Han, and Yaosong Zhan. Accepted.
2023
Asset Pricing; Time Series Momentum; Momentum Reversal; Realized Semivariance; High-frequency Data, Journal of Empirical Finance, March, 2023, with Bo Li, Shanglin Lu, Shixuan Wang.
https://doi.org/10.1016/j.jempfin.2023.03.001
Big data analytics, IPCA, and investment, Technological Forecasting and Social Changes, Volume 194, September 2023, with Sabri Boubaker and Yuhao Mu.
https://doi.org/10.1016/j.techfore.2023.122713
Sequential Monitoring of Stock Market Price Changes, International Review of Economics and Finance, August, 2023, with Hemei Li and Zhijie Xiao.
https://doi.org/10.1016/j.iref.2023.07.105
The optimal time to buy and hold stock in a reversal, International Journal of Finance and Economics, August 2023, with Xuyuan Han.
https://doi.org/10.1002/ijfe.2868
Breaks in term structures: Evidence from the oil futures markets, International Journal of Finance & Economics, January, 2023, with Lajos Horvath, Curtis Miller, & Weiqing Tang.
https://doi.org/10.1002/ijfe.2777
The Evolvement of Momentum Effects in China: Evidence from Functional Data Analysis, Research in International Business and Finance, January, 2023, with Bo Li and Shixuan Wang. https://doi.org/10.1016/j.ribaf.2022.101833
2022
Testing Stability in Functional Event Observations with Applications to IPO Performance, Journal of Business & Economic Statistics, September 2022, with Lajos Horvath, Greg Rice, Shixuan Wang, and Yaosong Zhan.
https://doi.org/10.1080/07350015.2022.2118127
Sequential Monitoring of Changes in Dynamic Linear Models, Applied to the U.S. Housing Market, Econometric Theory, April 2022,38(2), 209-272, with Lajos Horvath, Shanglin Lu. https://doi.org/10.1017/S0266466621000104
Mirror of History: How to Statistically Identify the Stock Market Bubbles Bursts, Journal of Economic Behavior and Organization, December, 2022, Volume 204, Pages 128-147, with Sabri Boubaker, Tianqing Sui, Ling Zhai.
https://doi.org/10.1016/j.jebo.2022.09.024
Change-points and functional features of intraday volatility in China stock market. Annals of Operation Research, October 2022. with Sabri Boubaker, Tianqing Sui, Ling Zhai.
https://doi.org/10.1007/s10479-022-05014-6
Forecasting Oil Commodity Spot Price in a Data-rich Environment, Annals of Operations Research, October, 2022, with Sabri Boubaker and Yifan Zhang.
https://doi.org/10.1007/s10479-022-05004-8
When did the global warming start? A new baseline for carbon budgeting, Economic Modeling, September, 2022, with Hachmi Ben Ameur, Xuyuan Han, Jonathan Peillex. https://doi.org/10.1016/j.econmod.2022.106005
On Risk-Neutral Skewness and Commodity Pricing, Journal of Futures Markets, January 2022, with Ana-Maria Fuertes and Weiqing Tang.
http://doi.org/10.1002/fut.22308
Customer relationships, Corporate Social Responsibility, and Stock Price Reaction: Lessons from China during health crisis times, Finance Research Letters, February 2022, with Sabri Boubaker and Yaosong Zhan.
https://doi.org/10.1016/j.frl.2022.102699
Investor Behavior and Filter Rule Revisiting, Journal of Behavior and Experimental Finance, January 2022, with Yaosong Zhan.
https://doi.org/10.1016/j.jbef.2022.100631
Smart Money in China's A-share Market:Evidence from Big Data, Research in International Business and Finance, April 2022, with Zhenhua Chen, Hanen Teka, and Yifan Zhang.
https://doi.org/10.1016/j.ribaf.2022.101663
Functional Features of the Idiosyncratic Volatility Portfolio Returns, April 2022, Computational Economics, with Bo Li, Sabri Boubaker, Wael Louhichi, and Yao Yao.
https://doi.org/10.1007/s10614-022-10265-3
2021
Detecting Common Break in High Dimensional Panel, Econometrics Journal, September 2021, with Lajos Horvath, Greg Rice, Yuqian Zhao.
https://doi.org/10.1093/ectj/utab028
Big Data, News Diversity and Financial Market Crash, Technological Forecasting and Social Change, Volume 168, July 2021, with Sabri Boubaker, Ling Zhai. https://doi.org/10.1016/j.techfore.2021.120755
Decomposing Anomalies, Economics Letters, May 2021, with Sabri Boubaker, Bo Li, Yifan Zhang.
https://doi.org/10.1016/j.econlet.2021.109835
An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting, Journal of Commodity Markets, March 2021, with Xuyuan Han, Shixuan Wang.
https://doi.org/10.1016/j.jcomm.2021.100188
Risk Management for Crude Oil Futures: An Optimal Stopping-Timing Approach, Annals of Operations Research, May 2021, with Sabri Boubaker, Yaosong Zhan.
https://doi.org/10.1007/s10479-021-04092-2
Optimal Selling Time Before Stock Markets Crash in BRICS, Annals of Operations Research, with Sabri Boubaker, Xuyuan Han, Yaosong Zhan.
https://doi.org/10.1007/s10479-021-04381-w
Trading signal, functional data analysis and time series momentum, Finance Research Letters, January 2021, with Sabri Boubaker, Shanglin Lu, and Yifan Zhang.
https://doi.org/10.1016/j.frl.2021.101933
How to identify the different phases of stock market bubbles statistically? Finance Research Letters, August 2021, with Lajos Horvath and Hemei Li.
https://doi.org/10.1016/j.frl.2021.102366
Asymmetry, Tail Risk and Time Series Momentum, International Review of Financial Analysis, with Shanglin Lu, Shixuan Wang.
https://doi.org/10.1016/j.irfa.2021.101938
Industry Momentum with Correlation Consolidation: Evidence from China stock market, Journal of Asset Management, with Sabri Boubaker and Lechuan Du.
2020
Sequential monitoring for changes from stationarity to mild non-stationarity, Journal of Econometrics, 2020.3, vol. 215, pp. 209-238, with Lajos Horvath, Greg Rice, Shixuan Wang.
A Functional Time Series Analysis of Forward Curves Derived from Commodity, International Journal of Forecasting, vol 36, 2020.4-6, pp.646-665, with Lajos Horvath, Greg Rice, Shixuan Wang.
A Study of Data-driven Momentum and Disposition Effects in China Stock Market by Functional Analysis, Review of Quantitative Finance and Accounting, issue 1, 2020, pp. 335-358, with Ruanmin Cao, Lajos Horvath, Yuqian Zhao.
Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach, International Journal of Finance and Economics, October 2020, https://doi.org/10.1002/ijfe.2280. with Hemei Li, ShixuanWang.
Time-varying Beta in Functional Factor Models: Evidence from China, North America Journal of Economics and Finance, Volume 54, November 2020, with Lajos Horvath, Bo Li, and Hemei Li.
2019 and Before
Selected Papers(In English)
Decoding Chinese Stock Market Returns: Three-state Hidden Semi-Markov Model, Pacific Basin Finance Journal, 2017.9, Vol.44, pp.129-149 (with Shixuan Wang).
The Financial Integration of China: New Evidence on Temporally Aggregated Data for the A-share Market, China Economic Review, 2007, vol. 18, issue 3, pp.354-371(with Eric Girardin).
Bank Credit and Seasonal Anomalies in China's Stock Markets, China Economic Review, 2005, vol.16, no.4, pp. 465-483(with Eric Girardin). CNRS 2, ABS list 2;
The Chinese Stock Market: A Casino With "Buffer Zones", Journal of Chinese Economic and Business Studies (UK), 2003, vol.1, no. 1, pp. 57-70 (with Eric Girardin);
Book(in English)