Publications

by members of

University of Waikato → Waikato Management School → Department of Finance

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.

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| Working papers | Journal articles |

Working papers

2017

1. Hou, Yang & Holmes, Mark, 2017, "On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging," MPRA Paper, University Library of Munich, Germany, number 82000, Oct.
2. Hou, Yang & Nartea, Gilbert, 2017, "Price Discovery in the Stock Index Futures Market: Evidence from the Chinese stock market crash," MPRA Paper, University Library of Munich, Germany, number 81995, Oct.
3. Hou, Yang & Li, Steven, 2017, "Time-Varying Price Discovery and Autoregressive Loading Factors: Evidence from S&P 500 Cash and E-Mini Futures Markets," MPRA Paper, University Library of Munich, Germany, number 81999, Oct.

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Journal articles

2019

1. Jayasuriya Mahapatabendige Ruwani Fernando & Leon Li & Yang (Greg) Hou, 2019, "Corporate governance and default prediction: a reality test," Applied Economics, Taylor & Francis Journals, volume 51, issue 24, pages 2669-2686, May, DOI: 10.1080/00036846.2018.1558351.

2017

1. Geeta Duppati & Yang (Greg) Hou & Frank Scrimgeour, 2017, "The dynamics of price discovery for cross-listed stocks evidence from US and Chinese markets," Cogent Economics & Finance, Taylor & Francis Journals, volume 5, issue 1, pages 1389675-138, January, DOI: 10.1080/23322039.2017.1389675.

2016

1. Hou, Yang & Li, Steven, 2016, "Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach," Economic Modelling, Elsevier, volume 52, issue PB, pages 884-897, DOI: 10.1016/j.econmod.2015.10.025.

2015

1. Yang Hou & Steven Li, 2015, "Volatility behaviour of stock index futures in China: a bivariate GARCH approach," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 32, issue 1, pages 128-154, March, DOI: 10.1108/SEF-10-2013-0158.

2014

1. Hou, Yang & Li, Steven, 2014, "The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns," International Review of Economics & Finance, Elsevier, volume 33, issue C, pages 319-337, DOI: 10.1016/j.iref.2014.03.001.

2013

1. Yang Hou & Steven Li, 2013, "Price Discovery in Chinese Stock Index Futures Market: New Evidence Based on Intraday Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 20, issue 1, pages 49-70, March, DOI: 10.1007/s10690-012-9158-8.
2. Hou, Yang & Li, Steven, 2013, "Hedging performance of Chinese stock index futures: An empirical analysis using wavelet analysis and flexible bivariate GARCH approaches," Pacific-Basin Finance Journal, Elsevier, volume 24, issue C, pages 109-131, DOI: 10.1016/j.pacfin.2013.04.001.

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