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Publications

by alumni of

Xiamen University → School of Economics → Department of Finance

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles |

Working papers

2015

  1. Guo, Biao & Han, Qian & Lin, Hai, 2015, "Forecasting the Term Structure of Implied Volatilities," Working Paper Series, Victoria University of Wellington, School of Economics and Finance, number 20148.

2013

  1. Yan He & Hai Lin & Chunchi Wu & Uric B. Dufrene, 2013, "The 2000 presidential election and the information cost of sensitive versus," Working Papers, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University, number 2013-10-14, Oct.

Journal articles

2026

  1. Lin, Hai & Qiao, Rui, 2026, "Dark trading and informational efficiency around macroeconomic news arrivals: Evidence from the U.S. Treasury market," Economics Letters, Elsevier, volume 260, issue C, DOI: 10.1016/j.econlet.2026.112808.
  2. Chin, Jern Tat & Guo, Xu & Lin, Hai & Mei, Yi, 2026, "Technical indicators and the cross-section of corporate bond returns in a machine learning era," Journal of Financial Markets, Elsevier, volume 79, issue C, DOI: 10.1016/j.finmar.2025.101029.

2025

  1. Hai Lin & Pengfei Liu & Cheng Zhang, 2025, "Information, sentiment, and margin trading of Chinese stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 65, issue 1, pages 81-108, March, DOI: 10.1111/acfi.13319.

2023

  1. Hai Lin & Pengfei Liu & Cheng Zhang, 2023, "The trend premium around the world: Evidence from the stock market," International Review of Finance, International Review of Finance Ltd., volume 23, issue 2, pages 317-358, June, DOI: 10.1111/irfi.12400.
  2. Hai Lin & Binh Hoang Nguyen & Junbo Wang & Cheng Zhang, 2023, "Credit default swaps and firm risk," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 43, issue 11, pages 1668-1692, November, DOI: 10.1002/fut.22452.

2022

  1. Lin, Hai & Tao, Xinyuan & Wu, Chunchi, 2022, "Forecasting earnings with combination of analyst forecasts," Journal of Empirical Finance, Elsevier, volume 68, issue C, pages 133-159, DOI: 10.1016/j.jempfin.2022.07.003.
  2. Guo, Xu & Lin, Hai & Wu, Chunchi & Zhou, Guofu, 2022, "Predictive information in corporate bond yields," Journal of Financial Markets, Elsevier, volume 59, issue PB, DOI: 10.1016/j.finmar.2021.100687.

2021

  1. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021, "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, volume 133, issue C, DOI: 10.1016/j.jbankfin.2021.106252.
  2. Chen, Rong & Geng, Heng (Griffin) & Lin, Hai & Nguyen, Phuong Thi Ly, 2021, "Liquidity, informed trading, and a market surveillance system: Evidence from the Vietnamese stock market," Pacific-Basin Finance Journal, Elsevier, volume 67, issue C, DOI: 10.1016/j.pacfin.2021.101567.

2020

  1. Pervaiz Alam & Xiaoling Pu & Barry Hettler & Hai Lin, 2020, "The pricing of accruals quality in credit default swap spreads," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 60, issue 3, pages 1943-1977, September, DOI: 10.1111/acfi.12368.
  2. Hai Lin & Kasing Man & Junbo Wang & Chunchi Wu, 2020, "Price discovery and persistent arbitrage violations in credit markets," Financial Management, Financial Management Association International, volume 49, issue 1, pages 207-233, March, DOI: 10.1111/fima.12261.
  3. Hai Lin & Xinyuan Tao & Junbo Wang & Chunchi Wu, 2020, "Credit Spreads, Business Conditions, and Expected Corporate Bond Returns," JRFM, MDPI, volume 13, issue 2, pages 1-34, January.
  4. Biao Guo & Hai Lin, 2020, "Volatility and jump risk in option returns," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 40, issue 11, pages 1767-1792, November, DOI: 10.1002/fut.22107.

2019

  1. Kuruppuarachchi, Duminda & Lin, Hai & Premachandra, I.M., 2019, "Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices," Economic Modelling, Elsevier, volume 77, issue C, pages 92-112, DOI: 10.1016/j.econmod.2017.12.005.

2018

  1. Hai Lin & Chunchi Wu & Guofu Zhou, 2018, "Forecasting Corporate Bond Returns with a Large Set of Predictors: An Iterated Combination Approach," Management Science, INFORMS, volume 64, issue 9, pages 4218-4238, September, DOI: 10.1287/mnsc.2017.2734.
  2. Hai Lin & You Wang, 2018, "Are tightened trading rules always bad? Evidence from the Chinese index futures market," Quantitative Finance, Taylor & Francis Journals, volume 18, issue 9, pages 1453-1470, September, DOI: 10.1080/14697688.2018.1445586.
  3. Biao Guo & Qian Han & Hai Lin, 2018, "Are there gains from using information over the surface of implied volatilities?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 38, issue 6, pages 645-672, June, DOI: 10.1002/fut.21903.

2016

  1. Hai Lin & Daniel Quill & Henk Berkman, 2016, "Information diffusion and the predictability of New Zealand stock market returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 56, issue 3, pages 749-785, September.
  2. Srivastava, Sasha & Lin, Hai & Premachandra, Inguruwatte M. & Roberts, Helen, 2016, "Global risk spillover and the predictability of sovereign CDS spread: International evidence," International Review of Economics & Finance, Elsevier, volume 41, issue C, pages 371-390, DOI: 10.1016/j.iref.2015.10.047.

2014

  1. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2014, "Predictions of corporate bond excess returns," Journal of Financial Markets, Elsevier, volume 21, issue C, pages 123-152, DOI: 10.1016/j.finmar.2014.08.003.

2013

  1. Paul Dawson & Hai Lin & Yangshu Liu, 2013, "Longevity risk and survivor derivative pricing," Journal of Risk Finance, Emerald Group Publishing Limited, volume 14, issue 2, pages 140-158, February, DOI: 10.1108/15265941311301189.

2012

  1. Hong, Yongmiao & Lin, Hai & Wu, Chunchi, 2012, "Are corporate bond market returns predictable?," Journal of Banking & Finance, Elsevier, volume 36, issue 8, pages 2216-2232, DOI: 10.1016/j.jbankfin.2012.04.001.

2011

  1. Lin, Hai & Wang, Junbo & Wu, Chunchi, 2011, "Liquidity risk and expected corporate bond returns," Journal of Financial Economics, Elsevier, volume 99, issue 3, pages 628-650, March.

2010

  1. Hong, Yongmiao & Lin, Hai & Wang, Shouyang, 2010, "Modeling the dynamics of Chinese spot interest rates," Journal of Banking & Finance, Elsevier, volume 34, issue 5, pages 1047-1061, May.

2009

  1. He, Yan & Lin, Hai & Wu, Chunchi & Dufrene, Uric B., 2009, "The 2000 presidential election and the information cost of sensitive versus non-sensitive S&P 500 stocks," Journal of Financial Markets, Elsevier, volume 12, issue 1, pages 54-86, February.
  2. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009, "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, volume 18, issue 3, pages 464-490, July.

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