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Lu Liu

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First Name:Lu
Middle Name:
Last Name:Liu
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RePEc Short-ID:pli671
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https://www.su.se/english/profiles/luliu-1.261207

Affiliation

Nationalekonomiska Institutionen
Ekonomihögskolan
Lunds Universitet

Lund, Sweden
http://www.nek.lu.se/

+46 +46 222 0000
+46 +46 2224613
P.O. Box 7082, S-222 07 LUND
RePEc:edi:delunse (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Knut Wicksell Working Paper Series 2013/3, Lund University, Knut Wicksell Centre for Financial Studies.

Articles

  1. Liu, Lu, 2014. "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 39-48.
  2. Lin Gao & Lu Liu, 2014. "The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(1), pages 93-101, January.
  3. Liu, Lu, 2013. "International stock market interdependence: Are developing markets the same as developed markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 226-238.
  4. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4738-4754.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Knut Wicksell Working Paper Series 2013/3, Lund University, Knut Wicksell Centre for Financial Studies.

    Cited by:

    1. Stanimira Milcheva & Bing Zhu, 2018. "Asset pricing, spatial linkages and contagion in real estate stocks," Journal of Property Research, Taylor & Francis Journals, vol. 35(4), pages 271-295, October.
    2. Demirer, Rıza & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2020. "Oil price shocks, global financial markets and their connectedness," Energy Economics, Elsevier, vol. 88(C).
    3. Tasadduq Imam & Kevin Tickle & Abdullahi Ahmed & William Guo, 2012. "Linear Relationship Between The Aud/Usd Exchange Rate And The Respective Stock Market Indices: A Computational Finance Perspective," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 19(1), pages 19-42, January.
    4. Huyugüzel Kışla, Gül & Özlem Önder, A., 2018. "Spatial analysis of sovereign risks: The case of emerging markets," Finance Research Letters, Elsevier, vol. 26(C), pages 47-55.
    5. Qiang Ji & Bing-Yue Liu & Juncal Cunado & Rangan Gupta, 2017. "Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data," Working Papers 201759, University of Pretoria, Department of Economics.
    6. Larry Filer & David D. Selover, 2014. "Why Can Weak Linkages Cause International Stock Market Synchronization? The Mode-Locking Effect," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(3), pages 20-42, July.
    7. Leopoldo Catania & Anna Gloria Billé, 2016. "Dynamic Spatial Autoregressive Models with Autoregressive and Heteroskedastic Disturbances," CEIS Research Paper 375, Tor Vergata University, CEIS, revised 31 Mar 2016.
    8. Eleftheriou, Konstantinos & Patsoulis, Patroklos, 2020. "COVID-19 Lockdown Intensity and Stock Market Returns: A Spatial Econometrics Approach," MPRA Paper 100662, University Library of Munich, Germany.
    9. Elzbieta Szulc & Dagna Wleklinska & Karolina Gorna & Joanna Gorna, 2014. "The significance of distance between stock exchanges undergoing the process of convergence: An analysis of selected world stock exchanges during the period of 2004-2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 14, pages 125-144.
    10. Bing Zhu & Stanimira Milcheva, 2020. "The Pricing of Spatial Linkages in Companies’ Underlying Assets," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 443-475, October.
    11. Matteo Foglia & Eliana Angelini, 2019. "The Time-Spatial Dimension of Eurozone Banking Systemic Risk," Risks, MDPI, Open Access Journal, vol. 7(3), pages 1-1, July.
    12. Chen, Na & Jin, Xiu, 2020. "Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    13. Tam, Pui Sun, 2014. "A spatial–temporal analysis of East Asian equity market linkages," Journal of Comparative Economics, Elsevier, vol. 42(2), pages 304-327.
    14. Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016. "Kriging of financial term-structures," Papers 1604.02237, arXiv.org.
    15. Mo, Guoli & Tan, Chunzhi & Zhang, Weiguo & Liu, Fang, 2019. "International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 168-183.
    16. Francisco Blasques & Siem Jan Koopman & Andre Lucas & Julia Schaumburg, 2014. "Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models," Tinbergen Institute Discussion Papers 14-107/III, Tinbergen Institute.
    17. Weida Kuang & Qilin Wang, 2018. "Cultural similarities and housing market linkage: evidence from OECD countries," Frontiers of Business Research in China, Springer, vol. 12(1), pages 1-25, December.
    18. Ou Bianling & Zhao Xin & Wang Mingxi, 2015. "Power of Moran’s I Test for Spatial Dependence in Panel Data Models with Time Varying Spatial Weights Matrices," Journal of Systems Science and Information, De Gruyter, vol. 3(5), pages 463-471, October.
    19. Asgharian, Hossein & Liu, Lu & Larsson, Marcus, 2018. "Cross-border asset holdings and comovements in sovereign bond markets," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 189-206.
    20. Elzbieta Szulc & Dagna Wleklinska, 2015. "Spatio-temporal Analysis of Convergence of Development Level of Selected Stock Exchanges in the Period of 2004–2012," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 5-26.
    21. Chen, Na & Jin, Xiu & Zhuang, Xintian & Yuan, Ying, 2020. "Spatial pricing with multiple risk transmission channels and specific factors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    22. Billio, Monica & Caporin, Massimiliano & Panzica, Roberto Calogero & Pelizzon, Loriana, 2017. "The impact of network connectivity on factor exposures, asset pricing and portfolio diversification," SAFE Working Paper Series 166, Leibniz Institute for Financial Research SAFE.
    23. Ding, Dong & Sickles, Robin C., 2018. "Capital Regulation, Efficiency, and Risk Taking: A Spatial Panel Analysis of U.S. Banks," Working Papers 18-004, Rice University, Department of Economics.
    24. Milcheva, Stanimira & Zhu, Bing, 2016. "Bank integration and co-movements across housing markets," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 148-171.
    25. Hüttner, Amelie & Scherer, Matthias & Gräler, Benedikt, 2020. "Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data," Journal of Banking & Finance, Elsevier, vol. 118(C).
    26. Chuluun, Tuugi, 2017. "Global portfolio investment network and stock market comovement," Global Finance Journal, Elsevier, vol. 33(C), pages 51-68.
    27. Matthias Arnold & Sebastian Stahlberg & Dominik Wied, 2013. "Modeling different kinds of spatial dependence in stock returns," Empirical Economics, Springer, vol. 44(2), pages 761-774, April.
    28. Conrad, Christian & Glas, Alexander, 2018. "‘Déjà vol’ revisited: Survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios," Working Papers 0655, University of Heidelberg, Department of Economics.
    29. Noureddine Benlagha, 2014. "Dependence structure between nominal and index-linked bond returns: a bivariate copula and DCC-GARCH approach," Applied Economics, Taylor & Francis Journals, vol. 46(31), pages 3849-3860, November.
    30. Sudharshan Reddy Paramati & Eduardo Roca & Rakesh Gupta, 2016. "Economic integration and stock market dynamic linkages: evidence in the context of Australia and Asia," Applied Economics, Taylor & Francis Journals, vol. 48(44), pages 4210-4226, September.

Articles

  1. Liu, Lu, 2014. "Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 39-48.

    Cited by:

    1. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    2. EnDer Su, 2017. "Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 325-351, August.
    3. Tom'av{s} V'yrost & v{S}tefan Ly'ocsa & Eduard Baumohl, 2014. "Granger Causality Stock Market Networks: Temporal Proximity and Preferential Attachment," Papers 1408.2985, arXiv.org.
    4. Xu, Yahua & Xiao, Jun & Zhang, Liguo, 2020. "Global predictive power of the upside and downside variances of the U.S. equity market," Economic Modelling, Elsevier, vol. 93(C), pages 605-619.
    5. Su, Xianfang, 2020. "Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    6. Chevallier, Julien & Nguyen, Duc Khuong & Siverskog, Jonathan & Uddin, Gazi Salah, 2018. "Market integration and financial linkages among stock markets in Pacific Basin countries," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 77-92.
    7. Kundu, Srikanta & Sarkar, Nityananda, 2016. "Return and volatility interdependences in up and down markets across developed and emerging countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 297-311.
    8. Shimizu, Katsutoshi & Ly, Kim Cuong, 2017. "Were regulatory interventions effective in lowering systemic risk during the financial crisis in Japan?," Journal of Multinational Financial Management, Elsevier, vol. 41(C), pages 80-91.

  2. Lin Gao & Lu Liu, 2014. "The Volatility Behavior and Dependence Structure of Commodity Futures and Stocks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(1), pages 93-101, January.

    Cited by:

    1. Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
    2. Chang, Kuang-Liang, 2020. "Are cyclical patterns of international housing markets interdependent?," Economic Modelling, Elsevier, vol. 88(C), pages 14-24.
    3. Heckelei, T. & Amrouk, E.M. & Grosche, S., 2018. "International interdependence between cash crop and staple food futures price indices: A wavelet-BEKK-GARCH assessment," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277376, International Association of Agricultural Economists.
    4. Demiralay, Sercan & Ulusoy, Veysel, 2014. "Links Between Commodity Futures And Stock Market: Diversification Benefits, Financialization And Financial Crises," MPRA Paper 59727, University Library of Munich, Germany.
    5. Amrouk, El Mamoun & Grosche, Stephanie-Carolin & Heckelei, Thomas, 2017. "An analysis of the interdependence between cash crop and staple food futures prices," Discussion Papers 265665, University of Bonn, Institute for Food and Resource Economics.
    6. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, June.
    7. Grosche, Stephanie & Heckelei, Thomas, 2014. "Price dynamics and financialization effects in corn futures markets with heterogeneous traders," Discussion Papers 172077, University of Bonn, Institute for Food and Resource Economics.
    8. Wen, Xiaoqian & Nguyen, Duc Khuong, 2017. "Can investors of Chinese energy stocks benefit from diversification into commodity futures?," Economic Modelling, Elsevier, vol. 66(C), pages 184-200.
    9. Grosche, Stephanie & Heckelei, Thomas, 2014. "Directional Volatility Spillovers between Agricultural, Crude Oil, Real Estate and other Financial Markets," Discussion Papers 166079, University of Bonn, Institute for Food and Resource Economics.
    10. Jana Vychytilová, 2014. "Intermarket Technical Research of the U.S. Capital Markets and the Czech Stock Market Performance," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 62(6), pages 1509-1519.
    11. Selma Izadi & M. Kabir Hassan, 2018. "Portfolio and hedging effectiveness of financial assets of the G7 countries," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 8(2), pages 183-213, August.
    12. Gagnon, Marie-Hélène & Manseau, Guillaume & Power, Gabriel J., 2020. "They're back! Post-financialization diversification benefits of commodities," International Review of Financial Analysis, Elsevier, vol. 71(C).

  3. Liu, Lu, 2013. "International stock market interdependence: Are developing markets the same as developed markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 226-238.

    Cited by:

    1. Nguyen, Canh Phuc & Nguyen, Thai Vu Hong & Schinckus, Christophe, 2019. "Institutions, economic openness and stock return co-movements: An empirical investigation in emerging markets," Finance Research Letters, Elsevier, vol. 28(C), pages 137-147.
    2. He, Hongbo & Chen, Shou & Yao, Shujie & Ou, Jinghua, 2014. "Financial liberalisation and international market interdependence: Evidence from China’s stock market in the post-WTO accession period," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 434-444.
    3. Mehmet Balcilar & Rangan Gupta & Duc Khuong Nguyen & Mark E. Wohar, 2018. "Causal effects of the United States and Japan on Pacific-Rim stock markets: nonparametric quantile causality approach," Applied Economics, Taylor & Francis Journals, vol. 50(53), pages 5712-5727, November.
    4. Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2017. "Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets," CESifo Working Paper Series 6477, CESifo.
    5. Guglielmo Maria Caporale & Kefei You, 2017. "Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests," Discussion Papers of DIW Berlin 1669, DIW Berlin, German Institute for Economic Research.
    6. Larry Filer & David D. Selover, 2014. "Why Can Weak Linkages Cause International Stock Market Synchronization? The Mode-Locking Effect," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(3), pages 20-42, July.
    7. Abu Bakar, Norhidayah & Masih, Abul Mansur M., 2014. "The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis," MPRA Paper 56977, University Library of Munich, Germany.
    8. Virk, Nader & Javed, Farrukh, 2017. "European equity market integration and joint relationship of conditional volatility and correlations," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 53-77.
    9. Avishek Bhandari, 2020. "A wavelet analysis of inter-dependence, contagion and long memory among global equity markets," Papers 2003.14110, arXiv.org.
    10. Guglielmo Maria Caporale & Luis A. Gil-Alana & Kefei You, 2017. "Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets," Discussion Papers of DIW Berlin 1668, DIW Berlin, German Institute for Economic Research.
    11. Guglielmo Maria Caporale & Kefei You, 2017. "Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests," CESifo Working Paper Series 6494, CESifo.
    12. Zhou, Xiaoguang & Cui, Yadi & Wu, Shihwei & Wang, Weiqing, 2019. "The influence of cultural distance on the volatility of the international stock market," Economic Modelling, Elsevier, vol. 77(C), pages 289-300.

  4. Asgharian, Hossein & Hess, Wolfgang & Liu, Lu, 2013. "A spatial analysis of international stock market linkages," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4738-4754.
    See citations under working paper version above.

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