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Global equity market volatilities forecasting : a comparison of leverage effects, jumps, and overnight information

Liang, Chao; Li, Yan; Ma, Feng; Wei, Yu - In: International review of financial analysis 75 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012804153

Firm-specific investor sentiment for the Chinese stock market

Li, Yan; Li, Weiping - In: Economic modelling 97 (2021), pp. 231-246

Persistent link: https://www.econbiz.de/10012793415

Empirical analysis of MSCI China A-shares

Li, Yan; Li, Weiping - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-25

In this paper, we introduce the MSCI China A-shares index (MCASI) and analyze MCASI’s properties. From the perspective of index investment, we found that MCASI’s investor sentiments, both overnight sentiment and BW sentiment, provide significant predictability for future MCASI returns,...

Persistent link: https://www.econbiz.de/10012794876

The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic

Li, Yan; Liang, Chao; Ma, Feng; Wang, Jiqian - In: Finance research letters 36 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012484308

Which types of commodity price information are more useful for predicting US stock market volatility?

Liang, Chao; Ma, Feng; Li, Ziyang; Li, Yan - In: Economic modelling 93 (2020), pp. 642-650

Persistent link: https://www.econbiz.de/10012430321

Combination forecast based on financial stress categories for global equity market volatility : the evidence during the COVID-19 and the global financial crisis periods

Li, Yan; Liang, Chao; Toan Luu Duc Huynh - In: Applied economics 56 (2024) 37, pp. 4435-4470

Persistent link: https://www.econbiz.de/10014560337

Which sentiment index is more informative to forecast stock market volatility? : evidence from China

Liang, Chao; Tang, Linchun; Li, Yan; Wei, Yu - In: International review of financial analysis 71 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012437093

The change in stock-selection risk and stock market returns

Liu, Jing; He, Qiubei; Li, Yan; Luu Duc Toan Huynh; … - In: International review of financial analysis 85 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014234959

Long-term adjusted volatility : powerful capability in forecasting stock market returns

Qiu, Rui; Liu, Jing; Li, Yan - In: International review of financial analysis 86 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014248427

A new momentum measurement in the Chinese stock market

Li, Yan; Liang, Chao; Toan Luu Duc Huynh - In: Pacific-Basin finance journal 73 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013388944