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The volatility of daily tug-of-war intensity and stock market returns

Bai, Fan; Zhang, Yaqi; Chen, Zhonglu; Li, Yan - In: Finance research letters 55 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10014473224

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

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

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

Global financial stress index and long-term volatility forecast for international stock markets

Liang, Chao; Luo, Qin; Li, Yan; Luu Duc Toan Huynh - In: Journal of international financial markets, … 88 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014482967

Market momentum amplifies market volatility risk : evidence from China's equity market

Liang, Chao; Luu Duc Toan Huynh; Li, Yan - In: Journal of international financial markets, … 88 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014483186

Forecasting US stock market returns by the aggressive stock-selection opportunity

Li, Yan; Liang, Chao; Toan Luu Duc Huynh - In: Finance research letters 50 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014245366

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