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The effectiveness of incorporating higher moments in portfolio strategies : evidence from the Chinese commodity futures markets

Liu, Qingfu; Jiang, Pan; An, Yunbi; Cheung, Keith C. K. - In: Quantitative finance 20 (2020) 4, pp. 653-668

Persistent link: https://www.econbiz.de/10012194912

A hybrid prediction model with time-varying gain tracking differentiator in Taylor expansion : evidence from precious metals

Luo, Zhidan; Guo, Wei; Liu, Qingfu; Tse, Yiuman - In: Journal of forecasting 42 (2023) 5, pp. 1138-1149

Persistent link: https://www.econbiz.de/10014338826

Black mouth, investor attention, and stock return

Hong, Ziyang; Liu, Qingfu; Tse, Yiuman; Wang, Zilu - In: International review of financial analysis 90 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014470897

Return seasonality in commodity futures

Li, Yan; Liu, Qingfu; Miao, Deyu; Tse, Yiuman - In: International review of economics & finance : IREF 93 (2024) 2, pp. 448-462

Persistent link: https://www.econbiz.de/10014535578

Black mouth, investor attention and stock return

Hong, Ziyang; Liu, Qingfu; Tse, Yiuman; Wang, Zilu - 2022

We investigate “black mouth” in the Chinese stock market, which is a form of manipulation based on disinformation, and examine how investors react to such behavior and its underlying impact mechanism. Black mouth temporarily leads to abnormal investor attention and triggers an abnormal stock...

Persistent link: https://www.econbiz.de/10014237775