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Volatility forecasting in the Hang Seng index using the GARCH approach

Liu, Wei; Morley, Bruce - In: Asia-Pacific financial markets 16 (2009) 1, pp. 51-63

Persistent link: https://www.econbiz.de/10003855652

The cross-section of stock returns on The Shanghai Stock Exchange

Wong, Kie Ann; Tan, Ruth Seow-kuan; Liu, Wei - In: Review of quantitative finance and accounting 26 (2006) 1, pp. 23-39

Persistent link: https://www.econbiz.de/10003271021

Currency internationalization and valuation effects : based on the threshold model

Huang, Xiaoqi; Liu, Wei; Wu, Yuzhao - In: Applied economics 52 (2020) 49, pp. 5375-5398

Persistent link: https://www.econbiz.de/10012307713

Two Market Forces in Asset Prices

Liu, Wei - 2018

This paper utilizes Black's (1972) zero-beta CAPM to derive an alternative form dubbed the ZCAPM. The ZCAPM posits that asset prices are a function of market risk composed of two components: average market returns and cross-sectional market volatility. Market risk associated with average market...

Persistent link: https://www.econbiz.de/10012940261

Forecasting the stock price of listed innovative SMEs using machine learning methods based on Bayesian optimization : evidence from China

Liu, Wei; Suzuki, Yoshihisa; Du, Shuyi - In: Computational economics 63 (2024) 5, pp. 2035-2068

Persistent link: https://www.econbiz.de/10014550859

Daily Chinese Institutional Trading and Stock Price Volatility : Revisited

Chen, Zhijuan; Liu, Wei; Ma, Changfeng; Zhang, Shunming - 2022

Using the sample from January 1, 2014 to December 31, 2017 from SHSE, we find a non-negative relation between Chinese institutional net trading and stock price volatility, while Li and Wang (2010) show a significantly negative relation between July 1, 2002 to December 31, 2004, and hence...

Persistent link: https://www.econbiz.de/10013403273

Understanding the role of social media sentiment in identifying irrational herding behavior in the stock market

Li, Tong; Chen, Hui; Liu, Wei; Yu, Guang; Yu, Yongtian - In: International review of economics & finance : IREF 87 (2023), pp. 163-179

Persistent link: https://www.econbiz.de/10014471831

Social media discussion and the market reaction to earnings announcements : evidence from China

Wu, Naiqian; Xiao, Weiguo; Liu, Wei; Zhao, Zhihui - In: Applied economics letters 30 (2023) 10, pp. 1338-1346

Persistent link: https://www.econbiz.de/10014304239