Browsing by Author "Hou, Yang (Greg)"
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Corporate governance and correlation in corporate defaults
Fernando, Jayasuriya Mahapatabendige Ruwani; Li, Leon; Hou, Yang (Greg) (Wiley, 2019)Manuscript Type Empirical Research Question/Issue This study examines the effect of weak corporate governance in terms of concentrated ownership, low board effectiveness, low financial transparency and higher shareholder ... -
The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets
Corbet, Shaen; Hou, Yang (Greg); Hu, Yang; Oxley, Les (Elsevier, 2022)In this paper, we investigate both constant and time-varying hedge ratios in terms of the effectiveness of CSI300 index futures during the COVID-19 crisis. Using naïve, OLS and EC/ROLS strategies to estimate constant hedge ... -
Time-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures markets
Hou, Yang (Greg); Li, Steven (2017)The error correction coefficients, known as the loading factors, are a key component for price discovery measurement. So far, the loading factors have always been assumed as static. This paper is the first one to investigate ... -
Volatility and skewness spillover between stock index and stock index futures markets during the crash period: New evidence from China
Hou, Yang (Greg); Li, Steven (2018)This paper examines volatility and skewness spillover between the Chinese stock index and index futures markets during a market crash in 2015. The volatility spillover from futures to spot is significant and stronger than ...
Co-authors for Yang (Greg) Hou
Yang (Greg) Hou has 6 co-authors in Research Commons.