Browsing by Author "Hou, Yang (Greg)"
Now showing items 1-5 of 6
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Corporate governance and correlation in corporate defaults
(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 growth of oil futures in China: Evidence of market maturity through global crises
(Elsevier, 2022)Chinese oil futures products were created in 2018, and have since presented an alternative, regional exchange through which to invest. This research tests for evidence of developing market maturity during the time since ... -
The influence of the COVID-19 pandemic on the hedging functionality of Chinese financial markets
(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
(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
(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 ...
