Browsing by Author "Hu, Yang"
Now showing items 1-5 of 8
-
Exuberance in British share prices during the railway mania of the 1840s: Evidence from the Phillips, Shi and Yu Test
(Waikato Management School, the University of Waikato, 2017-04)In this study, we empirically investigate evidence of explosive behaviour in the British share prices of canals, railways and waterworks in the nineteenth century using the right-tailed unit root test of Phillips, Shi and ... -
Exuberance in historical stock prices during the Mississippi and South Seas bubble episodes
(Waikato Management School, the University of Waikato, 2017)The Mississippi Bubble and the South Sea Bubble are the two most famous and earliest episodes in the history of speculation, which can be dated back to the eighteenth century. Unlike most studies focus on some recent ... -
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 ... -
A review of Phillips-type right-tailed unit root bubble detection tests
(Wiley, 2022)Recent developments on the right-tailed unit root tests of Phillips et al., which are used to date stamp the origination and collapse dates of asset price bubbles, have generated considerable interest. This paper provides ...
