Research Publications for Yang (Greg) Hou
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Hou, Y., & Meng, J. (2018). The momentum effect in the Chinese market and its relationship with the simultaneous and the lagged investor sentiment (94838). MPRA.
Hou, Y., & Li, S. (2018). Volatility and skewness spillover between stock index and stock index futures markets during the crash period: New evidence from China. In The 7th International Conference on Futures and Other Derivatives. Shanghai, China.
Duppati, G., Hou, Y., & Scrimgeour, F. (2017). The dynamics of price discovery for cross-leased stocks evidence from US and Chinese markets. Cogent Economics and Finance, 5(1), 23 pages. doi:10.1080/23322039.2017.1389675
Hou, Y., & Holmes, M. (2017). On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging (MPRA Paper No. 82000). Munich Personal RePEc Archive.
Hou, Y., & Nartea, G. (2017). Price discovery in the stock index futures market: Evidence from the Chinese stock market crash (MPRA Paper No. 81995). Munich Personal RePEc Archive.
Hou, Y., & Li, S. (2017). Time-varying price discovery and autoregressive loading factors: Evidence from S&P 500 cash and e-mini futures markets. In 2017 Global Finance Conference (pp. 48 pages). Conference held New York, USA.
Hou, Y., & Li, S. (2016). Information transmission between U.S. and China index futures markets: An asymmetric DCC GARCH approach. Economic Modelling, 52(Part B), 884-897. doi:10.1016/j.econmod.2015.10.025
Hou, Y., & Li, S. (2015). Volatility behaviour of stock index futures in China: a bivariate GARCH approach. Studies in Economics and Finance, 32(1), 128-154. doi:10.1108/SEF-10-2013-0158
Hou, Y., & Li, S. (2014). The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns. International Review of Economics & Finance, 33, 319-337. doi:10.1016/j.iref.2014.03.001
Hou, Y. (2014). Pricing dynamics, informational efficiency and hedging performance of CSI 300 Index Futures Market. (PhD Thesis, University of South Australia).