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Professor Li Yang

Professor Li Yang

Professor
  • Ph.D., University of Illinois at Urbana- Champaign
  • M.S., Tsinghua University, China
  • B.S., Tsinghua University, China
Business School
School of Banking and Finance

Li Yang received her BSc and MSc from Tsinghua University andÌýher Ph.D. from the University of Illinois at Urbana and Champaign, and later joined the University of New South Wales and served as the Head of School for the School of Banking and Finance at the UNSW Business School from 2019-2022. She also held visiting positions at the University of Texas at San Antonio.Ìý

Li’s primary research interestsÌýinclude risk management, energy and commodity markets, and financial modelling.Ìý She has published in leading journals in the field including Management Science and Energy Economics.Ìý She has beenÌýawarded two Australian Research Council Discovery grants and one ARC Linkage grant.

Ìý
Phone
+61 2 9065 5511
E-mail
l.yang@unsw.edu.au
Location
UNSW Business School Level 3, Room 326
  • Book Chapters | 2014
    Lien D; Lee G; yang L; Zhou C, 2014, 'Evaluating the Effectiveness of Futures Hedging', in Lee CF; Lee JC (ed.), Handbook of Financial Econometrics and Statistics, Springer, pp. 1891 - 1908,
    Book Chapters | 2009
    Yang L, 2009, 'Hedging Effectiveness with S&P 500 Index Futures under Different Volatility Regimes', in Catlere PN (ed.), Financial Hedging, Nova Science Publishers Inc, pp. 53 - 76
    Book Chapters | 2005
    Yang L, 2005, 'Settlement Specifications on Commodity Futures Contracts', in Bellows AR (ed.), Focus on Agricultural Economics, Nova Science Publisher, Inc, New York, pp. 53 - 76
  • Journal articles | 2018
    Lien D; Lee G; Yang L; Zhang Y, 2018, 'Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis', North American Journal of Economics and Finance, 46, pp. 187 - 201,
    Journal articles | 2018
    Liu L; Wang Y; Yang L, 2018, 'Predictability of crude oil prices: An investor perspective', Energy Economics, 75, pp. 193 - 205,
    Journal articles | 2018
    Pan Z; Wang Q; Wang Y; Yang L, 2018, 'Forecasting U.S. real GDP using oil prices: A time-varying parameter MIDAS model', Energy Economics, 72, pp. 177 - 187,
    Journal articles | 2016
    Wang Y; Wu C; Yang L, 2016, 'Forecasting crude oil market volatility: A Markov switching multifractal volatility approach', International Journal of Forecasting, 32, pp. 1 - 9,
    Journal articles | 2015
    Yang L; Wu C; Wang Y, 2015, 'Hedging with Futures: Does Anything Beat the Naïve Hedging Strategy?', Management Science, 61, pp. 2870 - 2889,
    Journal articles | 2014
    Lien D; Yang L; Zhou C; Lee G, 2014, 'Co-movement between RMB and New Taiwan Dollars: Evidences from NDF markets', North American Journal of Economics and Finance, 28, pp. 265 - 272,
    Journal articles | 2014
    Pan Z; Wang Y; Yang L, 2014, 'Hedging crude oil using refined product: A regime switching asymmetric DCC approach', Energy Economics, 46, pp. 472 - 484,
    Journal articles | 2014
    Wang Y; Wu C; Yang L, 2014, 'Oil price shocks and agricultural commodity prices', Energy Economics, 44, pp. 22 - 35,
    Journal articles | 2014
    Yu X; Yang L, 2014, 'Pricing american options using a nonparametric entropy approach', Discrete Dynamics in Nature and Society, 2014,
    Journal articles | 2013
    Lien D; Lim G; Yang L; Zhou C, 2013, 'Dynamic Dependence Between Liquidity and the S&P 500 Index Futures-Cash Basis', Journal of Futures Markets, 33, pp. 327 - 342,
    Journal articles | 2013
    Wang Y; Wu C; Yang L, 2013, 'Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries', Journal of Comparative Economics, 41, pp. 1220 - 1239,
    Journal articles | 2013
    Yang L; Zhou C; Lien D, 2013, 'Dynamic and asymmetric dependences between Chinese yuan and other Asia-pacific currencies', Journal of Futures Markets, 33, pp. 696 - 723,
    Journal articles | 2010
    Yang L, 2010, 'The Informational Role of Stock and Warrant Trades: Empirical Evidence from China', Emerging Markets Finance and Trade, 47, pp. 78 - 93,
    Journal articles | 2010
    Yang L, 2010, 'Weather, Inventory and Common Jump Dynamics in Natural Gas Futures and Spot Markets', Journal of Futures Markets, 18,
    Journal articles | 2009
    Lien D; Yang L, 2009, 'Intraday return and volatility spill-over across international copper futures markets', International Journal of Managerial Finance, 5, pp. 135 - 149
    Journal articles | 2009
    Yang L, 2009, 'The Effects of Structural Breaks and Long Memory on Currency Hedging', Journal of Futures Markets, pp. 1 - 26,
    Journal articles | 2008
    Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, 32, pp. 187 - 198,
    Journal articles | 2008
    Lien D; Yang L, 2008, 'Asymmetric effect of basis on dynamic futures hedging: Empirical evidence from commodity markets', Journal of Banking and Finance, 32, pp. 187 - 198,
    Journal articles | 2008
    Lien D; Yang L, 2008, 'Hedging with Chinese metal futures', Global Finance Journal, 19, pp. 123 - 128
    Journal articles | 2006
    Lien D; Yang L, 2006, 'Spot-futures spread, time-varying correlation, and hedging with currency futures', Journal of Futures Markets, 26, pp. 1019 - 1038
    Journal articles | 2005
    Lien D; Yang L, 2005, 'Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data', The Quarterly Review of Economics and Finance, 45, pp. 730 - 747,
    Journal articles | 2004
    Lien D; Yang L, 2004, 'Alternative settlement methods and Australian individual share futures contracts', Journal of International Financial Markets Institutions and Money, 14, pp. 473 - 490,
    Journal articles | 2004
    Lien D; Yang L, 2004, 'Return Autocorrelations on Individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United Kingdom Markets', Review of Pacific Basin Financial Markets and Policies, 07, pp. 397 - 422
    Journal articles | 2004
    Yang L; Lien D, 2004, 'Return Autocorrelations on individual Stocks and Corresponding Futures: Evidence from Australian, Hong Kong, and United kingdom Markets', Review of Pacific Basin Financial Markets and Policies, 7, pp. 397 - 422
    Journal articles | 2003
    Yang L; Lien D, 2003, 'Contract settlement specification and price discovery: Empirical evidence in Australia individual share futures market', International Review of Economics and Finance, 12, pp. 495 - 512
    Journal articles | 2003
    Yang L; Lien D, 2003, 'Options expiration effects and the role of individual share futures contracts', Journal of Futures Markets, 23, pp. 1107 - 1118
    Journal articles | 2000
    Stoodley MA; Jones N; Yang L; Brown CJ, 2000, 'Mechanisms underlying the formation and enlargement of noncommunicating syringomyelia: experimental studies', Neurosurgical Focus, pp. 1 - 7
    Journal articles | 1997
    Garcia PD; Irwin SH; Leuthold RM; Yang L, 1997, 'The value of public information in commodity futures markers', Journal of Economic Behavior and Organization, pp. 559 - 570
  • Working Papers | 2023
    Rojasavachai R; Rouxelin F; Yang L, 2023, Extreme Weather, Economic Implications, and Energy Consumption,
    Working Papers | 2015
    Lee G; Yang L, 2015, Impact of truncation on model-free implied moment estimator,
  • Other | 2023
    Rojasavachai R; Rouxelin F; Yang L, 2023, Extreme Weather, Economic Implications, and Energy Consumption,
    Conference Papers | 2020
    Doan B; Foster FD; Yang L, 2020, 'Distinct roles of risk and uncertainty: Evidence from trading around US macro news', San Diego, CA, USA, presented at 2020 American Economic Association Annual Meeting, San Diego, CA, USA, 03 January 2020 - 05 January 2020
    Conference Papers | 2019
    Rojasavachai R; Rouxelin F; Yang L, 2019, 'Joint dynamics of stock market returns and exchange rates to oil price shocks', Pittsburgh, Pennsylvania, presented at CEMA 2019: Commodity and Energy Markets Association Annual Meeting, Pittsburgh, Pennsylvania, 21 June 2019 - 22 June 2019

  • Australian Research Council Discovery Grant 2017, "Investment Irreversibility, Policy Uncertainty, and Hedging Strategies", with D. Foster ($264,000)
  • Australian Research Council Discovery Grant 2009, "Building Flexible Multivariate Models and their application in Finance", with R. Kohn ($520,000)
  • Australian Research Council Linkage Grant 2008, "Information Content of Order Flows in the Foreign Exchange and Commodities Markets", with D. Foster, J. Wang and X. Yang ($110,000)

My Research Supervision

Two PhD students

My Teaching

FINS 5513, FINS 3635, and FINS 5535Ìý