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Investor sentiment, extrapolation and asset pricing

Wu, Huihui; Yang, Chunpeng - In: Romanian journal of economic forecasting 25 (2022) 4, pp. 182-205

Persistent link: https://www.econbiz.de/10013532000

Robust consumption and portfolio choice with derivatives trading

Wei, Pengyu; Yang, Charles; Zhuang, Yi - In: European journal of operational research : EJOR 304 (2023) 2, pp. 832-850

Persistent link: https://www.econbiz.de/10013534570

Option pricing model with sentiment

Yang, Chunpeng; Gao, Bin; Yang, Jianlei - In: Review of derivatives research 19 (2016) 2, pp. 147-164

Persistent link: https://www.econbiz.de/10011927963

Buy-sell imbalance and the mean-variance relation

Yang, Chunpeng; Jia, Yun - In: Pacific-Basin finance journal 40 (2016), pp. 49-58

Persistent link: https://www.econbiz.de/10011712044

Disagreement and the risk-return relation

Jia, Yun; Yang, Chunpeng - In: Economic modelling 64 (2017), pp. 97-104

Persistent link: https://www.econbiz.de/10011756506

Do the crude oil futures of the Shanghai International Energy Exchange improve asset allocation of Chinese petrochemical-related stocks?

Lv, Fei; Yang, Chen; Fang, Libing - In: International review of financial analysis 71 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012436466

Economic policy uncertainty, COVID-19 lockdown, and firm-level volatility : evidence from China

Yang, Jianlei; Yang, Chunpeng - In: Pacific-Basin finance journal 68 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013332459

Spillover effects from news to travel and leisure stocks during the COVID-19 pandemic : evidence from the time and frequency domains

Wang, Ying; Zhang, Hongwei; Gao, Wang; Yang, Cai - In: Tourism economics : the business and finance of tourism … 29 (2023) 2, pp. 460-487

Persistent link: https://www.econbiz.de/10014246045

Partisan conflict, trade policy uncertainty, and the energy market

Yang, Cai; Zhang, Hongwei; Qin, Yun; Niu, Zibo - In: Research in international business and finance 71 (2024), pp. 1-23

This paper investigates the time-varying effects of partisan conflict (PC) and trade policy uncertainty (TPU) on the energy market from January 2000 to July 2021 by employing a time-varying parameter vector autoregressive model with stochastic volatility. The results show that the pass-through...

Persistent link: https://www.econbiz.de/10015061705

Investor sentiment and volatility of exchange-traded funds : evidence from China

Yang, Chunpeng; Chi, Jun - In: International journal of finance & economics : IJFE 28 (2023) 1, pp. 668-680

Persistent link: https://www.econbiz.de/10014253267