Prof. Leon Li
Waikato Management School
University of Waikato, New Zealand
Email: leonli@waikato.ac.nz
Qualifications
2000 Ph.D. in Finance, National Cheng Chi University
1994 B.S. in Physics, National Central University
Publications (Selected)
-
Li, L. (2025). Volatility Regimes and Correlation Dynamics in International Stock Markets on Optimal Portfolio Investment. Available at SSRN 5337067.
-
Li, L., & Miu, P. (2024). Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility. Journal of Commodity Markets, 36, 100425.
-
Li, L. (2024). The risks of trading on cryptocurrencies: A regime-switching approach based on volatility jumps and co-jumping behaviours. Applied Economics, 56(7), 779-795.
-
Li, L., & Chen, C. R. (2024). When safe-haven asset is less than a safe-haven play. Journal of Financial Econometrics, 22(4), 808-838.
-
Li, L., & Miu, P. (2023). Are cryptocurrencies a safe haven for stock investors? A regime-switching approach. Journal of Empirical Finance, 70, 367-385.
-
Li, L. (2023). Estimation of the Dynamic Conditional Correlation Model: Two-Step or One-Step Matters?. Available at SSRN 4613569.
-
Li, L. (2022). Intensity and Direction of Volatility Spillover Effect in Carbon–Energy Markets: A Regime-Switching Approach. Algorithms, 15(8), 264.
-
Li, L., & Scrimgeour, F. (2022). The co-integration of CDS and bonds in time-varying volatility dynamics: do credit risk swaps lower bond risks?. Studies in Nonlinear Dynamics & Econometrics, 26(3), 475-497.
-
Li, L., & Miu, P. (2022). Behavioral heterogeneity in the stock market revisited: what factors drive investors as fundamentalists or chartists?. Journal of Behavioral Finance, 23(1), 73-91.
-
Li, L. (2022). The dynamic interrelations of oil-equity implied volatility indexes under low and high volatility-of-volatility risk. Energy Economics, 105, 105756.
-
Fernando, J. M. R., Li, L., & Hou, G. (2021). Heterogeneity in capital structure adjustment revisited: Default versus non-default firms and short versus long time horizon. International Review of Economics & Finance, 76, 185-204.
-
Li, L., Hwang, N. C. R., & Nartea, G. V. (2021). Earnings management and earnings predictability: A quantile regression approach. Australian Journal of Management, 46(3), 389-408.
-
Li, L. (2021). Risk of investing in volatility products: A regime-switching approach. Investment Analysts Journal, 50(1), 1-16.
-
Alhassan, A., Li, L., Reddy, K., & Duppati, G. (2021). The relationship between political instability and financial inclusion: Evidence from Middle East and North Africa. International Journal of Finance & Economics, 26(1), 353-374.
-
Alhassan, A., Li, L., Reddy, K., & Duppati, G. (2020). Consumer acceptance and continuance of mobile money: Secondary data insights from Africa using the technology acceptance model. Australasian Journal of Information Systems, 24.
-
Fernando, J. M., Li, L., & Hou, Y. (2020). Corporate governance and correlation in corporate defaults. Corporate Governance: An International Review, 28(3), 188-206.
-
Fernando, J. M. R., Li, L., & Hou, G. (2020). Financial versus non-financial information for default prediction: Evidence from Sri Lanka and the USA. Emerging Markets Finance and Trade, 56(3), 673-692.
-
Hunjra, A. I., Perveen, U., Li, L., Chani, M. I., & Mehmood, R. (2020). Impact of ownership concentration, institutional ownership and earnings management on stock market liquidity. Corporate Ownership & Control, 17(2), 77-87.
-
Alhassan, A., Li, L., Reddy, K., & Duppati, G. (2019). The impact of formal financial inclusion on informal financial intermediation and cash preference: evidence from Africa. Applied Economics, 51(42), 4597-4614.
-
Fernando, J. M. R., Li, L., & Hou, Y. (2019). Corporate governance and default prediction: a reality test. Applied Economics, 51(24), 2669-2686.
Profile Details
WoS ResearcherIDH-9013-2016
https://orcid.org/0000-0002-2865-6568
https://profiles.waikato.ac.nz/leon.li
https://scholar.google.com/citations?user=qDnLVdkAAAAJ&hl=en
https://www.researchgate.net/profile/Leon-Li-13