Department of Finance

Research output

Research output per year 2007 2022 2023 2024 2024

• 155 Article
• 11 Other contribution
• 10 Paper
• 6 Book
• 16 More
  • 6 Conference Proceeding
  • 5 Chapter
  • 2 Editorial
  • 1 Edited volume
  • 1 Review article
  • 1 Textual work

Research output per year

Research output per year

Search results

• 2022

  江苏省工业区块链应用发展白皮书

  Zhai, J., 2022, 江苏省工业区块链应用发展白皮书.

  Research output: Chapter in Book or Report/Conference proceeding › Chapter › peer-review
• 2021

  A Hybrid Model Integrating Deep Learning with Investor Sentiment Analysis for Stock Price Prediction

  Wang, H., Jing, N. & Wu, Z., 2021, In: Expert Systems with Applications. 178

  Research output: Contribution to journal › Article › peer-review

  196 Citations (Scopus)

• A Model of Delegation with VaR Constraint

  Wang, H., Guo, R., jiang, Y., li, A. & qiu, Z., Oct 2021, In: Finance Research Letters. 42

  Research output: Contribution to journal › Article › peer-review

• Dynamic asset pricing with interactions between short-sale and borrowing constraints

  Xiao, Y., 2021, In: The Review of Asset Pricing Studies. 11, 4

  Research output: Contribution to journal › Article › peer-review

  2 Citations (Scopus)

• Dynamic portfolio choice and information trading with recursive utility

  Chen, X., Ruan, X. & Zhang, W., 2021, In: Economic Modelling. 98

  Research output: Contribution to journal › Article › peer-review

• How to Foster Collaboration Among Students Trained to Compete

  Ye, Q., 2021

  Research output: Practice-based research output › Textual work

• Imitative Innovation and Firm Financial Risk: The Moderating Role of Overseas Experience

  Liu, B., Ju, T., Bai, M. & Yu, C-F., 2021, In: International Review of Economics and Finance.

  Research output: Contribution to journal › Article › peer-review

• Option valuation under no-arbitrage constraints with neural networks

  Cao, Y., Liu, X. & Zhai, J., 16 Aug 2021, In: European Journal of Operational Research. 293, 1, p. 361-374 14 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Arbitrage 100%
  • Hedging 28%
  • Volatility 14%
  • Pricing 14%
  7 Citations (Scopus)

• Pension insurance schemes and moral hazard: The Pension Benefit Guaranty Corporation should restrict the insured pension plans’ portfolio policy

  Romaniuk, K., Nov 2021, In: Quarterly Review of Economics and Finance. 82, p. 37-43 7 p.

  Research output: Contribution to journal › Article › peer-review

  • Policy 100%
  • Corporation 100%
  • Pensions 100%
  • Benefits 100%
  • Moral Hazard 100%
  1 Citation (Scopus)

• Predicting Digital Currency Price Using Broad Learning System and Genetic Algorithm

  Wang, H., Jing, N., Zhou, Z. & Hu, Y., 2021, Communications in Computer and Information Science. p. 476 488 p. (communications in computer and information science).

  Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review

• Prediction of cryptocurrency returns using machine learning

  Akyildirim, E., Goncu, A. & Sensoy, A., Feb 2021, In: Annals of Operations Research. 297, 1-2, p. 3-36 34 p.

  Research output: Contribution to journal › Article › peer-review

  • Classification 100%
  • Prediction 100%
  • Algorithms 100%
  • Machine Learning 100%
  • Cryptocurrency 100%
  135 Citations (Scopus)

• Project-Level Disclosure and Investment Efficiency: Evidence From China

  Chen, J. J., Cheng, X., Gong, S. X. & Tan, Y., Oct 2021, In: Journal of Accounting, Auditing and Finance. 36, 4, p. 854-880 27 p.

  Research output: Contribution to journal › Article › peer-review

  • Efficiency 100%
  • Investment 100%
  • Incentives 11%
  • Regulation 11%
  • Corporate Governance 11%
  6 Citations (Scopus)

• Social network, corporate governance, and rent extraction in CEO compensation: Evidence from spatial econometric models

  Shi, L., Gong, S. & Wang, X., Jul 2021, In: British Accounting Review. 53, 4, 100987.

  Research output: Contribution to journal › Article › peer-review
  4 Citations (Scopus)

• Stock Price Prediction Based on Stock Correlation Analysis and Deep Learning Models

  Wang, H., Jing, N. & liu, Q., 2021, In: international journal of financial engineering. 8, 2

  Research output: Contribution to journal › Article › peer-review

• Suzhou Industrial Park: Sustainability, Innovation, and Entrepreneurship

  Xie, L. & Lu, X., Nov 2021, Palgrave Macmillan. (Social Policy and Development Studies in East Asia)

  Research output: Book/Report/Edited volume › Book › peer-review

• The Impact of Corruption Investigations on Stock Price Crash Risk: Evidence from the Crackdown on “Tigers” in China

  Yang, C., Tao, Q., Du, J. & Gong, S. X., 2021, In: Emerging Markets Finance and Trade. 57, 15, p. 4261-4271 11 p.

  Research output: Contribution to journal › Article › peer-review

  • Corruption 100%
  • Stock Price Crash Risk 100%
  • Return 33%
  1 Citation (Scopus)

• The implied arbitrage mechanism in financial markets

  Chen, S., Chng, M. T. & Liu, Q., May 2021, In: Journal of Econometrics. 222, 1, p. 468-483 16 p.

  Research output: Contribution to journal › Article › peer-review

  • Financial Market 100%
  • Arbitrage 100%
  • Securities 12%
  • Future Market 12%
  • Pricing 12%
  4 Citations (Scopus)

• TMT gender diversity: Implications for corporate tournaments and innovation

  Canil, J., Karpavičius, S. & Yu, C-F., 2021, In: European Journal of Finance.

  Research output: Contribution to journal › Article › peer-review

  6 Citations (Scopus)

• Tournament Incentives and Institutional Ownership

  Cheong, C., Yu, C-F., Zurbruegg, R. & Brockman, P., 2021, In: International Review of Economics and Finance.

  Research output: Contribution to journal › Article › peer-review

  1 Citation (Scopus)
• 2020

  Corporate Governance of Chinese Multinational Corporations: Case Studies

  Xie, L., Lin, R. & Chen, J., Jun 2020, Palgrave Macmillan. 200 p.

  Research output: Book/Report/Edited volume › Book › peer-review

  • Case Studies 100%
  • Chinese 100%
  • Corporate Governance 100%
  • Case Study 100%
  • Multinationals 100%
  3 Citations (Scopus)

• Does Market Power Discipline CEO Power? An Agency Perspective

  Jaroenjitrkama, A., Yu, C-F. & Zurbruegg, R., 2020, In: European Financial Management.

  Research output: Contribution to journal › Article › peer-review

  16 Citations (Scopus)

• Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?

  Romaniuk, K., 1 Jun 2020, In: Decisions in Economics and Finance. 43, 1, p. 229-249 21 p.

  Research output: Contribution to journal › Article › peer-review

• Latent state recognition by an enhanced hidden Markov model

  Yao, Y., Cao, Y., Zhai, J., Liu, J., Xiang, M. & Wang, L., 15 Dec 2020, In: Expert Systems with Applications. 161, 113722.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Models 100%
  • Hidden Markov Model 100%
  • Variables 100%
  • Order 100%
  • Stock 100%
  3 Citations (Scopus)

• Managerial multi-tasking, Team diversity, and mutual fund performance

  Chen, J. J., Xie, L. & Zhou, S., Dec 2020, In: Journal of Corporate Finance. 65, 101766.

  Research output: Contribution to journal › Article › peer-review

  • Teams 100%
  • Multitasking 100%
  • Diversity 100%
  • Decision Making 100%
  • Adverse Event 100%
  10 Citations (Scopus)

• Return predictability of variance differences: A fractionally cointegrated approach

  Li, Z., Izzeldin, M. & Yao, X., 1 Jul 2020, In: Journal of Futures Markets. 40, 7, p. 1072-1089 18 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Return 100%
  • Measure of Dispersion 100%
  • Predictability 100%
  • Volatility 40%
  • Equilibrium Model 20%
  2 Citations (Scopus)

• Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets

  Ye, Q., Zhou, S. & Zhang, J., Oct 2020, In: International Review of Financial Analysis. 71, 101549.

  Research output: Contribution to journal › Article › peer-review

  • Stock 100%
  • Liquidity 100%
  • Selling 100%
  • Benefits 14%
  17 Citations (Scopus)

• Superstition and Stock Price Crash Risk

  Bai, M., Xu, L., Yu, C-F. & Zurbruegg, R., 2020, In: Pacific Basin Finance Journal.

  Research output: Contribution to journal › Article › peer-review

  9 Citations (Scopus)

• The Benefit of Being a Local Leader: Evidence from Firm-Specific Stock Price Crash Risk

  Xu, L., Yu, C-F. & Zurbruegg, R., 2020, In: Journal of Corporate Finance.

  Research output: Contribution to journal › Article › peer-review

  11 Citations (Scopus)

• The Fast and the Furious: Exchange Latency and Ever-fast Trading

  He, X-Z., Kang, J. & Zhou, X., 2020, SSRN.

  Research output: Other contribution
• 2019

  A novel cluster HAR-type model for forecasting realized volatility

  Yao, X., Izzeldin, M. & Li, Z., 1 Oct 2019, In: International Journal of Forecasting. 35, 4, p. 1318-1331 14 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Volatility 100%
  12 Citations (Scopus)

• Are Shareholders Gender Neutral? Evidence from Say on Pay

  Canil, J., Karpavičius, S. & Yu, C-F., 2019, In: Journal of Corporate Finance.

  Research output: Contribution to journal › Article › peer-review

  16 Citations (Scopus)

• Does tenure matter: Role of the corporate secretary in chinese-listed firms

  Wang, C., Ye, Q. & Goyal, A., 2019, In: Accounting Horizons. 33, 1, p. 181-205 25 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Chinese 100%
  • Conferences 100%
  • Analysis 100%
  • Incidence 100%
  • Fraud 100%
  12 Citations (Scopus)

• Do seasoned offerings improve the performance of issuing firms? Evidence from China

  Liu, J., Wu, Y., Ye, Q. & Zhang, D., Mar 2019, In: International Review of Financial Analysis. 62, p. 104-123 20 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • China 100%
  • Time 100%
  • Evidence 100%
  • Performance 100%
  • Governance 100%
  9 Citations (Scopus)

• Forecasting daily residential natural gas consumption: A dynamic temperature modelling approach

  Göncü, A., Karahan, M. O. & Kuzubaş, T. U., 2019, In: Bogazici Journal. 33, 1

  Research output: Contribution to journal › Review article › peer-review

  Open Access

  • Models 100%
  • Scientific Modelling 100%
  • Consumption 100%
  • Relationships 66%
  • Conditional Distribution 33%
  2 Citations (Scopus)

• Institutional preferences, demand shocks and the distress anomaly

  Ye, Q., Wu, Y. & Liu, J., Jan 2019, In: British Accounting Review. 51, 1, p. 72-91 20 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Stock 100%
  • Institution 33%
  • Information 33%
  • Ownership 33%
  • Market Share 33%
  7 Citations (Scopus)

• Limits on Executive Pay and Stock Price Crash Risk: Evidence from a Quasi-Natural Experiment

  Bai, M., Wang, R., Yu, C-F. & Zheng, J., 2019, In: Pacific Basin Finance Journal.

  Research output: Contribution to journal › Article › peer-review

  12 Citations (Scopus)

• Microstructure of Endogenous Liquidity Provision

  Foster, D., He, X-Z., Kang, J. & Lin, S., 2019, SSRN.

  Research output: Other contribution

• Modelling systems with a mixture of I(d) and I(0) variables using the fractionally co-integrated VAR model

  Yao, X., Izzeldin, M. & Li, Z., Aug 2019, In: Economics Letters. 181, p. 160-163 4 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Model 100%
  • Mathematical Model 100%
  • Mixture 100%
  • Procedure 100%
  • Computer Simulation 100%
  1 Citation (Scopus)

• Prediction of exchange rates with machine learning

  Goncu, A., 19 Dec 2019, Proceedings of 2019 International Conference on Artificial Intelligence, Information Processing and Cloud Computing, AIIPCC 2019. Tavares, J. M. R. S. (ed.). Association for Computing Machinery, a8. (ACM International Conference Proceeding Series).

  Research output: Chapter in Book or Report/Conference proceeding › Conference Proceeding › peer-review

  • Exchange Rate 100%
  • Learning 100%
  • Forecasting 100%
  • Machine Learning 100%
  • Regression 66%
  5 Citations (Scopus)

• Premiums of the Pension Benefit Guarantee Corporation and risk-taking by pension plans

  Romaniuk, K., Nov 2019, In: Quarterly Review of Economics and Finance. 74, p. 301-307 7 p.

  Research output: Contribution to journal › Article › peer-review

  • Benefits 100%
  • Surety 100%
  • Bankruptcy 33%
  1 Citation (Scopus)

• The certification effect of government R&D subsidies on innovative entrepreneurial firms’ access to bank finance: evidence from China

  Li, L., Chen, J., Gao, H. & Xie, L., 15 Jan 2019, In: Small Business Economics. 52, 1, p. 241-259 19 p.

  Research output: Contribution to journal › Article › peer-review

  • Finance 100%
  • Protection 60%
  • Intellectual Property Right 60%
  • Credit 20%
  • Acquisitions 20%
  82 Citations (Scopus)

• The Social Value of Information Uncertainty

  He, X-Z., Shi, L. & Tolotti, M., 2019, SSRN.

  Research output: Other contribution

• 人民币汇率的双成分混合波动率模型

  Yao, Y., Liu, Z., Zhai, J. & Cao, Y., 2019, In: 管理科学学报. 22, 11, p. 91-105

  Research output: Contribution to journal › Article › peer-review
• 2018

  Design, Implementation, and Effectiveness of Flipped Classroom and Debate

  Ye, Q., 2018, In: International Journal for Social Studies.

  Research output: Contribution to journal › Article › peer-review

• Do auditors respond to media coverage? Evidence from China

  Gong, S. X., Gul, F. A. & Shan, L., Sept 2018, In: Accounting Horizons. 32, 3, p. 169-194 26 p.

  Research output: Contribution to journal › Article › peer-review

  • Audit Fees 100%
  • Corporate Governance 50%
  32 Citations (Scopus)

• Editorial: Finance and risk management for international logistics and the supply chain

  Gong, S. & Cullinane, K., 1 Jan 2018, Finance and Risk Management for International Logistics and the Supply Chain. Elsevier, p. 1-9 9 p.

  Research output: Chapter in Book or Report/Conference proceeding › Chapter › peer-review
  2 Citations (Scopus)

• Editorial for the special issue on modern aspects of financial engineering

  Goncu, A., 30 Jul 2018, In: China Finance Review International. 8, 3, p. 234 1 p.

  Research output: Contribution to journal › Editorial

  Open Access

• Finance and risk management for international logistics and the supply chain

  Gong, S. & Cullinane, K., 1 Jan 2018, Elsevier. 332 p.

  Research output: Book/Report/Edited volume › Book › peer-review

  • Chain 100%
  • Logistics 100%
  • Finance 100%
  • Supply Chain Management 100%
  • Risk Management 100%
  5 Citations (Scopus)

• Learning about Adverse Selection in Markets

  Aliyev, N., He, X-Z. & Putnins, T., 2018, SSRN.

  Research output: Other contribution

• Media coverage and stock returns on the London Stock Exchange, 1825-70

  Turner, J. D., Ye, Q. & Walker, C. B., 1 Jul 2018, In: Review of Finance. 22, 4, p. 1605-1629 25 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  • Coverage 100%
  • Financial Market 100%
  • London 100%
  • Capital Market Returns 100%
  • Stock Exchange 100%
  16 Citations (Scopus)