Research Awards

Publications

Journal Articles

• "Long-run relationship between insurance premiums and driving factors in Mongolia", (with Burmaa Galaa, Enkhamgalan Byambajav, Amarbayasgalan Myagmar-Ochir, and Saruultuya Tsendsuren), Advances in Decision Sciences, Vol. 28, Issue 2, 2024, p. 116-136. 
• "Threshold cointegration and Granger causality between CPI and PPI in selected countries", (with Lin-Xuan Jia), International Journal of Business & Management Studies, Volume 05, Issue no. 09, 2024, p.28-37.
• "Capital and profitability: The moderating role of economic freedom", (with Faisal Abbas, Shoaib Ali, and Wing-Keung Wong), Heliyon, Vol. 10, Issue 16, e35253, 2024. 
• "Test of goods market integration between China and African BRI countries", (with Shuk-Kam Lee, and Paul Kwok-Ching Shum), International Studies of Economics, Vol. 19, Issue 2, 2024, p.223-246.
• "Tests of goods market integration between China and European countries: a nonlinear nonparametric approach", (with Shu-Kam Lee and Lubanski Lam), China Economic Journal, Vol. 17, Issue 2, 2024, p.285-299. 
• "Stock market reaction to General Election in Pakistan: An event study methodology", (with Mosabi I. Tabash, Musla Valappil, Uzma Iqbal, Umar Farooq), Advances in Decision Sciences, Vol. 27, Issue 4, 2023, p.90-113. 
• "Purchasing power parity between China and selected BRI countries in Asia", (with Shu-Kam Lee, Paul Kwok-Ching Shum and Hugo, Hin-To Lee), Advances in Decision Sciences, Vol. 27, Issue 3, 2023, p.86-108.
• "Long-run validity of purchasing power parity between China and the post-soviet BRI countries", (with Shu-Kam Lee and Hugo Hin-To Lee), The Empirical Economics Letters, Vol. 22, No. 4, April 2023, p.1-11.
• "Nonparametric contegration tests for price convergence within the Greater Bay Area of China", (with Shu-Kam Lee and Paul Kwok-Ching Shum), The Chinese Economy, Vol. 55, No.6, 2022, p.410-424.
• "Review on behavioral finance with empirical evidence", (with Tai-Yuen Hon and Massoud Moslehpour), Advances in Decision Sciences, Vol. 25, Issue 4, 2021, p.15-41.
• "Evidence on PPP with China along the belt and road using the three-regime TAR cointegration tests", (with Shu-Kam Lee and Paul Kwok Shum), Empirical Economics, Vol. 60, Issue 5, 2021, p.2391-2405.
• "Food price convergence in Canada: A nonparametric nonlinear cointegration analysis", (with Shu-Kam Lee and Alan T. Y. Chan), Economics Bulletin, Vol. 40, No.3, 2020, p. 2361-2371
• "Review on efficiency and anomalies in stock markets", (with Chulin Mai, Michael McAleer and Wing-Keung Wong), Economies, Vol. 8(1), 2020, 20.
• "An investigation into the dynamic relationship between CPI and PPI: Evidence from the UK, France and Germany", (with Shu-Kam Lee and Cho-Yiu Joe Ng) Singapore Economic Review, Vol. 64, No. 05, 2019, p.1081-1100.
• "Price convergence in the UK supermarket chains: Evidence from nonlinear cointegration approach", (with Shu-Kam Lee), Economics and Business Letters, Vol. 7(3), 2018, p.115-125.
• "Empirical study on conservative and representative heuristics of Hong Kong small investors adopting momentum and contrarian trading strategies", (with Wing-Keung Wong, Sheung-Chi Chow and Tai-Yuen Hon), International Journal of Revenue Management, Vol. 10, No. 2, 2018, p.146-167. Special Issue on: Asian Consumer and Family Behaviour. 
• “Rank tests for price convergence in Australian beverage markets”, (with Shu-Kam Lee and Paul Shum), Applied Economics Letters, Vol. 25(12), 2018, p.862-866.
• “Analysis of threshold cointegration with asymmetric adjustments in the Hong Kong grocery industry”, (with Shu-Kam Lee and Paul Shum), Applied Economics, Vol. 49, Issue 55, 2017, p. 5591-5560.
• “The Relationship between personality traits and Investment risk preference”, (with Chung-Chu Liu and Tai-Yuen Hon), International Journal of Revenue Management, Vol. 9, No.1, 2016, p.57-71.
• “An investigation into the dynamic relationship between international and China’s crude oil prices”, (with Hing-Lin Chan), Applied Economics, Vol. 48, Issue 24, 2016, p.2215-2224.
• “Nonlinear adjustments to Intranational PPP”, (with Shu-Kam Lee and Alan Chan), Journal of Macroeconomics, Vol. 40(C), 2014, p.360-371.
• “Studying the dynamic relationships between residential property prices, stock prices, and GDP: Lessons from Hong Kong”, (with Hing-Lin Chan), Journal of Housing Research, Vol. 22, Issue 1, 2013, p.75-89.
• “Day-of-the-week effect on the return and conditional variance of the H- shares index in Hong Kong”, (with Hing-Lin Chan), Applied Economics Letters, Vol. 19, Issue 3, 2012, p.243-249.
• “Impact of the financial tsunami on the convergence of the consumer price index in China: A time-varying parameter approach”, (With Shu-Kam Lee and Raymond Wai-Man Yeung), The Chinese Economy, Vol. 44, No.3, 2011. p.71-83.
• “Does price really converge among provinces in Canada? A study using unit root tests for cross-sectional panels”, (with Alan Chan, Shu-Kam Lee and Robert A. MacDonald), Journal of US-China Public Administration, Vol. 7, 2010, p.47-55.
• “Detecting intra-national PPP model in China: A median-unbiased estimation approach”, (with Shu-Kam Lee), Economic Modelling, Vol. 26, Issue 5, 2009, p.1029-32.
• “Testing for stochastic explosive root bubbles in Asian emerging stock markets”, (with Hing-Lin Chan) Economics Letters, Vol. 99, Issue 1, 2008, p.185-188.
• “Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach”, (with Hing-Lin Chan), Journal of Economics and Finance, Vol. 30, No. 2, 2006, p.169-185.
• “Regional distribution of FDI in China: A multivariate data analysis of major socio-economic variables”, (with Che-Cheong Poon and Tai-Yuen Hon), The Chinese Economy, Vol. 38, No. 2, 2005, p.56-87.
• “An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations”, (with Hing-Lin Chan and Shu-Kam Lee), International Review of Economics and Finance, Vol. 12, Issue 3, 2003, p.327-344.
• “Detecting rational bubbles in the residential housing markets of Hong Kong”, (with Hing-Lin Chan and Shu-Kam Lee), Economic Modelling, Vol. 18, Issue 1, 2001, p.61-73.
• “Cointegration analysis of the intensity of the ERM currencies under the European Monetary System”, Journal of International Financial Markets, Institutions and Money, Vol. 9, Issue 4, 1999, p.393-405.

Edited Books:

• Bubbles and Behavioral Finance, (co-edited with Edward Chi-Ho Tang, Tai-Yuen Hon, Wing-Kwong Au, Wing-Keung Wong and Hok-Fu Wu), India: BP International, 122 pages, May 08, 2024, eBook ISBN 978-81-973195-0-1. Available at: https://www.bookpi.org/bookstore/product/bubbles-and-behavoral-finance/
• Savings, Investment, and Behavioral Finance, (co-edited with Wing-Keung Wong, Tai-Yuen Hon and Wing-Kwong Au), Istanbul: KSP Books, 121 pages, February 21, 2023, e-ISBN 978-625-8190-85-4 (e-Book). Available at: https://econsciences.com/e-978-625-8190-85-4/
• Market Efficiency, Behavioural Finance, and Anomalies, (co-edited with Wing-Keung Wong, Wing-Kwong Au, Tai-Yuen Hon and Michael McAleer), Istanbul: KSP Books, 189 pages, July 15, 2022, e-ISBN 978-625-7501-86-6 (e-Book) Available at: https://econsciences.com/e-978-625-7501-86-6/

• "Study on Bubbles Solutions of the Cagan Model", in Edward Chi-Ho Tang, Kai-Yin Woo, Tai-Yuen Hon, Wing-Kwong Au, Wing-Keung Wong and Hok-Fu Wu (eds.) Bubbles and Behavioral Finance, India: BP International, Chapter 2, May 08, 2024, p.21-44. https://doi.org/10.9734/bpi/mono/978-81-973195-8-7/CH2
• "Markov-Switching Cointegratin Test for Bubbles during the Inter-war European Hyperinflations", in Edward Chi-Ho Tang, Kai-Yin Woo, Tai-Yuen Hon, Wing-Kwong Au, Wing-Keung Wong and Hok-Fu Wu (eds.) Bubbles and Behavioral Finance, India: BP International, Chapter 3, May 08, 2024, p.45-69. https://doi.org/10.9734/bpi/mono/978-81-973195-8-7/CH3
• "Analysing the Impact of Economic Variables on Hang Seng Sub-Indexes Performance in Hong Kong" (with Hok-Fu Wu), in Edward Chi-Ho Tang, Kai-Yin Woo, Tai-Yuen Hon, Wing-Kwong Au, Wing-Keung Wong and Hok-Fu Wu (eds.) Bubbles and Behavioral Finance, India: BP International, Chapter 5, May 08, 2024, p.90-122. https://doi.org/10.9734/bpi/mono/978-81-973195-8-7/CH5
• "Behavioral Finance" (with Wing-Keung Wong, Tai-Yuen Hon and Wing-Kwong Au). Encyclopedia of Economic Sciences, EconPedia, February 1, 2023. Available at: https://wiki.econsciences.com/content/behavioral-finance/ 
• "Market Anomalies" (with Wing-Keung Wong, Tai-Yuen Hon and Wing-Kwong Au). Encyclopedia of Economic Sciences, EconPedia, February 1, 2023. Available at: https://wiki.econsciences.com/content/market-anomalies/
• "Market Efficiency" (with Tai-Yuen Hon, Wing-Kwong Au and Wing-Keung Wong). Encyclopedia of Economic Sciences, EconPedia, February 1, 2023. Available at: https://wiki.econsciences.com/content/market-efficiency/

• "Hedging Hong Kong stock sectors with gold: Multivariate asymmetric GARCH approach”, (with Tao Chen), in Kai-Yin Woo, Wing-Keung Wong, Tai-Yuen Hon, and Wing-Kwong Au (eds.) Savings, Investment, and Behavioral Finance, Istanbul: KSP Books, Chapter 3, February 21, 2023, p. 42-66.
• "Cointegration of the Indian market with other national stock markets after financial tsunami”, (with Hui-Hui Xu and Suet-Ching Chak), in Kai-Yin Woo, Wing-Keung Wong, Tai-Yuen Hon, and Wing-Kwong Au (eds.) Savings, Investment, and Behavioral Finance, Istanbul: KSP Books, Chapter 4, February 21, 2023, p. 67-93.
• "The discrepancy between the total value of monetary transactions and GDP in China  (with Che-Cheong Poon), in Kai-Yin Woo, Wing-Keung Wong, Tai-Yuen Hon, and Wing-Kwong Au (eds.)  Savings, Investment, and Behavioral Finance, Istanbul: KSP Books, Chapter 6, February 21, 2023, p. 105-117.
• "Review on market efficiency and anomalies”, (with Wing-Keung Wong, Wing-Kwong Au, McAleer Michael and Tai-Yuen Hon), in Wing-Keung Wong, Kai-Yin Woo, Wing-Kwong Au, Tai-Yuen Hon and Michael McAleer (eds.) Market Efficiency, Behavioural Finance, and Anomalies, Istanbul: KSP Books, Chapter 1, July 15, 2022, p. 5-31.
• "Review on behavioral finance with empirical evidence”, (with Tai-Yuen Hon and Massoud Moslehpour), in Wing-Keung Wong, Kai-Yin Woo, Wing-Kwong Au, Tai-Yuen Hon and Michael McAleer (eds.) Market Efficiency, Behavioural Finance, and Anomalies, Istanbul: KSP Books, Chapter 2, July 15,  2022, p. 32-65.
• "Volatility between commodity and stock sectors: evidence in Hong Kong and the implication of hedging effectiveness”, (with Hok-Fu Wu), in Wing-Keung Wong, Kai-Yin Woo, Wing-Kwong Au, Tai-Yuen Hon and Michael McAleer (eds.) Market Efficiency, Behavioural Finance, and Anomalies, Istanbul: KSP Books, Chapter 5, July 15, 2022, p. 96-121.
• "Study on the performance of initial public offerings in Hong Kong”, (with Leong-Kwan Chan), in Wing-Keung Wong, Kai-Yin Woo, Wing-Kwong Au, Tai-Yuen Hon and Michael McAleer (eds.) Market Efficiency, Behavioural Finance, and Anomalies, Istanbul: KSP Books, Chapter 6, July 15, 2022, p. 122-155.
• "Review on efficiency and anomalies in stock markets", (with Chulin Mai, Michael McAleer and Wing-Keung Wong), in Wing-Keung Wong (ed.) Efficiency and Anomalies in Stock Markets, MDPI, February 2022, p. 169-219.
• “Economic freedom and economic development”, (with Alan Chan), in Tony Fu-Lai Yu, Thomas Wai-Kee Yuen and Diana S. Kwan (eds.) International Economic Development: Leading Issues and Challenges, London: Routledge, Chapter, 7, 2014, p.109-142.
• “The process of price convergence in China”, (with Shu-Kam Lee and Raymond Wai-Man Yeung), in Fu-Lai Yu, Shu-Kam Lee and Wai-Kee Yuen (eds.), Economy and Society in Mainland China, Taiwan and Hong Kong: Studies in Entrepreneurship, Finance and Institutions, Hong Kong: Ovis Press, Chapter 5, 2011, p.91-108.
• <中國省際價格差距，其收歛速度與國內市場一體化> (與李樹甘合著)，《樹仁學報》，第四期，2008年出版，第220-238頁。
• <中國內地市場一體化進程的實証檢驗> (與李樹甘合著)，《市場經濟發展：國際視角 中國經驗》，王躍生，張德修，李樹甘主編，2006 年出版，第140-152頁。
• “Stock price reactions to the announcement of changes in the Hang Seng Index Constituents”, Shue Yan Academic Journal, Third Issue, 2005, p.336-346.
• “Model misspecification versus price bubbles: Evidence from the Asian stock markets”, (with Hing-Lin Chan and Shu-Kam Lee), in Albert Tavudze (ed.), Progress in Economics Research, Vol. 10, Nova Science, Chapter 6, 2005, p. 81-97.
• “Testing for model misspecification and bubbles under the Chinese hyperinflation” (with Hing-Lin Chan), in Albert Tavudze (ed.), Progress in Economics Research, Vol. 4, Nova Science, Chapter 2, 2002, p. 13-28.
• <股票分析員可信嗎？—- 預測能力的評估> (與李樹甘合著) ，《樹仁學報》，第二期，2001年出版，第194-199頁。
• <亞洲金融危機中香港金融政策的應變措施及對內地加強宏觀金融調控的啟示>，(與韓大遠及黃福建合著)，《香港與內地服務產業鏈策論》，中國經濟出版社，2000年1月出版。
• <從長期均衡匯率決定看人民幣及港幣匯率的走勢> (與潘志昌及李樹甘合著)，《金融監管與風險防範：國際經濟專家論東亞金融危機》，北京大學國際經濟研究所編，經濟日報出版社，1998年8月出版，第80-91頁。
• <中國各地區經濟狀況的群聚分析> (與韓大遠及潘志昌合著) ，《中國經濟改革與社會發展中的地區間協調發展國際研討會論文集》，1996。

Working Papers

• "Equity, cryptocurrency and precious metal markets: a TVP-VAR extended joint connectedness approach", (with Man-Lung Yau and Shu-Kam Lee), Working Paper, Hong Kong Shue Yan University, 2023.
• "Nonlinear nonparametric approach to PPP testing between China and Latin American countries", (with Shu-Kam Lee and Lubanski Lam), Working paper, Hong Kong Shue Yan University, 2023.
• “Critical values of the GLS TAR and GLS MTAR cointegration tests under consistent threshold estimation”, (with Shu-Kam Lee), Working paper, Hong Kong Shue Yan University, 2015.
• “Threshold adjustments to intranational PPP in Canada”, (with Shu-Kam Lee and Alan Chan), Working Paper, Hong Kong Shue Yan University, 2013.
• “Detecting property price bubbles in Hong Kong: A Gibbs sampling approach”, (with Hing-Lin Chan), Working Paper, Hong Kong Shue Yan University, 2012.
• “Economic freedom and growth”, (with Shu-Kam Lee and Raymond Wai-Man Yeung), Working paper, Hong Kong Shue Yan University, 2012.
• “The Relationship between Socio-Economic Environment and Regional Distribution of Foreign Direct Investment in China”, (with Che-Cheong Poon and Tai-Yuen Hon), Working Paper, Hong Kong Shue Yan College, 2004.
• “Bubbles, Misspecification Errors and Nonstationary Estimation: A Study of the Property Market in Hong Kong”, (with Shu-Kam Lee and Hing–Lin Chan), Working Paper, Hong Kong Shue Yan College, 2000.