IDEAS home Printed from https://ideas.repec.org/f/pli462.html
   My authors  Follow this author

Zhiyong Li

Personal Details

First Name:Zhiyong
Middle Name:
Last Name:Li
Suffix:
RePEc Short-ID:pli462
[This author has chosen not to make the email address public]
http://zhiyongli.weebly.com/

Affiliation

School of Business
Leicester University

Leicester, United Kingdom
https://le.ac.uk/school-of-business
RePEc:edi:deleiuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2017. "New Bid-Ask Spread Estimators from Daily High and Low Prices," MPRA Paper 79102, University Library of Munich, Germany.
  2. Michael Bleaney & Zhiyong Li, 2014. "A New Spread Estimator," Discussion Papers 14/01, University of Nottingham, School of Economics.
  3. Michael Bleaney & Zhiyong Li, 2014. "Decomposing the bid-ask spread in multi-dealer markets," Discussion Papers 14/03, University of Nottingham, School of Economics.
  4. Michael Bleaney & Spiros Bougheas & Zhiyong Li, 2014. "Do Psychological Fallacies Influence Trading in Financial Markets? Evidence from the Foreign Exchange Market," Discussion Papers 2014-17, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
  5. Michael Bleaney & Zhiyong Li, 2013. "The performance of bid-ask spread estimators under less than ideal conditions," Discussion Papers 13/05, University of Nottingham, School of Economics.

Articles

  1. Lambe, Brendan & Li, Zhiyong & Qin, Weiping, 2022. "Uncertain times and the insider perspective," International Review of Financial Analysis, Elsevier, vol. 81(C).
  2. Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018. "New bid-ask spread estimators from daily high and low prices," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
  3. Michael Bleaney & Spiros Bougheas & Zhiyong Li, 2017. "Do Psychological Fallacies Influence Trading in Financial Markets? Evidence from the Foreign Exchange Market," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 18(3), pages 344-357, July.
  4. Michael Bleaney & Zhiyong Li, 2016. "Decomposing the Bid–ask Spread in Multi‐Dealer Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(1), pages 75-89, January.
  5. Michael Bleaney & Zhiyong Li, 2016. "A new spread estimator," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 179-211, July.
  6. Michael Bleaney & Zhiyong Li, 2015. "The performance of bid-ask spread estimators under less than ideal conditions," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(1), pages 98-127, March.
  7. Michael Bleaney & Zhiyong Li, 2009. "Do exchange rate bubbles deflate faster than they inflate?," Economics Bulletin, AccessEcon, vol. 29(3), pages 1542-1548.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2017. "New Bid-Ask Spread Estimators from Daily High and Low Prices," MPRA Paper 79102, University Library of Munich, Germany.

    Cited by:

    1. Priyanka Naik & Y. V. Reddy, 2021. "Stock Market Liquidity: A Literature Review," SAGE Open, , vol. 11(1), pages 21582440209, January.
    2. Dong, Liang & Yu, Bo & Qin, Zhenjiang & Lam, Keith S.K., 2024. "Liquidity risk and expected returns in China’s stock market: A multidimensional liquidity approach," Research in International Business and Finance, Elsevier, vol. 69(C).

  2. Michael Bleaney & Zhiyong Li, 2014. "A New Spread Estimator," Discussion Papers 14/01, University of Nottingham, School of Economics.

    Cited by:

    1. Gustavo Silva Araújo & Claudio Henrique da Silveira Barbedo & José Valentim Machado Vicente, 2011. "The Adverse Selection Cost Component of the Spread of Brazilian Stocks," Working Papers Series 263, Central Bank of Brazil, Research Department.
    2. Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018. "New bid-ask spread estimators from daily high and low prices," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
    3. Qingfu Liu & Qian Luo & Yiuman Tse & Yuchi Xie, 2020. "The market quality of commodity futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1751-1766, November.

  3. Michael Bleaney & Zhiyong Li, 2014. "Decomposing the bid-ask spread in multi-dealer markets," Discussion Papers 14/03, University of Nottingham, School of Economics.

    Cited by:

    1. Michael Bleaney & Spiros Bougheas & Zhiyong Li, 2014. "Do Psychological Fallacies Influence Trading in Financial Markets? Evidence from the Foreign Exchange Market," Discussion Papers 2014-17, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.

  4. Michael Bleaney & Zhiyong Li, 2013. "The performance of bid-ask spread estimators under less than ideal conditions," Discussion Papers 13/05, University of Nottingham, School of Economics.

    Cited by:

    1. Klova, Valeriia & Odegaard, Bernt Arne, 2018. "Equity trading costs have fallen less than commonly thought. Evidence using alternative trading cost estimators," UiS Working Papers in Economics and Finance 2018/4, University of Stavanger, revised 2019.
    2. Chen, Xiaohong & Linton, Oliver & Schneeberger, Stefan & Yi, Yanping, 2019. "Semiparametric estimation of the bid–ask spread in extended roll models," Journal of Econometrics, Elsevier, vol. 208(1), pages 160-178.
    3. Xiaohong Chen & Oliver Linton & Stefan Schneeberger, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," Cambridge Working Papers in Economics 1620, Faculty of Economics, University of Cambridge.
    4. Michael Bleaney & Zhiyong Li, 2014. "A New Spread Estimator," Discussion Papers 14/01, University of Nottingham, School of Economics.
    5. Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018. "New bid-ask spread estimators from daily high and low prices," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
    6. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Liquidity, surprise volume and return premia in the oil market," Energy Economics, Elsevier, vol. 77(C), pages 93-104.
    7. Chen, Xiaohong & Linton, Oliver & Yi, Yanping, 2017. "Semiparametric identification of the bid–ask spread in extended Roll models," Journal of Econometrics, Elsevier, vol. 200(2), pages 312-325.

Articles

  1. Lambe, Brendan & Li, Zhiyong & Qin, Weiping, 2022. "Uncertain times and the insider perspective," International Review of Financial Analysis, Elsevier, vol. 81(C).

    Cited by:

    1. Zhao, Wandi & Gao, Yang, 2023. "Network connectedness and the contagion structure of informed trading: Evidence from the time and frequency domains," International Review of Financial Analysis, Elsevier, vol. 90(C).

  2. Li, Zhiyong & Lambe, Brendan & Adegbite, Emmanuel, 2018. "New bid-ask spread estimators from daily high and low prices," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 69-86.
    See citations under working paper version above.
  3. Michael Bleaney & Zhiyong Li, 2016. "Decomposing the Bid–ask Spread in Multi‐Dealer Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 21(1), pages 75-89, January.
    See citations under working paper version above.
  4. Michael Bleaney & Zhiyong Li, 2016. "A new spread estimator," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 179-211, July.
    See citations under working paper version above.
  5. Michael Bleaney & Zhiyong Li, 2015. "The performance of bid-ask spread estimators under less than ideal conditions," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(1), pages 98-127, March.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 5 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (5) 2013-10-05 2014-03-01 2014-04-18 2015-01-09 2017-05-21. Author is listed
  2. NEP-ECM: Econometrics (3) 2013-10-05 2014-03-01 2017-05-21
  3. NEP-CBE: Cognitive and Behavioural Economics (1) 2015-01-09
  4. NEP-ORE: Operations Research (1) 2017-05-21

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Zhiyong Li should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.