Publications

Journal Publications:

1. (2025) Analyst forecast dispersion and market quality surrounding the FOMC announcements (with Bart Frijns, Alireza Tourani-Rad and Chris Zhang). Financial Review, forthcoming. 

2. (2025) Emotions and Stock Returns during the GameStop Bubble (with Adrian Fernandez-Perez, and Marta Khomyn). Financial Review Vol. 60, pp. 1063-1084.

3. (2024) Spillover between investor sentiment and volatility: The role of social media (with Adrian Fernandez-Perez, and Ni Yang). International Review of Financial Analysis Vol. 96.

4. (2024) When Chinese mania meets global frenzy: Commodity price explosiveness (with John Hua Fan, Adrian Fernandez-Perez, and Neda Todorova). Journal of Commodity Markets Vol. 36.

5. (2024) The price impact of tweets: A high-frequency study (with Adrian Fernandez-Perez, and Ni Yang). Financial Review Vol. 60.

6. (2023) The effect of equity market uncertainty on informational efficiency: Cross-sectional evidence (with Bart Frijns, Alireza Tourani-Rad, and Chris Zhang). Global Finance Journal Vol. 57.

7. (2023) US Cross-Listing and Domestic High-Frequency Trading: Evidence from Canadian Stocks (with Olga Dodd, Bart Frijns, and Roberto Pascual). Journal of Empirical Finance Vol. 71, pp. 301-320.

8. (2022) Cross-asset time-series momentum: Crude oil volatility and global stock markets (with Adrian Fernandez-Perez, Yiuman Tse, and Yahua Zhu). Journal of Banking and Finance Vol. 154.

9. (2022) Intraday return predictability in the crude oil market: The role of EIA inventory announcements (with Zhuzhu Wen, Donald Lien, and Yahua Zhu). The Energy Journal Vol. 44.

10. (2022) In the mood for sustainable funds? (with Adrian Fernandez-Perez, and Alexandre Garel). Economics Letters Vol. 217.

11. (2022) Price discovery between forward-looking SOFR and LIBOR (with Feng Jiao, and Yiuman Tse). Finance Research Letters Vol. 47. 

12. (2021) The SOFR and the Fed’s influence over market interest rates (with Feng Jiao, and Yiuman Tse). Economics Letters Vol. 209. 

13. (2021) Music sentiment and stock market returns around the world (with Alex Edmans, Adrian Fernandez-Perez, and Alexandre Garel). Journal of Financial Economics Vol. 145. 

14. (2021) COVID-19 pandemic and stock market returns: A culture effect (with Adrian Fernandez-Perez, Aaron Gilbert, and Nhut Nguyen). Journal of Behavioral and Experimental Finance Vol. 29. 

15. (2021) The FOMC announcement returns on the long-term US and German bond futures  (with Feng Jiao, and Yiuman Tse). Journal of Banking and Finance Vol. 123.

16. (2020) Internationalization of futures markets: Lessons from China (with John Fan, Adrian Fernandez-Perez, and Neda Todorova). Pacific-Basin Finance Journal Vol. 63. 

17. (2020) The impact of the change in USDA announcement release procedures on agricultural commodity futures (with Valeria Martinez, and Yiuman Tse). Journal of Commodity Markets Vol. 23. 

18. (2020) Music sentiment and stock market returns (with Adrian Fernandez-Perez, and Alexandre Garel). Economics Letters Vol. 192.

19. (2020) Pairs trading of Chinese and international commodities (with Adrian Fernandez-Perez, Bart Frijns, and Yiuman Tse). Applied Economics Vol. 52, pp. 5203-5217.

20. (2020) Bad volatility is not always bad: Evidence from the commodity markets (with Donald Lien, Tai-Yong. Roh, and Yahua Xu). Applied Economics Vol. 52, pp. 4384-4402.

21. (2020) Natural gas storage forecasts: is the crowd wiser? (with Adrian Fernandez-Perez, and Alexandre Garel). The Energy Journal Vol. 41.

22. (2019) Quote dynamics of cross-listed stocks (with Bart Frijns, and Alireza Tourani-Rad). International Review of Finance Vol. 21, pp. 497-522.

23. (2019) The impact of the US stock market opening on price discovery of government bond futures (with Feng Jiao, and Yiuman Tse). Journal of Futures Markets Vol. 39, pp. 779-802.

24. (2019) Market quality and the connectedness of steel rebar and other industrial metal futures in China (with Qingfu Liu, and Yiuman Tse). Journal of Futures Markets Vol. 39, pp. 1383-1393.

25. (2019) The cost of trading during Federal Funds Rate announcements: Evidence from cross-listed stocks (with Bart Frijns, Yoichi Otsubo, and Alireza Tourani-Rad). International Review of Economics and Finance Vol. 60, pp. 176-187.

26. (2019) Surprise and dispersion: Informational impact of USDA announcements (with Adrian Fernandez-Perez, Bart Frijns, and Alireza Tourani-Rad). Agricultural Economics Vol. 50, pp. 113-126.

27. (2018) Market quality around macroeconomic news announcements: Evidence from the Australian stock market. Pacific Basin Finance Journal Vol. 61.

28. (2018) Turn of the month effect in the New Zealand stock market (with Jun Chen, Bart Frijns, and Haodong Ren). New Zealand Economic Papers Vol. 53, pp. 288-306.

29. (2018) On the ability of New Zealand actively managed funds to generate outperformance in their domestic equity allocations (with Bart Frijns). Pacific Accounting Review Vol. 30, pp. 463-481.

30. (2018) Market quality around macroeconomic news announcements: Evidence from the U.S. and Canadian markets (with Bart Frijns, Alireza Tourani-Rad, and Yiuman Tse). International Review of Finance Vol. 19, pp. 575-612.

31. (2018) The interactions between price discovery, liquidity and algorithmic trading for US-Canadian cross-listed shares (with Bart Frijns, and Alireza Tourani-Rad). International Review of Financial Analysis Vol. 56, pp. 136-152.

32. (2016) Behavioural heterogeneity in the New Zealand stock market (with Bart Frijns). New Zealand Economics Paper Vol. 52, pp. 53-71.

33. (2015) Macroeconomic news announcements and price discovery: Evidence from Canadian-U.S. cross-listed firms (with Bart Frijns, and Alireza Tourani-Rad). Journal of Empirical Finance Vol. 32, pp. 35-48.

34. (2012) Political crises and the stock market integration of emerging markets (with Bart Frijns, and Alireza Tourani-Rad). Journal of Banking and Finance Vol. 36, pp. 644-653.