This page has only limited features, please log in for full access.

Unclaimed
Zhe Liu
School of Business and Management, Queen Mary University of London, Mile End Road, London E1 4NS, UK

Honors and Awards

The user has no records in this section


Career Timeline

The user has no records in this section.


Short Biography

Zhe Liu received an M.Sc. degree in quantitative economics from Ocean University of China, Qingdao, China in 2018. He is currently pursuing the Ph.D. degree with the Ocean University of China, Qingdao, China. He is also a visiting Ph.D. student with the Queen Mary University of London, London, UK. His research interest is broadly concerned with financial risk management and combines theories and methods from network science, macro econometrics, machine learning, and data science.

Following
Followers
Co Authors
The list of users this user is following is empty.
Following: 0 users

Feed

Journal article
Published: 17 June 2021 in Mathematics
Reads 0
Downloads 0

Following generalized variance decomposition, we identify the transmission structure of financial shock among ten sectors in China. Then, we examine whether economic policy uncertainty (EPU) affects it through GARCH-MIDAS regression. We find that consumer discretionary, industrials, and materials sectors are systemically important industries during the sample period. Further research of dynamic analysis shows that each sector acts in a time-varying role in this structure. The results of the GARCH-MIDAS regression indicate that none of the selected EPU indexes has a significant long-term impact on the total volatility spillover of the inter-sector stock market in China. However, the EPUs do affect some sectors’ spillover indexes in the long run, and they are significantly heterogeneous. This paper can provide regulatory suggestions for policymakers and reasonable asset allocation and risk avoidance methods for investors.

ACS Style

Xiaqing Su; Zhe Liu. Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market. Mathematics 2021, 9, 1411 .

AMA Style

Xiaqing Su, Zhe Liu. Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market. Mathematics. 2021; 9 (12):1411.

Chicago/Turabian Style

Xiaqing Su; Zhe Liu. 2021. "Sector Volatility Spillover and Economic Policy Uncertainty: Evidence from China’s Stock Market." Mathematics 9, no. 12: 1411.

Journal article
Published: 17 March 2021 in International Journal of Environmental Research and Public Health
Reads 0
Downloads 0

Using panel data from 11 regions (9 provinces and two cities) in the Yangtze River Economic Belt (YREB) during 2002–2017, the regional differences in and spatial characteristics of the green efficiency of water resources along the YREB were analyzed. The undesirable outputs slacks-based measure-data envelopment analysis, Malmquist index, and social network analysis models were employed. A dynamic panel using a system generalized method of moments model was established to empirically examine the main factors influencing green efficiency. The results show the following. First, temporally, green efficiency fluctuates while showing an overall decreasing trend; spatially, green efficiency generally decreases in this order: downstream, upstream, then midstream. Second, the change in the total factor productivity (TFP) index shows an overall increasing trend, with TFP improvement mainly attributable to technology. Third, green efficiency shows a significant spatial correlation. All provinces are in the spatial correlation network, and the network, as a whole, has strong stability. Finally, water resource endowment, water prices, government environmental control strength, and the water resources utilization structure have a significant impact on green efficiency.

ACS Style

Chong Huang; Kedong Yin; Zhe Liu; Tonggang Cao. Spatial and Temporal Differences in the Green Efficiency of Water Resources in the Yangtze River Economic Belt and Their Influencing Factors. International Journal of Environmental Research and Public Health 2021, 18, 3101 .

AMA Style

Chong Huang, Kedong Yin, Zhe Liu, Tonggang Cao. Spatial and Temporal Differences in the Green Efficiency of Water Resources in the Yangtze River Economic Belt and Their Influencing Factors. International Journal of Environmental Research and Public Health. 2021; 18 (6):3101.

Chicago/Turabian Style

Chong Huang; Kedong Yin; Zhe Liu; Tonggang Cao. 2021. "Spatial and Temporal Differences in the Green Efficiency of Water Resources in the Yangtze River Economic Belt and Their Influencing Factors." International Journal of Environmental Research and Public Health 18, no. 6: 3101.

Journal article
Published: 28 September 2019 in Physica A: Statistical Mechanics and its Applications
Reads 0
Downloads 0

In this paper, we apply a spillover index method to investigate the interindustry volatility spillovers in Shanghai Stock Exchange during 2009 to 2018. This method is widely used for information spillover behavior between different financial time series. The empirical result indicates that there are some closely related industry pairs in the SSE. The overall spillover index increased significantly during the bull and bear markets and the bull market period became more pronounced. In the time-varying spillover structure, the optional consumer and industrial sectors have been playing a leading role. At the end of the sample period, the spillover level of industrial and raw materials industries fluctuated in a V-shaped manner, while the spillover level of medical & health and public utilities industries increased significantly. The empirical results show that the evolution process of spillover effects between industries corresponds to specific events in political and financial markets. The authorities should adjust industry policies based on these evolutionary rules, and investors can also use this to allocate assets. These findings are also important for analyzing the causes of stock market volatility and for taking measures to reduce market risk.

ACS Style

Kedong Yin; Zhe Liu; Xue Jin. Interindustry volatility spillover effects in China’s stock market. Physica A: Statistical Mechanics and its Applications 2019, 539, 122936 .

AMA Style

Kedong Yin, Zhe Liu, Xue Jin. Interindustry volatility spillover effects in China’s stock market. Physica A: Statistical Mechanics and its Applications. 2019; 539 ():122936.

Chicago/Turabian Style

Kedong Yin; Zhe Liu; Xue Jin. 2019. "Interindustry volatility spillover effects in China’s stock market." Physica A: Statistical Mechanics and its Applications 539, no. : 122936.