Prof. Yiuman Tse
Finance, University of Missouri–St. Louis, St Louis, USA
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Academic Career Length
16Years (2011-Present)
(Calculated once Scilit publication data is synced: current year − year of first publication + 1)
Representative Publications
View All Publications24 May 2013 in Journal of Financial and Quantitative Analysis
Journal Article
We examine the impact of influenza on stock markets. For the United States, a higher incidence of flu is associated with decreased trading, decreased volatility, decreased returns, and higher bid-ask spreads. Consistent with the flu affecting institutional investors and market makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is related to the incidence of flu nationally. International data confirm our findings of a decrease in trading activity and returns when flu incidence is high.
23 April 2018 in Quantitative Finance
Journal Article
In this paper, we investigate the role of eight commodity futures in asset allocation in China during the period January 2004–December 2015. The Chinese commodities and stocks are moderately correlated. We use quantile regressions based on a value-at-risk model to examine the relation between these two markets. We find no risk spillovers between the markets, suggesting that stocks and commodities in China are exposed to different risks. Using different asset allocation strategies, we show that including soymeal and soybeans in the Chinese stock index can offer some diversification gains. However, other Chinese commodities may not be useful for portfolio diversification.
8 April 2020 in Journal of Futures Markets
Journal Article
1 April 2021 in Financial Review
Journal Article
29 January 2019 in Journal of Futures Markets
Journal Article
4 July 2013 in Financial Review
Journal Article
Yiuman TseMWMichael R. Williams
Michael R. Williams
About Me
Dr. Yiuman Tse has been an endowed chair and professor of finance at the University of Missouri–St. Louis since 2012. He received his PhD from Louisiana State University. His research interests are international investments and financial markets, FinTech, and Applied Econometrics. He has over 130 articles published in the Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Econometrics, Management Science, Journal of Banking and Finance, Journal of Financial Markets, Journal of International Money and Finance, Journal of Empirical Finance, and others. Dr. Tse appears in the world’s top 2% of most-cited scientists list by Stanford University in 2021. He is a CFA charterholder and certified Financial Risk Manager.
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