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

Prof. Kun Li
Beijing Normal University No. 19, XinJieKouWai St., HaiDian District, Beijing 100875, P. R. China

Basic Info


Research Keywords & Expertise

0 Finance
0 Financial Market Research
0 Financial Markets
0 High Frequency Trading
0 Market Microstructure

Fingerprints

Financial Markets
High Frequency Trading

Honors and Awards

The user has no records in this section


Career Timeline

The user has no records in this section.


Short Biography

The user biography is not available.
Following
Followers
Co Authors
The list of users this user is following is empty.
Following: 0 users

Feed

Journal article
Published: 12 June 2021 in Procedia Computer Science
Reads 0
Downloads 0

The paper explores how the COVID-19 pandemic gives an impact on Chinese stock and bond markets. We conduct a Vector Autoregressive (VAR) model and use the Granger causality test to analyze the impact of COVID-19 on the securities market and the transfer of risk between the stock market and the bond market. The empirical results show that the COVID-19 pandemic has a significant negative impact on the stock market and a significant positive impact on the bond market. The volatility of the stock market affects the bond market, but the volatility of the bond market does not affect the stock market. Our findings suggest that investors and regulators should raise risk awareness and properly transfer assets between the stock market and the bond market.

ACS Style

Xingyi Chen; Zhijing Wang; Xinyi Li; Zhongyang Liu; Kun Li. The Impact of Covid-19 on the Securities Market: Evidence from Chinese Stock and Bond Markets. Procedia Computer Science 2021, 187, 294 -299.

AMA Style

Xingyi Chen, Zhijing Wang, Xinyi Li, Zhongyang Liu, Kun Li. The Impact of Covid-19 on the Securities Market: Evidence from Chinese Stock and Bond Markets. Procedia Computer Science. 2021; 187 ():294-299.

Chicago/Turabian Style

Xingyi Chen; Zhijing Wang; Xinyi Li; Zhongyang Liu; Kun Li. 2021. "The Impact of Covid-19 on the Securities Market: Evidence from Chinese Stock and Bond Markets." Procedia Computer Science 187, no. : 294-299.

Journal article
Published: 12 June 2021 in Procedia Computer Science
Reads 0
Downloads 0

The controversy about the high-frequency trading (HFT) behavior and its impact on the other trader parties has been a long-term question. This study examines how the HFT behavior affects the execution of orders traded by non-HFT traders. Using a NASDAQ order book data, we categorize orders as either high or low-frequency trading (LFT), and examine several measures. We find evidence that more HFT behavior will increase the number of executed LFT orders, as well as volumes and attained revenue for each LFT orders, and reduce the waiting time for execution. Our results apply to both LFT limit orders and market orders.

ACS Style

Kun Li. Does High-Frequency Trading Impede Order Execution in the Stock Market? Procedia Computer Science 2021, 187, 501 -506.

AMA Style

Kun Li. Does High-Frequency Trading Impede Order Execution in the Stock Market? Procedia Computer Science. 2021; 187 ():501-506.

Chicago/Turabian Style

Kun Li. 2021. "Does High-Frequency Trading Impede Order Execution in the Stock Market?" Procedia Computer Science 187, no. : 501-506.

Journal article
Published: 12 June 2021 in Procedia Computer Science
Reads 0
Downloads 0

The ongoing COVID-19 epidemic spreads with strong transmission power in every part of China. Analyses of the trend is highly need when the Chinese government makes plans and policies on epidemic control. This paper provides an estimation process on the trend of COVID-19 outbreak using the provincial-level data of the confirmed cases. On the basis of the previous studies, we introduce an effective and practical method to compute accurate basic reproduction numbers (R0s) in each province-level division of China. The statistical results show a non-stop downward trend of the R0s in China, and confirm that China has made significant progress on the epidemic control by lowering the provincial R0s from 10 or above to 3.21 or less. In the inferential analysis, we introduce an effective AR(n) model for the trend forecasting. The inferential results imply that the nationwide epidemic risk will fall to a safe level by the end of April in China, which matches the actual situation. The results provide more accurate method and information about COVID-19.

ACS Style

Kun Li; Yangyang Zhang; Chao Wang. Estimate the Trend of COVID-19 Outbreak in China: a Statistical and Inferential Analysis on Provincial-level Data. Procedia Computer Science 2021, 187, 512 -517.

AMA Style

Kun Li, Yangyang Zhang, Chao Wang. Estimate the Trend of COVID-19 Outbreak in China: a Statistical and Inferential Analysis on Provincial-level Data. Procedia Computer Science. 2021; 187 ():512-517.

Chicago/Turabian Style

Kun Li; Yangyang Zhang; Chao Wang. 2021. "Estimate the Trend of COVID-19 Outbreak in China: a Statistical and Inferential Analysis on Provincial-level Data." Procedia Computer Science 187, no. : 512-517.

Journal article
Published: 26 March 2021 in Sustainability
Reads 0
Downloads 0

In this paper, we aim to test whether and how corporate social responsibility (CSR) is valued in merger and acquisition (M&A) transactions. Employing multiple regression and logistic regression methods to examine the CSR in China’s domestic M&A market from 2007 to 2018, we reveal the following: (i) acquisition targets with higher social performance can attain higher acquisition valuation, especially when the acquirers are also socially responsible; (ii) high-CSR acquirers are inclined to choose equity payments, while high-CSR acquisition targets prefer to be paid in cash; (iii) high CSR performance boosts M&A success rate. The findings are robust, due to adopting two-stage least squares method to tackle endogeneity, substituting variable measures and data sources, and winsorizing variables at high levels to eliminate outliers. The value of CSR in M&As possibly results from the role of CSR in reducing information frictions, agency concerns, and corporate risks and is primarily associated with activities which are friendly to suppliers, customers, shareholders, public welfare, and natural environment, as well as being higher in developed regions and irrelevant to corporate ownership and nature. The study is of vital significance to the valuation and decision making in M&A deals.

ACS Style

Kun Li; Chaohua He; Wassim Dbouk; Ke Zhao. The Value of CSR in Acquisitions: Evidence from China. Sustainability 2021, 13, 3721 .

AMA Style

Kun Li, Chaohua He, Wassim Dbouk, Ke Zhao. The Value of CSR in Acquisitions: Evidence from China. Sustainability. 2021; 13 (7):3721.

Chicago/Turabian Style

Kun Li; Chaohua He; Wassim Dbouk; Ke Zhao. 2021. "The Value of CSR in Acquisitions: Evidence from China." Sustainability 13, no. 7: 3721.

Conference paper
Published: 01 June 2020 in 2020 International Conference on Electrical, Communication, and Computer Engineering (ICECCE)
Reads 0
Downloads 0

Li, Cursio and Sun (2018) explore price fluctuations in a multi-area and multiple transmission line an electricity market by constructing a principal component analysis (PCA) model on extreme price records in the real-time market. As a supplement, this paper proposes a revised procedure of PCA to fix the glitch of the classic PCA due to some missing critical conditions. This revised procedure of PCA is a generalized case to resolve restrictions that may be widely occurred in the electricity market.

ACS Style

Kun Li; Chao Wang. A Revised Principal Component Analysis in the Electricity Market. 2020 International Conference on Electrical, Communication, and Computer Engineering (ICECCE) 2020, 1 -4.

AMA Style

Kun Li, Chao Wang. A Revised Principal Component Analysis in the Electricity Market. 2020 International Conference on Electrical, Communication, and Computer Engineering (ICECCE). 2020; ():1-4.

Chicago/Turabian Style

Kun Li; Chao Wang. 2020. "A Revised Principal Component Analysis in the Electricity Market." 2020 International Conference on Electrical, Communication, and Computer Engineering (ICECCE) , no. : 1-4.

Journal article
Published: 22 November 2019 in The Singapore Economic Review
Reads 0
Downloads 0

As the most influential regulation in 2016, China launched circuit breakers in the financial markets. However, the circuit breaker mechanism was implemented for only four days and then suspended. Many criticisms then stated that circuit breakers impeded trading behavior in Chinese financial markets. This study explores this short-life circuit breaker mechanism in China, and examines whether circuit breakers impede trading behavior in Chinese financial markets as many criticisms stated. We use an intraday dataset and investigate the circuit breakers. Contrary to those criticisms, we find that circuit breakers are not easily reachable and have no “magnet effect” between two thresholds of breakers. We also find that without protection of circuit breakers, potential large market fluctuations will have negative impacts on individual stocks’ liquidity and value. As the major contribution, our study indicates that Chinese financial markets still need a circuit breaker mechanism to protect investors’ benefits and maintain the market liquidity and stability.

ACS Style

Kun Li. DO CIRCUIT BREAKERS IMPEDE TRADING BEHAVIOR? A STUDY IN CHINESE FINANCIAL MARKET. The Singapore Economic Review 2019, 64, 1127 -1144.

AMA Style

Kun Li. DO CIRCUIT BREAKERS IMPEDE TRADING BEHAVIOR? A STUDY IN CHINESE FINANCIAL MARKET. The Singapore Economic Review. 2019; 64 (5):1127-1144.

Chicago/Turabian Style

Kun Li. 2019. "DO CIRCUIT BREAKERS IMPEDE TRADING BEHAVIOR? A STUDY IN CHINESE FINANCIAL MARKET." The Singapore Economic Review 64, no. 5: 1127-1144.

Journal article
Published: 11 January 2019 in Sustainability
Reads 0
Downloads 0

This study analyzes the trends, context, and impact of corporate social responsibility (CSR) initiatives on company’s performance and productivity in China. We use environmental and social responsibility data in 34,000 CSR projects released by 839 companies in 31 provinces from 2006 to 2016. Clustering methods as wells as ordinary least squares and the fixed effects panel regression modeling are performed to provide insights on the context, trends, and impact of CSR projects on companies’ productivity and financial outcomes. Results of data processing and modeling indicate that: (a) most projects focused on improving companies’ environmental sustainability (compared to social); (b) implementation of both environmental and social projects had positive impacts on companies’ performance; and (c) trends, context, and impact of the projects varied with time, company type, and location (provinces). In addition, data suggest that companies operating in regions with lower economic conditions (GDP per capita) seem to be less motivated to implement environmental and social sustainability projects compared to those operating in regions with higher economic conditions. This study is meaningful for both companies that consider adopting CSR initiatives, as well as stakeholders and managers who aim to promote sustainable development in China.

ACS Style

Kun Li; Nasrin R. Khalili; Weiquan Cheng. Corporate Social Responsibility Practices in China: Trends, Context, and Impact on Company Performance. Sustainability 2019, 11, 354 .

AMA Style

Kun Li, Nasrin R. Khalili, Weiquan Cheng. Corporate Social Responsibility Practices in China: Trends, Context, and Impact on Company Performance. Sustainability. 2019; 11 (2):354.

Chicago/Turabian Style

Kun Li; Nasrin R. Khalili; Weiquan Cheng. 2019. "Corporate Social Responsibility Practices in China: Trends, Context, and Impact on Company Performance." Sustainability 11, no. 2: 354.

Journal article
Published: 01 January 2019 in Economic Research-Ekonomska Istraživanja
Reads 0
Downloads 0
ACS Style

Kun Li; Joseph D. Cursio; Yunchuan Sun; Zizheng Zhu. Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models. Economic Research-Ekonomska Istraživanja 2019, 32, 2404 -2421.

AMA Style

Kun Li, Joseph D. Cursio, Yunchuan Sun, Zizheng Zhu. Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models. Economic Research-Ekonomska Istraživanja. 2019; 32 (1):2404-2421.

Chicago/Turabian Style

Kun Li; Joseph D. Cursio; Yunchuan Sun; Zizheng Zhu. 2019. "Determinants of price fluctuations in the electricity market: a study with PCA and NARDL models." Economic Research-Ekonomska Istraživanja 32, no. 1: 2404-2421.

Journal article
Published: 09 November 2018 in Applied Energy
Reads 0
Downloads 0

How to balance supply and demand has become a long-term question in the electricity market, and anomalies related to calendar issues are critical factors to affect the resource allocation. This paper introduces a test method to assess the significance of all possible calendar effects in different time frequencies. We implement our test method to the largest electricity trading platform in the United States. Using the high-frequency intraday trading data, we assess the calendar effects in different time frequencies (Day-of-the-week, Hour-of-the-day, Month-of-the-year, Day-of-the-month and season). Our results confirm that calendar effects exist in every dimension of time frequency, and specify those calendar effects with statistical significance. Moreover, this study discovers commonalities between electricity markets and financial markets, which makes it feasible to apply the management of financial markets to electricity markets. Besides, the detected calendar effects depict periodic patterns of market inequilibrium and facilitate the implementation of corresponding technical solutions in electricity markets.

ACS Style

Kun Li; Joseph D. Cursio; Mengfei Jiang; Xi Liang. The significance of calendar effects in the electricity market. Applied Energy 2018, 235, 487 -494.

AMA Style

Kun Li, Joseph D. Cursio, Mengfei Jiang, Xi Liang. The significance of calendar effects in the electricity market. Applied Energy. 2018; 235 ():487-494.

Chicago/Turabian Style

Kun Li; Joseph D. Cursio; Mengfei Jiang; Xi Liang. 2018. "The significance of calendar effects in the electricity market." Applied Energy 235, no. : 487-494.

Journal article
Published: 02 November 2018 in Sustainability
Reads 0
Downloads 0

Large price fluctuations have become a significant character and impede resource allocation in the electricity market. Negative prices and peak load spike prices coexist and represent over-supply and over-demand, respectively. It is important to interpret the impact of these extreme prices on sustainable power management from the perspective of economics. In this paper, we build a principal component analysis (PCA) to assess the impact of the two opposite phenomena on the smart grid electricity system. We perform a big-data study using intra-day data from the Pennsylvania, New Jersey, and Maryland (PJM) electricity system with over 11,000 transmission lines. As the contribution, this paper (1) measures the price fluctuations from the perspective of economics, (2) captures and observes the full-length behavior of negative and spike pricing in a modern smart grid system with multi-transmission lines and high-frequency price updates, and (3) employs methods with distinctive advantages to bring more in-depth findings to interpret the smart grid system. We find that spike prices hold the principal explanatory power for electricity market fluctuation in all the transmission lines. The results are consistent with previous studies about resolutions such as electrical energy storage, transmission capacity upgrade, and demand response.

ACS Style

Kun Li; Joseph D. Cursio; Yunchuan Sun. Principal Component Analysis of Price Fluctuation in the Smart Grid Electricity Market. Sustainability 2018, 10, 4019 .

AMA Style

Kun Li, Joseph D. Cursio, Yunchuan Sun. Principal Component Analysis of Price Fluctuation in the Smart Grid Electricity Market. Sustainability. 2018; 10 (11):4019.

Chicago/Turabian Style

Kun Li; Joseph D. Cursio; Yunchuan Sun. 2018. "Principal Component Analysis of Price Fluctuation in the Smart Grid Electricity Market." Sustainability 10, no. 11: 4019.

Journal article
Published: 01 September 2018 in Journal of Behavioral and Experimental Finance
Reads 0
Downloads 0
ACS Style

Kun Li. Reaction to news in the Chinese stock market: A study on Xiong’an New Area Strategy. Journal of Behavioral and Experimental Finance 2018, 19, 36 -38.

AMA Style

Kun Li. Reaction to news in the Chinese stock market: A study on Xiong’an New Area Strategy. Journal of Behavioral and Experimental Finance. 2018; 19 ():36-38.

Chicago/Turabian Style

Kun Li. 2018. "Reaction to news in the Chinese stock market: A study on Xiong’an New Area Strategy." Journal of Behavioral and Experimental Finance 19, no. : 36-38.

Article
Published: 22 November 2017 in Electronic Commerce Research
Reads 0
Downloads 0

This paper investigates whether fleeting orders account for market illiquidity. By discussing relevant trading strategies, our study suggests that fleeting orders serve for market making and contribute to market liquidity. Moreover, fleeting orders do not distort price accuracy and are not the outcome of illegal manipulation. We then empirically examine fleeting orders using a NASDAQ ITCH dataset. Our results indicate that fleeting orders have very small effects on market illiquidity and account for neither the amplification of price impact nor the decrease of revenues to liquidity providers. In summary, fleeting orders are not the trigger of market illiquidity and thus should not be considered as “spoofing” defined by the Dodd–Frank Act.

ACS Style

Kun Li. Do high-frequency fleeting orders exacerbate market illiquidity? Electronic Commerce Research 2017, 18, 241 -255.

AMA Style

Kun Li. Do high-frequency fleeting orders exacerbate market illiquidity? Electronic Commerce Research. 2017; 18 (2):241-255.

Chicago/Turabian Style

Kun Li. 2017. "Do high-frequency fleeting orders exacerbate market illiquidity?" Electronic Commerce Research 18, no. 2: 241-255.

Articles
Published: 07 November 2017 in Journal of Behavioral Finance
Reads 0
Downloads 0

High-frequency trading dominates trading in financial markets. How it affects the low-frequency trading, however, is still unclear. Using NASDAQ order book data, the authors investigate this question by categorizing orders as either high or low frequency, and examining several measures. They find that high-frequency trading enhances liquidity by increasing the trade frequency and quantity of low-frequency orders. High-frequency trading also reduces the waiting time of low-frequency limit orders and improves their likelihood of execution. The results indicate that high-frequency trading has a liquidity provision effect and improves the execution quality of low-frequency orders.

ACS Style

Kun Li; Rick Cooper; Ben Van Vliet. How Does High-Frequency Trading Affect Low-Frequency Trading? Journal of Behavioral Finance 2017, 19, 235 -248.

AMA Style

Kun Li, Rick Cooper, Ben Van Vliet. How Does High-Frequency Trading Affect Low-Frequency Trading? Journal of Behavioral Finance. 2017; 19 (2):235-248.

Chicago/Turabian Style

Kun Li; Rick Cooper; Ben Van Vliet. 2017. "How Does High-Frequency Trading Affect Low-Frequency Trading?" Journal of Behavioral Finance 19, no. 2: 235-248.