Frank Liu

Dr, BBusSc ANU, PhD Qld

20142019
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Research Output 2016 2019

2019

A general equilibrium approach to pricing volatility risk

Han, J., Linnenluecke, M., Liu, Z., Pan, Z. & Smith, T., 12 Apr 2019, In : PLoS One. 14, 4, 18 p., 0215032.

Research output: Contribution to journalArticle

Open Access
1 Citation (Scopus)

Bitcoin time-of-day, day-of-week and month-of-year effects in returns and trading volume

Baur, D. G., Cahill, D., Godfrey, K. & (Frank)Liu, Z., 1 Dec 2019, In : Finance Research Letters. 31, p. 78-92 15 p.

Research output: Contribution to journalArticle

Trading volume
Anomaly
Retail
Equity markets
January effect

The returns to private debt: primary issuances vs. secondary acquisitions

Cumming, D., Fleming, G. & Liu, Z., 24 Jan 2019, In : Financial Analysts Journal. p. 48-62 15 p.

Research output: Contribution to journalArticle

Private debt
Asia-Pacific
Fund managers
Private companies
Excess returns
2018

Another Bitcoin Copycat

Cahill, D. & Liu, Z., 11 Oct 2018, (Unpublished).

Research output: Working paper

Going public in China: Reverse mergers versus IPOs on Chinese markets

Cheng, Z., Fleming, G. & Liu, Z. F., 1 Jan 2018, The Oxford Handbook of IPOs. Cumming, D. (ed.). Oxford University Press, USA, p. 283-300 18 p.

Research output: Chapter in Book/Conference paperChapter

China
Chinese market
Mergers
Going public
Initial public offerings

I Am a Blockchain Too...

Cahill, D., Baur, D., Liu, Z. & Yang, W., 23 May 2018.

Research output: Working paper

Announcement
Small firms
Large firms
Price reaction
Listed companies
2 Citations (Scopus)

Partial moment volatility indices

Liu, Z. F. & O'Neill, M. J., Mar 2018, In : Accounting and Finance. 58, 1, p. 195-215 21 p.

Research output: Contribution to journalArticle

Volatility index
Investors
Option prices
Pricing
Index options
1 Citation (Scopus)

Shadow banking in Asia: Foreign versus domestic lending to real estate projects

Cumming, D., Fleming, G. & Liu, Z. F., 1 Jun 2018, In : Emerging Markets Review. 35, p. 137-147 11 p.

Research output: Contribution to journalArticle

Shadow banking system
Lending
Real estate
Asia
Loans

What Wikipedia can teach us about blockchain technology

Baur, D., Cahill, D. & Liu, Z., 13 Apr 2018, The Conversation.

Research output: Contribution to specialist publicationArticle

2017
Trading volume
Time-varying
Equity markets
January effect
Monday effect
4 Citations (Scopus)

Financial constraints and investment thirst in Chinese reverse merger companies

Cheng, Z., Fleming, G. & Liu, Z. F., 1 Dec 2017, In : Accounting and Finance. 57, 5, p. 1315-1347 33 p.

Research output: Contribution to journalArticle

State-owned enterprises
Mergers
Financial constraints
Initial public offerings
2 Citations (Scopus)

Hitting SKEW for SIX

Liu, Z. & Faff, R., Aug 2017, In : Economic Modelling. 64, p. 449-464

Research output: Contribution to journalArticle

Volatility index
Skewness
Pricing
Market returns
Anxiety
3 Citations (Scopus)

State-preference pricing and volatility indices

Liu, F. & O'Neill, M. J., Sep 2017, In : Accounting and Finance. 57, 3, p. 815-836 22 p.

Research output: Contribution to journalArticle

Volatility index
Pricing
Price volatility
Realized volatility
Generalized autoregressive conditional heteroscedasticity
2016
3 Citations (Scopus)

A State-Price Volatility index for China's stock market

O'Neill, M., Wang, K. & Liu, F., 2016, In : Accounting and Finance. 56, 3, p. 607–626

Research output: Contribution to journalArticle

Open Access
2 Citations (Scopus)

Fund Volatility Index using equity market state prices

O'Neil, M. J. & Liu, F., 2016, In : Accounting and Finance. n/a, p. 837-853

Research output: Contribution to journalArticle

Model-Free Risk-Neutral Moments and Proxies

Liu, Z. & van der Heijden, T., 4 Jul 2016.

Research output: Working paper

Estimation error
Skewness
Smoothing
Implied volatility
Factors
4 Citations (Scopus)

Tail risk hedging for mutual funds using equity market state prices

O’Neill, M. J. & Liu, Z. F., 1 Nov 2016, In : Australian Journal of Management. 41, 4, p. 687-698 12 p.

Research output: Contribution to journalArticle

Hedging
Mutual funds
Equity markets
Market states
Tail risk