Zhenya LIU

Zhenya LIU

Caen

Professeur en Finance

Présentation

Zhenya Liu est professeur de Finance et a rejoint l'EM Normandie en 2023. Il a obtenu son doctorat en économie à l'Université Renmin de Chine en 1994 et a fait son post-doctorat à l'Université Purdue aux Etats-Unis. Sa carrière l'a conduit à travers la Chine et le Royaume-Uni, notamment à l'Université Renmin de Chine, à l'Université de Birmingham Business School et à JP Morgan Futures (Chine). Il a publié plus de 20 livres sur le système financier chinois et 60 articles dans le Journal of Econometrics, Journal of Business and Economic Statistics, Econometric Theory, Journal of Empirical Finance, Econometric Reviews, Annals of Operations Research, International Journal of Forecasting, China Economic Revue, etc.
Professeur Liu est un expert de premier plan en économétrie financière, en stratégie de fonds spéculatifs et en investissement quantitatif. Ses recherches se concentrent sur l'économétrie financière, les modèles de facteurs statistiques, le temps d'arrêt optimal stochastique, la théorie des matrices aléatoires et l'apprentissage automatique.

Expérience professionnelle

Depuis 2023 : enseignant-chercheur en finance, EM Normandie
Depuis 1995 : professeur en econometrics et finance, Renmin University of China, Beijing, Chine 
Depuis 2018 :  chercheur associé, CERGAM, Aix-Marseille University 
2001-2017 : professeur en economie, The University of Birmingham, UK 
2007-2020 : directeur du board of JP Morgan Futures, China 

Département
Droit, Finance & Contrôle
Matières enseignées
Analyse Financière Finance internationale
Diplômes
1993 : PhD en sciences de gestion, Renmin University of China, Beijing, China

Publications

  • Liu, Z 1993, 'The QS World University Rankings No.89 in 2021 by Subject Accounting and finance', PhD en economie, Renmin University of China, Beijing, Chine.  

    1993

    Thèse de doctorat/HDR

  • Boubaker, S, Liu, Z, Mu, Y & Zhan, Y. 2024, 'Carbon dioxide emissions and environmental risks: Long term and short term', Risk Analysis. ABS : 4. 

    2024

    Articles académiques

  • Liu, Z, Li, B, Jia, X & Ma, F (à paraître), 'Digital Finance, Financing Constraints, and Green Technological Innovation: A Spatial Analysis', Global Finance Journal. FNEGE : 4 ; ABS : 2.

    2024

    Articles académiques

  • Li, H, Liu, Z & Hachard, V (à paraître), 'Digital Transformation Driving Green Innovation:  Evidence from Chinese A-Share Firms', International Review of Economics and Finance. FNEGE : 4 ; ABS : 2.

    2024

    Articles académiques

  • Li, H, Liu, Z & Zhao, Y (à paraître), 'The Fortune and Crash of Common Risk Factors in Chinese Commodity Markets', Journal of Commodity Markets. FNEGE : 4 ; ABS : 3.

    2023

    Articles académiques

  • Liu, Z, Lu, S, Li, B & Wang, S 2023, 'Time series momentum and reversal: Intraday information from realized semivariance', Journal of Empirical Finance, vol. 72, June, pp. 54-77. FNEGE : 2 ; ABS : 3.

    2023

    Articles académiques

  • Li, B, Boubaker, S, Liu, Z, Louhichi, W, Yao, Y 2023, 'Exploring the Nonlinear Idiosyncratic Volatility Puzzle: Evidence from China', Computational Economics, vol. 62, pp. 527-559. CNRS : 3 ; HCERES : B ; ABS : 1.

    2023

    Articles académiques

  • Boubaker, S, Liu, Z & Mu, Y 2023, 'Big data analytics and investment', Technological Forecasting and Social Change, vol. 194. FNEGE : 2 ; ABS : 3.

    2023

    Articles académiques

  • Liu, Q, Liu, Z, Moussa, F & Mu, Y (à paraître), 'International capital flow in a period of high inflation: The case of China', Research in International Business and Finance. FNEGE : 3 ; ABS : 2.

     

    2023

    Articles académiques

  • Horvath, L, Liu, Z, Rice, G, Wang, S & Zhan, Y (à paraître), 'Testing Stability in Functional Event Observations with an Application to IPO Performance', Journal of Business & Economic Statistics. ABS : 4.

    2023

    Articles académiques

  • Boubaker, S, Liu, Z & Zhai, L (à paraître), 'Change-points and Functional Features of Intraday Volatility in China Stock Market', Annals of Operations Research. FNEGE : 2 ; ABS : 3 ; HCERES : A.

    2022

    Articles académiques

  • Boubaker, S, Du, L., & Liu, Z. 2022, ‘Industry momentum with correlation consolidation: evidence from China’, Journal of Asset Management, vol. 23, pp. 73-82. CNRS : 4 ; FNEGE : 4 ; HCERES: C ; ABS : 2.
     

    2022

    Articles académiques

  • Liu, Z & Zhan, Y 2022, 'Investor behavior and filter rule revisiting', Journal of Behavioral and Experimental Finance, vol 33, March. 

    2022

    Articles académiques

  • Chen, Z, Liu, Z, Teka, H & Z, Y 2022, 'Smart money in China's A-share market: Evidence from big data', Research in International Business and Finance, vol. 61, October. FNEGE : 4.

    2022

    Articles académiques

  • Boubaker, S, Liu, Z, Lu, S & Zhang, Y (à paraître), 'Trading Signal, Functional Data Analysis and Time Series Momentum', Finance Research Letters. CNRS : 3 ; FNEGE : 3 ; HCERES : B ; ABS : 2.

    2022

    Articles académiques

  • Boubaker, S, Liu, Z &  Zhan, Y 2022, 'Risk management for crude oil futures: an optimal stopping-timing approach', Annals of Operations Research, vol. 313, pp. 9-27. CNRS : 2 ; FNEGE : 2 ; ABS 3 ; HCERES : A.

    2022

    Articles académiques

  • Han, X, Liu, Z & Wang, S 2022, 'An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting', Journal of Commodity Markets, vol. 25, March. ABS : 3. 

    2022

    Articles académiques

  • Boubaker, S, Han, X, Liu, Z & Zhan, Y (à paraître), 'Optimal Filter Rules for Selling Stocks in the Emerging Stock Markets', Annals of Operations Research. CNRS : 2 ; FNEGE 2 ; HCERES : A ; ABS : 3.

    2022

    Articles académiques

  • Li, H, Liu, Z & Xiao, Z 2022, 'Sequential Monitoring of Stock Market Price Changes', International Review of Economics and Finance.

    2022

    Articles académiques

  • Li, H, Liu, Z & Wang, S 2022, 'Vines climbing higher: Risk management for commodity futures markets using a regular vine copula approach', International Journal of Finance and Economics, vol. 27, issue 2, pp. 2438-2457. CNRS : 3 ; HCERES : B ; ABS : 3.

    2022

    Articles académiques

  • Horvath, L, Liu, Z, Rice, G & Zhao, Y 2022, 'Detecting common breaks in the means of high dimensional cross-dependent panels', The Econometrics Journal, vol. 25, issue 2, May, pp. 362-383.

    2022

    Articles académiques

  • Boubaker, S, Liu, Z, Sui, T & Zhai, L 2022, ‘The mirror of history: How to statistically identify stock market bubble bursts’, Journal of Economic Behavior & Organization, vol. 204, pp. 128-147. FNEGE 2 ; ABS : 3 ; HCERES : A. 

    2022

    Articles académiques

  • Horvath, L, Li, H & Liu, Z 2022, 'How to identify the different phases of stock market bubbles statistically?', Finance Research Letters, vol. 46, part A, May. FNEGE : 3 : ABS : 2.

    2022

    Articles académiques

  • Boubaker, S, Liu, Z & Zhang, Y (à paraître), 'Forecasting Oil Commodity Spot Price in a Data-rich Environment', Annals of Operations Research. FNEGE : 2 ; ABS : 3 ; HCERES : A.

    2022

    Articles académiques

  • Fuertes, A.M, Liu, Z & Tang, W 2022, 'Risk-neutral skewness and commodity futures pricing', Journal of Futures Markets, vol. 42, issue 4, pp. 751-785. FNEGE : 3 ; ABS : 3. 

    2022

    Articles académiques

  • Boubaker, S, Liu, Z, & Zhan, Y (à paraître), ‘Customer relationships, corporate social responsibility, and stock price reaction: Lessons from China during health crisis times’, Finance Research Letters. CNRS : 3 ; FNEGE : 3 ; HCERES : B ; ABS : 2.

    2022

    Articles académiques

  • Liu, Z, Lu, S & Wang, S 2021, 'Asymmetry, tail risk and time series momentum', International Review of Financial Analysis, vol 78, November. FNEGE : 3 ; ABS : 3.

    2021

    Articles académiques

  • Boubaker, S, Li B, Liu, Z & Zhang, Y (à praître), 'Decomposing anomalies', Economics Letters. CNRS 3 ; HCERES : B ; ABS : 3.

    2021

    Articles académiques

  • Boubaker, S, Liu, Z & Zhai, L (à paraître), 'Big Data, News Diversity and Financial Market Crash', Technological Forecasting and Social Change. CNRS : 2 ; FNEGE : 2 ; HCERES : A ; ABS : 3.

    2021

    Articles académiques

  • Horvath, L, Liu, Z, Miller, C & Tang, W (à paraître), 'Breaks in Term Structures: Evidence from the Oil Futures Markets', International Journal of Finance and Economics. CNRS : 3. 

    2021

    Articles académiques

  • Horvath, L, Liu, Z & Lu, S 2021, 'Sequential Monitoring of Changes in Dynamic Linear Models, Applied to the U.S. Housing Market', Econometric Theory, vol. 38(2), pp. 209-272. CNRS : 1 ; ABS : 4. 

    2021

    Articles académiques

  • Horvath, L, Liu, Z, Rice, G & Wang, S 2020, 'Sequential monitoring for changes from stationarity to mild non-stationarity', Journal of Econometrics, vol. 215, pp. 209-238. CNRS : 1 ; HCERES : A ; ABS : 4.

    2020

    Articles académiques

  • Horvath, L, Lui, Z, Rice, G & Wang, S 2020, 'A Functional Time Series Analysis of Forward Curves Derived from Commodity', International Journal of Forecasting, vol 36, 4-6, pp.646-665. 

    2020

    Articles académiques

  • Cao, R, Horvath, L, Liu, Z & Zhao, Y 2020, 'A Study of Data-driven Momentum and Disposition Effects in China Stock Market by Functional Analysis', Review of Quantitative Finance and Accounting, vol. 54, issue 1, 2020, pp. 335-358. FNEGE : 3 ; ABS ; 3.

    2020

    Articles académiques

  • Horvath, L, Li, B, Li, H & Liu, Z 2020, 'Time-varying beta in functional factor models: Evidence from China', The North American Journal of Economics and Finance, vol. 54, November.

    2020

    Articles académiques

  • Liu, Z, Han, X & Zhan, Y 2019, 'Fee Structure and Fund Manager's Optimal Selling Rule', Journal of Asset Management. FNEGE : 4. 

    2019

    Articles académiques

  • Liu, Z & Wang, S 2017, 'Decoding Chinese Stock Market Returns：Three-state Hidden Semi-Markov Model', Pacific Basin Finance Journal, vol.44, pp.129-149.

    2017

    Articles académiques

  • Girardin, E & Liu, Z 2007, 'The Financial Integration of China: New Evidence on Temporally Aggregated Data for the A-share Market', China Economic Review, vol. 18, issue 3, pp.354-371. CNRS : 2 ; HCERES : A ; ABS : 2.

    2007

    Articles académiques

  • Girardin, E & Liu, Z 2005, 'Bank Credit and Seasonal Anomalies in China's Stock Markets', China Economic Review, vol.16, no.4, pp. 465-483. CNRS : 2 ; HCERES : A ; ABS : 2.

    2005

    Articles académiques

  • Girardin, E & Liu, Z 2003, 'The Chinese Stock Market: A Casino With "Buffer Zones"', Journal of Chinese Economic and Business Studies (UK), vol.1, no. 1，pp. 57-70.

    2003

    Articles académiques

  • Liu, Z 2023, 'Sustainability of Factors Investing', Conference of the British Accounting and Finance Association (BAFA) Corporate Finance and Asset Pricing SIG and the Northern Area, Dubai, UAE, December 13-15.
     

    2023

    Conférences académiques

  • Boubaker, S, Liu, Z, Sui, T & Zhai, L 2021, ‘The Mirror of History: How to Identify Stock Market Bubble Burst?', Financial Economics Meeting Crisis Challenges (FEM-2021), Paris, France, July 01-02.  

    2021

    Conférences académiques

  • Boubaker, S, Liu, Z, Lunyi, W & Zhai, L 2021, ‘Corporate Social Responsibility, COVID-19, and Stock Price Reaction: Evidence from China’, Financial Economics Meeting Crisis Challenges (FEM-2021), Paris, France, July 01-02.

    2021

    Conférences académiques

  • Tang, W & Liu, Z 2017, 'On Risk Neutral Skewness and Commodities Pricing', Chinese Economic Association Conference, UK.

    2017

    Conférences académiques

  • Wang, S & Liu, Z 2017, 'Asset Return & Camel Process: Beauty and the Beast', European Financial Management Association Conference, Athens, Greece, June 28 - July 1. 

    2017

    Conférences académiques

  • Liu, Z 2016, 'Decoding Chinese Stock Market Returns：Three-state Hidden Semi-Markov Model', The 14th INFINITI Conference on International Finance, Dublin, Ireland, June 13-14.

    2016

    Conférences académiques

  • Liu, Z & Girardin, E 2006, 'The financial integration of China: New evidence', American Economic Association Conference, Boston, USA, January 6-8.

    2006

    Conférences académiques

  • Liu, Z & Girardin, E 2005, 'Impact of globe financial markets on China's stock markets', Emerging Markets Finance Conference, London, UK, 

    2005

    Conférences académiques

  • Liu, Z & Girardin, E 2004, 'Time-varing seasonality in the Chinese stock market', Econometrics of stock market international conference, Paris, France.

    2004

    Conférences académiques

  • Liu, Z 1992, 'Shareholding System and Limited Company', Chinese Finance and Economic Publishing House, p. 238.

    1992

    Conférences académiques

  • Liu, Z & Bo, L 2020, 'Trading System Optimization and Practice', Chinese Economic Publish House, pp.1-180.

    2020

    Ouvrages de recherche

  • Li, W & Liu, Z 2016, 'Statistical Learning with Financial Data', Chinese Economic Publishing House, pp.1-218.

    2016

    Ouvrages de recherche

  • Deng, L & Liu, Z 2014, 'Time Series Model with Hidden Markov Chain', Chinese Economic Publishing House, pp.1-169.

    2014

    Ouvrages de recherche

  • Liu, Z 2014, 'Basic Econometrics', Chinese Economic Publishing House, p. 227.

    2014

    Ouvrages de recherche

  • Hamadoun, H, Dickinson, D & Liu, Z 2005, 'Foreign Banks: Can Chinese Banks Compete?', Ross Garnaut and Ligang Song (eds.) the China Boom and Its Discontents , ANU Press and Asia Pacific Press.

    2005

    Ouvrages de recherche

  • Liu, Z & Clini, E 2001, 'China's Economy at the Turn of the Millennium', Editoriale Scientifica, p. 184.

    2001

    Ouvrages de recherche

  • Clini, E & Liu, Z 1998, 'WTO and China', Economic Science Publishing House.

    1998

    Ouvrages de recherche

  • Liu, Z 1997, 'Macroeconomic Method', Chinese South-Western Financial and Economic University Press, p. 367.

    1997

    Ouvrages de recherche

  • Liu, Z 1997, 'Microeconomic Method', Chinese South-Western Financial and Economic University Press, p. 345.

    1997

    Ouvrages de recherche

  • Liu, Z 1997, 'Econometric Methods', Renmin University Press, p.478.

    1997

    Ouvrages de recherche

  • Liu, Z 1993, 'GATT and Its Shock to Chinese Enterprises', Chinese Financial Publishing House, p. 778.

    1993

    Ouvrages de recherche

  • Liu, Z 1993, 'The Government of the World Economy: International Monetary Fund', People’s Publishing House of China, p. 303.

    1993

    Ouvrages de recherche

  • Liu, Z & Zhao, W 1993, 'The World Bank Group and Its Operation', People’s Publishing House of China, p. 299.

    1993

    Ouvrages de recherche

  • Liu, Z 1993, 'Securities Investment and Investment Techniques', Chinese Finance and Economic Publishing House, p. 238.

    1993

    Ouvrages de recherche

  • Liu, Z 1992, 'Econometric Method', Chinese South-Western Financial and Economic University Press, p. 298.

    1992

    Ouvrages de recherche

  • Girardin, E & Liu, Z 2019, 'Demystifying China’s Stock Market: The Hidden Logic Behind the Puzzles'. In: Demystifying China’s Stock Market. Palgrave Pivot, Cham.

    2019

    Ouvrages de recherche et Chapitres d'ouvrage

  • Han, D, Ang, S & Liu, Z 2016, 'Testing Bubbles: Exuberance and Collapse in the Shanghai A-Share Stock Market' in China’s New Sources of Economic Growth, edited by
    Ligang Song and Ross Garnaut, etc., ANU Press, Canberra, Australia.

    2016

    Ouvrages de recherche et Chapitres d'ouvrage

  • Liu, Z 2017, 'WTO and Its Challenges to China', Economic Reference Daily, November 17.

    2017

    Articles dans des revues professionnelles

  • Liu, Z 1998, 'The Clinton’s Economic Policies', Journal of World Affair.

    1998

    Articles dans des revues professionnelles

  • Liu, Z 1998, 'Financial Crisis in Asia and Its Impact on US Economy', Journal of World Affair.

    1998

    Articles dans des revues professionnelles

  • Liu, Z 1998, 'Lessons from US Housing Program in 60’s', Journal of World Affair.

    1998

    Articles dans des revues professionnelles

  • Liu, Z 1998, 'US and Canadian Economy in 1997', Journal of World Affair.

    1998

    Articles dans des revues professionnelles

  • Liu, Z 1997, 'Credit Management of Modern Commercial Banks', China Urban Finance.

    1997

    Articles dans des revues professionnelles

  • Liu, Z 1997, 'The External Environment of Modern Commercial Banks', China Urban Finance.

    1997

    Articles dans des revues professionnelles

  • Liu, Z 1997, 'Risk Management of Modern Commercial Banks', China Urban Finance.

    1997

    Articles dans des revues professionnelles

  • Liu, Z 1997, 'Financial Innovations of Modern Commercial Banks', China Urban Finance.

    1997

    Articles dans des revues professionnelles

  • Liu, Z 1997, 'No Traditional Business of Modern Commercial Banks', China Urban Finance.

    1997

    Articles dans des revues professionnelles

  • Liu, Z 1997, 'Management Accounting of Modern Commercial Banks', China Urban Finance.

    1997

    Articles dans des revues professionnelles

  • Liu, Z 1997, 'Marketing and Protection of Modern Commercial Banks', China Urban Finance.

    1997

    Articles dans des revues professionnelles

  • Liu, Z 1997, 'Operation Principals and Liquidity Management of Modern Commercial Banks', China Urban Finance.

    1997

    Articles dans des revues professionnelles

  • Liu, Z 1997, 'Assets and Liability Management of Modern Commercial Banks', China Urban Finance.

    1997

    Articles dans des revues professionnelles