Using granular data covering both regulated (brokerage-financed) and unregulated (shadow-financed) margin accounts in China, we provide novel evidence on retail investors' margin trading behavior and its price implications. We first show that retail investors' decisions to lever up in stock trading despite the hefty borrowing cost is related to their lottery preferences. We then show that margin borrowing affects investors' trading behavior-investors are more likely to liquidate their holdings as they approach margin calls. Finally, we show that margin-induced trading aggregates to affect asset prices and contributes to shock spillovers across stocks (e.g., from lottery stocks to nonlottery stocks).

We examine the impact of foreign equity flows on the Chinese stock market, identifying a novel channel through which retail investors’ herding generates significant market externalities. We find that the mandatory daily disclosure of foreign institutional holdings induces local investors to imitate these trades, resulting in pronounced price distortions and subsequent reversals. Utilizing inflow predictability tests and path analysis decomposition, we demonstrate that the herding effect driven by retail participants carries greater price impact than the direct informational content of the foreign capital itself. Furthermore, we document that the inflated valuations resulting from retail herding lead to corporate overinvestment and a significant reduction in investment efficiency. Our findings highlight the unintended consequences in markets dominated by noise traders, suggesting that position disclosure can inadvertently undermine both market stability and the efficiency of capital allocation.

We investigate how US monetary policy influences the interconnectedness of financial markets across 48 advanced and emerging countries. We demonstrate that both monetary policy shocks and information shocks can significantly strengthen global financial market linkages, especially during interest rate cuts. In response to these two types of shocks, advanced countries primarily generate substantial outward connections, while emerging countries exhibit stronger inward linkages, reflecting an asymmetry in their roles within the global network. Furthermore, we find that equity markets are more responsive to information shocks than bond markets, indicating that cash flow channels are more important to these transmissions. Using a central–peripheral network analysis, we highlight the central role of the US in amplifying these connections through both direct and indirect network effects, with emerging countries being more susceptible to US monetary policy shocks. Our results provide new implications for the international spillover effects of US monetary policy.

This paper examines the impact of southbound cross-border capital flows on stock returns in the Hong Kong stock market. The study finds that southbound capital flows can significantly predict short-term returns on Hong Kong stocks. After adjusting for the Fama-French five-factor model, a weekly rebalancing long-short portfolio can achieve an annualized return of up to 25.84 %. This result remains robust in both predictive panel regression and Fama-MacBeth regression. Further mechanism tests indicate that the predictive power of southbound capital flows is primarily driven by demand shocks.

We use granular account-level data from margin trading during the 2015 stock market crash in China to compute each stock's exposure to fire sale risks during the market turmoil. When we form the treatment group of stocks with low exposures and the control group of stocks with high exposures, we find that the diff-in-diff regression using this setting generates results qualitatively similar to the regression based on treatment/control groups setting according to whether the stock was in the STOCK-CONNECT list after 2015. When we re-run the regressions to examine the effects of the introduction of STOCK-CONNECT program in a subsample of stocks with similar exposures to fire sale risks, the difference between impact of stock market liberalization on stocks tradable by foreign investors and on stocks not tradable by foreign investors become insignificant. Our empirical results provide evidence supporting the conjecture that the effects of two salient events (the introduction of the STOCK-CONNECT and the stock bubble formation and burst) mix together.

In this paper, we examine the relationship between stock market development, the regional economic development gap, and local government behavior using two-way fixed-effects and threshold-effects models based on provincial panel data from China between 2011 and 2021. The results reveal a significant negative correlation between stock market development and the regional economic development gap, suggesting that the former promotes the coordinated development of the regional economy. And this effect is higher when the local government facing a high leverage. Considering the threshold effect of local government economic participation and the regional disparities, we find the level of local government economic participation is low, the development of the stock market widens the gap in terms of regional economic development, vice versa. Therefore, the promotion role of the stock market in the coordinated development of the regional economy requires appropriate assistance from local governments. Additionally, the threshold value in the south is significantly lower than in the north, indicating that local governments in the north should provide more guidance and assistance to the market, to foster coordinated regional economic development through the development of the stock market. Based on these findings, we recommend that China accelerates and improves the construction of multi-level stock markets to leverage the positive role of these markets in achieving coordinated regional economic development.

On November 15, 2021, the Beijing Stock Exchange officially opened. This is a milestone in the development history of China’s capital market. Based on the establishment and construction of the Beijing Stock Exchange, this paper analyzes its impact on China’s multi-level capital market from both theoretical and empirical aspects. On the one hand, the Beijing Stock Exchange has played a connecting role in China’s multi-level capital market and led innovation; On the other hand, through the analysis of the development of the Beijing Stock Exchange and the liquidity of listed companies, we can find that as listed companies enter the selected level from the "New Third Board"（NEEQ）to the Beijing Stock Exchange, their price index, transaction volume, P/E ratio and market value have increased significantly. After the establishment of the Beijing Stock Exchange, the liquidity of innovative enterprises has been greatly improved. This reflects that the establishment of the Beijing Stock Exchange has a "spillover" effect on the enterprise liquidity of the "New Third Board" innovation layer. The research results show that the establishment of the Beijing Stock Exchange is conducive to the development of listed enterprises in the secondary market, and also improves the liquidity of the innovative enterprises in the "New Third Board", and improves the construction of China’s multi-level capital market. In the future, the Beijing Stock Exchange needs to expand the depth and breadth of the market, improve the registration system and information disclosure system, realize transaction diversification, prevent system risks, improve liquidity and carry out digital construction.

本文运用人工阅读法和计算机文本分析法,探讨注册制下我国上市公司招股说明书中风险披露、文本语调对IPC抑价率的影响,并进一步考察不同板块、询价新规对这种关系的影响.研究结果表明:注册制下招股说明书风险披露越多,IPO抑价率越低;招股说明书文本负面语调与IPO抑价率负相关;文本净语调与IPO抑价率正相关.异质性分析发现,招股说明书风险披露对科创板和创业板IPO抑价率的影响一致,而文本语调对IPO抑价率的影响更多体现在科创板.进一步研究发现,询价新规的实施增强了风险披露对IP0抑价率的影响,同时增强了负面语调作用,减弱了净语调作用.本文建议我国资本市场股票发行制度还可进一步优化与完善,继续加强信息披露,加强投资者教育.

As global financial integration deepens, shocks from a local market can generate global spillover effects more easily. Historical episodes, such as the 2008 financial crisis and the COVID-19 pandemic show that the connectedness of financial markets is closely related to global systemic risks. This paper examines how U.S. monetary policy affects global financial markets' connectedness. Based on data from 48 advanced and emerging markets data, we constructed a measure of global financial market connectedness from 2002 to 2021. By dividing the Fed policy announcement data into monetary policy and information shocks, we find that both shocks strengthen the connectedness of the global financial market, especially when the Fed cuts the interest rate. In response to the two types of shocks, advanced countries generally create substantial outward spillovers, whereas emerging market economies are likely to receive inward effects. Finally, we find evidence that other factors, such as global crises, local market sentiments, and interest rate changes, also affect the interconnectedness of global financial markets.

We examine a unique one day lockup constraint in stock markets in China. Buyers of Chinese stocks are subject to a one day lockup and cannot sell their shares until the next day, but warrant traders are free of such restrictions. We demonstrate that the lockup creates a price discount relative to stock value implied by warrants. We show that the discount decreases throughout the trading day and investors tend to purchase stocks when the lockup becomes less binding. We also find the non-marketability discount in the Huaxia 50 ETF market, with help from the newly introduced ETF options in China.

This study focuses on explaining the intuition behind the empirical analyses in the paper. Investors could passively participate in the markets by just holding stocks without trading, or more aggressively participate in the market by directly trading stocks. Results show that the more aggressively they participate in the market, the more un-balanced they tend to supply liquidity in the stock market, which eventually drives up the stock price volatility.

We use granular data covering regulated (brokerage-financed) and unregulated (shadow-financed) margin trading during the 2015 market turmoil in China to provide the first systematic analysis of margin investors' characteristics, leverage management policies, and liquidation choices. We show that leverage constraints induced substantial forced and preemptive sales, and leverage and cash management differed substantially across investor and account types. We explore tha relation between margin trading and shock propagation, and show that China's proice limit rule led to unintended contagion across stocks. Compared to brokerage investors, shadow investors were closer to their leverage constraints, and played a more significant role in transmitting chocks across stocks.

"双碳"目标实现难度大,能源转型过程中的风险化解工作和产业升级工作均需要绿色金融在经济转型发展的痛点上给予定向支持.绿色债券作为公开化、标准化的资本市场融资工具,研究如何实现其进一步创新化发展与精细化管理将带来良好的示范效应,引导社会资源支持绿色经济平稳发展.本文对海外绿色债券市场建设先进经验的传统研究思路进行创新,在双碳目标的背景下,针对目前的突出问题,思考债券市场帮助化解绿色目标实现过程中的社会和经济矛盾,就广义绿色债券创新机制和细化管理方向提出建议.

We propose a general framework of using multi-level log-Gaussian Cox process to model repeatedly observed point processes with complex structures; such type of data have become increasingly available in various areas including medical research, social sciences, economics and finance due to technological advances. A novel nonparametric approach is developed to efficiently and consistently estimate the covariance functions of the latent Gaussian processes at all levels. To predict the functional principal component scores, we propose a consistent estimation procedure by maximizing the conditional likelihood of super-positions of point processes. We further extend our procedure to the bivariate point process case in which potential correlations between the processes can be assessed. Asymptotic properties of the proposed estimators are investigated, and the effectiveness of our procedures is illustrated through a simulation study and an application to a stock trading dataset.

Using a unique dataset from the Chinese stock market that keeps track of the daily number of shareholders, we find that the ownership breadth (proxied by the number of shareholders) is negatively related to stock price volatility. However, consistent with the previous literature on volatility-volume relation, we find that the stock price volatility remains positively related to number of traders participating in the market. We also find that the relations of both the daily order imbalance and the daily depth imbalance with the number of shareholders (traders) are negative (positive). Our results suggest that a higher number of shareholders tend to supply liquidity and reduce volatility, while a higher number of traders tend to compete for liquidity and increase volatility.

在中国债券市场中,根据发行人的信用情况,可以把债券分为利率债和信用债两大类.利率债发行人为信用等级与国家信用相当的机构,几乎没有信用风险.利率债主要包括国债、地方政府债、政策银行债等.信用债发行人则没有国家信用背书,其自身信用状况是决定债券收益率的重要因素.这类债券主要包括各类非金融企业债务融资工具、公司债、企业债以及普通金融债等.前三种信用债又统称为产业债.相对于利率债来说,信用债一直以来受到的关注度偏低.表1总结了信用债的主要品种、上级管理机构及发行场所等.

We extend previous studies on the effect of behavioral biases on investor hold/sell decisions, and examine whether behavioral biases affect the order submission strategies. We use a unique database provided by the Shanghai Stock Exchange, which contains order submissions and executions as well as trading records of all investors. We find investors are less aggressive in submitting sell orders for stocks that experienced losses, and more aggressive in submitting sell orders for stocks that experienced gains. The sell order aggressiveness is negatively related to the size of losses, but has a quadratic relationship with the size of gains. Results are consistent with the combination of the disposition and the house money effects.

沪深港通的开通是资本市场双向开放的重要举措.本文回顾了沪港通和深港通开通以来双向投资者参与和资金流动情况.整体而言,内地资金通过沪深港通净流出的现象与两地投资者不同的投资环境相关,内地投资者可通过参与境外市场投资有效地提高自己的投资夏普比率.内地与香港市场联动性的增强也带来一些潜在风险.