High-speed rail (HSR) construction is continuing at a rapid pace in the People's Republic of China (PRC) to improve rail's competitiveness in the passenger market and facilitate inter-city accessibility. To take advantage of spillover effects, bring economic cohesion at the local level, and...

With the introduction of many derivatives into the capital market, including stock index futures, the trading strategies in financial markets have been gradually enriched. However, there is still no theoretical model that can determine whether these strategies are effective, what the risks are,...

Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the overnight component rather than the opening...

This paper examines the influence of CSR performance and its three dimensions on price crash risks. Using a comprehensive sample of A-share stocks from 2011 to 2018, we find that CSR performance significantly mitigates future price crash risks, and this influence is mainly from the governance...

The conventional momentum strategy performs poorly overall in China, because stock prices behave very differently when markets are open for trading versus when they are closed. Stocks that are past intraday (overnight) winners persistently outperform those that are past intraday (overnight)...