This paper investigates sensitivity of stock returns of industry-sorted Chinese firms with respect to renminbi exchange rate movements. Strong evidence of significant exposure is documented for 7 out of 16 Chinese industries. Evidence is also found of the size asymmetry effects. In addition, we...

By applying tournament analysis to the UK Unit Trusts data, the results support significant risk shifting in the family tournament; i.e. interim winning managers tend to increase their level of risk exposure more than losing managers. It also shows that the risk-adjusted returns of the winners...

This article examines the impact of a bidding firm's geographical location on the choice of method of payment in mergers and acquisitions. We find that rural bidders are more likely to offer pure stock deals and have lower propensity to use cash as the method of payment compared to their...

In the process of China's foreign exchange reform, the so-called swap market was a key element. Despite the problems it caused, notably those associated with a dual exchange rate, the paper argues that the swap market proved to be a useful transition mechanism for China's foreign exchange...

Financial anomalies in emerging markets can be caused by forces that are very different from that in mature markets. In a GARCH model, we investigate the political aspect of financial anomalies and show that financial anomalies can be caused by political intervention. In the case of China, while...

China's foreign exchange policy has undergone fundamental changes in the reform years. This paper presents how China's foreign exchange system has evolved at a critical juncture of China's transition to a market economy and examines the property of such regime switching. Evidence indicates...

This study examines to what extent liquidity is determined by common underlying factors in an emerging market that has adopted an order-driven trading system. Using China as a case for the study, we select a broad sample of stocks from two separate Chinese stock exchanges to measure and analyse...

Volatility models and their forecasts are of interest to many types of economic agents, especially for financial risk management. Since 1982 when Engle proposed the Autoregressive Conditionally Heteroscedastic (ARCH) model, there have emerged numerous models for forecasting volatility. Given the...

Capital controls proved useful for the central planning system, but the growing adverse effects make the reform inevitable. Early reform efforts were focused on relaxing restrictions on foreign exchange availability and embracing for market forces, which led to the establishment of Chinese...