This article proposes a bootstrap unit root test in models with GARCH(1,1) errors and establishes its asymptotic validity under mild moment and distributional restrictions. While the proposed bootstrap test for a unit root shares the power enhancing properties of its asymptotic counterpart (Ling...

Using a natural experiment in the Chinese milk industry as background, this paper investigates the reactions of individual and institutional investors to food safety incidents. By classifying firms as either honest or dishonest, we find that: First, honest firms significantly outperform...

This paper investigates order-based manipulation and its effects on investor behavior and market efficiency. Using a unique data set from the Chinese stock market, we show that (1) order-based manipulation affects market liquidity and trading behavior, (2) the manipulator pretends to be informed...

Purpose–Since illiquidity risk is one of the most important pricing factors of assets, the aim of this paper is to evaluate the suitability of proxies of illiquidity prevalent in the asset pricing literature and their explanatory power in asset pricing tests....

This paper considers the problem of finding the densest packing of N (N = 1, 2, ...) equal circles in a circle. This problem is perhaps the most classical packing problem. It is also a natural and challenging test system for evaluating various global optimization methods. We propose a...

The increasingly globalized and networked world coupled with enlarging spatial scope and severity of natural and man-made hazards are leading to significant cross-boundary impacts. It has not been adequately addressed that how those impacts transmit from one (sub-) system/network to another and...

This study employs the ordered lottery selection approach with field experiment to measure risk attitude of two distinct population groups in China -- farmers in Wuhan and freelancers in media and advertising in Beijing. A comparative design was used to reveal the cross-population difference in...