This paper investigates arbitrage activities in China’s stock market to examine whether arbitrageurs destabilize stock prices. We focus on reversal anomaly and construct a measure of arbitrage intensity, coreversal, which captures the abnormal return correlation among stocks on which a...

In this paper, we establish a causal link between fluctuations in the stock market and credit risks from the P2P lending market, by exploring information of more than 450 thousand loans on Renrendai.com, a leading Chinese P2P crowd lending platform. Based on the fact that retail investors...