We use transactions data to explore the magnet effects of price limit rules on the Shanghai Stock Exchange (SHSE). When limit hits are imminent, stock prices are found to approach the price limits at faster rates, with higher trading intensity and larger price variation, supporting the magnet...

We show that the probability of information-based trade (PIN) played a significant role in explaining monthly returns on Shanghai A shares over the period 2001 to 2006. In particular, PIN, as approximated by order imbalance as a proportion of total transactions, appears to explain returns even...

In a stock market, the price fluctuations are interactive, that is, one listed company can influence others. In this paper, we seek to study the influence relationships among listed companies by constructing a directed network on the basis of Chinese stock market. This influence network shows...

The prosperity of emerging technology may be triggered by the occurrence of rare events, and once emerging technology booms, there may be an enormous market demand for it. This paper explores the firm's commercial and R&D investment decisions on emerging technology in real options framework. We...

This paper investigates the predictability of moving average rules for the China stock market. We find that buy signals generate higher returns and less volatility, while returns following sell signals are negative and more volatile. Moreover, the bootstrapping results indicate that the...

The classical option hedging problems have mostly been studied under continuous-time or equally spaced discrete-time models, which ignore two important components in the actual price: random trading times and market microstructure noise. In this paper, we study optimal hedging strategies for...

This article applies the Granger causality test in quantiles to investigate causal relations between stock returns and exchange rate changes for nine Asian markets over the period 1 January 1997 to 16 August 2010. Our empirical results indicate that the quantile causal relations vary across...

The rapid growth of Chinese economy has tremendously stimulated the expansion of energy consumption. The structure of energy consumption in China is featured with the coal domination. Air pollution is becoming increasingly severe. As a result, we are confronted with the extremely arduous task to...

Trans-jurisdictional conflict in both water quantity and quality is a general concern in large river basins. In this paper, the relative utility function combined with the asymmetric Nash bargaining method was established to analyze the trans-jurisdictional conflict between water quantity and...

The fact that the relationships among the returns of financial assets tend to be nonlinear and time-varying has important implications for asset allocation. To describe these two features, this paper first combines a copula function with the Markov switching technique to model the dependence...