The transitional economy in China has its own unique growth mode. Typical characteristics are sustainable high savings and high investment rates. This article explains the foundation of such a growth mode from the perspective of labor transfer. We believe that the continuous transfer of surplus...

This paper evaluates different hedging strategies for aluminum and copper futures contracts traded at Shanghai Futures Exchange. In addition to usual candidates such as the traditional regression hedge ratio and the hedging strategy constructed from bivariate fractionally integrated generalized...

The dynamic minimum variance hedge ratios (MVHRs) have been commonly estimated using the Bivariate GARCH model that overlooks the basis effect on the time-varying variance-covariance of spot and futures returns. This paper proposes an alternative specification of the BGARCH model in which the...

We propose a new class of risk measures which satisfy convexity and monotonicity, two well-accepted axioms a reasonable and realistic risk measure should satisfy. Through a nonlinear weight function, the new measure can flexibly reflect the investor's degree of risk aversion, and can control the...

With social economic reform in the past decades, the power industry of China is gradually evolving from a highly integrated one toward an electricity market, which can be characterized based on the transition of the power dispatch principle. To attract investment in the power generating...

This paper analyzes intraday interdependence of returns and trades between Chinese equity and warrants markets based on a vector autoregression framework proposed by Chan et al. (2002). We find that both stock and warrant trades contain useful information for revealing quotes in the stock and...

As one of the important driving forces of world economic development, China's rapid economic growth has not only supplied the world with a large number of manufactured goods, but also caused China's sustained and rapid increase in energy consumption because of the characteristics of China's...