Recent literature has attempted to apply Extreme Value Theory (EVT) in the identification of currency crises. However, these approaches seem to have confused the thresholds in extreme modeling with the cutoffs of currency crises. Our paper proposes a Return Level Identification Approach, also...

This paper employs a natural experiment research design to analyze the differences in the effects of the 2002 notice concerning private securities litigation issued by the Supreme People's Court on stock price performance in A/B-share markets. Using a sample of 162 twin A/B-shares issued by 81...

This study examines the random walk hypothesis for the Shanghai and Shenzhen stock markets for both A and B shares, using daily data over the period 1992-2007. The hypothesis is tested with new multiple variance ratio tests – Whang-Kim subsampling and Kim's wild bootstrap tests – as well as...

We examine the impact of internationalization on the quality of Chinese iron ore and PTA futures markets, by comparing the trading activities, costs and volatilities before and after the event. Using a difference-in-difference framework, we find that internationalization improves the market...

This study investigates the impact of currency convertibility under the current account on the informational linkage between official and swap market exchange rates for Chinese currency (renminbi). Findings indicate that currency convertibility increased the informational connection between the...

Using a unique institutional setting of dual exchange rates of Chinese currency, this paper provides novel evidence that firms manipulate trade data to evade capital controls. We develop a model showing that the trade data over-reporting is positively (negatively) correlated with the exchange...

We analyze Engel curves for nuclear households in rural China. The sample includes more than 5000 nuclear families covering nineteen out of thirty Chinese provinces. We consider expenditures on food, also subdivided into several food subcategories such as cereals, or meat and fish, and other...

The most popular general univariate polarization indices for discrete (Esteban and Ray 1994), and continuous (Duclos, Esteban and Ray 2004) variables are combined and extended to describe the extent of polarization between agents in a distribution defined over a collection of many discrete and...

The most popular general univariate polarization indexes for discrete and continuous variables are extended and combined to describe the extent of polarization between agents in a distribution defined over a collection of many discrete and continuous agent characteristics. A formula for the...

Using data from the China Health and Nutrition Survey (CHNS), this study analyzes peer effects on obesity in a sample of 3- to 18-year-old children and adolescents in China. Even after a rich set of covariates and unobserved individual heterogeneity are controlled for, it is evident that such...