Modeling futures market risk simultaneously influenced by macro low-frequency information and daily risk factors is a valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t distribution to describe the asymmetry of long and short...

We examine whether sizable initial public offerings (IPOs) affect the whole market. Using a Chinese IPO sample, we find robust evidence that sizable IPOs do depress the market price on not only the listing day but also the offering (subscription) day. The impact on the market is negatively...

This paper investigates the relationship between political connections and corporate borrowing behavior using the listed real estate development firms in China from 2001 to 2014. Evidence from China is of particular importance due to China being the world's largest emerging and transition...

We document Chinese effects on international residential property price growth. We show that faster growth of the housing prices is associated with larger declines in recent past growth of China's GDP, larger increases in China's savings rate, or stronger rise in China's risks. These results are...