Based on the model of weighted nonparametric estimation, the study aims to investigate liquidity impact on sector returns in Stock Exchanges in China. The two results are empirically shown using the data of financial services, traffic facilities, and nonferrous metals sectors from Shanghai and...

Based on the model of weighted nonparametric estimation, the study aims to investigate liquidity impact on sector returns in Stock Exchanges in China. The two results are empirically shown using the data of financial services, traffic facilities, and nonferrous metals sectors from Shanghai and...

Using the "Dragon and Tiger" list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and...

We study the relationship between the Fama and French (2015) five factors’ betas and the expected overnight versus intraday stock returns in China’s A-share markets. We find that factor betas and expected returns exhibit contrasting relationships overnight versus intraday. The market, value,...

This paper examines the effects of superstitious psychology on investors’ decision making in the context of Mercury retrograde, a special astronomical phenomenon meaning “everything going wrong.” Using natural experiments in the Chinese stock market, we find that stock prices fall...

China's wolf warrior diplomacy has garnered significant global attention since April 2020, with concerns arising about potential adverse effects on the Chinese economy. This study aims to shed light on this issue by employing weekly Google Trends data from April 2020 to February 2022, and...

After staggered mandatory interactions between Chinese listed firms and individual investors, which only allow listed firms to explain existing information, exogenously enhance individual investors’ information processing, our difference-in-differences analysis shows that these firms...

This study investigates the relationship between investor inattention and earnings announcement effects around a Chinese holiday called Tomb-Sweeping Day, which, unlike other holidays, is short. Not only is investor attention distracted, which can generate emotional fluctuation, but a large...