Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

Widespread implicit guarantees and interest ceilings were major distortions in China's financial system, contributing to a misallocation of resources. We analyze the impact of removing such frictions in a general equilibrium setting. The results show that comprehensive reforms generate better...

This paper theoretically analyses the measurement of capital flight scale, and the factors that affect capital flight. Then the basic equation of capital flight is improved by introducing three lemmas. -- capital flight ; equation ; capital control

This paper provides a short update of volatility research surveyed in Poon and Granger (2003). While the last few years saw major advancement in the theoretical and empirical studies of realised volatility and the dynamic relationship between stock price, volatility and jumps, the biggest...

In this paper we make a distinction between systemic co-jumps and independent idiosyncratic jumps, and examine the impact of their mis-specification on asset allocation. We discuss how jumps mis-specification may lead to jumps mis-estimation and to a suboptimal portfolio. Specifically, we...