This study investigates the pricing efficiency of the Shanghai 50 ETF (SSE 50 ETF), the first exchange-traded fund (ETF) in China. The empirical results demonstrate that ETF market prices and net asset values (NAV) are cointegrated and there is unidirectional causality from price to NAV. The...

This paper investigates the link between hot money and business cycle volatility in China from January 1997 to December 2009. Using the structural vector error correction model, we find a considerable degree of long-run cointegration and bidirectional causality effects between hot money and...

This paper develops a theoretical model to identify various risks in the Chinese property insurance market. Consequently, we apply a structural VAR model to quantify the magnitude, historical timing of these risks, and their dynamic impacts on the permanent and transitory components of the...

This paper considers the optimization problem of minimizing a rational function. We reformulate this problem as a polynomial optimization problem by the technique of homogenization. These two problems are shown to be equivalent under some generic conditions. The exact Jacobian SDP relaxation...