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...

Based on Jiang, Kelly, and Xiu (JKX, 2021), we propose a new machine learning model to predict future returns using the price images in the Chinese stock market. We show that our model can achieve a more accurate out-of-sample prediction of a stock’s future return than a traditional model. The...

This paper investigates the predictability of the firm news tone on stock return in Chinese market. We find that the news tone significantly positively predicts the cross-sectional future return in both short and long horizon. Beyond this, we generally find while the online news could predict...

We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....

This paper examines the weak-form efficiency in Dhaka Stock Exchange (DSE) of Bangladesh adjusting for thin trading problem. Both non-parametric tests and parametric tests are used. The data sets consist of daily DSE General Index (DSE-GEN) and DSE 20 Index for the period ranging from January 1,...

We study the relationship between finance and growth using a sample of 275 Chinese cities during 2009-2018. We exclude a large amount of bank loans to local governments through the local government financing vehicles (LGFVs). This allows us to construct a new and better financial development...