We investigate the intraday return-volatility correlation in Chinese financial market with high-frequency transaction data of individual stocks. In contrast to the widely accepted theory of volatility asymmetry (i.e. negative returns induce higher price volatilities than positive ones), we show...

Based on 4 years data of individual stocks in SZ300P index, the paper investigates the positive feedback trading behavior and its asymmetry. Regressions with heterogeneous belief terms show the presence of positive feedback trading in Chinese market. The traders who react to daily, weekly or...

Using 9559 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, the paper investigates the liquidity dynamics around price jumps in Chinese market. By event study method and regression method, some interesting empirical results are obtained. The trading...

Previous studies show that individual investors play a dominant role in China's stock market. Their behavior of chasing-rise being stronger than killing-fall leads to asymmetry of feedback trading. Our article investigates how mutual funds react to this market force. Using China's stock and fund...

Taking the Shanghai-Hong Kong connect program as a natural experiment, the paper investigates if stock market openness impacts firms’ ESG performance. The results show that, the ESG rating of the connected firms improves significantly compared to the non-connected firms, and the improvement is...