This paper examines the relationship between oil prices and stock market anomalies in China, the largest oil importer country in the world. Prior literature documents both a positive and negative relationship between oil prices and the stock market. The explanation of a positive relationship is...

Kahle and Stulz (2021) find that inflation-adjusted corporate payouts (dividends and repurchases) in the US are three times larger over the period 2000–2019 (post-2000) compared to the 1971–1999 period (pre-2000), and that the growth in the payouts comes from repurchases instead of...

Akbas et al. (2021) demonstrate that a more intense daily “tug of war” between overnight noise traders and daytime arbitrageurs predicts higher future returns in the US market. We investigate whether the daily tug of war contains predictive information about future stock returns in China....

We compare the performance of safe-haven assets during the Global Financial Crisis (GFC) and COVID-19 pandemic. First, regarding the GFC, we find, intermediate (weak) safe haven evidence for US dollar, Swiss franc and T-bonds (Gold, Silver and T-bills). Second, with regard to COVID, we find gold...

We compare the performance of the time-series (TS) and cross-sectional (CS) momentum strategies in the US and China. The CS strategies by default are zero net investment strategies, whereas the TS strategies take on a time-varying net long position in risky assets. In the US, we confirm that the...

Analogous to an experienced mariner choosing a safe harbour depending on the wind direction, we hypothesise safe-haven asset(s) are conditional on the cause of the market fall. Using oil markets as a salient case study, we find that traditional safe-haven assets, such as the US dollar and...