Abstract:Various time-varying conditional Copula models to study the extreme co-movement (appreciate or depreciate heavily together) between European country currencies and the Chinese renminbi from June 1, 2008 to Nov.30, 2016.This dependence structure has rarely been studied in the literature.Our findings show very strong evidence of a structure break in the extreme co-movement probability since the beginning of2016, not only in the level but also in its dynamics.More specifically, the extreme co-movement probability between European currencies and the Renminbi generally increases significantly and has become more persistent since the beginning of 2016.Possible factors affecting the extreme co-movement probability are studied, including economic policy uncertainty, bilateral trade openness and financial integration.The results of our panel regression analysis show that throughout the whole sample, the impact of bilateral trade openness between Europe and China and economic policy uncertainty are significant.Before 2016, the effects of bilateral trade openness are quite sizable.However, since the beginning of 2016, the economic policy uncertainty, especially China’s economic policy uncertainty, plays a key role.

Abstract:The large stock dividends was highly welcomed by the capital market, so it was often used by some listed companies to attract investors as well as to achieve their own interests.In this paper, we adopted the perspective of controlling shareholder’s share pledge to reveal the motivation behind the large stock dividends.The results show that after controlling the other self-interest motivations of the controlling shareholders, listed companies tend to be more likely to make large stock dividends decisions if the controlling shareholders have share pledge.Second, the more the number of share pledge the controlling shareholders have, the more likely the listed company would to make large stock dividends.Further research indicates that under the same situation of the equity pledge, the company with a falling stock price would more likely to launch large stock dividends.This paper further explains the motivation behind the large stock dividends, and provides the empirical evidence for regulators’latest decisions which strengthened the supervision and the inquiry of the large stock dividends.

Abstract:Using the samples of Chinese A-share listed companies, this paper empirically investigates the relationship between idiosyncratic volatility and stock cross-sectional return and throws light upon the question“Does idiosyncratic volatility puzzle in China”.Traditional OLS regression residual standard deviation and GARCH model are used to estimate idiosyncratic volatility, and both the Fama-MacBeth cross-section regression and quantile regression method to investigate the relationship between idiosyncratic volatility and stock cross-sectional return.The OLS regression analysis shows that idiosyncratic risk is negatively correlated with stock expected return, but the relationship is not statistically significant, which means that idiosyncratic volatility puzzle does not exist.The quantile regression on the other hand gives a more comprehensive description of the relationship between idiosyncratic risk and stock expected return.At the low quantiles the relationship is significantly negative while at high quantiles the relationship is significantly positive.

Abstract:This paper uses the Poisson distribution with a linear combination of Gamma distributions to capture the dependence among the default indicators of different assets, and then proposes a multi-factor risk model for portfolios credit risk based on mixed Poisson default intensity.Our model is based on the idea that dependence among common risk factors can be transformed into the dependency among the default indicators of different assets, which broadens and enriches portfolio credit risk measurement models.By introducing important sampling techniques to the model for effective numerical simulation, this paper empirically examines the portfolio credit risk in four industries of China’s financial markets.More specifically, the classic structural model and option pricing formula are firstly used to estimate the dynamic default probability of an obligor;the dynamic Poisson strength of each asset under the mixed Poisson model is secondly obtained by using the dynamic default probability of a single asset;then, the factor loading coefficients of common risk factors are estimated, to reflect the degree of dependence among different assets;finally, the important sampling method is applied into the mixed Poisson model, in order to implement the efficient Monte Carlo simulation for the loss distribution of the credit portfolio composed across different industries.The simulation results show that our algorithm is more efficient than the ordinary Monte Carlo simulation and can greatly reduce the variance of the estimated loss probability.

Abstract:With the introduction of a new type of traders, incompletely informed traders, the paper develops a model of rational expectation equilibrium to analyze how regulations affect asset prices and welfare.It is found that rational expectation equilibrium exists in the financial market and that the corresponding traders’distribution equilibrium is not unique.If the discrimination coefficient changes, the fraction of both completely informed traders and uninformed traders would change in the same direction, with completely informed traders being the most sensitive to the change.The paper also shows that increasing the switching cost would decrease the fraction of informed traders, but the welfare would decrease.Two interesting results are found:Although decreasing the level of ambiguity faced by incompletely informed traders cannot restrain insider trading, extreme trading would be decreased sharply;decreasing the level of ambiguity faced by uninformed traders not only decrease the fraction of completely informed traders, but also may improve the level of welfare.

Abstract:From the perspective of firm violation risk, this paper analyzes the objective phenomenon, mechanism and governance factors of management opportunism in the process of compulsory disclosure of corporate social responsibility.First, it is found that there is a significant positive relationship between the compulsory disclosure of social responsibility and the violation tendency of the enterprises in the future period, and this positive relationship only exists in firms with compulsory disclosure or third-party assurance.Secondly, an investigation of the impact mechanism shows that the compulsory disclosure of social responsibility is positively related to the agency cost of management, which indicates that mandatory disclosure of social responsibility can cause management opportunism.Finally, it is found that internal control quality and institutional investors’shareholding do not have significant governance effect on managers’opportunistic be-havior in the compulsory disclosure of social responsibility.This paper provides evidence for the effect of the mandatory disclosure of social responsibility and provides support for improvement of third-party assurance of the mandatory disclosure of social responsibility in practice.

Abstract:This paper investigates China’s annual regional income inequality from 1995 to 2012 based on the Theil index.The results prove that China’s regional inequality has declined steadily since 2003.In order to further investigate the underlying mechanism behind this phenomenon, a theoretical model is constructed based on a special multi-regional input-output model which explicitly distinguishes the production for processing trade and other productions.Then, structural decomposition analysis is adopted to quantify the contribution of each determinant to the change of the regional inequality.The results show that the change in input structure has considerably decreased the regional inequality, while the final demand has substantially increased it.Specially, the rapid expansion of domestic final demand, the deepening production interdependence among regions, and the population shifts from the less-developed regions to developed ones are the main drivers of the decreasing regional disparity.Our empirical results have important policy implications to shrink the regional inequality and promote a balanced development among regions.