Measuring destocking performance of the Chinese real estate industry: A DEA-Malmquist approach

This paper aims to measure the evolution of destocking performance of the Chinese Real Estate Industry based on a DEA (Data Envelopment Analysis)-Malmquist approach, which is seldom used in this industry in existing literature. In 2016, the Chinese government introduced a unified national destocking policy to reduce real estate inventory to save the downturn in the real estate market, but the effect was less than expected and led to soaring house prices in first-tier cities. By analysing the destocking performance over the period from 2005 to 2015, we find the following: (1) It is impossible to use a unified policy to effectively address the national destocking issue because of the difference of DMUs' destocking efficiency, input redundancy and total factor productivity score changes. (2) With the current destocking performance and investment status, the government is still ignoring the existing commercial real estate problems. (3) The redundancy of firm assets and staff indicates that zombie firms may exist and risk future unemployment in the real estate industry. (4) Despite the recently repeated government interventions in this industry, destocking performance remains falling since 2008, and problems in other regions is more severe than in central cities. (5) The financial crisis triggered by the US subprime mortgage crisis has had a great impact on China's real estate industry. The destocking performance dropped sharply in 2008, forcing the Chinese government to introduce policies to stimulate the real estate market. Policy recommendations are also put forward based on the findings.     

How to optimize the allocation of research resources? An empirical study based on output and substitution elasticities of universities in Chinese provincial level

Although significant progress has been made in China's basic research in recent years, there remains a wide gap between research in China and that from developed countries. How to optimize the allocative efficiency of research resources is of great importance for increasing research output. In this paper, using the fixed effect stochastic frontier model based on the translog production function, we estimate output and substitution elasticities of research and development (R&D) inputs at universities in China's provincial level during 2009–2016. We find that the R&D technical efficiency of China's universities, after a rapid growth, has tended to become relatively stable. Improvements of internationalization degree and exogenous R&D capabilities are conducive to promoting R&D technical efficiency, whereas expenditures from government grants inhibit the promotion of R&D technical efficiency; the effects of R&D capital deepening and internet penetration are not evident. The output elasticity of R&D capital is much higher than that of R&D personnel, suggesting that R&D capital is the main driving force of research output. The substitution elasticity between R&D capital and personnel has experienced a change from substitution to complementary since 2014. To realize sustained growth of research output, we should increase R&D input with positive output elasticity or reduce R&D input with negative output elasticity, making the necessary trade-offs according to the substitution relationship between the two R&D inputs.     

Does algorithmic trading harm liquidity? Evidence from Brazil

This paper provides the first evidence of algorithmic trading (AT) reducing liquidity in the Brazilian equities market. Our results are contrary to the majority of work which finds a positive relationship between AT and liquidity. Using the adoption of a new data center for the B3 exchange as an exogenous shock, we report evidence that AT increased realized spreads in both firm fixed-effects and vector autoregression estimates for 26 stocks between 2017 and 2018 using high-frequency data. We also provide evidence that AT increases commonality in liquidity, evidencing correlated transactions between automated traders.     

Relationship between city size and firm productivity – A new interpretation using the Chinese experience

This paper contributes to the literature on the relationship between city size and firm productivity by focusing on agglomeration, selection (market competition), and sorting (presence of firms with diverse productivity) effects using Chinese firm-level data for 1998–2013. Contrary to the existing literature, our parametric regression estimates from nearly two million firms show that when the selection effect is controlled, productivity advantage in big cities is reversed. This outcome is explained through a quantile regression showing the existence of left-sided sorting (inefficient firms sort themselves to larger cities) in big cities which is not captured in existing empirical literature. We further find that (1) left-sided sorting is stronger in exporters than non-exporters; (2) is also generated mainly in enterprises with high asset-liability ratios; and (3) selection has a positive effect on firm productivity, suggesting that market competition is key in an explanation of the rapid growth of big cities in China.     

高校知识溢出与企业创新绩效

本文利用全样本数据探讨了作为创新和知识溢出微观主体的高校对企业创新绩效的影响。本文通过ArcGIS测算了2007-2015年上市公司所在地周边全部高校数量，并以企业研发投入金额、发明专利衡量企业创新水平，利用Anselin et al（2000）的KPF方程，采用双聚类OLS检验高校知识溢出对企业创新行为的影响效应与机制。研究发现：第一，高校知识溢出对企业研发创新投入和有效创新产出均具有显著促进作用；第二，知识溢出效应具有显著的地理邻近性特征，而行政边界关联影响较弱；第三，高校知识溢出通过提高企业研发投入，提升员工和管理层人力资本，进而影响企业创新绩效。进一步研究表明，空间异质性、高校异质性、企业异质性、中心城市集聚效应、高铁开通等因素导致高校知识溢出效应存在差异。     

市场竞争不完全与企业内部工资差距*——基于产品与劳动力市场融合视角的分析

理解工资差距的形成机制是在新时期破解发展不平衡不充分问题，进而实现共享发展的关键。本文从产品与劳动力市场竞争不完全相融合的视角，扩展了中国企业内部技能员工与非技能员工工资差距形成机制的研究，兼论消除竞争不完全的效率提高。基于中国企业数据并在统一的框架下构建市场竞争不完全的测算指标，本文发现：中国的市场化改革并不必然带来收入差距的扩大，不完全的市场化改革形成的产品与劳动力市场竞争不完全才是引发企业内部收入差距的重要原因。当存在市场竞争不完全时，企业会将产品市场势力扩展到劳动力市场，形成劳动力市场竞争不完全对工资差距的更大影响。这意味着单一的市场化改革不能有效缓解收入差距，只有产品与劳动力市场的同步改革才能达到最优的政策效果。中国的市场化改革可以在初次分配中通过发挥市场机制兼顾效率与公平。     

Asymmetric volatility spillovers between economic policy uncertainty and stock markets: Evidence from China

This study explores the spillovers between economic policy uncertainty (EPU) and stock market realized volatility (RV). The monthly index of Chinese and US EPU and RV are used to analyze the pairwise directional spillovers. We find that RV is a net receiver that is more vulnerable to shocks from U.S. EPU than to shocks from Chinese EPU. We further decompose the RV into good and bad volatility to test the asymmetric spillover effect between the stock market and EPU. The results suggest that EPU has a bigger effect on bad volatility in the stock market throughout most of the sample period. However, we find that good volatility spillovers become larger during periods of stimulated reform, whereas bad volatility spillovers become larger during periods of international disputes. We show that Chinese stock market volatility is sensitive to both U.S. and Chinese EPU and that the spillover is asymmetric in different periods.     

Internal conflict and Bank liquidity creation: Evidence from the belt and Road initiative

The Belt and Road Initiative is the most important international economic strategy in the 21st Century initiated by China. In this paper, we conduct the first international study on the effects of the host country’s internal conflict risk of the Belt and Road Initiative on bank liquidity creation, one of the key functions banks provide for the public. We find that the host country’s internal conflict risk negatively affects bank liquidity creation. The results are also economically significant and robust to subsample tests. It also indicates that Chinese firms that will conduct foreign investments in the countries of the Belt and Road Initiative should take the host country’s internal conflict risk into account.     

Global uncertainties and portfolio flow dynamics of the BRICS countries

This paper investigates the dynamics of bond and stock market capital flows to BRICS countries under uncertainties such as global economic policy uncertainty and the US trade policy uncertainty. We use a time-varying Granger causality framework over the January 2008-November 2019 period to analyze the predictive power of uncertainties on capital flows in the form of bond and equity. The results show that the effects are heterogeneous across countries and stronger during the Global Financial Crisis period and post-2018 period while it lost its significance in the subsequent period. The negative influence of uncertainties on capital flows directed to BRICS countries is also evident in the results of non-parametric time-varying panel models. Overall, it is thought that the heterogeneous structure of the causality between uncertainty and portfolio flows into BRICS may present portfolio diversification benefits for global investors.