No‐arbitrage implies power‐law market impact and rough volatility

Market impact is the link between the volume of a (large) order and the price move during and after the execution of this order. We show that in a quite general framework, under no‐arbitrage assumption, the market impact function can only be of power‐law type. Furthermore, we prove this implies that the macroscopic price is diffusive with rough volatility, with a one‐to‐one correspondence between the exponent of the impact function and the Hurst parameter of the volatility. Hence, we simply explain the universal rough behavior of the volatility as a consequence of the no‐arbitrage property. From a mathematical viewpoint, our study relies, in particular, on new results about hyper‐rough stochastic Volterra equations.     

The international market selection of Chinese SMEs: How institutional influence overrides psychic distance

The purpose of this research is to contribute to the ongoing debate about whether psychic distance still plays a vital role in the internationalisation of SMEs from emerging markets. Drawing on the prior research which suggests the salient impact of institutional factors on internationalisation, we investigate the role of home country institutions in international market selection. Adopting a multi-case methodology, we collected semi-structured interview data from six small and medium-sized manufacturing firms in China. Our findings suggest that while psychic distance is still important in some circumstances, both formal institutions, such as government support, and informal institutions, such as business and political guanxi, enable Chinese SMEs to choose psychically distant markets. Our findings also indicate that informal institutions interact with formal institutions to further influence SMEs’ international market selection. This research contributes to SME internationalisation studies by revealing how formal and informal institutional factors override psychic distance in influencing international market selection.     

终身证券市场禁入的正当性难题及其化解

我国证券监管所采用的终身证券市场禁入，剥夺了行为人参与证券市场的资格或机会，需要接受“正当性”的拷问。基于公共利益理论、利益平衡分析等论证证券市场禁入的正当性，未深入到行为人自身内部寻找正当性根据，均存在一定的局限性。证券市场禁入的正当性基础，应当回归到行为人自身，注重行为人自身“适合”参与证券市场的可期待性。终身证券市场禁入具有鲜明的“惩罚性”，面临着责任追究无边界等正当性难题。化解这一难题的路径是去除证券市场禁入的“惩罚性”，允许被禁入对象“救赎”自己，建立终身证券市场禁入的适时退出程序，明确终身证券市场禁入的退出标准，动态跟踪监测被禁入对象个体情况，适时赋予其参与证券市场的“第二次机会”。     

IS A SOCIAL EMPOWERMENT OF PPP FOR INFRASTRUCTURE DELIVERY POSSIBLE? LESSONS FROM SOCIAL IMPACT BONDS

Social Impact Bonds (SIBs) have emerged in recent years as outcome‐based public‐private partnerships (PPP) for the delivery of welfare services, where the payment to the private operator is linked to the achievement of superior social impact. Since the traditional infrastructure‐based PPP approach seems to have failed to achieve higher level of efficiency and, above all, effectiveness, this paper discusses the extent to which the SIB model can represent a reference point to innovate the PPP model by introducing more focus on outcome achievement and social value generation.     

Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis

This paper proposes a quantile variance decomposition framework for measuring extreme risk spillover effects across international stock markets. The framework extends the spillover index approach suggested by Diebold and Yilmaz (2009) using a quantile regression analysis instead of the ordinary least squares estimation. Thus, the framework provides a new tool for further study into the extreme risk spillover effects. The model is applied to G7 and BRICS stock markets, from which new insights emerged as to the extreme risk spillovers across G7 and BRICS stock markets, and revealed how extreme risk spillover across developed and emerging stock markets. These findings have important implications for market regulators.     

Weekday seasonality of stock returns: The contrary case of China

We document that Chinese stock returns exhibit early-in-the-week effects opposite-signed to those observed worldwide. The period of analysis is 2001–2016. Dominated by individual investors, Chinese stock markets offer unique out-of-sample insight regarding the source of weekday seasonality, ascribed elsewhere to institutional investors’ trading patterns. High returns to the market and to small, speculative stocks early-in-the-week pose a refuter to the mood explanation for the conventional (negative) Monday effect. A battery of tests suggests that the patterns in the Market, SMB, and RMW factors are jointly associated with Chinese individual investors whose demand is tilted towards small, speculative stocks. Our findings point to a potential role of dominant investor type in driving weekday patterns and the RMW premium.     

Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case

This article examines the relationship between the monetary policy implemented by the Central Bank of Brazil and the stock market. We implement event study analysis and analyze the effect of the anticipated and unanticipated components of monetary policy decisions on the returns of the IBOVESPA index and 53 stocks. We find that monetary policy has a significant effect on the stock market, but is only responsible for a small proportion of market variation. The analysis at the sector level with expected returns identifies that the financial sector is the most affected by this policy, whereas with excess returns only industrial goods are significantly affected. Moreover, individual assets respond in a rather heterogeneous fashion to monetary policy; however, when we look at excess returns, we identify a reduction in the intensity and in the number of companies impacted by monetary policy. Finally, the monetary shock is explained by unanticipated variations in the unemployment rate, in the Industrial Production Index, in the General Market Price Index, and in the Broad Consumer Price Index.     

Ethnic discrimination in hiring,labour market tightness and the business cycle - evidence from field experiments

Several studies using observational data suggest that ethnic discrimination increases in downturns of the economy. We investigate whether ethnic discrimination depends on labour market tightness using data from correspondence studies. We utilize three correspondence studies of the Swedish labour market and two different measures of labour market tightness. These two measures produce qualitatively similar results, and, opposite to the observational studies, suggest that ethnic discrimination in hiring decreases in downturns of the economy.     

Corruption,market quality,and entry deterrence in emerging economies

In many emerging economies incumbent firms often use dubious means to deter entry of other firms. We analyze this scenario in a three‐stage game of entry deterrence. The incumbent has incomplete information about the entrant's costs but can increase this cost by resorting to unfair means (e.g. bribing a politician who harms the entrant). We completely characterize the optimal bribe and show that this depends on the “fairness index” and the “differentiation” parameter. We also show that zero bribes need not maximize welfare and market quality. Our results seem to be compatible with anecdotal evidence from emerging economies such as India.     

关于民用气瓶动态监管的研究

民用气瓶也就是我们常说的液化气瓶,属于移动式高危产品,在人们日常生活中是必不可少的东西,因监管不完善导致每年发生的民用气瓶爆炸事件次数呈上升的状态,气瓶成了埋伏在我们周围的一个隐形“杀手”,严重威胁到人们的生命及财产安全,所以液化气市场需及时采取有效监管方案,彻底消除气瓶所带来的安全隐患。