Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks

We investigate the relationship between Bitcoin and conventional financial assets from a perspective on the connectedness of asset networks. We adopt the method of measuring connectedness proposed by Diebold and Yilmaz (2009, 2012, and 2014) in a VAR system to study the dynamic interdependence between returns in Bitcoin, stocks, oil, and gold. We find that the connectedness between bitcoin and conventional assets is weak. The separation of positive and negative returns in the Bitcoin market shows the existence of an asymmetric pattern of the spillover effects between Bitcoin and conventional assets. A rolling window analysis finds that although Bitcoin prices experience a rising link to other financial assets, the magnitude is proven to be moderate. However, connectedness via negative returns is much stronger than via positive ones and exhibits a clearly increasing trend in recent periods. Our results in application are generally robust to other popular cryptocurrencies, such as ETH and Ripple. The findings presented in this paper have important implications for financial market participants, policymakers, and researchers in light of projected increases in the adoption of Bitcoin, as well as the rapid development of cryptocurrency.     

Structural holes and hedge fund return comovement: evidence from network-connected stock hedge funds in China

Using data from a new hedge fund database, we examine the impact of social networks on the return comovement of stock hedge funds in China. We use structural holes in the college alumni networks of managers to measure the managers’ social network positions. We perform an empirical analysis on a sample of 3,012 hedge fund products in China from 2010 to 2017. We find that greater structural holes are associated with higher return comovement. The positive impact of the structural holes on return comovement is not affected by market cycles, a manager's major in college, or his or her abilities.     

Intraday return and volatility spillover mechanism from Chinese to Japanese stock market

We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index more strongly than does the TOPIX (the market index of the Tokyo Stock Exchange). This result suggests that China has a large impact on Japanese stocks via China-related firms in Japan. Furthermore, we find evidence that this response has become stronger as the Chinese economy has gained importance in recent years.     

How forestland size affects household profits from timber harvests: A case-study in China’s Southern collective forest area

To improve the economies of scale in forest management and reduce the fragmentation of forestland, the Chinese central government has implemented a collective forest tenure supplementary reform since 2008. This has included a series of policies for motivating transfer of forestlands use rights among households in the country’s Southern Collective Forest Area (SCFA). However, to date there is little evidence that large-scale forest owners can earn more profits from timber harvests than small-scale forest owners in the SCFA. Using data collected from household surveys in the three of the SCFA’s provinces in 2016, this paper examines the return to scale of forestland ownership for timber harvests in this region, and how the scale of forestland ownership affects households’ profits from timber harvests. The results show a constant return to scale in timber harvests in the case provinces in China’s SCFA, that forestland area makes the most important contribution to the output of timber harvests, and that fragmentation of forestland results in lower profits from timber harvests. It appears that a moderate scale of forestland ownership should be identified for increasing the profits from timber harvests. With the rapid urbanization throughout China, an increase in off-farm employment among rural household members has a negative impact on timber harvests in the region. We argue that policymakers should realize the importance of encouraging the forestland transfers and improve the concentration of forestlands in the next stage of forest tenure rights reform in China’s SCFA.     

S&P 500 Affiliation and Stock Price Informativeness

Abstract

When firms are added to a stock index, more information should be discovered, traded on, and incorporated into their stock prices, making them more informative. We test this hypothesis using a large sample of additions to the S&P 500 index. Using two alternative statistical tests, we find that the stocks added experience more random, less predictable return and, thus, appear to be priced more efficiently information-wise. We further find concurrent increases in institutional ownership and investor awareness, which tend to contribute to the higher pricing efficiency, adding to the literature. These findings should be of interest to academics and practitioners.     

The long-run reversal in the long run: Insights from two centuries of international equity returns

We perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is not subsumed by other established cross-sectional return patterns, including the value effect. The long-term reversal is robust to many considerations but highly unstable through time. Finally, our findings support the overreaction explanation of this anomaly.     

Capital accumulation through studying abroad and return migration

This paper examines the interplays among studying abroad, return migration and capital accumulation, in a dynamic general equilibrium model featuring heterogeneous ability. Households invest in education and make two migration decisions: whether to study abroad and subsequently whether to return home. The model predicts that the highest, middle and lowest-ability people choose respectively permanent migration, return migration and no migration. More interestingly, we find a novel migration cycle: returnees bring back learned-knowledge and over time, capital accumulates, attracting more return migration. Further, the usual “brain drain” in the literature can be turned into “brain gain”, by providing a subsidy to studying abroad and returning home.     

Dynamic Interactions Among Macroeconomic Variables and Stock Indexes in Taiwan,Hong Kong,and China

This study analyzes dynamic interactions among macroeconomic variables and the stock markets of Taiwan, Hong Kong, and China by incorporating the long-term and short-term comovements, which can shed some light on the long-term and short-term market efficiency/inefficiency in the region. The number of common cycles is investigated in these markets and each stock index series is decomposed into its trend and cyclical components. The authors observe that foreign stock markets have greater influence on the domestic market than domestic macroeconomic variables do. This implies that policymakers need to consider not only macroeconomic variables but also the effects of markets on one another when markets are integrated.     

开放式基金在上升市场与下降市场中选时与选股能力的实证研究

选取我国10只开放式基金作为样本,根据它们的收益情况并联系市场背景,对它们基金管理人的选时与选股能力进行的实证研究表明,不同基金在市场上升和市场下降过程中所表现出来的选时能力指标和选股能力指标与整体指标并不相同.这一结论可用于基金整体性指标研究.     

《还乡》的神话原型解读

哈代在小说《还乡》中引用大量神话原型意象进行环境描写和人物塑造,尤其体现在小说背景埃格敦荒原氛围、男女主人公克林.约布赖特和尤苔沙的命运归属上。通过这些原型的应用,强化了该小说的悲剧性质。