Today's world is amid great changes that have not been seen in a century. The intensification of geopolitical conflicts has significantly impacted sovereign debt credit. Early literature mainly studied sovereign debt credit risk based on economic logic, with less attention on international political shocks. However, the IMF's 2023 Global Financial Stability Report emphasized that an increase in geopolitical risks would raise sovereign debt risks. Geopolitical upheavals (e.g., the Ukraine crisis in 2022) not only have an impact on the countries directly involved, but may also trigger broader economic and political changes through transnational spillovers.
By reviewing existing literature, studies on the direct impact of geopolitical shocks on sovereign debt risk are relatively abundant, but the conclusions are not consistent and still require in-depth exploration. Research on the transnational spillover effects of geopolitical shocks is relatively scarce. Furthermore, there are limitations in the literature in terms of research data, methodology, and sample size. In this context, this paper refers to Caldara and Iacoviello (2022) and improves and expands the proxy variable for geopolitical shocks based on the Dow Jones News Database. This substantial improvement avoids bias at the country level. In terms of research methodology, this paper uses the dynamic spatial Durbin model to empirically study the transnational spillover of geopolitical shocks on sovereign debt risk and its channels. When setting up the spatial distance matrix, this paper, in line with the characteristics of geopolitics, not only considers geographical distance but also pays special attention to the impact of bilateral political relations, in order to fully capture the spatial spillover information at the country level. By finding the optimal nested matrix method, the paper analyzes the spillover channels to explore which type of relationship between countries plays the most critical role in the spillover. On this basis, the paper also examines the heterogeneity of spatial spillover under different subsample groups and the spatial spillover effects of different types of geopolitical shocks on sovereign debt risk. Finally, the paper conducts robustness tests on the main conclusions to ensure the reliability of the research results.
Combining monthly data from 65 sovereign countries from 2017 to 2023, this paper finds that geopolitical shocks have a significant spatial spillover effect on the sovereign debt risk of geographical neighbors and political “neighbors,” including direct and indirect effects. According to the optimal nested matrix matching, the “entanglement” effect based on bilateral political relations is the main channel for the spatial spillover effects. By grouping samples according to whether they are NATO member countries and their trade association with Russia, it is found that the impact and spillover of geopolitical shocks on the sovereign debt risk of NATO member countries and countries with high trade association with Russia are more significant. Looking at the classification of geopolitical shocks, geopolitical actions rather than geopolitical threats are the main factors affecting sovereign debt risk and spatial spillover.
The marginal contributions of this paper are as follows:
First, it solves the bias problem of the original country-specific geopolitical risk index. Building on the research of Caldara and Iacoviello (2022), this study constructs a monthly country-specific geopolitical risk index using the Dow Jones News Database by expanding the media sample range and precisely defining news categories. This index effectively overcomes the bias, event omission, and misestimating problems caused by the original index based on a small amount of data from American newspapers and gets rid of the geopolitical narrative bias from the perspective of American media. In addition, this paper expands the sample countries to 65 sovereign states, increasing the sample size in relevant empirical research.
Second, the paper finds through the dynamic spatial Durbin model that geopolitical shocks have a more widespread country-specific mutual spillover on the sovereign debt risk of other countries. This is different from the previous literature that studied the one-way spillover of geopolitical risks in a certain country or region to other economies.
Third, this paper broadens the research perspective, depicts the important role of bilateral political relations in the spatial spillover of geopolitical shocks on sovereign debt risk, and tests the spatial spillover effects under special political relations (military alliance). By finding the optimal nested weight combination, it is discovered that the “entanglement” effect based on political relations is the main channel for risk spillover. Previously, the empirical analysis of bilateral political relations in economics mainly focused on trade investment and international aid, with less application in the areas of sovereign debt and spatial spillover effects.
Fourth, this paper constructs a country-level geopolitical risk category index according to whether actual actions are taken, referring to the global geopolitical risk category classification of Caldara and Iacoviello (2022). We further investigate the impact and spillover differences of different types of geopolitical shocks.

With the deepening of global economic and financial integration, the risk correlation between currency exchange rates in the international forex market has become increasingly close. At the same time, major emergencies such as sino-US trade frictions, the Russia-Ukraine conflict, and the Palestinian-Israeli conflict have occurred frequently, resulting in the prominent problem of event-driven exchange rate risk. In this context, how to better grasp the structural change and evolution dynamics of risk spillover in the international forex market based on the complex risk correlation between different currencies has become an important topic for national strategic needs. From the perspective of a correlation network, this paper constructs the risk correlation network composed of 20 currencies of main economies and examines the structural changes and evolution dynamics of exchange rate risk spillover in the international forex market.
The main findings are summarized as follows. After the “8·11” reform of the exchange rate system, the market influence of RMB has increased significantly, and its exchange rate pricing has become more autonomous. In the context that the gravity center of global economy and trade gradually shifts from the Euro-American region to the Asia-Pacific region, the exchange rate risk spillover shows corresponding structural adjustment of “rising in the east and falling in the west”. After the occurrence of major emergencies, the spillover effect of the whole market shows a fluctuating upward trend, and it has remained at a high level in recent years. Further analysis implies that economic fundamentals, financial development level and currency confidence are important factors that drive the structural change of exchange rate risk spillover in the international forex market, and their influences vary at different times and during different risk events. Major emergencies can significantly enhance the spillover effect at the market-wide level in the short term and have a greater impact when the interest rate of the US dollar rises, the Fed expands its balance sheet, and the market risk aversion is high. At the currency group level, there are some heterogeneities in the dynamic impact of major emergencies on the spillover effect.
The findings have important policy implications. First, in the process of deepening the reform of exchange rate marketization and the opening up of the capital market, it is necessary to identify, trace, and mitigate the risk exposure caused by the spillover of exchange rate risks in the international forex market and build a solid internal and external firewall. Second, in the context that global political and economic uncertainty increases and the risk spillover of exchange rate in the international forex market is high, the technical tools and policy space for exchange rate risk management in China should be further expanded. Third, combined with the impact characteristics of major emergencies on the risk spillover of exchange rate, the assessment, early warning, and response mechanism of event-driven imported exchange rate risk is supposed to be optimized. Fourth, it's necessary to enhance the market influence of RMB and promote the internationalization of RMB steadily proceeding from improving economic fundamentals, financial development level and currency confidence.
This study contributes to the literature in several ways. First, based on the perspective of structural changes, this paper examines the dynamic characteristics of exchange rate risk spillover in the international forex market and systematically analyzes the driving factors of structural change as well as their influencing characteristics, which further expands the research horizon and depth of related fields. Secondly, this paper introduces the local projection model to quantitatively evaluate the continuous influence of major emergencies on the risk spillover of exchange rate and discusses the heterogeneity of continuous influence at the level of international financial state and currency group, which is helpful for the assessment and early warning of event-driven exchange rate risk. Thirdly, on the one hand, this study improves the grasp and understanding of the important nature of exchange rate risk spillover, and on the other hand, it also provides a useful reference for policy formulation to monitor and prevent imported exchange rate risk and promote the internationalization of RMB in an orderly manner.

At present, momentous changes of a like not seen in a century are accelerating across the world, “black swan” and “gray rhino” events are frequent, global uncertainty has increased significantly, and preventing imported risks is a key task to safeguard China's national security. US uncertainty is an important external shock, and its international spillover effect cannot be ignored. Therefore, in the context of continuous promotion of China's high-standard opening up, it is of great significance for China to prevent and mitigate major risks and safeguard national security by clarifying the impact of US uncertainty on China, grasping the key types of US uncertainty shocks needed to be prevented, and further clarifying the internal mechanism of US uncertainty shocks affecting China's economy from the perspective of production network.
Based on the production network perspective, this paper uses the newly developed heterogeneous spatial auto-regressive (HSAR) model to measure the direct and network effects of US uncertainty on the tail risk of China's industries and comparatively analyzes the differential impacts of the US economic and financial and economic policy uncertainty shocks. On this basis, this paper further compares industry forward and backward linkages to clarify the main transmission direction of each type of shock along the industrial chain and investigates the changes in the effects of the three types of shocks during the Sino-US trade friction.
It is found that, firstly, the rise in US economic and financial uncertainty will exacerbate China's industry tail risk, while the rise in economic policy uncertainty suppresses China's industry tail risk. Moreover, compared with financial uncertainty, US economic uncertainty has a greater effect on the tail risk of China's industries. Secondly, production network plays a role in amplifying the impact of US uncertainty on the tail risk of China's industries. And more than 40% of the total effect is the network effect brought about by input-output linkages among China's industries. The basic chemical and social service industries suffer the highest network effects. Thirdly, US uncertainty shocks can cause an overall homogeneous change in China's industry tail risk through the production network. US economic and financial uncertainty has a greater network effect on China's real economy industries, and US economic policy uncertainty has a greater network effect on China's financial industries. Fourthly, US economic and financial uncertainty shocks are mainly transmitted from downstream industries to upstream industries, and economic policy uncertainty shocks are mainly transmitted from upstream industries to downstream industries. Fifthly, the impact of US financial uncertainty on China's industry tail risks during the Sino-US trade friction period was greater compared to other periods.
This paper provides empirical evidence and useful insights for Chinese policymakers to accurately grasp and effectively deal with external shocks. Based on the above conclusions, this paper puts forward the following policy recommendations. First, we need to monitor all types of US uncertainty separately and accurately grasp the sources of risks. Second, the production network of China's industries should be included in the monitoring and prevention system of external shocks, and the path of risk contagion should be clarified according to the production network, to block the cross-industry contagion of risks in a timely manner. Third, efforts should be made to enhance the resilience of industrial and supply chains, improve the ability of various industries to defend against external shocks, and especially accelerate the diversification of supply chains in the basic chemical and social service industries.
The marginal contributions of this paper are mainly reflected in the following three aspects. First, this paper expands the research on the spillover effect of US uncertainty shocks to the industry level and uses tail risk to accurately characterize the industry performance under the shocks. Second, this paper introduces the production network when exploring the impact of US economic, financial and economic policy uncertainty on China's industries, uses the newly developed heterogeneous spatial auto-regressive model to quantify the direct and network effects of the three types of shocks, and examines the main transmission direction of the shocks along the industrial chain, and clarifies the internal mechanism of US uncertainty shocks affecting China's economy. Third, it reveals the changes in the effects of US uncertainty shocks during the Sino-US trade friction, and further enriches the research on the economic consequences of Sino-US trade friction.

Since 2015, alongside the continual growth of China's Foreign Portfolio Investment (FPI) assets, there has been a greater share directed toward bond and equity assets in developing economies with high macroeconomic risks. Concurrently, China's Economic Policy Uncertainty (EPU) Index, as documented by Baker et al. (2016), rose sharply from 166 in January 2015 to 852 in June 2019, largely due to domestic and international factors such as the China-US economic and trade consultayions and real estate market volatility. Although the index later declined, it remained relatively high at 513 by December 2022. This raises a crucial question: Is the observed shift in China's FPI assets closely correlated with rising economic policy uncertainty？
This study investigates the effects of economic policy uncertainty in source countries on its FPI positions and their geographic distribution. Using data on equity and bond FPI positions from 22 source countries and 91 destination countries, drawn from the CPIS database covering the period 2001 to 2019. Economic policy uncertainty in source countries is measured using the Economic Policy Uncertainty Index (Baker et al., 2016), while country risks in destination countries are assessed using indicators from the EIU Country Risk Model. To enrich the empirical analysis, the study incorporates an interaction term between the source country's economic policy uncertainty and the destination country risks into a gravity model framework, which is designed to address cross-border financial asset transactions.
The empirical findings reveal that FPI generally rises in response to increasing economic policy uncertainty in the source country. Specifically, a 1% rise in economic policy uncertainty leads to a 1.245% increase in equity FPI (standardized by GDP) and a 0.691% increase in bond FPI. However, when the interaction term between the source country's economic policy uncertainty and the destination country risks is introduced, the regression results show that the coefficient for the destination country risks is significantly negative, while the interaction term's coefficient is significantly positive. This suggests that as the source country's economic policy uncertainty increases, investors become less risk-averse toward the macroeconomic risks in the destination countries for FPI. These results remain robust across various tests, including those using valuation-adjusted FPI data, different measures of destination country risks, and addressing potential endogeneity issues.
In further analysis, the study explores the differential effects of various forms of uncertainties—namely, the source country's economic policy uncertainty, systemic banking crises, information asymmetry between the source and destination countries, and global financial market uncertainty—on FPI. The results indicate that only an increase in the source country's economic policy uncertainty correlates with a higher proportion of FPI and a greater allocation to destination countries with elevated risks.
The contributions of this study can be summarized in three key areas. First, while prior research has primarily examined whether the source country's economic policy uncertainty affects the overall scale of international investment or how destination risks impact investment inflows, without considering how changes in the source country's economic policy uncertainty shape investors' attitudes toward destination risks. This study finds that increases in the source country's economic policy uncertainty significantly raise investors' tolerance for macroeconomic risks in destination countries. In other words, although international investors generally avoid high-risk destinations, their level of risk aversion fluctuates in response to changes in the source country's economic policy uncertainty.
Second, existing research has rarely examined how uncertainty influences financial asset allocation, with most studies focusing on bank loans. However, Foreign Direct Investment (FDI) and bank loans are closely tied to productive investment, whereas cross-border securities investment (FPI) is primarily a financial asset. Thus, the impact of economic policy uncertainty on FPI differs from that on other forms of capital. This study provides empirical evidence on how the source country's economic policy uncertainty affects FPI.
Third, traditional gravity models used to analyze bilateral financial asset transactions tend to emphasize source country, destination country, and bilateral variables, often overlooking the interaction between source and destination factors. By introducing interaction terms between source and destination country factors, this study expands the analytical framework of gravity model, demonstrating that the geographical distribution of financial assets is indeed shaped by the interaction between source and destination country factors.

In recent years, the rapid expansion of local government debt has become a substantial threat to financial stability and economic growth. The financial strain induced by the COVID-19 pandemic has exacerbated these tendencies, further elevating the risks posed by implicit debt to China's financial system. In response to these challenges, the Ministry of Finance has implemented several debt management policies aimed at diminishing market expectations of government bailouts and controlling the disorderly expansion of financing platforms. This study examines the relationship between implicit government guarantees and credit enhancement mechanisms within the bond market, particularly under evolving bailout expectations. This paper explores how market-based credit enhancement mechanisms can serve as alternatives to implicit government guarantees, promoting greater transparency in bond pricing and reducing financing costs. The study further analyzes the distinct roles of implicit guarantees and credit enhancement at various stages, revealing the shift from reliance on implicit government support to market-driven credit enhancement strategies, and thoroughly discussing the substitutive dynamics between the two.
This paper uses changes of local debt management policies and the COVID-19 pandemic as quasi-natural experiments to assess how policies influence the roles of implicit government guarantees and credit enhancement mechanisms in the bond market. By comparing bond issuance pricing before and after the implementation of these policies, the study reveals how implicit guarantees and credit enhancement mechanisms function as substitutes.
Our dataset, spanning from January 1, 2010, to May 31, 2022, includes key characteristics of Urban Investment Bonds, such as guarantee terms, issuing entities, and debt sizes. The data is taken from the Wind and Resset databases, ensuring its completeness and reliability, providing a solid foundation for the empirical analysis.
The findings reveal that the presence of implicit government guarantees has allowed Urban Investment Bonds to benefit from lower financing costs. These implicit guarantees reduce investors' perception of default risk associated with local government financing platforms, resulting in more lenient pricing of these bonds. However, as policy reforms were progressively implemented, particularly with the introduction of Document No. 88 and Document No. 50, market expectations regarding implicit government guarantees began to diminish.
Our empirical analysis demonstrates that the weakening of implicit guarantees has significantly enhanced the effectiveness of credit enhancement mechanisms, particularly for bonds involving private enterprises and third-party guarantors, where the ability to share risk has steadily improved. Moreover, a clear substitution effect between credit enhancement mechanisms and implicit guarantees has emerged, as the market's reliance on implicit government backing decreased, shifting toward a greater dependence on credit enhancement as a tool for mitigating risk. However, following the outbreak of the COVID-19 pandemic, increased economic pressure on local governments and tighter financial controls led to a resurgence in investors' expectations for government bailouts. The study further identifies significant differences in the development of various guarantee types and guarantor entities, with credit enhancements provided by private enterprises and third-party guarantees proving to be more effective alternatives to implicit guarantees.
Based on these findings, this study offers the following policy suggestions: First, efforts should continue to be made to reduce market expectations of implicit government guarantees by sending clear policy signals that limit the government's role in backing local financing platform debts. This will encourage more accurate risk pricing. Second, further development of market-based credit enhancement mechanisms is needed, especially on improving the effectiveness of professional guarantee companies and collateral-based services. The government should also promote greater involvement of private enterprises and third-party guarantors to enhance risk-sharing.
The key contribution of this paper lies in its in-depth analysis of the interaction between implicit guarantees and credit enhancement mechanisms, providing a comprehensive framework for understanding how implicit guarantees can undermine the effectiveness of credit enhancement mechanisms. By exploring the diverse characteristics of guarantors and different types of guarantees, this study deepens the current understanding of bond guarantee systems and market-based pricing models, offering practical policy suggestions to facilitate the marketization of Urban Investment Bonds. Moreover, the research brings a new perspective to local government debt risk management, proposing market-driven solutions to reduce the reliance on implicit debt guarantees and promote greater transparency and efficiency in the bond market.
For future research, it would be valuable to further explore the long-term effects of policy reforms on the sustainability of local government debt, particularly in contexts where the development of credit enhancement mechanisms remains uneven.

The original intention of the trading suspension system in stock markets is to alleviate information asymmetry and facilitate the efficient integration of significant information into stock prices. The system requires listed companies to proactively apply for trading suspension and disclose significant information before its release, leaving investors sufficient time to evaluate the information and adjust investment strategies. This is intended to enhance price discovery efficiency upon resumption of trading and reduce price volatility (e.g., Greenwald and Stein, 1991; Kodres and O’Brien, 1994; Corwin and Lipson, 2000). However, as the authority to apply for suspension lies with listed companies, opportune suspension applications can be exploited by controlling shareholders to manipulate stock prices for personal gains. Such suspensions, termed “arbitrary suspensions” by Shi et al. (2019), deviate from the original intention of the suspension system and can significantly harm market liquidity and resource allocation efficiency in the stock market.
On May 27, 2016, the Shanghai and Shenzhen Stock Exchanges jointly issued a new policy guideline, which provided detailed and explicit regulations on compliant reasons for suspension, the duration of suspension, and disclosure requirements. This strengthened the cautious suspension obligation of listed companies and provided policy guidance at the institutional level to address the chaotic phenomenon of arbitrary suspensions. Detailed and explicit policy guidance helps investors identify arbitrary suspensions based on the new rules. When investors perceive negative signals or decisions from a company, they may “vote with their feet” to increase downward pressure on stock prices, negatively impacting the company's value and creating a form of market deterrence (Callen and Fang, 2015; Gu and Zhou, 2017). The issuance of the suspension rules in 2016 provided objective guidance and judgment criteria for arbitrary suspensions. Before the issuance of the guidance policy, it was difficult for the market to form a clear understanding of arbitrary suspensions, making it challenging to induce group behavior. The issuance of the suspension rules guided the market (including investors and listed companies themselves) to form a clear understanding of arbitrary suspensions. Considering this, our paper empirically investigates whether there is herding behavior in the arbitrary suspension decisions of companies at that time, specifically, whether companies' arbitrary suspension behavior manifests as “following the crowd” (following channel) or “learning from past experiences” (learning channel).
Based on these hypotheses, this study employs a quasi-natural experiment using the 2016 new suspension rules and investigates the intra-industry peer effects of arbitrary suspensions among A-share listed companies before and after the new suspension rules. First, after issuing the suspension rules, we find that the existence of arbitrary suspensions in the previous quarter significantly reduces the probability of arbitrary suspensions by listed companies in the current quarter, indicating an industry-wide herding effect characterized by the learning channel. Second, after the issuance of the suspension rules, investors react significantly negatively to companies engaging in arbitrary suspensions. This market deterrence can provide warning signals to herd members, thereby restraining listed companies in the industry from imitating each other in arbitrary suspensions. Specifically, the new policy guides the market to identify and deter arbitrary suspension behavior by listed companies, thereby regulating their decisions through market mechanisms. Third, heterogeneity analysis finds that market punishment received by industry-leading companies after arbitrary suspensions has a stronger deterrent effect on herd companies, and companies with less listing experience and better corporate governance are more likely to reduce their motivation for arbitrary suspensions after observing market deterrence. In addition, the main findings hold after robustness tests such as supplemental sample periods and the use of propensity score matching to correct for sample selection bias.
In conclusion, this paper explores the characteristics of arbitrary suspensions by listed companies from the perspective of herding effects. It finds the existence of a “learning from past experiences” industry-wide herding effect in arbitrary suspensions, providing new insights for regulatory authorities and investors to prevent and control arbitrary suspensions and enriching the literature related to factors influencing them by listed companies. The paper finds that market deterrence can trigger a “learning from past experiences” herding effect, thereby serving as a collective force in assisting policy guidance to regulate listed company suspensions. It provides empirical evidence for the comprehensive use of policy guidance and market deterrence to address the chaotic phenomenon of arbitrary suspensions by listed companies while responding to the principle of non-intervention and maximizing the role of market deterrence in institutional building in the capital market.

This paper presents an approximate upper bound for the equity premium, utilizing a generalized volatility index named LVIX. LVIX is derived from index option prices and is designed to account for potential deviations from put-call parity. The motivation for constructing LVIX emerges from the observation that both the VIX and SVIX, constructed based on the Chinese stock market data, negatively predict the market excess returns.
As a crucial indicator of fear sentiment and systemic risk, the VIX attracts significant attention from both regulatory authorities and financial institutions. While previous studies have shown a positive link between VIX and future market excess returns, this relationship is notably absent in the Chinese context. As an alternative, Martin (2017 QJE) explores the price discovery ability of options and relates the market's expected return to its risk-neutral variance, proposing a modified index, the so-called SVIX, to measure the expected excess return. Furthermore, Martin (2017) finds that not only SVIX provides a lower bound for equity premium, but it is also close to its true value. In other words, the predictive coefficient of SVIX concerning the excess return of the US market is 1, providing a direct measure of the equity premium. However, our empirical results show that SVIX's predictive coefficient for the excess return of the Chinese stock market remains negative.
Modern asset pricing theory posits that higher systematic risk should correspond to higher expected returns. Though it seems that VIX and SVIX can provide measurements of riskiness and the expected risk premium on the U.S. market, both fail to measure the riskiness of the Chinese Stock Market. The negative correlation between SVIX (VIX) and future excess return on the Chinese stock market challenges the risk-premium tradeoff principle. If one adopts VIX or SVIX to approximate the riskiness of the Chinese stock market, the more risk she bears, the less expected return she can obtain.
Building on these insights, this paper instead extends Martin's (2017) framework into a more general setting to estimate the risk-neutral variance of excess returns. In theory, both the SVIX and VIX are designed to measure the uncertainty associated with risky returns. The VIX quantifies the risk-neutral entropy of the risky returns, while the SVIX provides an alternative measure of the risk-neutral variance. This duality justifies the common practice of adopting both indices as indicators of asset riskiness.
However, both VIX and SVIX ignore the potential put-call parity violation. Though the violation of put-call parity tends to be minimal in the US market, our study reveals that the violation is significant in the Chinese stock market.
Therefore, this paper extends the framework of Martin(2017) to characterize an approximated upper bound of the risk premium, not only taking the potential violation of put-call parity into account but also providing an approximation of risk-neutral variance estimation when the parity violation is not ignorable. Though it is straightforward to extend the estimation of risk neural variance to accommodate the potential violation of put-call parity, a direct result from this estimation is that the risk-neutral variance of the Chinese stock market can be negative if one adopts Carr and Madan's (2001) formula. For example, the mean value of this naive estimation of the risk-neutral variance of the Chinese stock market is-0.0952 from Jan 2016 to Jul 2017 and is-0.0807 from Feb 2020 to Jun 2020.
Our theoretical analysis results in a more general index, called LVIX, where “L” stands for the market frictions, e.g., liquidity constraints. Utilizing data spanning from January 2016 to December 2023 for China-sourced from Wind, and from January 1996 to December 2020 for the U.S. sourced from Option Metrics, we have uncovered several key findings: (1) the predictive coefficients of R_f,t→T·LVIX²_t→T of SSE50 and S＆P500 are both close to 1, confirming the theoretical derivation. In contrast, the predictive coefficient of R_f,t→T·SVIX²_t→T is negative for the SSE50 though close to 1 for S＆P500. (2) This predictive efficacy of R_f,t→T·LVIX²_t→T remains robust even after accounting for various other predictive indices, including price-to-earnings ratios and realized returns. (3) When compared to a passive buy-and-hold strategy or an investment strategy predicated on SVIX, a strategy based on LVIX significantly enhances out-of-sample investment performance. Theoretically, the difference between LVIX and SVIX is tiny when the violation of put-call parity is minimal. However, SVIX is not proportional to the risk-neutral variance of excess return when violation of put-call parity is significant, in this case, LVIX remains to be proportional to an upper bound of the risk-neutral variance. In sum, our analysis reveals that LVIX offers not only a real-time measure of the risk premium but also a sophisticated, theory-driven method for assessing market risk.

Improving the information disclosure environment and enhancing the quality of information disclosure are the core of registration system reform and crucial to the capital market's healthy development. Despite this reform emphasizes high-quality information disclosure, issues of information falsification still exist. Thus, alongside external regulation, strengthening internal corporate governance is also essential. The Party and the state attach great importance to the high-quality development of private enterprises, which often exhibit lower disclosure quality and greater information asymmetry. Research suggests that introducing state-owned capital can promote private enterprises' high-quality development. As minority shareholders, state-owned capital provides resource advantages while allowing private sector decision-making to remain intact. State-owned shareholders will also actively perform supervisory and governance responsibilities to protect their interests. However, corporate information disclosure decisions are primarily overseen by the board of directors, and the exact impact of state-owned shareholders' involvement in private enterprise boards has rarely been studied. Whether state-owned shareholders can effectively alleviate information asymmetry through high-level governance is crucial to the effectiveness of reverse mixed-ownership reform in improving the quality of information disclosure in listed companies.
According to relevant provisions in the Company Law, state-owned shareholders have the right to board seats proportional to their shareholding. By appointing directors to participate in corporate decision-making and supervising management's actions, state-owned shareholders can mitigate potential misconduct by major shareholders, enhance board efficiency and regulatory compliance, and reduce opportunistic information disclosure by major shareholders and management, thus improving the quality of information disclosure and alleviates information asymmetry.
In the financing market, state-owned capital participation and board appointments signal the strong company credentials, offering robust credit endorsement and easing financing for private enterprises. State-appointed executives protect the interests of minority state-owned shareholders by opposing unfavorable proposals, addressing concerns about resource control due to dispersed shareholding. Stable capital flow enhances private enterprises' resilience against external uncertainties and boosts their growth potential. During this process, private enterprises improve information disclosure to convey positive operational signals, further enhancing their market competitiveness.
This study uses A-share private listed companies from 2008 to 2020 as research samples, performing propensity score matching between samples with and without state-appointed directors to eliminate the impact of differences in state-owned shareholder ownership. The study finds that the involvement of state-owned shareholders in private enterprises' boards effectively alleviates information asymmetry, with more significant effects observed in private enterprises with low minority shareholder governance participation, weak media supervision, and less intense market competition. Further analysis reveals that state-appointed directors contribute to information governance through supervisory and resource effects, with those having financial or legal backgrounds and relatively younger state-appointed directors having a more pronounced impact. The economic consequence analysis shows that after state-appointed directors participate in governance, information asymmetry in private enterprises has been alleviated, which helps enhance the accuracy of analysts' forecasts and the efficiency of corporate investments.
Compared to previous literature, this study offers several potential academic contributions. First, it shifts from the perspective of ownership-level diversity to board-level diversity, supplementing the literature on reverse mixed-ownership reform and state-appointed directors governance. Second, it adds to research on impact of mixed ownership in private enterprises on information asymmetry, focusing on the influence of state-owned shareholders' participation in board governance on information disclosure. Third, it further explores the economic consequences of state-owned shareholders' participation in board governance from the perspectives of capital market information intermediation and corporate capital allocation efficiency, enhancing the practical explanatory power of the results.
The conclusions of this study provide insights for policymakers, participants in mixed-ownership reform, and capital market investors. First, integrating these two ownership forms stimulates the institutional complementarity potential to alleviate both types of agency conflicts, and decision-makers should steadfastly advance mixed-ownership reform in private enterprises. Second, mixed ownership reform needs to be substantively implemented at a deeper level, ensuring that state-owned shareholders can appoint directors to participate in high-level decision-making and governance in private enterprises and gain access to necessary internal information. Additionally, actively involving state-appointed directors in corporate governance offers investors a new source of reference information for assessing company quality.

Promoting the digital transformation of enterprises can not only promote the deep integration of the digital economy with the real economy but also accelerate the formation of new quality productive forces, serving as the main lever for implementing a series of current policy objectives. However, the digital transformation of Chinese enterprises is still in the initial exploratory stage. Most enterprises are trapped in the dilemma of insufficient resources for digital transformation and are also facing the problem of organizational changes and management models that cannot adapt to digital transformation. The failure rate of enterprise digital transformation remains high, and there is an urgent need for external support. Most existing literature focuses on the economic consequences of digital transformation, while there is a relative lack of research on the drivers of digital transformation. Considering this, this paper attempts to examine the mechanism of the impact of high-speed rail (HSR) opening on the digital transformation of enterprises.
This study posits that the opening of HSR significantly reduces the spatial and temporal distance, capable of breaking down the information barriers caused by geographical distance and promoting the aggregation of talent capital and other elements in the cities along the line. On one hand, the opening of HSR dismantles the information barriers due to geographical distance, making cross-regional exchanges between enterprises more convenient. Given the high-risk nature of digital transformation, enterprises have a motive to “imitate” the experiences of upstream and downstream enterprises in the process of digital transformation. After the opening of HSR, frequent offline exchanges between upstream and downstream enterprises will facilitate the diffusion of digital transformation experience information along the supply chain, which is beneficial to solving the problem of insufficient transformation experience. On the other hand, the core-periphery theory suggests that transportation infrastructure can improve trade conditions between regions, prompting the continuous flow of production factors from peripheral areas to central areas. HSR can attract production factors to gather in cities along the line by enhancing market potential, thereby alleviating the difficulties enterprises face in talent shortages and financing constraints during the digital transformation process. Therefore, this paper investigates the impact of HSR opening on enterprise digital transformation.
This paper constructs a multi-time-point difference-in-differences model to study the impact of HSR opening on enterprise digital transformation and its mechanism of action. The study finds that the opening of HSR significantly promotes the digital transformation of enterprises. After overcoming the endogeneity problem of HSR opening by constructing instrumental variables with the “minimum spanning tree” and conducting parallel trend tests, spillover effect tests, and robust estimations of heterogeneity treatment effects, the findings of the study still hold. Heterogeneity analysis indicates that the promotional effect of HSR opening on enterprise digital transformation is more pronounced in enterprises with executives who have a digital background, in strategic emerging industries, and regions with better institutional environments. Mechanism analysis shows that the information learning effect and the resource agglomeration effect are important pathways through which HSR opening promotes enterprise digital transformation. The information learning effect is manifested in HSR opening facilitating enterprises to learn digital transformation experiences from upstream and downstream enterprises in the supply chain, solving the problem of insufficient experience in enterprise digital transformation; the resource agglomeration effect is manifested in HSR opening driving the agglomeration of factors such as talent and capital, addressing the issue of resource scarcity in enterprise digital transformation.
The marginal contributions of this paper are threefold. First, it complements the literature on the economic effects of HSR. This paper examines the causal effect of HSR opening on enterprise digital transformation, which not only complements the research on the effect of HSR opening from the perspective of enterprise digital transformation, but also has policy implications for effectively promoting the development of new quality productivity in practice. Second, it enriches the research literature on the driving factors of enterprise digital transformation. This paper verifies the impact of the opening of HSR on enterprise digital transformation from the two mechanisms: information learning effect and resource agglomeration effect, which provides useful insights for enterprises to get rid of the digital transformation dilemma of “not daring to change” due to lack of experience and “not being able to change” due to lack of resources. Third, the opening of HSR is a typical multi-temporal event, and the assessment of its policy effect is easily disturbed by the heterogeneity treatment effect. This paper adopts a robust estimator of heterogeneous treatment effects to identify the impact effects of the opening of HSR, which provides a reference for subsequent studies on assessing the effects of HSR.

Rural households are the backbone of agricultural production. Improving their access to formal agricultural credit and addressing their financing difficulties are crucial for advancing agricultural modernization, revitalizing rural areas, and ensuring national food security. Credit accessibility for rural households is shaped by the development of the financial system, along with institutional and organizational factors in the agricultural and rural economy. As a major agricultural nation, China has recently implemented various financial reforms to ease rural households' financing difficulties. These include both targeted measures addressing specific issues and broader policies offering comprehensive solutions. Despite these efforts, challenges persist, with the issues inherent in agricultural and rural areas limiting rural households' credit accessibility. In the future, enhancing rural households' access to formal agricultural credit will require reforms of influential institutions and organizations in agriculture and rural areas. Cooperatives are one such organization.
Using data from the China Rural Revitalization Survey (CRRS) database, this paper studies how cooperative membership influences rural households' access to formal agricultural credit. The empirical results show that while joining cooperatives improves rural households' access to formal agricultural credit, the effect is weaker than expected based on both theoretical analysis and international experiences. Our results remain after mitigating endogeneity issues using propensity score matching (PSM), instrumental variables, and a series of other robustness tests. Mechanism analysis reveals that cooperative membership affects rural households' access to credit through at least three channels: improving rural households' income levels, strengthening their creditworthiness, and increasing their preference for formal credit. We also analyze why the effect is weaker than expected. The results show that the quality of cooperatives is a key factor that limits the cooperatives' efficiency in improving rural households' credit accessibility. Both a low degree of cooperation and poor cooperation performance hinder the positive effect of cooperatives on rural households' credit accessibility. We also examine external factors that could strengthen the credit enhancement effect of cooperatives. Empirical results suggest that expanding the scale of per rural household's farmland, developing high-standard farmland, and improving digital infrastructure enhance cooperatives' credit enhancement effect.
Our contributions are fourfold. First, previous studies either lack generalizable evidence of nationwide cooperative practices or focus on the effect of “the presence of cooperatives in a village”. Using representative data from Chinese rural households, our paper examines the direct impact of cooperative membership on rural households' access to formal agricultural credit and provides a more comprehensive assessment of their relationship. Second, previous studies usually assume the quality of cooperatives is homogeneous, neglecting the variation in practice. Our paper examines how the uneven quality of cooperatives limits their effectiveness in improving rural households' access to formal agricultural credit. Furthermore, we extend the analysis by focusing on two key aspects: the degree of cooperation and cooperation performance. By highlighting how insufficient development of cooperatives constrains their credit enhancement effect, this paper addresses a gap in existing literature. We also examine the influence of three external factors in improving the credit enhancement effect of cooperatives, namely, the scale of farmland per rural household, the construction of high-standard farmland, and the construction of digital infrastructure. These findings offer a deeper understanding of how to mitigate rural households' financing difficulties. Our results indicate that rural households' credit accessibility depends not only on the financial system but also on the agricultural and rural economy. Addressing rural households' financing challenges requires a comprehensive strategy that includes developing agriculture-related organizations and improving the quality of the agricultural and rural real economy. Third, rural households' access to credit is influenced by both supply-side-and demand-side factors. While previous studies often focus solely on the supply side, our paper examines both sides by analyzing how cooperative membership affects households' credit accessibility by improving their income levels, creditworthiness, and preference for formal credit. Our findings provide nuanced evidence of the relationship between cooperatives and formal credit access for rural households, helping policymakers design targeted policies to better leverage cooperatives in addressing rural households' financing difficulties. Finally, given that China is a major agricultural nation, theoretical and empirical findings on Chinese cooperatives form valuable insights for agricultural and rural development in other developing countries.

For a long time, family support and “raising children for old-age support” have been the mainstream model of old-age care in China. However, ageing, sub-replacement fertility and the increasing size of the disabled senior population have posed a great challenge to traditional family support. Therefore, establishing a society with “a sense of security and joy in old age” for the senior population has become one of the major issues in society. To further improve the multi-level social security system for the senior population, provide basic security for the disabled senior population, and reduce the economic and care burden, China has gradually launched the long-term care insurance (LTCI) pilot program in various cities since 2016. Using data from the China Health and Retirement Longitudinal Study (CHARLS) in 2011-2020, this research examines the impact of LTCI on the elderly care patterns of the disabled senior population from the perspectives of financial independence and residential independence through the difference-in-differences method. The empirical results show that LTCI can significantly enhance the financial independence of the disabled senior population while LTCI has no significant effect on their residential independence. Specifically, if LTCI covers the disabled senior population, the probability of being financially dependent on their children decreases by 22.92 percentage points, while the probability of living with their children does not decrease. Second, this research also finds that there are heterogeneous effects of LTCI on elderly care patterns: generous LTCI (covering both the moderate and severely disabled) can significantly reduce the probability of being financially dependent on their children more than normal LTCI (covering only the severely disabled senior population); LTCI with in-cash benefits can significantly increase the probability living with their children. In addition, LTCI significantly increases the financial independence of disabled elderly who are female, cognitively impaired and have fewer children, while LTCI significantly decreases the probability of living with their adult children for the male and low-income group. Finally, this research finds that LTCI reduces net transfer from children to parents and offline contact frequency, weakening the intergenerational support that the senior population receives from their children.
With the above findings, we have two policy insights. First, regarding LTCI design, LTCI with in-kind benefits has a weaker and less significant impact on the financial independence of the disabled senior population than LTCI with in-cash benefits. LTCI with in-cash benefits significantly negatively affects the residential independence of the disabled senior population, while most pilot cities currently adopt LTCI with in-kind benefits. In addition, compared with the normal LTCI, the generous LTCI can more effectively increase the financial independence of the disabled senior population, while most pilot cities currently adopt the normal LTCI. Therefore, to ensure the LTCI fund is sustainable and considering that the formal care market is still underdeveloped, encouraging LTCI with in-cash benefits and generous LTCI can better improve the financial independence for the disabled senior population and reduce the care burden for their families as well as increase the contact frequency of the disabled senior population and children. Secondly, even though the LTCI can significantly reduce the financial and informal care burdens of families with the disabled senior population, the involvement of formal care with LTCI reduces the frequency of intergenerational interactions. This alienates the disabled senior population from their children and may aggravate the sense of loneliness of the disabled senior population. Therefore, by improving the LTCI system, family support should be strengthened through the media and other channels to promote emotional and financial support for the senior population.
This research has the following two contributions. First, assessing the senior population's care patterns includes both the living arrangements and the financial source of support for old-age people. Therefore, this research investigates the impact of LTCI on the elderly care patterns of the disabled senior population based on the dual perspectives of the financial source and the living arrangement. Second, the existing literature finds that the reimbursement method of LTCI (in-cash benefits or in-kind benefits) and the eligibility criteria (generous LTCI and normal LTCI) significantly affect individuals' willingness to pay for LTCI and other welfare outcomes. Moreover, there are significant differences in the disability risk by individual characteristics such as gender. Therefore, this research investigates the heterogeneous effects of LTCI on elderly care patterns by different LTCI institutional and individual characteristics.
Future research can further focus on the causal effect of LTCI on various welfare outcomes, such as the elderly mental health, children's well-being, or social welfare, and provide more empirical evidence for LTCI improvement and establishing the multi-level social security system for the senior population.