A monetary policy rule which contains the characteristics of concerning multiple asset prices is derived with reference to current macroeconomic models. Then by using real estate price, stock price and financial condition index (FCI) as asset price deputies respectively, we study the reaction of monetary policy to asset price using BEKK multivariate GARCH model including Markov Regime-Switching, so as to capture the time variant feature of monetary policy. It’s shown that: (1) the monetary policy’s concern on asset price has the Markov Regime-Switching feature; (2) the integrated FCI index is superior to the single asset price (real estate and stock price indices) as asset price deputy; (3) monetary policy only concerns asset price when it exhibits strong volatility, while at other times, the traditional Taylor rule focusing only on output gaps and inflation rates, remains a better description of policy behavior. The conclusions are rubust over different periods. These conclusions show that the central bank does concerns asset prices when its volatility become larger, which implies a macro-prudent intention in maintaining financial stability.

Using a panel dataset of 280 Chinese prefecture cities for the years 2000-2013 and the difference-in-differences estimation approach, this paper investigates the causal impact of the construction of high-speed rails on city economic growth, explores the lag effect and spatial spillover effect of the high-speed rails project. In particular, we address the endogeneity issue of the selection of high-speed rails project by utilizing instrumental estimation approach. We find that high-speed rails significantly promote economic growth of the cities, and also the high-speed rails project generates positive spillover effect on the neighboring cities. On average, the treated cities obtain a higher rate of economic growth (at a rate of 2.7 percentage points) than the control cities; and the spillover effect of the high-speed rails project brings 2 percentage points of higher economic growth rate for cities having high-speed rails in their neighboring regions than the rest of the control cities. Our further analysis also highlights that the high-speed rails promote industry upgrading and accelerate urbanization process.

The literature does not take housing price volatility and residential mortgage risks into capital adequacy models, albeit the subprime crisis verifies that they affect bank safety. Hence, this paper combines housing price volatility and residential mortgage into optimal capital adequacy models. Employing the bank-level databases of China’s 189 commercial banks and their germane city-level databases of housing price indices over 2005Q1-2015Q4, this paper finds that the trend terms of housing price positively affect capital adequacy ratio, but the volatility terms of housing price have negative effects on capital adequacy ratio. As a consequence, China’s commercial banks have a salient pro-cycle nature in capital adequacy since 2005. Second, the volatility terms of housing price have an asymmetric effect on capital adequacy ratio. The effects of upward housing price volatility on capital adequacy ratio are greater than that of downward housing price volatility. Thus, to improve counter-cycle management, the commercial banks should have more capital at the presence of upward housing price movement while less capital at the presence of downward housing price movement. Lastly, the mortgage ratio negatively affects the capital adequacy ratio, which testifies that the residential mortgages are the relatively higher-quality assets in the commercial bank asset pool and could be increased by a proper ratio.

Based on Hsieh and Klenow (2009), this paper put forwards the index of overall resources misallocation within firm, and uses the database of Chinese industrial enterprises in 1998-2007 to measure the resource misallocation and factor distortion of the firms. Further this paper introduces “productivity effect” and “factor substitution effect” through which the misallocation affects the firms’ export behavior, and proposes the Heckman two-stage model to explore the effect of the misallocation on the firms’ export. It is found that “factor substitution effect” plays a determinant role. Due to the factor substitution effect, the overall misallocation within firm would increase the probability of export and the export scale. The labor distortion can depress the firms’ export, while the capital distortion promotes the firms’ export behavior due to the characteristics of foreign trade mainly based on processing trade. The tighter financial constraints would increase firms’ export probability and export intensity. There exists the significant interaction effect between financial constraints and resource misallocation on the firms’ export.

Based on political power transformation channel, this paper empirically tests the influence of policy uncertainty caused by core official turnover to firms’ capital investment. Results find that, the policy uncertainty because of turnover of city-level leaders would decrease firms’ investment efficiency, and this influence is more pronounced when firms are in regions that faced with strong government intervention or political connection. Furthermore, when there is a non-regular turnover or the successor comes from other cities, firms’ investment efficiency is more affected. Additional tests show that one influence channel is the policy uncertainty increase firm’s stock market price co-movement, which further decrease the information content of stocks. The economic consequence of the policy uncertainty is, firms are prone to decrease their investments and drop those projects with positive NPV, which causes the worse performance. Our evidences add to the “policy uncertainty and corporate finance” literature.

The empirical study based on TVP-VAR shows that domestic oil prices are influenced by international prices; yet domestic coal prices have leading effect on international prices. On monthly data level, energy prices show dependence on China’s macroeconomic data, revealing the endogenous characteristics. The endogenous coal and oil prices have complex effects on industrial income, profit and stock prices, which may expand the bubble factor in security market. The complex effects on economy are not the reason that monetary policy should respond to energy prices, the systematic simulation shows that the stable monetary policy is more beneficial to economic stability.

We document new facts in P2P lending market using transaction level data of five thousand accounts from a leading P2P platform. We provide new evidence on male being overconfident in online financial market. Previous literature studying gender effect in stock market, suffers from confounding factors like risk preference, information asymmetry or liquidity constraint. Using P2P investors as a cleaner setting, we find that male investors’ turnover is 1.67% higher than female investors’, and annualized returns 0.24% lower than female investors, other things being equal. The results cannot be explained by preference difference, sample selection or liquidity constraint. Instead, the lower returns of male investors are primarily driven by higher trading cost due to their excessive trading.

In this paper, we investigate the impact of foreign acquisitions on performance of target firms in China using a unique dataset. We use OLS model as baseline, and also apply propensity score matching (PSM) combined with difference-in-differences (DID) approach to overcome endogeneity caused by foreign acquisitions. The empirical results consistently show that foreign acquisitions have significantly improved TFP, value-added, EBIT, etc, of target firms. In addition, the impact of foreign acquisitions is more significant in targets acquired by OECD acquirers, with foreign majority ownership and one-off deals. These findings have policy implications concerning industrial upgrading and foreign acquisitions in China.

Considering the realistic background of China’s implementing the rule of law and innovation driven development strategy, this paper studies the influence of creditor protection on corporate innovation, by using the difference-in-difference approach which based on the quasi natural experiment about the implementation of the “bankruptcy law” and “property law” in 2007. We find that corporate innovation increases significantly among the enterprises with large external financing needs after the implementation of the “bankruptcy law” and “property law”, which illustrates the improvement of creditor protection promotes the innovation of enterprises positively. Further studies show that the positive correlation is more significant in companies with high innovation demand and low corporate governance level. Meanwhile the enterprises’ long-term debt increase and trade credit enhancement are important ways to promote the effect of creditor protection on corporate innovation. This study provides new evidence for the disputation on the relationship between creditor protection and corporate innovation, and it has important implications of improving the laws and regulations to protect investor rights, enhancing corporate innovation and adopting the strategy of innovation driven development.

Using a unique dataset in China, we investigate who drives stock price-based comovement and how information acquisition alleviates investors’ behavioral bias. We find that: price-based comovement is significantly driven by individuals’ trading behaviors. Moreover, investors’ information acquisition effectively alleviates individuals’ behavioral bias. Our results are robust to different specifications and alternative measures. We provide clear evidence for regulators about the issue of minority shareholder protections.

From the perspective of capital operation around the expiration of share lockups, this paper reveals a new mechanism of stock market turbulence. Based on the data of 2007-2014, we first present the capital operation modes initiated by blockholders, and then explore the reason, mechanism and consequences of capital operation. The results show that: (1) there are eight types of capital operation, among which equity transfer, asset acquisition and divestiture are most common. Peer effects exist in the type decision-making. Most of the capital operations are initiated around the expiration of share lockups. (2) blockholders can gain profit through improving stock price and selling it at a relatively high price. (3) the economic consequence of doing so is exacerbating stock price crash risk. These results prove that capital operation combined with expiration of share lockups and reduce is a tunneling way, as well as a factor causing stock price crash risk. In practice, this paper reveals a new way to damage interests of small investors, and an important source of stock market volatility.

In the post-financial crisis period, the stock price crisis has been a focus in the field of theory and practice. Using a large sample of management selling from 2007 to 2013, we investigate whether and how management selling leads to increased risk of stock price crash. We find that: (1) the risk of listed company’s stock price crash is positively associated with the value of management selling, (2) for firms with stronger selling incentive and greater selling utility, the risk of stock price crash is more significantly influenced by management selling, (3) to identify the channel: we document that management has incentive to bury the bad news before the stock selling, and eventually cause stock price crash risk. This paper provides the direct evidence to the cause of stock price crash.

Whether the short selling mechanism influence the analysts’ forecast behavior？ Based on deregulation on short selling of China in 2010, the study using double difference model inspection finds that deregulation on short selling increases downside risks,and small and medium-sized investors’ departure influence securities trader’s brokerage revenues,which prompts analysts issuing bullish earnings forecasts. In large companies, the effect is more pronounced. Further analysis finds that, in “bull market”, the effect is particularly significant.