This paper examines the different responses of local and foreign investors to host government risk perceptions in the context of extreme events. We develop COVID-19 attention indices that capture attention related to COVID-19 according to China Central Television (CCTV) news program and further construct the government’s risk perception (GRPC) measure about COVID-19. Given the cross-listed AH-shares in China, we find that GRPC caused the extreme movement of stock markets by applying the multi-quantile VaR Granger causality approach. The results show that the reaction of cross-listed stocks in the A-share market is more inflexible than that in the H-share market during the outbreak period of the pandemic, foreign investors follow GRPC as a weather vane than local investors, and both types of investors are more concerned about the pessimism of GRPC. In the period of epidemic normalization, local and foreign investors prefer the optimistic attitude conveyed by the Chinese government.

The COVID-19 pandemic has inflicted substantial impacts on global financial markets and the economy. This study explores the impact of two pandemic outbreaks in China on its stock market industries. It employs the Conditional Autoregressive Value at Risk (CAViaR) model to compute tail risks across 16 selected industry sectors. Additionally, risk correlation networks are constructed to illustrate the risk correlations among industry sectors during different phases of the two outbreaks. Furthermore, risk contagion networks are built based on the Granger causality test to examine the similarities and differences in the contagion mechanisms between the two outbreaks. The findings of this study show that (i) the two outbreaks of COVID-19 have resulted in tail risks for most industries in the Chinese stock market. (ii) The risk correlation network became more compact because of both outbreaks. The impact of the second outbreak on the network was less severe than that of the first outbreak. (iii) During the first outbreak of COVID-19, the financial industry was the primary source of risk output; during the second outbreak, the concentrated outbreak in Shanghai led the industries closely related to the city's economy and trade to become the most significant risk industries. These findings have practical implications for researchers and decision-makers in terms of risk contagion among stock market industries under major public emergencies.

Using annual time series data (1978-2010), the present paper examines the nexus between financial intermediation development and economic fluctuation in China. The time series properties of the data are analyzed by bounds testing approach, ARDL model and vector error-correction model. The empirical results show that, there is long-term negative equilibrium relationship between financial intermediation development and economic fluctuation margin. However, although the short-term dynamics of volatility in economy growth can make adjustments in light of the long-term equilibrium relationship, it is not enough for economic fluctuation margin to revert to the equilibrium only through the error correction mechanism. Meanwhile, using the Granger causality test based on error correction model, the present paper finds the empirical evidence to support unidirectional Granger causality from financial intermediation development to economic fluctuation margin.

This paper investigates the dynamic and long-run relationships between monetary policy and asset prices in China using monthly data from June 2005 to September 2010. Johansen’s cointegration approach based on vector autoregression (VAR) and Granger causality test are used to identify the long-run relationships and directions of causality between asset prices and monetary variables. Empirical results show that monetary policies have little immediate effect on asset prices, suggesting that Chinese investors may be ‘irrational’ and ‘speculative’. Instead of running away from the market, investors rush to buy houses or shares whenever tightening monetary actions are taken. Such seemingly irrational and speculative behavior can be explained by various social and economic factors, including lack of investment channels, market imperfections, cultural traditions, urbanization and demographic changes. The results have two important policy implications. First, China’s central bank has not used and should not use interest rate alone to maintain macro-economic stability. Second, both monetary and non-monetary policies should be deployed when asset bubbles loom large to avoid devastating consequences when they burst.

This paper investigates the dynamic and long-run relationships between monetary policy and asset prices in China using monthly data from June 2005 to September 2010. Johansen’s cointegration approach based on vector autoregression (VAR) and Granger causality test are used to identify the long-run relationships and directions of causality between asset prices and monetary variables. Empirical results show that monetary policies have little immediate effect on asset prices, suggesting that Chinese investors may be ‘irrational’ and ‘speculative’. Instead of running away from the market, investors rush to buy houses or shares whenever tightening monetary actions are taken. Such seemingly irrational and speculative behavior can be explained by various social and economic factors, including lack of investment channels, market imperfections, cultural traditions, urbanization and demographic changes. The results have two important policy implications. First, China’s central bank has not used and should not use interest rate alone to maintain macro-economic stability. Second, both monetary and non-monetary policies should be deployed when asset bubbles loom large to avoid devastating consequences when they burst.

This paper investigates the dynamic and long-run relationships between monetary policy and asset prices in China using monthly data from June 2005 to September 2010. Johansen’s cointegration approach based on vector autoregression (VAR) and Granger causality test are used to identify the long-run relationships and directions of causality between asset prices and monetary variables. Empirical results show that monetary policies have little immediate effect on asset prices, suggesting that Chinese investors may be ‘irrational’ and ‘speculative’. Instead of running away from the market, investors rush to buy houses or shares whenever tightening monetary actions are taken. Such seemingly irrational and speculative behavior can be explained by various social and economic factors, including lack of investment channels, market imperfections, cultural traditions, urbanization and demographic changes. The results have two important policy implications. First, China’s central bank has not used and should not use interest rate alone to maintain macro-economic stability. Second, both monetary and non-monetary policies should be deployed when asset bubbles loom large to avoid devastating consequences when they burst.

This paper investigates the dynamic and long-run relationships between monetary policy and asset prices in China using monthly data from June 2005 to September 2010. Johansen?s cointegration approach based on vector autoregression (VAR) and Granger causality test are used to identify the long-run relationships and directions of causality between asset prices and monetary variables. Empirical results show that monetary policies have little immediate effect on asset prices, suggesting that Chinese investors may be ?irrational? and ?speculative?. Instead of running away from the market, investors rush to buy houses or shares whenever tightening monetary actions are taken. Such seemingly irrational and speculative behavior can be explained by various social and economic factors, including lack of investment channels, market imperfections, cultural traditions, urbanization and demographic changes. The results have two important policy implications. First, China?s central bank has not used and should not use interest rate alone to maintain macro-economic stability. Second, both monetary and non-monetary policies should be deployed when asset bubbles loom large to avoid devastating consequences when they burst.

The debate among various market partic-ipants on the short-selling of securities continues today. Opponents of short-selling argue that it disrupts orderly mar-kets by causing panic selling, high vola-tility, and market crashes. So this paper investigates what the impact of short sell-ing on the volatility and liquidity of Hong Kong stock market is, and the results in-dicate that short selling volumes do not Granger-cause market volatility, but volatility Granger-cause short selling volumes. Moreover Granger causality tests show that there is a double direc-tional causality relationship between short selling volumes and market liquidity.

In this paper, we pay attention to the relationship between stock index and increments of trading accounts in A, B share market and funds. We show that there exists bilateral relationship between A, B index and their trading accounts increments. However, Granger causality only exists from stock index to increments of funds accounts. Regressions show that the investors’ sentiment will be easily driven by the index in the same direction, which imply momentum strategy in a very short period. In comparison, when using weekly data, only increments of funds accounts Granger cause the stock index. These uncover the differences between fund managers and small investors while investing on stock market. We also analyse the relationship between index volatility and trading accounts volatility.

内容摘要：中国经济发展的重要目标之一就是保持国民经济快速平稳增长，实现这一目标必然要求从战略高度审视经济波动问题，把提高经济增长质量作为经济社会发展的基本优先目标。本文通过构建基于要素投入、货币供应与中国经济波动的AKM模型，采用1953-2004年样本序列数据，运用向量自回归模型（VAR）、脉冲响应函数（IRF）以及Granger Causality Test，实证检验了资本投入、技术进步、货币供应波动与经济波动之间的相互关系。实证结果表明：资本投入波动是经济增长波动的主因，货币供应量波动次之，技术进步引致的经济波动则更为平缓和持久。在较短的时期内，资本存量和货币供应波动更容易引致宏观经济波动，且波幅较大，而技术冲击则从更长的时期内对宏观经济波动产生影响。此外，我国技术进步并不内生于经济增长以及货币供应非中性的推论也值得重视。最后，文章就如何实现我国经济平稳增长提出了简要的政策建议。 Abstract: One of the most important objectives of Chinese economic develoment is to keep GDP growing fastly and stably. Realizing this objective, We must survey the problem of economic fluctuation from a strategic view and treat it as the basic and prior goal of economic and social development. Through formating AKM model and appling VAR IRF and Granger Causality Test with 1953-2004 data, this paper finds:the main reason of economic fuctuation is capital input and money supply follows. In a short term, the fluctuation caused by capital input and money supply is more easier and stronger, while technology impulse always causes macroeconomic fluctuation softly and durable in a long term. Otherwise we should also pay attention to the non-neutrality character of money supply and the non-endogenesis of technology progress . Finally this paper raises some brief countermesures.