Cross-firm momentum effects via shared analyst coverage are well-documented in de-veloped markets, but their robustness remains unclear in emerging markets, where information diffusion is asymmetric and analyst coverage is highly concentrated. Our work revisits this effect in an environment of extreme informational frictions — the Chinese market. We reconstruct the information transmission channel within the an-alyst coverage network by introducing a novel weighting scheme based on strength centrality (SC). This measure identiffes inffuential leader firms that command dis-proportionate attention from both analysts and the market. Our results demonstrate that SC-weighted connected-firm returns robustly predict cross-sectional stock returns, yielding significant and persistent profits even under a rigorous stock filter. This per-formance cannot be subsumed by strategies based on alternative weighting schemes or by explanations such as intra-industry cross-firm momentum and information discreteness. Further analysis reveals that the superiority of the SC-based approach stems from its ability to effectively identify firms with stronger cross-period fundamental linkages. In addition, high-SC stocks are characterized by higher investor attention, more efficient information processing, lower arbitrage costs, and greater internationa exposures. With this evidence, we further confirm a directional spillover: cross-firm momentum effects flow exclusively from these high-SC leaders to low-SC laggards, and there is no reverse spillover. Our findings suggest that cross-firm momentum may be systematically underestimated in many international markets due to methodological limitations rather than economic irrelevance. The SC-based framework therefore of-fers a portable tool for global investors and researchers operating in environments with asymmetric information.

Do investors respond to what fund managers say, or how they look saying it? Using 2,000 live-streamed sessions by Chinese ETF managers and multimodal machine learning, we show that managers’ facial expressions, not their words, drive fund flows. A one-standard-deviation increase in positive facial affect raises next-day flows by 0.17pp (260% of mean). Vocal tone shows weak effects; textual sentiment shows none. Critically, facial expressions predict flows but not returns, indicating pure persuasion rather than information transmission. Effects strengthen when investors are emotionally vulnerable (down markets, retail-heavy funds) and persist 2-3 weeks before dissipating. Our findings challenge the emphasis on textual disclosure in finance and raise questions about investor protection as video communication proliferates.

This paper studies the presence of informed trading in Taiwan stock index options (TXO) and analyzes the informational role of foreign institutions in incorporating information into Taiwan stock index futures (TX). We have found that only the option-induced part (OOI) of the total TX order imbalance can predict future TX prices, and the OOI calculated from open-buy TXO, defined by Ni et al. (2008), provides incremental predictability. This finding shows that the price predictability stems from the information flow resulting from option transactions rather than from liquidity pressure. We conclude further that option transactions from foreign institutions provide the most significant predictability, out-of-the-money option transactions in particular. These empirical results show that option transactions conducted by foreign institutions have played the primary role in conveying the information inherent in the TXO market to the TX market, foreign institutions being delta-informed traders. Retail investors, the major players in both the TXO and TX markets, have done almost nothing of significance with regard to TXO information transmission into the TX market, with the exception of some near-the-money and out-of-the-money options.

This paper investigates information transmission and price discovery mechanisms in informationally linked and non-synchronous trading markets within the multivariate generalized autoregressive conditional heteroskedasticity framework. Using daily data for copper and soybean contracts from the Chinese futures and spot markets, as well as the London Metal Exchange (LME) and Chicago Board of Trade (CBOT) futures markets, we show that there are asymmetric lead-lag relationships between any two of the three markets. We also find that the volatilities spill over from one market to another for both cases of copper and soybeans. However, the copper and soybean markets exhibit quite different patterns of information transmission. Further, we highlight the remarkable role of the Chinese futures markets in the price formation process, though the LME/CBOT futures markets are the main driving force in price discovery.

This paper provides a theoretical analysis of return and volatility spillover effects between developed and emerging futures markets with investment obstacles. It mainly focuses on analysis of the effects on equilibrium futures price, investors’ trading strategies and their wealth distributions in the emerging market. Three hypotheses are proposed. The first two assume that there is either return or volatility spillover between the two markets. The last one combines the first two together by assuming that there are both return and volatility spillovers between the markets. Our analysis results show that the equilibrium futures price, investors’ trading strategies and their wealth distributions in the emerging futures market are affected by (1) the scale of informed traders in the emerging market who form their expectations of delivery price by using the spillovers from the developed market, (2) the spillovers degree that the informed in the emerging market expect, and (3) whether there is return spillover or volatility spillover, or both. Overall, the findings suggest that if there are both return and volatility spillovers, then ignoring the volatility spillover, investors will make improper investment decisions so that the futures contracts could be overpriced and the traders’ wealth could be harmed. The theoretical analysis provide an important implication for empirical examination on the spillover effects between markets, that is, both return and volatility spillover effects should be considered jointly, otherwise the return spillover effects can be overestimated. Empirical examination in copper futures markets generally supports the conclusions drawn from our theoretical analysis.