We propose a deep reinforcement learning method to improve pairs trading by identifying nonlinear relationships in stock news. Using the CSI 300 index constituents from 2015 to 2022, we integrated cointegration and news co-occurrence analysis in asset pairing and used a threshold-based approach in trading design. Results showed our NEWS-CO-DRL method, fusing deep learning and news co-occurrence, outperformed in return generation and risk control, indicating its potential for the Chinese A-share market.

China has now entered the pilot phase of the digital currency electronic payment, and the impact of the digital currency electronic payment on China's bank credit system is unknown. This paper analyzes the long-run equilibrium and short-run variation relationship between digital currency electronic payment and narrow money multiplier based on the long-run cointegration equation and short-run VECM using data from the first quarter of 2014 to the second quarter of 2022 for the scale of digital currency electronic payment usage and narrow money multiplier variables. It is found that the introduction of digital currency electronic payment will expand the narrow money multiplier by reducing the cash leakage rate and the excess reserve ratio, thus enhancing the credit creation capacity of China's banks; among the determinants of the narrow money multiplier, the proportion of factors that the central bank can control increases, and the central bank's monetary regulation capacity is enhanced. Finally, this paper proposes that the central bank should improve the technical construction of the central bank's digital currency, strengthen the cooperation with various participants, and enhance the supervision of merchant banks.

Using Granger Causal and Cointegration Tests, we analyzed the relationship between the open interests of commercial investors, non-commercial invest institution, retail dealers and the oil price in WTI futures market from 2003 to 2012. Found the short positions of commercial investors are determined by the basis and futures price. And the long positions held by commercial investors are for the need of commercial investors and invest institution to hold short positions. The investment institutions adjust the long positions by the change of the futures price. There are the co-integration relationship between the positions hold by Commercial customers and investment institutions. And the changes of short positions hold by investment institutions are affected by the long positions hold by investment institutions. The long positions holds by the commercial investors are affected by the short positions hold by the commercial investors and investment institutions. These founding can help us to understand the relationship and internal influences mechanism between the open interests and price in futures markets.

This paper applies a variety of short‐run and long‐run time series techniques to data on a broad group of Asia‐Pacific stock markets and the United States extending to 2010. Our empirical work confirms the importance of crises in affecting the persistence of equity returns in the Asia‐Pacific region and offers some support for contagion effects. Post‐Asian financial crisis quantile regressions yield substantial evidence of long‐run linkages between the Shanghai market, the US market and many regional exchanges. Cointegration is particularly prevalent at the higher end of the distribution. Our results suggest that the enormous growth of the Shanghai market in the new millennium has been accompanied by a meaningful level of integration with other regional and world markets in spite of ongoing capital controls.

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 study examines the relationships between three Northeast Asian stock markets of China, Japan, and Korea during the period between January 1, 2000 and September 30, 2010, with particular attention placed on the global financial crisis period. The findings of this study are as follows. Firstly, China is influenced more by regional markets rather than the global market. On the other hand, Japan is influenced more by the global market rather than regional markets. Korea has the most balanced level of integration between the regional and global markets. Secondly, a portfolio created through an integrated market in the region would result in a significant decline in the unsystematic risk of each country, benefiting both the investor and local economies. Thirdly, the recent global financial crisis has caused a shift in the pattern of integration in the region. All three countries show a higher level of integration with the global market after the financial crisis. Finally, for China, the global market risk has become even greater than the domestic unsystematic risk since 2010. Overall result suggests that the degree of integration among countries tends to change over time, especially around periods marked by financial crisis and there is a diversification benefit of integrated regional market.

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.

目的：研究人民币在澳门的流通情况，分析其流通可能受哪些因素的影响。方法：对澳门的人民币流通情况进行定性分析，并收集流通量数据和贸易量、博彩消费收入等数据，在ADF检验和协整检验后，建立误差修正模型，并进行Granger检验。结论：澳门对内地的贸易量、澳门从内地游客身上获得的博彩和旅游收入这两个因素将对人民币的流通量产生正面影响。而长期来看，人民币在澳门的流通情况可能还取决于内地直接投资、人民币汇率和澳门居民对人民币的信心。 OBJECTIVE: To discuss the current status of circulation of RMB in Macao, and to analysis the influence factors METHOD: Data has been collected, including RMB circulation, trade between mainland and Macao, gambling and lottery income from mainland. The paper has established an error correction model after Augmented Dickey-Fuller test and cointegration test. Granger test is also used to descript causal relations between data. RESULT and CONCLUSION: Two factors--trade between mainland and Macao, gambling and lottery income from mainland—have positive effects on RMB circulation in Macao. And the circulation status depends on direct investment from mainland, RMB exchange and confidence on RMB.