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.

Direct experience of a peer’s punishment might have a sobering effect above and beyond deterrence (information about punishments). We test this mechanism in China studying the reactions to listed state-owned enterprises’ (SOEs) punishments for fraudulent loan guarantees by firms in the same location or industry (peers) and non-peer firms, across SOEs and non-SOEs. After experiencing SOEs’ punishments, peer SOEs cut their loan guarantees by more than non-peer SOEs and peer non-SOEs, even if information is common to all firms. The reaction is stronger for peer SOEs whose CEOs have higher career concerns or face lower costs of cutting guarantees.

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.