This paper investigates the impact of the COVID-19 pandemic on the volatility spillover and dependence structure among the major developed and emerging stock markets. The TVP-VAR connectedness decomposition approach and R-vine copula are implemented in this research. The results of the TVP-VAR connectedness decomposition approach reveal that the volatility spillover among the major developed and emerging stock markets has been significantly strengthened by the outbreak of the COVID-19 pandemic, although it has gradually faded over time. In addition, during the pandemic, the UK, German, French and Canadian stock markets are the spillover transmitters, while the Japanese, Chinese Hong Kong, Chinese and Indian stock markets are the receivers. It is also found that the US and Brazilian stock markets have undergone role shifts after the outbreak of the COVID-19 pandemic. The results of the R-vine copula model indicate that during the pandemic, the Canadian, French, and Chinese Hong Kong stock markets are the most important financial centre in the American, European, and Asian stock markets, respectively. Furthermore, the effect of the extreme risk contagion has been strengthened by the pandemic, particularly the downside risk contagion.

Retail investors are rising in prominence but have historically been granted little direct access to question corporate management relative to professionals like sell-side analysts and institutional investors. Because retail investors are relatively less sophisticated and can require hand-holding, we examine whether information asymmetry among investors decreases when firms answer questions from the retail investor base. We exploit ’s investor interactive platforms (IIPs), which were designed to facilitate retail investor access to management. IIPs allow questions to be anonymously and publicly posted, but answers can only pertain to previously disclosed information and there is no explicit penalty for low-quality answers. We find that IIP answers reduce bid-ask spreads, with stronger answer effects when managers respond quickly, provide direct answers, and interact with IIP users who focus on the firm. These information asymmetry reduction benefits are substantially attenuated, and in some cases non-existent, for state-owned enterprises (SOEs), who have less incentive to publicly engage with retail investors. Finally, our findings reveal that on average the marginal effects of answers are smaller than for posted questions, suggesting that while firms benefit from answering questions to lower investor integration costs, IIP activity that lowers awareness and acquisition costs is also important.

In this paper, we argue that investor sentiment is a more direct determinant for asset pricing than information, thus we propose the Sentiment Efficient Markets Hypothesis (S-EMH), complementary to the traditional Efficient Market Hypothesis (EMH), to provide a powerful instrument to interpret financial facts and anomalies inconsistent with the traditional EMH. Besides the theoretical argument, we also verify the hypothesis with a brand-new systematic index of investor sentiment, Gubasenti, derived from textual analysis on more than 200 million posts from an online Chinese stock forum. The examinations are implemented in both market-level and firm-level, and results show that investor sentiment has a significant impact on asset pricing in both levels. It demonstrates the proposed hypothesis.

近些年，比特币价格持续增长，伴随 2021年马斯克公开高调入场，其市值更是突破万亿美元大关，一路赶超腾讯、特斯拉、Facebook、阿里巴巴等著名企业，截至2021 年 2 月 20 日，比特币位居全球市值第六名，本文将以比特币为首的加密货币纳为同原油、黄金、小金属并列的稀缺资源，并与以证券市场为代表的常规市场相对比，探究加密货币在“后疫情时代”下的资产配置价值。文章首先区分加密货币与央行数字货币的区别，探究比特币不会归零并将持续存在的原因，再通过对加密货币与资本市场资产配置中的收益率对比与期望方差的考究，探索其资产配置的可行性，并探究其负面效应与风险控制。探究其在合法范围内对国内金融行业的积极作用。本文的积极意义在于：国内金融市场是否可以把握加密货币带来的历史机遇，充分发挥其合法的独特长处与一定程度的稀缺属性，同时加大对加密货币领域的科研力度，完善监管体系，让加密货币成为推动中国金融业资产配置收益增长的新动力。

We study investors’ responses to increasing tax reporting awareness and scrutiny in the crypto markets. Using novel data on retail investors’ trading, we ocument significant taxation effects on investors’ behavior and preferences for crypto-exchanges. Investors engage in tax-loss harvesting through wash trading and trading new products such as non-fungible tokens, consistent with the motive to minimize taxable events, improve tax reporting quality, and balance portfolio losses. U.S.-based traders engage in more tax-loss harvesting at the end of the year than their international peers. We further examine billions of trades on the trading books of large crypto exchanges and discover widespread tax-loss harvesting trades on U.S.-based crypto exchanges, amounting to billions of dollars in tax revenue losses for the government. Finally, we discuss ongoing anti-tax-loss harvesting proposals in anticipation of traders’ likely reactions.

The crypto and noncrypto markets used to be separated from each other. We argue that with the rapid development of stablecoins since 2018, risks are now transmitted between the crypto and noncrypto markets through stablecoins, which are both pegged to noncrypto assets and play a central role in crypto trading. Applying copula-based CoVaR approaches, we find significant risk spillovers between stablecoins and cryptocurrencies as well as between stablecoins and noncrypto markets, which could help explain the tail dependency between the crypto and noncrypto markets from 2019 to 2021. We also document that the risk spillovers through stablecoins are asymmetric—stronger in the direction from the US dollar to the crypto market than vice versa—which suggests the crypto market is re-dollarizing. Further analyses consider alternative explanations, such as the COVID-19 pandemic and institutional crypto holdings, and determine that the primary channels of risk transmission are stablecoins’ US dollar peg to the noncrypto market and their transaction-medium function in the crypto ecosystem. Our results have important implications for financial stability and shed light on the future of stablecoin regulation.

Bank bailouts are systemic in China, having been extended to nearly all distressed banks, including those with no systemic importance. This paper investigates the consequences of regulators seizing control of Baoshang Bank, the country’s first bank failure in two decades. Despite the numerous liquidity and credit provision measures immediately implemented by bank regulators, we find that the collapse of this city-level commercial bank significantly exacerbated funding conditions in the market for negotiable certificates of deposit (NCD), resulting in liquidity distress for other banks. Our empirical analysis demonstrates that the spillover of Baoshang’s collapse is disproportionately concentrated in systemically unimportant (SU) banks, owing to diminished market confidence in government bailouts of SU banks, or implicit nonguarantee. We employ a difference-in-differences approach to show that the Baoshang event had a persistent and significant effect on SU banks’ NCD issuance, increasing credit spreads by 21.9 bps and the likelihood of issuance failure by 6.3%. Our empirical framework further enables us to examine the impact of China’s long-standing guarantee of SU banks, which we find impairs price efficiency, undermines market discipline, encourages excessive risk taking, and raises equity prices.

This paper examines the health consequence of rising housing prices by exploiting spatial and temporal variation in housing price appreciation linked to individual-level health data in China from 2000 to 2011. Using an instrumental variable approach, we find robust evidence that increases in housing prices significantly raise the probability of residents having chronic diseases. This negative health impact is more pronounced among individuals from lowincome families and rural to urban migrants. Exploring various possible channels, we find that marriage culture and marriage market competition exacerbates the negative health effects, particularly for males and parents with young adult sons. Our results also reveal that housing price appreciation induces negative health consequences through increased work intensity, higher mental stress, and changes in lifestyle. This paper underlines the unintended health consequences of the real estate market prosperity.

《民法典》在担保物权领域做了许多重大的调整，这对于金融行业也是一巨大的冲击，有利于促进金融改革和金融创新、加快金融法治建设。金融担保制度是目前市场经济大环境中加强社会信用的关键制度，是金融创新中防范信用风险的重要手段。本文以让与担保为视角对《民法典》中的相关规定进行理论梳理和实证分析，探讨让与担保制度对我国金融担保的影响，规划金融法治建设应对策略和金融担保的未来规划。

We document that monetary policy has asymmetric effects on investments by large and small firms in China. Large firms’ investment are highly responsive to monetary expansions, but less affected by monetary contractions. In contrast, small firms’ investments are less responsive to monetary expansions, but significantly affected by monetary contractions. We argue that this asymmetric responses of large and small firms stem from their differential access to credits in a two-tiered banking system. Large firms borrow from the big state-owned banks, which have a strong depositor base, whereas small firms borrow mainly from small banks which does not have a large depositor base and therefore rely heavily on the inter-bank market for financing their loans to small firms. We build a DSGE model with heterogeneous banks, heterogeneous firms, and an inter-bank market that is calibrated to the Chinese data. We show that the model’s quantitative predictions about the effects of monetary policy on large and small firms are consistent with the facts we documented.