The purpose of this paper is to investigate the time varying relationships between the Chinese copper futures market and its London counterparts. Rolling correlation and rolling Granger causality test show that with the development of the Shanghai copper futures markets?it has stronger...

Methods for gene set analysis test for coordinated changes of a group of genes involved in the same biological process or molecular pathway. Higher statistical power is gained for gene set analysis by combining weak signals from a number of individual genes in each group. Although many gene set...

The paper uses rolling sample tests to investigate time-varying calendar effects in the Chinese stock market, based on the GARCH (1, 1)-GED model. The Friday effect existed with low volatility at the early stage, but it seems to have disappeared since 1997. The positive Tuesday effect began to...

This article investigates the partial adjustment process with asymmetries on Chinese stock index returns and volatilities. Rolling sample windows method is proper to capture evolving asymmetric behaviours of Chinese emerging stock market. The empirical evidence shows that index returns do have...

This study utilizes tests based on ranks and signs suggested by Wright (2000) together with the traditional variance ratio test to examine the behaviour of some Chinese stock indices. The results have shown that the null hypothesis of martingale difference behaviour of the Chinese index returns...

This paper analyzes three major asymmetries in stock markets, namely, asymmetry in return reversals, asymmetry in return persistency and asymmetry in return volatilities. It argues for a case of return persistency as stock returns do not always reverse, in theory and in practice. Patterns in...

In this study, we forecast economic policy uncertainty (EPU) using input on 23 commodity price changes. We reveal the significant predictability of EPU using three forecast combinations. This indicates that commodity price changes can be taken as a leading indicator of EPU.

Although China has implemented many air pollution control policies, its air pollution problems remain severe with rapid economic development. The strategy of controlling single pollutant in one period and adding another in the next period (i.e., gradual control strategy) adopted in China has...

Frequent adjustments of environmental regulations usually cause business and investment risks, resulting in significant challenges for policy effectiveness. This paper examines how regulatory uncertainty affects decision making through an empirical study of the ‘Pay for Permit’ policy in the...

This paper examines the comovement between the Chinese and US stock markets over the period between January 4, 2000 and January 13, 2012. We show that there is no cointegration relationship between the two markets, even when allowing for structural change. Their conditional correlation...