This paper studies the global volatility connectedness network among 16 stock markets under different market conditions. We construct measures of tail connectedness following Ando et al. (2022) by introducing quantile regression into the classic Diebold-Yilmaz network model. We demonstrate the...

This paper investigates the existence of herding behavior in the Chinese mutual fund market from a time-varying perspective. We examine the relationship between the dispersion of fund returns and the fund market returns using a Markov regime switching approach, and explore the driving factors of...

As one of the largest carbon emitters worldwide, China has promised to peak its carbon emissions by 2030 and achieve national carbon neutrality by 2060. In order to achieve the carbon reduction goal, the low-carbon pilot (LCP) program has been implemented in China since 2010. It is particularly...

This paper investigates how different commodity prices are affected by unconventional monetary policies (UMP) implemented by the Federal Reserve of the United States as a response to the Global Financial Crisis. We analyze impulse responses using local projections proposed by Jorda (2005) and...

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...