Foreign institutional investors and stock return comovement

We investigate whether foreign institutional investors facilitate firm-specific information flow in the global market. Specifically, using annual institutional ownership data from firms across 40 countries, we find that foreign institutional ownership is negatively associated with excess stock return comovement. Our results are more pronounced when foreign institutional investors originate from common-law countries and hold a large equity stake in invested firms; and when the invested firms are located in civil-law countries. Overall, the evidence suggests that foreign institutional investors from countries with strong investor protection play an important informational role in mitigating excess stock return comovement around the world.

Administrative Division Adjustment and Housing Price Comovement:Evidence from City-County Mergers in China

Interregional housing price comovement is a stylized fact worldwide.This study explores how it is affected by administrative division adjustment.We exploit city-county mergers in China as a quasi-natural experiment to construct a difference-in-differences strategy for causal identification.Based on monthly housing price data for districts(counties)in China from 2010 to 2019,we find that city-county mergers significantly improve correlations in housing prices between the merged county and the urban district.This effect is more obvious in cities with a large economic gap between merged counties and urban districts,located in the central and western regions,and with lower administrative hierarchies(non-provincial-capital cities).The mechanism test shows that the impact of city-county mergers on housing price comovement results mainly from integrating housing demand rather than integrating housing supply,like the unified land supply policy that local government implements in the new administrative scope after mergers.The results are helpful in understanding housing price comovement from the view of regional integration and provide clear policy implications for housing market regulation in China.

Administrative division adjustments and stock price comovement:Evidence from the city–county mergers in China

Under the background of Chinese market segmentation,whether governmentled administrative division adjustments can promote regional economic integration is a practical issue.Taking interregional firms’stock price comovement as a micro measurement of regional integration,this paper investigates the regional integration effect of administrative division adjustments,i.e.,city–county mergers.We find that stock price comovement between county-level and municipal district-level firms in the merged counties and municipal districts significantly improve after city–county mergers,particularly in regions with a higher degree of market segmentation and lower degree of marketization.We further find that the increase in stock price comovement caused by city–county mergers emerges from the increase in comovement of real activities between firms in the merged counties and municipal districts.Taken together,our results suggest that government-led administrative division adjustments effectively promote regional integration.

The Impact of Value-Added Trade on Global Economic Comovement

Using a value-added accounting framework,we conducted empirical research to analyze product value-added in accordance with the principle of value-sourcing and value-absorption areas,so as to decode"the trade-comovement puzzle."As our study shows,value-added trade can provide a significant positive stimulus for the economic comovement,but it is marked by asymmetry between hub and spoke countries with the former having a pivotal role.Our analysis of cohesive subgroups indicates that cohesive subgroups and value-added trade are complementary.When bilateral countries belong to the same subgroup,the intensity of their value-added trade exerts an increasing influence on the economic comovement.China has adopted a non-equilibrium opening up strategy and has actively boosted value-added linkages with hub countries;its utilization of the correlative effect of economic growth will enable it to achieve convergence with the growth of high-income economies.At the same time,China is taking advantage of being the core node in the Belt and Road trade network and is continuing to boost the construction of the Belt and Road Initiative,providing channels for countries along the Belt and Road to integrate into the global value-added system of division of labor and building a global economic environment that features win-win collaboration and co-development.

The transaction behavior of cryptocurrency and electricity consumption

Rapidly increasing cryptocurrency prices have encouraged cryptocurrency miners to participate in cryptocurrency production,increasing network hashrates and electricity consumption.Growth in network hashrates has further crowded out small cryptocurrency investors owing to the heightened costs of mining hardware and electricity.These changes prompt cryptocurrency miners to become new investors,leading to cryptocurrency price increases.The potential bidirectional relationship between cryptocurrency price and electricity consumption remains unidentified.Hence,this research thus utilizes July 312015–July 122019 data from 13 cryptocurrencies to investigate the short-and long-run causal effects between cryptocurrency transaction and electricity consumption.Particularly,we consider structural breaks induced by external shocks through stationary analysis and comovement relationships.Over the examined time period,we found that the series of cryptocurrency transaction and electricity consumption gradually returns to mean convergence after undergoing daily shocks,with prices trending together with hashrates.Transaction fluctuations exert both a temporary effect and permanent influence on electricity consumption.Therefore,owing to the computational power deployed to wherever high profit is found,transactions are vital determinants of electricity consumption.

14Ni3CrMoV锻钢的回火脆性研究

对14Ni3CrMoV锻钢的回火脆性进行研究的结果表明,回火脆性可以通过对冲击试样断口观察、晶界腐蚀、透射电镜分析和俄歇电子能谱分析等方法来判断,该锻钢的回火脆性与磷在晶界的偏聚和连续第二相在晶界的析出有关。

Time–frequency co-movement and risk connectedness among cryptocurrencies:new evidence from the higher-order moments before and during the COVID-19 pandemic

Analyzing comovements and connectedness is critical for providing significant implications for crypto-portfolio risk management.However,most existing research focuses on the lower-order moment nexus(i.e.the return and volatility interactions).For the first time,this study investigates the higher-order moment comovements and risk connectedness among cryptocurrencies before and during the COVID-19 pandemic in both the time and frequency domains.We combine the realized moment measures and wavelet coherence,and the newly proposed time-varying parameter vector autoregression-based frequency connectedness approach(Chatziantoniou et al.in Integration and risk transmission in the market for crude oil a time-varying parameter frequency connectedness approach.Technical report,University of Pretoria,Department of Economics,2021)using intraday high-frequency data.The empirical results demonstrate that the comovement of realized volatility between BTC and other cryp-tocurrencies is stronger than that of the realized skewness,realized kurtosis,and signed jump variation.The comovements among cryptocurrencies are both time-dependent and frequency-dependent.Besides the volatility spillovers,the risk spillovers of high-order moments and jumps are also significant,although their magnitudes vary with moments,making them moment-dependent as well and are lower than volatility connectedness.Frequency connectedness demonstrates that the risk connectedness is mainly transmitted in the short term(1–7 days).Furthermore,the total dynamic connectedness of all realized moments is time-varying and has been significantly affected by the outbreak of the COVID-19 pandemic.Several practical implications are drawn for crypto investors,portfolio managers,regulators,and policymakers in optimizing their investment and risk management tactics.

A new analytical approach for identifying market contagion

This study proposed a new analytical approach to identify the excessive comovement of two markets as contagion.This goal is achieved by linking latent-factor and single-equation error correction models and evaluating the breaks in the short-and long-term relationships and correlatedness in the linked model.The results demonstrated that a short-term relationship representing the market speed ratio between two markets plays a key role in contagion dynamics.When a long-term relationship or correlatedness is broken(comovement change)due to a break in the short-term relationship(market speed ratio),contagion is highly likely and should be formally declared.Bayesian posterior probabilities were calculated to determine the cause.Furthermore,this study applied this analytical Bayesian approach to empirically test the contagion effects of the U.S.stock market during the global financial crisis between 2007 and 2009 using 22 developed equity markets.

Collapsing Schwarzschild Interior Solution

We extend the static interior Schwarzschild solution to a collapsing model by applying geometrical methods. We examine the field quantities and field equations in the comoving and non-comoving observer systems. The collapsing stellar object contracts asymptotically to its minimum extent and needs an infinitely long time to arrive at the final state. The event horizon of the exterior Schwarzschild solution is not reached or even crossed. A geometric model of ECOs (eternally collapsing objects) is presented.

Who Plays the Key Role among Shanghai,Shenzhen and Hong Kong Stock Markets?

In this paper we examine the daily frequency stock market indices of Shanghai, Shenzhen and Hong Kong from January 2000 to June 2012, and use the Morlet wavelet coherence model to determine who is playing the most important role in the financial markets of China. We find that there are significant comovements between these stock markets in the medium and long run. This provides investors with opportunities to increase their capital gains. The Hong Kong stock market plays a leading role in the long run, but its leader position is threatened by fast-growing Chinese mainland stock markets, especially the Shanghai Stock Exchange. Based on our analysis, the following suggestions apply to the Chinese stock markets： establish and improve international and regional finance centers in Chinese mainland; encourage more qualified institutional investors; reposition the market relations among Hong Kong, Shanghai and Shenzhen; and increase deregulation and internationalization to speed up the integration of financial resources.

Evidence on the Effects of Money Growth on Inflation with Regime Switching

Since the latter half of 2010, a new round of inflation has gradually been manifesting in China. The debate regarding whether excess money supply is responsible for this inflation has attracted scholars to investigate the effects of money growth on inflation. In this paper, we use correlation analysis to confirm the comovement between growth of monetary aggregates and inflation. We explore the asymmetric effects of monetary policy on inflation using the Markov regime-switching model The empirical results show that monetary policy can be more effective in curbing inflation in a high inflation state than in boosting the price level in a low inflation state. However, simply tightening the money supply might not be sufficient to suppress the price level To this end, the Chinese Government should adopt other policies, such as supply stabilization policies, to help suppress the price level Our study can help policy-makers to determine the actual economic state and provides some policy implications for the current inflation.

Assessing the effectiveness of quarantine measures during the COVID-19 pandemic in Chile using Bayesian structural time series models

Background:With the emergence of the COVID-19 pandemic,all existing health protocols were tested under the worst health crisis humanity has experienced since the Black Death in the 14th century.Countries in Latin America have been the epicenter of the COVID-19 pandemic,with more than 1.5 million people killed.Worldwide health measures have included quarantines,border closures,social distancing,and mask use,among others.In particular,Chile implemented total or partial quarantine measures depending on the number of infections in each region of the country.Therefore,it is necessary to study the effectiveness of these quarantines in relation to the public health measures implemented by government entities at the national level.Objective:The main objective of this study is to analyze the effectiveness of national-and region-level quarantines in Chile during the pandemic based on information published by the Chilean Ministry of Health,and answers to the following question are sought:Were quarantine measures in Chile effective during the COVID-19 pandemic?Methods:The causal effect between the rates of COVID-19 infections and the population rates in Phase 1 and Phase 2 quarantines in the period from March 2020 to March 2021 in different regions of Chile were evaluated using intervention analyses obtained through Bayesian structural time series models.In addition,the Kendall correlation coefficient obtained through the copula approach was used to evaluate the comovement between these rates.Results:In 75%of the Chilean regions under study(12 regions out of a total of 16),an effective Phase 1 quarantine,which was implemented to control and reduce the number of cases of COVID-19 infection,was observed.The main regions that experienced a decrease in cases were those located in the north and center of Chile.Regarding Phase 2,the COVID-19 pandemic was effectively managed in 31%(5 out of 16)of the regions.In the southcentral and extreme southern regions of Chile,the effectiveness of these phases was null.Conclusion:The findings indicate that in the northern and central regions of Chile,the Phase 1 quarantine application period was an effective strategy to prevent an increase in COVID-19 infections.The same observation was made with respect to Phase 2,which was effective in five regions of northern Chile;in the rest of the regions,the effectiveness of these phases was weak or null.