We use daily transaction data in 214 cities to study the impact of COVID-19 on consumption after China's outbreak late January 2020. Based difference-in-difference estimation, offline consumption--via bank card and mobile Quick Response code transactions--fell by 32 percent, or 18.57 million renminbi (RMB) per city, during 12-week period. The effect is prevalent across more pronounced dining-and-entertainment travel categories. infer that decreased over 1.22 trillion RMB, 1.2 percent 2019...

We use daily transaction data in 214 cities to study the impact of COVID-19 on consumption after China's outbreak late January 2020. Based difference-in-differences estimation, offline consumption—via UnionPay card and QR scanner transactions—fell by 32%, or 18.57 million RMB per city, during twelve-week period. Spending goods services were both significantly affected, with a decline 33% 34%, respectively; within finer categories, dining & entertainment travel saw greatest dip 64% 59%. The...

Click to increase image sizeClick decrease size Acknowledgements We would like thank Jing Han and Nayoung Lee for their valuable comments. also Vivian Wong, Min Chen, Sophia Lok, Margaret Loo Ceara Hui able research assistance. Haiqiang Chen acknowledges the financial support from National Natural Science Foundation of China Grant #71201137.

This study investigates the effect of introducing index futures trading on spot price volatility in Chinese stock market. We employ a recently developed panel data policy evaluation approach (Hsiao, Ching, and Wan, 2011) to construct counterfactuals market volatility, based mainly cross‐sectional correlations between international markets. new method does not need specify particular regression or time‐series model for process around introduction date trading, thus avoids potential omitted...

Abstract Exploiting account‐level daily stock holding records of over 24,000 retail investors, we show that local investors increase holdings stocks more than the nonlocals' in case natural disasters. Additional tests suggest effect is likely driven by investors' information advantage about intrinsic value stocks, navigating them to underpriced ones and thus achieving superior returns. Our study reveals economic reasoning underlying biases particularly under

A growing body of threshold models has been developed over the past two decades to capture nonlinear movement financial time series. Most these models, however, contain a single variable only. In many empirical applications, with or more variables are needed. This article develops new autoregressive model which contains variables. likelihood ratio test is proposed determine number regimes in model. The finite-sample performance estimators evaluated and an application provided.

This paper studies the robust estimation and inference of threshold models with integrated regressors. We derive asymptotic distribution profiled least squares (LS) estimator under diminishing effect assumption that size converges to zero. Depending on how rapidly this sequence converges, model may be identified or only weakly theorems are developed for both cases. As convergence rate is unknown in practice, a model-selection procedure applied determine identification strength construct...

Due to high rejection rates and the costly time-consuming application procedures, small medium-sized firms may be discouraged from applying for a bank loan, thus resulting in so-called self-rationing behaviour. Using World Bank Enterprise Survey Data collected 2,700 privately owned China during 2011–2013, we document that there exist significant number of enterprises (SMEs) which have good performance financing needs, but are loan. We theoretically empirically show digital finance...

This paper investigates the effect of introducing index futures trading on spot price volatility in Chinese stock market. We employ a recently developed panel data policy evaluation approach (Hsiao et al. 2011) to construct counterfactuals market volatility, based mainly cross-sectional correlations between and international markets. new method does not need specify particular regression or time series model for process around introduction date trading, thus avoids potential omitted variable...

We investigate the dynamic relationship between prices of Chinese A and H market cross-listed shares using Enders–Siklos threshold cointegration approach. Our data are daily closing Hang Seng China AH (A) index (H) from 4 January 2006 to 1 November 2013. find a these two indices, instead linear well established in literature. The short-term adjustment equilibrium shows an asymmetric effect according price deviation equilibrium. Moreover, Granger causality test, we bi-directional markets,...

This paper investigates the duration dependence of US stock market cycles. A new classification method for bull and bear regimes based on crossing index its moving average is proposed. We show evidence in whole The half cycles, however, are found to be independent. More importantly, we find that degree cycles has dropped after launch NASDAQ index.

Abstract The literature of time series models with threshold effects makes the assumption a constant value over different periods. However, this time-homogeneity tends to be too restrictive owing fact that triggers regime switching could possibly time-varying. This study herein proposes model in which is assumed latent variable following an autoregressive (AR) process. newly proposed was estimated using Markov Chain Monte Carlo (MCMC) algorithm under Bayesian framework. simulations are...

The impact of options introduction on the underlying equities has been a topic interest for decades, but mixed conclusions have obtained in various financial markets, using different sample periods and methodologies. This paper examines SSE 50ETF volatility four GARCH family models. For all models, we consistently find significant decrease equity after introduction, along with an improvement information flow price. Further analysis shows that impacts speculative hedging option trading...

Commodity futures have been largely blamed for the price hikes in 2007/mid-2008 and 2010/2011 decreased food security around world, especially less developed countries. There still exist serious disagreements between most economists policymakers as to whether this is case. We run time-series regressions all samples subsamples lower-income, middle-income, high-income countries respectively. The empirical results show that commodity a more significant negative impact on low-income than...

We study the spending response at offline retailers to China’s Singles Day, world’s largest E-Commerce shopping holiday. Consumer’s credit and debit card brick-and-mortar stores increases by 10.5% on Day during 2013-2017. The increase is concentrated in physical retail goods, with no effect categories unaffected online promotions such as dining, entertainment & travel, service. prevalent throughout years across consumer demographics preferences. Exploiting O2O integration events that allow...