Safe-Haven or Speculation? Research on Price and Risk Dynamics of Bitcoin
Abstract:This paper investigates the price and risk dynamics of Bitcoin. Applying SVAR to study Bitcoin, gold and U.S. dollar in one system, we find that neither the gold nor U.S. dollar can explain Bitcoin pricing dynamics in the short-run. We further apply the DCC-MGARCH model to study the risk correlations. The results show that there exists volatility spillover effect and dynamic correlation between ...
Xin Liu, Bowen Li*
ARTICLE | Applied Economics Letters| 2024、31、4
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AI-Enabled Green Business Strategy: Path to Carbon Neutrality via Environmental Performance and Green Process Innovation
Abstract:This study aims to comprehend and test the mediating effect of Green Process Innovation (GPI) and the moderating effect of Green Dynamic Capabilities (GDC) on Artificial Intelligence (AI) enabled Green Business Strategies (GBS) and Environmental Performance (EP) relationship. 252 manufacturing sector employees in North India participated in the data collection. The study used Structural equation ...
Varun Chotia*, Yue Cheng, Reeti Agarwal, Sushant Kumar Vishnoi
ARTICLE | Technological Forecasting and Social Change | 2024、202
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Moral Hazard and Investment-Cash-Flow Sensitivity
Abstract:We develop a dynamic model of investment with moral hazard and provide a micro-foundation for financing constraints. In the model, standard investmentcash-flow sensitivity regressions will find a small coefficient on Tobin’s Q and a large and significant coefficient on cash flow. Our calibration replicates the empirical fact that larger and more mature firms are less financially constrained ...
Hengjie Ai*, Kai Li, Rui Li
ARTICLE | Annals of Economics and Finance | 2024、25、1
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Short Squeezes
Abstract:We investigate the prevalence and persistence of short squeezes and the corresponding economic consequences on the stocks being squeezed. Using daily short sale data, we provide evidence that a short squeeze on average subsides within seven trading days and can be driven by both the capital constraint of the short sellers and the short sale constraint of the underlying stocks. The risk of ...
Zhiqian Jiang, Baixiao Liu*, Andrew Schrowang, Wei Xu
ARTICLE | Financial Analysts Journal | 2024、80、2
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Profitability of Technical Trading Rules in the Chinese Stock Market
Abstract:This article examines the profitability of technical analysis on the Shanghai Stock Exchange Composite Index (SSEC) and the Growth Enterprise Market (GEM) Index, employing stepwise generalized error rate control procedures to address the data-snooping bias. Our comprehensive study encompasses 38,456 trading rules, extending beyond prior research by incorporating simple rules alongside their ...
O. -Chia Chuang, Hui -Ching Chuang*, Zixuan Wang, Jin Xu
ARTICLE | Pacific-Basin Finance Journal | 2024、84
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A Novel Carbon Emission Estimation Method Based on Electricity-Carbon Nexus and Non-Intrusive Load Monitoring
AbstractAccurate carbon accounting is foundational for power enterprises' participation in the carbon market. Current research on estimation of carbon dioxide emissions through electricity‑carbon index analysis primarily relies on an enterprise's total electricity consumption, which often leads to uncertainty and poor interpretability. In reality, carbon dioxide emissions within an enterprise are ...
Yingqi Xia, Gengchen Sun, Yanfeng Wang, Qing Yang*, Qingrui Wang*, Shusong Ba*
ARTICLE | Applied Energy | 2024、360
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Bequest Motives in the Housing Wealth Effect: A New Perspective from China
Abstract: While previous studies have extensively explored the impact of housing wealth on household consumption, only a limited number have investigated the role of bequest motives. This study focuses on understanding how bequest motives influence household consumption and decisions related to the intergenerational transfer of housing assets. Using panel data from three waves of the China Family Panel ...
Zhihao He, Qilin Zhang, Yinghao Pan*
ARTICLE |Cities | 2024、146
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VIX Option Pricing for Non-Parameter Heston Stochastic Local Volatility Model
Abstract:The Heston-Dupire model is a well-established stochastic local volatility model that offers a non-parametric representation. This model is known to closely match the implied volatility surface of options observed in the market. However, due to its non-parametric local component, Monte Carlo simulation is the only viable numerical method for derivative pricing under this model. This article ...
Junmei Ma*, Jiaxing Gong, Wei Xu
ARTICLE | The Journal of Derivatives| 2024、31、3
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How Gift Prices Affect Gratitude? "Right" Gift-Price Effect
Abstract:This research examines the effects of gift prices on recipients’ gratitude. Five studies show an inverted U-shaped relationship between gift price and recipients’ gratitude. Recipients are more likely to appreciate gifts of monetary value that align with their expectations than inexpensive or expensive gifts whose values do not meet the recipients’ expectations. Two parallel underlying ...
Jooyoung Park, Mengshu Chen, Jungkeun Kim*
ARTICLE | Australasian Marketing Journal | 2024、32、1
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