Wenxi Jiang (Griffin)

Assistant Professor of Finance

CUHK Business School

The Chinese University of Hong Kong


Research Interests

Asset Pricing, Financial Institution, Behavioral Finance, The Chinese Financial Market


What's New

Emission-Minus-Clean Return and Abnormal Temperature

Sample: 74 stock exchanges from 2011 to 2017.

with Zhenyu Gao and Darwin Choi Conditionally Accepted, Review of Financial Studies

  • After experiencing abnormally warm weather, retail investors search more about "global warming" on Google and sell the stocks of high carbon emssion firms
  • The emission minus clean portfolio (EMC) exhibits negative returns when local abnormal temperature is high (Ab_Temp); see the figure on the left


-- 10th Annual Volatility Institute Conference at NYU, CICF 2018, ABFER, Helsinki Finance Summit, CKGSB, PolyU HK, University of Melbourne, Renmin Univ., Cavalcade Asia-Pacific


with C. Hansman, H. Hong, J. Liu, and J. Meng


  • Unconstrained investors speculate on higher prices right before constrained investors access to margin
  • During the staggered deregulation of stock-margin lending in China, the price of likely-to-qualify-for-lending stocks run up beforehand; see the figure


--Summer Institute of Finance, NBER Chinese Economy, CIFFP, UCLA, INSEAD, Cavalcade AP

--Winner of "Paper of the Year" Award, China International Forum on Finance and Policy 2018

Market anticipation of margin lending rollout: residualized market cap by vintages

Data of mutual fund outsourcing is updated and available to download!

with Jinghan Cai, Jibao He, and Wei Xiong. R&R at Review of Financial Studies

A study of the Whack-a-Mole game in China: a large increase in the stamp tax in the stock market made trading frenzy migrate to the warrant market, which are not subject to the stamp tax.

  • 10 times more investors start warrant trading since the first day after the stamp tax increase on 5/30, 2007
  • More speculative investors tend to subsitute trading in stocks to warrant after the event
Y-axis: frequency of greater returns higher than 4%X-axis: days before and after the change of the price limit from 10% to 5%

with Ting Chen, Zhenyu Gao, Jibao He, and Wei Xiong Forthcoming, Journal of Econometrics

  • Daily price limit rules may induce large investors to push stock prices to the upper price limit and then profit from selling these stocks on the next day
  • This unintended effect renders the daily price limits — a market stabilization scheme — counterproductive: the figure on the left shows that the volatility increases when the price limit changes from 10% to 5%
  • A non-technical summary on VoxChina