Wenxi Jiang (Griffin)

Assistant Professor of Finance

CUHK Business School

The Chinese University of Hong Kong

Research Interests

Financial Institution, Behavioral Finance, The Chinese Financial Market, Climate Finance

Email: wenxijiang [at] baf.cuhk.edu.hk

What's New

with Shiyang Huang, Xiaoxi Liu, and Xin Liu

- Present at Bank for International Settlements, Financial Stability and the Coronavirus Pandemic Conference (by Atlanta Fed and GSU)

  • Funds holding illiquid corporate bonds use Treasuries to buffer outflow shocks

  • Making Treasury prices sensitive to fund flow shcoks and more fragile in downside markets

  • The figure on the left shows that Treasuries held more by bond funds experienced larger price declines during the COVID-19 pandemic in March 2020

  • Neutral Network (NN) models are useful to predict returns with stock characteristics in 33 international markets

  • Annualized Sharpe ratio of a equal-weighted (value-weighted) long-short global portfolio reaches 3.81 (1.66)

  • Regression Tree (RT) models are prone to overfit, in particular when the number of observation is small

      • Figures below show that, unlike NN, RT models tend to have high in-sample R2 that are susbstantainlly reduced out of sample

with Chen Yao

  • The rise of indexing has fundementally changed the interday dynamics of trading and pricing

  • The U-shaped intraday patterns of stock liquidity, volume, and volatility all disappear in recent years

      • e.g., bid-ask spreads increase preceding market close in 1993 but decrease in 2017

  • Price informativeness decreses preceding market close

  • Causal evidence established by exploiting the plausbly random switches between Russell 1000/2000 indexes

in Marlene Amstad, Guofeng Sun and Wei Xiong (Eds): The Handbook of China's Financial System, Princeton University Press

  • An overview of the fast-growing mutual fund and private fund market in China

  • Introduction of the available databases for academic research