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


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

What's New

with Chen Yao


  • The well-documented U-shaped intraday patterns of stock liquidity (e.g., McInish & Wood '92) do not hold in recent years
      • e.g., bid-ask spreads increase preceding market close in 1993 but decrease in 2017; see the figures below
  • The diurnal patterns of trading volume and price volatility also shift
  • Explanation: the rise of index fund and ETFs, who trade at the close to minimize tracking errors
  • Causal evidence established by exploiting the switches between Russell 1000/2000 indexes

1993

2017

  • Machine learning techniques (e.g., neutral network) 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)
  • Unboxing the blackbox: machine learning can caputure country-specific, non-linear and complex return-characteristic relationships
      • with analyzing the cases of China and Japan

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

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, and the massive entry of new investors intensified the trading of exisiting investors in the warrant market.

  • 10 times more investors start warrant trading since the first day after the stamp tax increase on 5/30, 2007
  • More active investors tend to subsitute trading in stocks to warrant after the event

Emission-Minus-Clean Return and Abnormal Temperature

Sample: 74 stock exchanges from 2011 to 2017.

with Zhenyu Gao and Darwin Choi, Review of Financial Studies, Forthcoming

  • 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


  • Direct effect of credit supply is only half the story
  • 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

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

Market anticipation of margin lending rollout: cumulative return by vintages

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

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, 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