With training in advanced financial economics, I have diverse research interests. While my main fields are empirical asset pricing, and financial crime, I also wrote papers on applied econometrics, financial markets, and economic modelling.
Below is a list of the papers that I have published by far. Note that working papers often undergo substantial revisions and polishing during the reviewing process (usually 2+ years from a working paper to acceptance). Therefore, there may be nontrivial changes in the published version. If you need a final copy for academic use, please feel free to email me.
You may notice that there are some review papers, short communications, and case studies. They are not written intentionally but are spin-offs from large projects. These by-products are often submitted before the main papers. Usually, a large project yields one main paper (50+ pages and 5+ years) and one or two short papers (around ten pages and 2+ years).
For a full list of publications, please visit my ORCID record: Link or Google Scholar.
Published Papers
* = corresponding author
[16] Phelim Boyle*, and Zhe Peng, 2025. "Ponzi Schemes: A Review," Annals of Actuarial Science, 19(3), 543-572.
• The paper is available from the publisher: Link (open access); The working paper version is available on SSRN: Link • Part of Professor Boyle's series of research on Ponzi Schemes and my own dissertation essay entitled "Ponzi schemes" <main paper>. • Feeling that a pure modeling paper would be hard to publish, we tucked the modeling part into a review.[15] Phelim Boyle, Dongmei Li, Zhe Peng*, and Yahui Yang, 2025. "The Oversea Chinese Fund: A Complex Affinity-Based Ponzi Scheme," Journal of Economic Criminology, 8, 100142.
• The paper is available from the publisher: Link (open access)• An extended case study. A spin-off from my dissertation essay entitled "Ponzi schemes" <main paper>.[14] Zhe Peng*, Kainan Xiong, and Yahui Yang, 2024. "Microstructure of the Chinese Stock Market: A Historical Review," Pacific-Basin Finance Journal, 88, 102551.
• The paper is available from the publisher: Link (open access)• A review paper. The second spin-off of my 4th year paper (the first draft was written in 2019; first submitted in Apr 2023).[13] Zhe Peng*, Kainan Xiong, and Yahui Yang, 2024. "Segmentation of the Chinese Stock Market: A Review," Journal of Economic Surveys, 38(4), 1156-1198.
• The paper is available from the publisher: Link (open access)• A review paper. A spin-off of my 4th year paper (the first draft was written in 2019; first submitted in Feb 2021). • Media mention: Owen A. Lamont, Déjà bubble: Can bubbles repeat?, Arcadian, Feb 2025: Link[12] Yahui Yang*, and Zhe Peng, 2024. "The Impact of Openness on Real Exchange Rate Volatility: Evidence from China," Open Economies Review, 35(1), 121-158.
• The paper is available from the publisher: Link[11] Yahui Yang, Zhe Peng, and Jai-Won Ryou*, 2023. "What Determines the Long-Term Volatility of the Offshore RMB Exchange Rate?," Applied Economics, 55(21), 2367-2388.
• The paper is available from the publisher: Link[10] Chuanhai Zhang*, Huan Ma, Gideon Bruce Arkorful, and Zhe Peng, 2023. "The impacts of futures trading on volatility and volatility asymmetry of Bitcoin returns," International Review of Financial Analysis, 86, 102497.
• The paper is available from the publisher: Link; The working paper version is available on SSRN: Link[9] Chuanhai Zhang*, Zhengjun Zhang, Mengyu Xu, and Zhe Peng, 2023. "Good and bad self-excitation: Asymmetric self-exciting jumps in Bitcoin returns," Economic Modelling, 119, 106124.
• The paper is available from the publisher: Link[8] Muhammad Abubakr Naeem*, Zhe Peng, Elie Bouri, Syed Jawad Hussain Shahzad, and Sitara Karim, 2022. "Co-movement between Equity and Commodity ETFs: An Asymmetric Analysis in Time-Frequency Domain during the COVID-19 Outbreak," Resources Policy, 79, 103048.
• The paper is available from the publisher: Link[7] Chuanhai Zhang*, Haicui Chen, and Zhe Peng, 2022. "Does Bitcoin Futures Trading Reduce the Normal and Jump volatility in the Spot Market? Evidence from GARCH-Jump Models," Finance Research Letters, 47, 102777.
• The paper is available from the publisher: Link• A spin-off from Chuanhai Zhang's project on Bitcoin jump risk.[6] Zhe Peng*, Yahui Yang, and Renshui Wu, 2022, "The Luckin Coffee Scandal and Short Selling Attacks," Journal of Experimental and Behavioral Finance, 34, 100629.
• The paper is available from the publisher: Link; the working paper version is available on SSRN: Link (first version completed in Aug 2020)• An extended case study. A spin-off from my dissertation essay entitled "US-Listed Chinese Stocks and Short Selling Attacks" <main paper>. Due to the "case study" nature of the paper, it was rejected by 8 journals before submitted to JEBF. • Media coverage: Larry MacDonald, "Short sales on the TSX: What bearish investors are betting against," The Global and Mail, November 2020.[5] Dongmei Li, Zhe Peng*, and Kainan Xiong, 2021, "Usury Crimes in Post-Crisis China: The Underlying Economics and Beyond," Journal of Economic Issues, 55(4), 1023-1033.
• The paper is available from the publisher: Link; the working paper version is available on SSRN: Link.• A short paper. A spin-off from my paper entitled "Informal Lending and Usury in China" <main paper>.[4] Syed Jawad Hussain Shahzad*, Muhammad Abubakr Naeem, Zhe Peng, and Elie Bouri, 2021, "Asymmetric Volatility Spillover among Chinese Sectors," International Review of Financial Analysis, 75, 101754.
• The paper is available from the publisher: Link[3] Muhammad Abubakr Naeem, Elie Bouri, Zhe Peng, Syed Jawad Hussain Shahzad*, and Xuan Vinh Vo, 2021, Asymmetric Efficiency of Cryptocurrencies during COVID19, Physica A: Statistical Mechanics and its Applications, 565, 125562.
• The paper is available from the publisher: Link[2] Muhammad Abubakr Naeem, Zhe Peng, Mouhammed Tahir Suleman, Rabindra Nepel, and Syed Jawad Hussain Shahzad*, 2020, "Time and Frequency Connectedness among Oil Shocks, Electricity and Clean Energy Markets," Energy Economics, 91, 104914.
• The paper is available from the publisher: Link• The working paper version is available on SSRN: Link or CAMA at ANU: Link[1] Zhe Peng*, Qiming Tang, and Kent Wang, 2014, "Adjustment of the Stamp Duty on Stock Transactions and Its Effect on the Chinese Stock Market," Emerging Markets Finance & Trade, 50(1), 183-196.
• An adaptation of my Master's thesis. The paper is available from the publisher: Link• Economic and Financial Challenges and Issues in the Asia-Pacific Countries, Southwestern University of Finance and Economics, Chengdu, China (June 2012)Conference Papers
Pawanpreet Singh, Zhe Peng, Sydney Banton, Michael Von Massow, Jennifer L. Saunders-Blades, Anna K. Shoveller*, 2025, "Does quantity equal quality? Source of protein influences American dog owner purchasing decisions more than quantity of protein in the absence of marketing claims," 2025 ASAS-CSAS Annual Meeting.
• The paper uses discrete choice modelling to study consumer behavior in the pet food market• 2025 ASAS-CSAS Annual Meeting Abstracts (Journal of Animal Science): LinkYong Qiang Chen, Flora Niu*, Zhe Peng, and Tao Zeng, 2025. "Comparative Information Content of Cash Flows from Operations, Taxable Income, and Accounting Earnings," 2025 CAAA Conference.
Olga Kanj, Grant Kelly, Zhe Peng*, and Yahui Yang, 2025. "The Limits of Insurability: Insurer Losses and Failures in Thailand During the COVID-19 Pandemic", 2025 World Risk and Insurance Economic Congress (WRIEC) Annual Meeting.