Publications
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2025
21. Bonds for a Bluer Tomorrow: Corporate climate concern and its impact on corporate bond maturities
(with Chao Liang, Jinyu Yang, and Lihua Shen)
Journal of International Money and Finance, Volume 153, March 2025
Paper in one sentence: Corporate climate concern drives longer-term bond issuance, especially in financially stable, R&D-intensive firms.
20. What drives abnormal returns of stock markets in wartime? Evidence from 17 invasions
(Vincent Hoffmann and Mei Wang)
European Journal of Political Economy, Volume 86, January 2025
Paper in one sentence: We study stock market reactions to 17 invasions (2001–2022), showing greater negative impacts on emerging markets and identifying key macroeconomic and geographic drivers
19. Financialisation of the EU ETS and its influencing factors in quantiles
(with Ping Wei, Jingzi Zhou, and Xiaohang Ren)
International Journal of Finance & Economics, Volume 30, January 2025, Issue 1
Paper in one sentence: This research examines the EU Emissions Trading Scheme's financialisation, applying LASSO and quantile regression to assess how factors like WTI crude oil prices impact different quantiles, revealing significant effects at higher quantiles and the need for policy interventions at lower ones.
2024
18. From Russia with Love: International Risk-sharing, Sanctions, and Firm Investments
(with Anh Phan, Kiet T. Duong, and Nam T. Vu)
Economics Letters, Volume 244, November 2024
Coverage: VoxEU (September, 2024) and LSE Blogs (European Politics & Policy) (September 23, 2024)
Non-technical presentation: HM Treasury (February, 2025)
Paper in one sentence: Russian firms used indirect ties with friendly nations to lessen the impact of 2014 sanctions.
(Lingjuan Xu, Bindan Zhang, and Peng-Fei Dai)
International Review of Financial Analysis, Volume 95, October 2024
Paper in one sentence: This study finds that A-share market M&As in asset-light industries from 2010-2022 lead to higher premiums, increased goodwill impairment, and greater stock price crash risk.
16. Exchange rate movements and the energy transition
(Yanran Hong, Keyu Luo, Xiaochao Xing, and Lu Wang)
Energy Economics, Volume 136, August 2024
Paper in one sentence: Exchange rate changes, influenced by total energy consumption, renewable energy consumption, and carbon emissions during the energy transition period, require flexible policies for USD/EUR, USD/CNY, and USD/JPY.
(with Li Zhang, Chao Liang, Lu Wang, and Olivier Damette)
Journal of Economic Behavior & Organization, Volume 223, July 2024, Pages 168-184
Paper in one sentence: Our study uses advanced modeling and natural language processing to show how G20 countries' focus on climate issues affects renewable energy stock volatility, providing insights for national energy strategies.
14. Time Preferences and Lunar New Year: An Experiment
(with Tam N. Luong and Bryan S. Weber)
The B.E. Journal of Economic Analysis & Policy, Volume 24, July 2024, Issue 4
Presented: 2023 European Economic Science Association Meeting (Exeter, United Kingdom)
Paper in one sentence: Our experiment revealed that during the Lunar New Year, individuals showed increased patience only when wait times were framed in yearly increments.
13. Bank Culture and Bank Liquidity Creation
(with Loan Quynh Thi Nguyen)
Corporate Governance: An International Review, Volume 32, May 2024, Issue 6, Pages 1087-1109
Paper in one sentence: This study reveals how competing, control, and collaborative cultures in US bank holding companies differentially affect liquidity creation, influenced by bank size, experience, and profitability.
12. Robust portfolio strategies based on reference points for personal experience and upward pacesetter
(with Zongrun Wang, Tangtang He, and Xiaohang Ren)
Review of Quantitative Finance and Accounting, Volume 63, April 2024, pages 863–887
Paper in one sentence: This study explores dynamic reference points in investment decisions, showing that personal experiences and spectral clustering enhance portfolio outcomes in a CVaR-based model.
11. Real Exchange Rate and International Reserves in the Era of Financial Integration
(with Joshua Aizenman, Sy-Hoa Ho, Jamel Saadaoui and Gazi Salah Uddin)
Journal of International Money and Finance, Volume 141, March 2024
Paper in one sentence: The impact of financial institution development on stabilizing real exchange rates using international reserves in 110 countries from 2001 to 2020.
Coverage: VoxEU (November, 2023)
Presented: SNEE 2023 Conference (Lund University, Sweden)
2023
10. Understanding the transmission of crash risk between cryptocurrency and equity markets (2023)
(with Peng-Fei Dai, John W. Goodell, Zhifeng Liu, and Shaen Corbet)
The Financial Review
Paper in one sentence: Cryptocurrencies have a higher probability of crash risk than equity indices, and can act as a source of financial instability for equity markets.
9. Global financial stress index and long-term volatility forecast for international stock markets (2023)
(with Chao Liang, Qin Luo, and Yan Li)
Journal of International Financial Markets, Institutions and Money
Paper in one sentence: The study finds that the Global Financial Stress Index (GFSI) excels in predicting long-term stock market volatility, notably during COVID-19.
8. No influence of simple moral awareness cues on cheating behaviour in an online experiment
(with Philipp Stratmann and Rainer Michael Rilke)
Journal of Behavioral and Experimental Economics
Paper in one sentence: In an online experiment with 551 participants, increasing moral awareness was found to be ineffective in reducing cheating.
7. Market momentum amplifies market volatility risk: Evidence from China’s equity market
(with Yan Li and Chao Liang)
Journal of International Financial Markets, Institutions and Money
Paper in one sentence: This study introduces and tests new models in the Chinese equity markets, revealing that the conditional past returns (CPR) significantly predict volatility, with different models excelling at short and longer-term forecasts, and links CPR to investor trading behaviors.
(with Yan Li, Yongan Xu, and Hao Liang)
Energy Economics
Paper in one sentence: This study assesses the volatility in China's crude oil futures market, finding the CPR indicator and US market predictors to be significant, with implications for enhancing market mechanisms and mitigating risks.
(with Chao Liang, Yanran Hong, and Feng Ma)
Review of Quantitative Finance and Accounting
Paper in one sentence: The paper finds evidence of an asymmetric causal relationship between financial stress and monetary policy uncertainty over 30 years of data, influenced by major events such as the dot-com bubble, the 2009 financial crisis, and the current COVID-19 pandemic.
(with Muhammad A. Nasir, Thi N. L. Le, Yosra Ghabri)
International Review of Financial Analysis
Paper in one sentence: Impact of Pandemic on sovereign bonds is contingent on the level a country's financial and economic development.
3. The change in stock-selection risk and stock market returns
(with Jing Liu, Qiubei He, Yan Li, and Chao Liang)
International Review of Financial Analysis
Paper in one sentence: We construct a measure of stock-selection risk (SSR) based on individual stocks' absolute average negative alpha, which provides a prediction power on Chinese stock market returns.
2022
2. Volatility spillovers, hedging, and safe-havens under pandemics: All that glitters is not gold!
(with Yosra Ghabri and Muhammad A. Nasir)
International Journal of Finance & Economics
Paper in one sentence: Gold is still an effective safe-haven asset on the onset of pandemic but Bitcoin is not.
1. Public sentiment towards economic sanctions in the Russia–Ukraine war
(with Huan H. Nguyen, Phuc V. Nguyen, and Vu M. Ngo)
Scottish Journal of Political Economy, Volume 69, Issue 5, Pages 564-573.
Paper in one sentence: This paper introduces novel data on public sentiment towards economic sanctions based on nearly 1 million social media posts in 108 countries during the Russia–Ukraine war by using machine learning. We show the geographical heterogeneity between government stances and public sentiment. Finally, we show how political regimes, trading relationships, and political instability can predict how people perceive this war.
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