Research

Zeyun Bei, Juan Lin*, Yinggang Zhou, No Safe Haven, Only Diversification and Contagion — Intraday Evidence around the COVID-19 Pandemic, Journal of International Money & Finance, 2024, 143: 103069. (SSCI Q1, ABS3)

Ye Zhou, Yige Fan,  Siyan Shen, Zeyun Bei*, The Carbon Risk Premium: Evidence from Chinese Stock Market, Asia-Pacific Journal of Accounting & Economics, 2025, 1-24. (SSCI Q2, ABS2)

Yinggang Zhou, Jun Pan, Zeyun Bei*, Hang Liu, How to Use the Economic Cycle and Financial Cycle to Improve Asset Allocation?--A Wavelet Decomposition and Machine Learning Approach，Journal of Management Science in China（管理科学学报）, 2025+, Forthcoming. (CSSCI)

Zeyun Bei, Xin Cheng*, Yinggang Zhou, The Dynamic Changes of RMB's Anchor Currency Status and the Underlying Drivers,Studies of International Finance （国际金融研究）,2023,(10):16-27. (CSSCI)

Yinggang Zhou and Zeyun Bei*,  Dynamic Price Discovery and Asymmetric Volatility Transmission Between China’s Treasury Bond Futures and Cash Markets, China Journal of Econometrics（计量经济学报）, 2021,1(04):814-837. (CSSCI, CSCD)

Working Papers

Navigating Geopolitical Risk: How do Sanctions Shape Global Supply Chains?, with Yaxuan Qi, Jing Wu and Yinggang Zhou, 2024

• Presented at CICF, CFAM

• CFAM Best Paper Award (2nd Prize)

Abstract: This study examines how firms adapt their supply chain configurations in response to US sanctions on suppliers. Using comprehensive global supply-chain data and a difference-in-differences design, we show that affected firms not only sever ties with sanctioned suppliers but also scale back relationships with non-sanctioned suppliers located in sanctioned countries, indicating spillovers of sanction risk through supply-chain linkages. To bolster resilience, firms broaden their supplier bases, increase geographic diversification, relocate sourcing to countries with regional trade agreements and to nearby countries, and maintain more backup suppliers. The effects vary by firm origin: firms in sanctioned regions frequently reshore, experiencing lower profitability and sales, whereas firms in non-sanctioned regions pursue offshoring and diversification with limited financial impact. Notably, firms based in the US (the sanction sender) make fewer adjustments and are largely unaffected, with improved financial performance. By integrating political risk and economic efficiency, this study provides a framework for understanding strategic supply chain reconfiguration under geopolitical constraints, offering insights for global operations and supply chain managements.

Investor Sentiment and Cryptocurrency Returns, with Jian Chen and Yinggang Zhou, 2024

• Presented at CFAM, FSERM, GCFC

• Under Review at Management Science

Abstract: Little is known about how investor sentiment predicts individual cryptocurrency returns. Utilizing coin-level sentiment measures, we show that sentiment predicts subsequent cryptocurrency returns positively in the short run but negatively in the long run. Further analysis reveals that, in cryptocurrencies preferred by short-term traders, high sentiment initially boosts prices but eventually crowds out investor participation, suppressing long-term prices. Conversely, in cryptocurrencies favored by long-term holders, high sentiment persistently attracts investor adoption and maintains its positive return predictability. This sentiment-based mechanism primarily explains momentum and reversal anomalies in cryptocurrency markets. Additionally, sentiment mainly arises from extrapolating past returns and user participation.

Liquidity, Sentiment, and Global Spillover across Financial Markets, with Liyuan Cui and Yinggang Zhou, 2025

• Presented at GCFC

• Minor Revision at Journal of International Money & Finance

Abstract: Debate remains about what drives global spillovers across financial markets. We address this question by examining the roles of sentiment, liquidity, and other fundamental linkages. Investor sentiment principally drives short-term spillovers, while long-term transmission is primarily influenced by liquidity. Moreover, we highlight the essential influence of capital flows in adjusting market liquidity and triggering global spillovers. Investor sentiment significantly intensifies the impacts of capital flows and unconventional monetary policies, contributing to potential systemic risks during distress. Also, we propose a new approach to capturing the structural changes in spillover networks and decomposing them into short- and long-term components.

How Do Trade Conflicts Affect Corporate Carbon Emissions? Evidence from Global Supply Chains, with Ebenezer Effah, and Yaxuan Qi, 2025

• Presented at FMA

Abstract: This paper examines the effect of trade conflicts on corporate carbon emissions through global supply chains. Exploiting the 2018–2019 U.S.-China tariff hikes as a quasi-natural experiment, we find that U.S. firms subjected to higher import tariffs increased Scope 1 and 2 emissions by 15\% and 8\%, respectively, compared to minimally affected peers. The effect is amplified for firms reliant on green product imports from China, highlighting supply chain disruptions as a key channel. Financial constraints further exacerbate emissions, as tariff-induced cost pressures reduce green innovation and employment. Cross-sectional tests reveal that firms with weaker climate change ideologies and less diversified supply chains exhibit more pronounced emission increases. Overall, our findings demonstrate that geopolitical trade risks undermine firm-level decarbonization efforts, with implications for policymakers and firms navigating climate goals amid rising protectionism.

RMB Internationalization, Exchange Rate Systemic Importance, and Currency Politics, with Cheng Xin and Yinggang Zhou, 2025

• Revise and Resubmit at Studies of International Finance in China（国际金融研究）

Abstract: This paper analyzes the historical evolution and ongoing structural changes within the international monetary system. The dominant position of the U.S. dollar is relatively weakening, while the significance of the Chinese yuan (RMB) cannot be overlooked. This paper evaluates the level of RMB internationalization through its role as an anchor currency and a safe-haven asset. The findings reveal that both the anchor currency status and the safe-haven capabilities of the RMB have been progressively strengthening. Finally, drawing on the influence of currency politics in the rise of the U.S. dollar’s anchor currency status, this paper offers policy recommendations for further advancing RMB internationalization.