China Finance Review International: Volume 7 Issue 2

Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

Haitao Li, Chunchi Wu, Jian Shi

The purpose of this paper is to estimate the effects of liquidity on corporate bond spreads.

The impact of macroeconomic uncertainty on international commodity prices: Empirical analysis based on TVAR model

Xiaofen Tan, Yongjiao Ma

The purpose of this paper is to empirically analyze the impact of macroeconomic uncertainty on a large sample of 19 commodity markets.

Does foreign direct investment promote exports in China?

Xin Li, Hsu Ling Chang, Chi Wei Su, Yin Dai

The purpose of this paper is to investigate the causal link between foreign direct investment (FDI) and exports in China based on the knowledge capital model (KK model, Markusen…

Volatility cones and volatility arbitrage strategies – empirical study based on SSE ETF option

Hong Yu Xin Pan, Jun Song

Using volatility cones as the estimate of actual volatility instead of GARCH models, the purpose of this paper is to explore whether volatility arbitrage strategy can provide…

Forward looking vs backward looking: An empirical study on the effectiveness of credit evaluation system in China’s online P2P lending market

Yanyan Gao, Jun Sun, Qin Zhou

The purpose of this paper is to estimate the effectiveness of the credit evaluation system using the borrowing data from China’s leading P2P lending platform, Renrendai.com.

The spillover effect between CSI 500 index futures market and the spot market: Evidence from high-frequency data in 2015

Xuejun Fan, De Du

Focusing on the spillover effects between the CSI 500 stock index futures market and its underlying spot market during April to September 2015, the purpose of this paper is to…