First-class Discipline Top Journals


Yuejiao DuanLanbiao Liu, Zhuo Wang(2021), COVID-19 Sentiment and the Chinese Stock Market: Evidence from the Official News Media and Sina Weibo, Research in International Business and Finance, Vol.58, 101432

Yuejiao DuanXiaoyun Fan, Xinming Li, Yuhao Rong, Benye Shi(2021), Do efficient banks create more liquidity: international evidence, Finance Research Letters, Vol.42, 101919

Yuejiao Duan, John W. Goodell, Haoran Li, Xinming Li(2021), Assessing machine learning for forecasting economic risk: Evidence from an expanded Chinese financial information set, Finance Research Letters, 102273

Xiao Li(2020), When financial literacy meets textual analysis: A conceptual review, Journal of Behavioral and Experimental Finance, Vol.28, 100402

Yitong HuXiao LiJohn Goodell W., Dehua Shen (2020), Investor attention shocks and stock co-movement: Substitution or reinforcement?, International Review of Financial Analysis, Vol.73, 101617

Minghua Dong, Xiong Xiong, Xiao Li (2021), The role of media coverage in measuring the systemic risk of Chinese financial institutions, Applied Economics

YangZhao, Min-The Yu(2020), Predicting catastrophe risk: Evidence from catastrophe bond markets, Journal of Banking & Finance, Vol.121, 105982

Carolyn W. Chang, Jack S.K. Chang, Min‐Teh Yu, Yang Zhao (2020), Portfolio optimization in the catastrophe space, European Financial Management, Vol.26, 1414-1488


Shuze Ding, Daniela Puzzello(2020), Legal restrictions and international currencies: An experimental approach, Journal of International Economics,Vol.126, 103342

Carlo A. Favero, Fulvio Ortu, Andrea Tamoni, Haoxi Yang(2020), Implications of Return Predictability for Consumption Dynamics and Asset Pricing, Journal of Business & Economic Statistics,Vol.38, 527-541

Han Zhang, Xiaoyun Fan,Bin GuoWei Zhang, (2019), Reexamining time-varying bond risk premia in the post-financial crisis era, Journal of Economic Dynamics & Control,Vol.109,  103777

Xin Geng, Kai Sun(2020), Gradient estimation of the local-constant semiparametric smooth coefficient model, Economics Letters, Vol.185, 108684

Xin Geng, Manuel A. Hernandez(2020), Aid, policies and growth: a nonlinear reassessment, Applied Economics, Vol.52, 1617-1633

Fan Liu, David S. Sibley, Wei Zhao(2020), Vertical Contracts That Reference Rivals, Review of Industrial Organization, Vol.56, 381-407

Jian Yang, Ziliang Yu, Jun Ma(2019), China’s Financial Network with International Spillovers: A First Look, Pacific-Basin Finance Journal, Vol.58, 101222

Zhiwei Peng, Ziliang Yu, Huifu Nong(2020), Inter-Type Investment Connectedness: A New Perspective on China’s Booming Real Estate Market, Global Economic Review, Vol.49,186-204

Qing He, Cai Fang(2019), Regulatory sanctions and stock pricing efficiency: Evidence from the Chinese stock market, Pacific-Basin Finance Journal,Vol.58, 101241

Jiaqi Qin, Xue Yang, Qing He, Lingxia Sun(2020), Litigation Risk and Cost of Capital: Evidence from China, Pacific-Basin Finance Journal, Vol.68, 101393

Tian Xia(2020), The role of intermediate goods in international monetary cooperation, Journal of International Money and Finance, Vol.100, 102094

Lu Chen, Hongli Fan, Lanlan Chu(2020), The Double-Burden Effect: Does the Combination of Informal Care and Work Cause Adverse Health Outcomes Among Females in China?, Journal of Aging and Health, Vol.32, 1222-1232

Tingting Cheng, Jiti Gao, Yayi Yan(2019), Regime switching panel data models with interactive fixed effects, Economics Letters, Vol.177, 47-51

Cheng Yan, Tingting Cheng(2019), In search of the optimal number of fund subgroups, Journal of Empirical Finance, Vol.50, 78-92

Hua Cheng, Dayong Huang, Yan Luo(2020), Corporate Disclosure Quality and Institutional Investors' Holdings During Market Downturns, Journal of Corporate Finance, Vol.60, 101523

Hua Cheng, Xue Li, Yan Dong, Shusen Qi(2020), Competition and Favoritism in Bank Loan Markets, Pacfic-Basin Finance Journal, Vol.59, 101214

Hua Cheng, Kishore Gawande, Steven Ongena, Shusen Qi(2020), Connected Banks and Economic Policy Uncertainty, Journal of Financial Stability, Vol.56, 100920

Bo Wang, Haoran Li(2020), Downside risk,financial condition and systemic risk in Chia, Pacific-Basin Finance Journal, Vol.68, 101356

Xiao Li(2019), Does Chinese investor sentiment predict Asia-pacific stock markets? Evidence from a nonparametric causality-in-quantiles test, Finance Research Letters, Vol.38, 101395

Xiong Xiong, Yongqiang Meng, Xiao Li, Dehua Shen(2020), Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence, Journal of International Financial Markets, Institutions & Money, Vol.64, 101173

Sumit Agarwal, Hyun-soo Choi, Jia He, Tien Foo Sing(2019), Matching in Housing Markets: The Role of Ethnic Social Networks, Review of Financial Studies, Vol32, 3958-4004

Sumit Agarwal, Jia He, Tien Foo Sing, Changcheng Song(2019), Do real estate agents have information advantages in housing markets?, Journal of Financial Economics, Vol.134, 715-735

Yongheng Deng, Quanlin Gu, Jia He(2020), Reinforcement Learning and Mortgage Partial Prepayment Behavior, Pacific-Basin Finance Journal, Vol.68, 101378

Jia He (forthcoming), Time Preferences and Mortgage Default, The International Real Estate Review

Jia He, Haoming Liu, Tien Foo Sing, Changcheng Song, Wei-Kang Wong(2020), Superstition, Conspicuous Spending, and Housing Market: Evidence from Singapore, Management Science, Vol.66, 783-804

Allen N. Berger, Xinming Li, Charles S. Morris, Raluca A. Roman(2019), The Effects of Cultural Values on Bank Failures Around the World, Journal of Financial and Quantitative Analysis, Vol.56, 945-993

Yongqiang Chu, Ming Liu, Tao Ma, Xinming Li(2020), Executive compensation and corporate risk-taking: Evidence from private loan contracts, Journal of Corporate Finance, Vol.64, 101683

Narjess Boubakri, Ruiyuan Chen, Omerane Guedhami, Xinming Li(2019), The Stock Liquidity of Banks: A Comparison between Islamic and Conventional Banks in Emerging Economies, Emerging Markets Review, Vol.39, 210-224

Allen N. Berger, Narjess Boubakri, Omerane Guedhami, Xinming Li(2019), Liquidity creation performance and financial stability consequences of Islamic banking: Evidence from a multinational study, Journal of Financial Stability, Vol.44, 100692

Zeguang Li, Keqiang Hou, Chao Zhang(2020), The impacts of circuit breakers on China's stock market, Pacific-Basin Finance Journal, Vol.68, 101343

Xiaoyun Fan, Yedong Wang, Daoping Wang(2020), Network connectedness and China's systemic financial risk contagion——An analysis based on big data, Pacific-Basin Finance Journal, Vol.68, 101322

Lianzeng Zhang, He Liu(2020), On a discrete-time risk model with time- dependent claims and impulsive dividend payments, Scandinavian Actuarial Journal, Vol.2020, 736-753


Sumit Agarwal, Jia He, Tien-Foo Sing and Changcheng Song.Do Real Estate Agents Have Information Advantages in Housing Markets?,Journal of Financial Economics,Available online 10 May 2019.

Sumit Agarwal, Hyun-Soo Chol, Jia He and Tien-Foo Sing(2019).Matching in Housing Markets: The Role of Ethnic Social Networks,Review of Financial Studies,Vol.32,3958-4004

Jia He, Haoming Liu, Tien-Foo Sing, Changcheng Song and Wei-Kang Wong.Superstition, Conspicuous Spending, and Housing Market: Evidence from Singapore,Management Science,Published Online:16 Jul 2019.

Tomohiro Ando , Jushan Bai.Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity,Published online: 11 Apr 2019.

Tingting Cheng, Jiti Gao and Xibin Zhang(2019).Bayesian Bandwidth Selection in Nonparametric Time–Varying Coefficient Models,Journal of Business and Economic Statistics,Vol.37,1-12

Tingting Cheng , Cheng Yan(2019).In search of the optimal number of fund subgroups,Journal of Empirical Finance,Vol.50,78-92

Tingting Cheng, Jiti Gao and Xibin Zhang(2019),Bayesian Bandwidth Selection in Nonparametric Time–Varying Coefficient Models,Journal of Business and Economic Statistics,Vol.17 1-12

Tian Xia,The role of intermediate goods in international monetary cooperation,Journal of International Money and Finance,Available online :16 October 2019



Tingting Cheng, Jiti Gao and Peter C. B. Phillips(2018).A Frequentist Approach to Bayesian Asymptotics,Journal of Econometrics,Vol.206,359-378

Hong Li, Yang Lu(2018).A Bayesian Non-parametric Model for Small Population Mortality,Scandinavian Actuarial Journal,Vol.2018,605-628

Shen Dehua, Li Xiao,Zhang Wei(2018).Do Chinese Internet Stock Message Boards Convey Firm-Specific Information?,Pacific-Basin Finance Journal,Vol.49,1-14

Xiang Hu , Lianzeng Zhang , Weiwei Sun(2018).Risk model based on the first-order integer-valued moving average process with compound Poisson distributed innovations,Scandinavian Actuarial Journal,Vol.2018,415-425

Chi-Hsiou D. Hung, Yuxiang Jiang, Frank Hong Liu and Hong Tu(2018).Competition or Manipulation? An Empirical Evidence of Determinants of the Earnings Persistence of the U.S. banks,Vol.88,442-454

Lei Jiang , Esfandiar Maasoumi , Jiening Pan and Ke Wu(2018).A test of general asymmetric dependence,Vol.33, 1026-1043

Sai Ding, Minjoo Kim ,Xiao Zhang(2018).Do firms care about investment opportunities? Evidence from China,Vol.52, 214-237

Sumit Agarwal, Yunqi Zhang(2018).Effects of government bailouts on mortgage modification,Vol.93,54-70

Shuze Ding, Volodymyr Lugovskyy , Daniela Puzzello , Steven Tucker , Arlington Williams(2018).Cash versus extra-credit incentives in experimental asset markets,Vol.150,19-27

Carlo Favero, Fulvio Ortu, Andrea Tamoni, Haoxi Yang.Implications of Return Predictability for Consumption Dynamics and Asset Pricing,Published online: 11 Feb 2019.




Tomohiro Ando , Jushan Bai2017.Clustering Huge Number of Financial Time Series: A Panel Data Approach With High-Dimensional Predictors and Factor Structures,Journal of the American Statistical Association,Vol.112, 1182-1198

Hong Li, Anja De Waegenaere, and Bertrand Melenberg (2017). Robust Mean-variance Hedging of Longevity Risk, Journal of Risk and Insurance,Vol.84,459-475

Hong Li, Yang Lu (2017).Coherent Forecasting of Mortality Rates: A Sparse Vector-auto regression Approach,Astin Bulletin,Vol.47,563-600

Hong Li(2017). Dynamic Hedging of Longevity Risk: the Effect of Trading Frequency, Astin Bulletin,Vol.48,197-232

Jushan Bai , Yuan Liao(2017). Inferences In Panel Data with Interactive Effects Using Large Covariance Matrices,Journal of Econometrics,Vol.200,59-78

Sumit AgarwalSouphala Chomsisengphet and Yunqi Zhang(2017).How Does Working in a Financial Profession Affect Mortgage Delinquency?,Journal of Banking and Finance,Vol.78,1-13

Bin Guo,Wei Zhang,Yongjie Zhang,Han Zhange(2017).The five-factor asset pricing model tests for the Chinese stock market, Pacific-Basin Finance Journal,Vol.43,84-106

Yang Li(2017).Interest Rates and Financial Fragility,Journal of Economic Dynamics & Control,Vol.82 ,195-208

Xiang Hu , Baige Duan and Lianzeng Zhang(2017).De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information,Vol.76,48-55





Jushan Bai, Kunpeng Li and Lina Lu (2016). Maximum likelihood estimation and inference for approximate factor models of high dimension, Review of Economics and Statistics,Vol.98, issue2,298-309.

Wenjun Zhu , Ken Seng Tan and Chou Wen Wang (2016).Modeling Multi-country Longevity Risk with Mortality Dependence: A Levy Subordinated Hierarchical Archimedean Copulas(LSHAC) Approach, Journal of Risk and Insurance,Vol.84,477-493

Michael C. Fu, Bingqing Li, Guozhen Li and Rongwen Wu (2016).Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions,Management Science,Vol.63,No.11,3531-3997

Tomohiro Ando , Jushan Bai (2016). Panel Data Models With Grouped Factor Structure Under Unknown Group Membership, Journal of Applied Econometrics,Vol.31, 163-191

Jushan Bai, Kunpeng Li and Lina Lu2016.Estimation and Inference of FAVAR Models,Journal of Business & Economic Statistics,Vol.34, 620-641

Jushan Bai, Jianqing Fan and Ruey Tsay (2016). Special Issue on Big Data,Journal of Business & Economic Statistics,Vol.34, 487-488

Jia He, Jing Wu and Haishi Li (2016).Hedging House Price Risk in China,Real Estate Economics,Vol.45, 177-203

Wenjun Zhu , Chou-Wen Wang and Ken Seng Tan(2016).Structure and Estimation of Lévy Subordinated Hierarchical Archimedean Copulas (LSHAC): Theory and Empirical Tests,Journal of Banking and Finance, Vol.69,20-36



Massimo Massa, Wenlan Qian,Weibiao Xu and Hong Zhang (2015). Competition of the Informed: Does the Presence of Short Sellers Affect Insider Selling?, Journal of Financial Economics ,Vol. 118, issue 2, 268-288

Hong Li, Anja De Waegenaere and Bertrand Melenberg (2015).The Choice of Sample Size for Mortality Forecasting: A Bayesian Learning Approach,Insurance: Mathematics and Economics, Vol. 63, 153-168

Xiang Hu , Hailiang Yang and Lianzeng Zhang (2015). Optimal Retention for a Stop-loss Reinsurance with Incomplete Information, Insurance: Mathematics and Economic, 2015, 65(6): 15-21

Lianzeng Zhang , Xiang Hu , Baige Duan (2015).Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process,Scandinavian Actuarial Journal,Vol. 2015, No. 5, 455-467