Wei Huang, Shu Lin, Jian Yang
Journal of Futures Markets,
We examine how the quality of political, legal, and regulatory institutions impacts sovereign risk premia. An improvement in institutional quality significantly lowers a country’s sovereign credit default swap (CDS) spread, even after controlling for domestic and global macroeconomic factors. The incremental effect of institutional quality may also be economically important in explaining the variations in the level of sovereign CDS spreads. The basic results are robust to alternative model specifications, samples, control variables, measures of institutional quality, estimation methods, and controls for endogeneity. Overall, the evidence suggests that institutional quality may play a significant role in explaining sovereign CDS spreads.

Miao Yuan, Cheng Yong Tang, Yili Hong, Jian Yang
Annals of Applied Statistics,Vol. 12, Issue 4, Pages: 2587-2617.
Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem, evaluating the uncertainties associated with the default predictions remains little explored. In this paper, we attempt to fill this blank by developing a procedure for quantifying the level of associated uncertainties upon carefully disentangling multiple contributing sources. Our framework effectively incorporates broad information from historical default data, corporates’ financial records, and macroeconomic conditions by (a) characterizing the default mechanism, and (b) capturing the future dynamics of various features contributing to the default mechanism. Our procedure overcomes the major challenges in this large scale statistical inference problem and makes it practically feasible by

Kalok Chan, Jian Yang, Yinggang Zhou
Journal of Empirical Finance,Vol. 48, Pages: 58-80.
We examine hedging benefits of safe-haven currencies in terms of currency co-skewness with the global stock market (covariance between currency return and global equity volatility) derived from a Markov regime switching model. Of the major currencies, the US dollar, the Japanese yen and the Swiss franc have positive currency co-skewness, providing a hedge against global stock volatility. Moreover, lower excess returns and associated lower interest rates on these currencies are partially attributable to their positive co-skewness because currency co-skewnesses are significantly priced with the expected negative risk premia. The co-skewness pricing effect remains robust even after allowance for time-varying or downside beta, volatility and skewness.

J Yang, Z Yu, Y Deng
Regional Science and Urban Economics,Vol. 68, Pages: 98-114.
Applying a proposed spillover index of high-dimensional generalized VAR framework, this paper, for the first time, explores housing price spillovers among 69 large- and medium-sized Chinese cities from July 2005 to June 2015. We find that city-level monthly housing prices in China are highly interactive with each other. Demonstrating the important role of government policy, data-determined systemically important cities in the price spillover network appear to be consistent with core cities supported by several regional development plans of the Chinese government and agglomerate in five relatively concentrated areas. A higher administrative status, population, city GDP and secondary education are significant determinants of the (net) positive spillover pattern. These findings shed new lights on understanding the housing market, regional development policies, and economic geography in China.

Hong Miao, Sanjay Ramchander, Tianyang Wang, Jian Yang
Journal of Futures Markets,Vol. 38, Issue 1, Pages: 38-65.
This study examines the impact of weekly crude oil storage announcements on oil futures and options prices. We document evidence of a strong announcement day effect on both markets, and find prices to move in anticipation of the inventory surprise. Futures returns significantly decrease with positive surprises and increase with negative surprises. There is no evidence of an asymmetric impact on futures prices. Nearthemoney options exhibit the greatest price sensitivity, and the magnitude of the price response of both futures and options declines with maturity. The results remain robust even after controlling for various macroeconomic and other storagerelated news variables.

Zhuangxiong Yu, Jie Li, Jian Yang
Pacific Basin Finance Journal,Vol. 43, Pages: 238-255.

Using the data of Chinese listed firms from 2003 to 2013, this study examines how product market competition affects the impact of corporate governance on firm value. In sharp contrast with the overwhelming empirical evidence based on the US and European developed markets that product market competition acts as a substitute for corporate governance and good governance matters only in non-competitive industries, we document that good governance of Chinese firms significantly increases firm value only in …
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Jiadong Tong, Zijun Wang, Jian Yang
Journal of Futures Markets,Vol. 36, Issue 7, Pages: 695-718.

We apply a new model selection approach that allows for the joint determination of structural breaks and cointegration to examine the term structure of Chinese Renminbi (RMB)-US dollar spot and forward exchange rates during the managed-floating period of 2005-2013. We find that the RMB market has exhibited different dynamic relationships between spot and forward exchange rates over time, apparently due to significant policy changes. Offshore forward rates with either shorter or longer maturities can substantially …
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Robert I Webb, Jian Yang, Jin Zhang
The Journal of Real Estate Finance and Economics,Vol. 53, Issue 1, Pages: 29-49.

Housing prices, like the prices of other speculative assets, contain a mix of both small and large changes (ie, jumps). We apply a jump-GARCH model to monthly Case-Shiller housing price indexes of twenty cities in the US during the period January 1991 through December 2011. We document the evidence of large housing price jumps in many cities, during both the financial crisis and non-crisis periods. The housing price jump intensity observed during the whole sample is largely explained by city, state and national …
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Xiangchao Hao, Jing Shi, Jian Yang
Pacific-Basin Finance Journal, Vol. 30, November 2014, Pp. 207-232

This study investigates the impact of the bank–firm relationship on IPO underpricing in China, an emerging economy with a bank-dominated financial system. Utilizing a hand-collected loan data for 902 Chinese IPO firms from 2004 to 2011, we document that the bank–firm relationship reduces the degree of IPO underpricing. Both the lender’s and the borrower’s firm characteristics affect the signal quality of the bank–firm relationship, resulting in differential impacts on IPO underpricing. The relationship between firms and banks with …

Jian Yang and Yinggang Zhou
Management Science, (2013) Vol 59, Issue 10, pp. 2343-2359

Using credit default swap data, we propose a novel empirical framework to identify the structure of credit risk networks across international major financial institutions around the recent global credit crisis. Specifically, we identify three groups of players, including prime senders, exchange centers, and prime receivers of credit risk information. Leverage ratios and, particularly, the short-term debt ratio appear to be significant determinants of the roles of financial institutions in credit risk transfer, while corporate governance indexes, size, liquidity, and asset write-downs are not significant. Our findings carry important implications for a new regulatory standard on capital subcharge and liquidity coverage ratio.

Hui Guo, Zijun Wang, Jian Yang
Journal of Money, Credit and Banking, Vol. 45, Issue 4, pp. 623-650

We uncover a strong comovement of the stock market risk–return trade-off with the consumption–wealth ratio (CAY). The finding reflects time-varying investment opportunities rather than countercyclical aggregate relative risk aversion. Specifically, the partial risk–return trade-off is positive and constant when we control for CAY as a proxy for investment opportunities. Moreover, conditional market variance scaled by CAY is negatively priced in the cross-section of stock returns. Our results are consistent with a limited stock market participation model, in which shareholders require an illiquidity premium that increases with CAY, in addition to the risk premium that is proportional to conditional market variance.

Gu, Jingping; Li, Qi; Yang, Jian
Economics Letters. Feb. 2013, Vol. 118 Issue 2, pp. 300-303.

The mean reversion of real exchange rates in G5 countries depends on both countries’ fiscal deficits/surplus in a nonlinear way. When the fiscal policy pushes the real exchange rate to be deviated further away from the equilibrium level, the mean reversion process is faster.

Jian Yang, Yinggang Zhou and Wai Kin Leung
The Journal of Real Estate Finance and Economics, Vol. 45, Issue 2, pp 491–521
We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and correlations in CMBS and REITs. Due to their high levels of leverage, REIT returns exhibit stronger asymmetric volatilities. Also, both REIT and stock returns show strong evidence of asymmetries in their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the sample period. There is also evidence that corporate bonds and CMBS may provide diversification benefits for stocks and REITs. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these conditional correlations and that there is a significant structural break in the correlations caused by the recent financial crisis.

Chin Man Chui and Jian Yang
The Financial Review, Vol. 47 Issue 3, August 2012, pp. 565-587

This study explores time-varying extreme correlation of stock-bond futures markets in three major developed countries. In the U.S. and the UK, there is evidence of positive extreme stock-bond correlation when both futures markets are extremely bullish or markets are extremely bearish. In German, stock-bond futures extreme correlation is negative, suggesting the most diversification potentials of bond futures when German stock when German stock index futures market plunges. Macroeconomic News,The Business cycle and the stock market uncertainty all significantly median stock bond futures correlation. However, only the stock market uncertainty still significantly affects the extreme stock-bond futures correlation when the stock market is extremely bearish.

Chin Man Chui, Jian Yang
Financial Review,Vol. 47, Issue 3, Pages: 565-587.

This study explores time-varying extreme correlation of stock-bond futures markets in three major developed countries. In the United States and the United Kingdom, there is evidence of positive extreme stock-bond correlation when both futures markets are extremely bullish or bearish. In Germany, stock-bond futures extreme correlation is negative, suggesting the most diversification potentials of bond futures when German stock index futures market plunges. Macroeconomic news, the business cycle, and the stock …
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Jian Yang, Zihui Yang, and Yinggang Zhou
Journal of Futures Markets, Vol. 32, Issue 2, pages 99–121
Using high-frequency data, this study investigates intraday price discovery and volatility transmission between the Chinese stock index and the newly established stock index futures markets in China. Although the Chinese stock index started a sharp decline immediately after the stock index futures were introduced, the cash market is found to play a more dominant role in the price discovery process. The new stock index futures market does not function well in its price discovery performance at its infancy stage, apparently due to high barriers to entry into this emerging futures market. Based on a newly proposed theoretically consistent asymmetric GARCH model, the results uncover strong bidirectional dependence in the intraday volatility of both markets.