Feng He

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Verified

Feng verified their affiliation via an institutional email.

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• PhD
• Professor at Capital University of Economics and Business

This study examines the impact of China's crude oil futures trading on corporate decision‐making at the firm level. By analyzing Chinese listed companies spanning from 2010 to 2022, we identify a significant negative causality of China's crude oil futures trading on the degree of financialization in energy‐dependent enterprises. Mechanism analysis...

Regulatory intervention is important in shaping corporate behaviour, especially in markets with relatively weak property rights. Using a sample of publicly listed companies in China from 2006 to 2021, this study investigates the impact of regulatory intervention in managers’ misconduct on the corporate idiosyncratic risk. Using a difference-in-diff...

This study examines the impact of climate policy uncertainty (CPU) on banks' loan loss provisions. Using a sample of 63 listed commercial banks in China from 2007 to 2022, we find that CPU significantly increases banks' loan loss provisions. Banks with higher financial risk and greater climate risk exposure tend to increase their loan loss provisio...

As crude oil is an essential energy source, fluctuations in crude oil prices are crucial to economic development. Considering the great impact of the COVID-19 outbreak on the financial market, we use the convolutional neural network (CNN) method to forecast oil prices with 24 price-related technical indicators, COVID-19 infections and the Baltic Dr...

Foreign direct investment profoundly influences environmental conditions while promoting economic growth. This study examines the effects of FDI on CO2 emissions across the G7 countries from 1971 to 2020. Utilizing panel data, we employ a local linear dummy variable estimation method to analyze the non-linear and time-varying relationships between...

This paper combines the Generalized Autoregressive Conditional Heteroskedasticity-Extreme Value Theory-Value at Risk (GARCH-EVT-VaR) method in conjunction with the Time-Varying Parameter Diebold-Yilmaz (TVP-VAR-DY) model to investigate the contagion of extreme risks between fossil and green energy markets in China. Specifically, the study concentra...

This paper investigates how human capital in the financial sector affects corporate innovation. Based on China's National Economic Census in 2008, we construct a measure of the financial sector's human capital across prefecture-level cities and then match the data with nonfinancial listed firms over 2009-2017. We find that human capital in the fina...

We examine the impact of a government-initiated CSR project on corporate misconduct using the unique setting of China’s Targeted Poverty Alleviation (TPA) program. The difference-in-differences estimates show that firms participating in the TPA program engage in fewer misconduct activities than do their counterparts. This finding is robust to the p...

This paper investigates the impact of China’s crude oil futures (COF) on risk management at the firm level in China. The empirical results based on a sample from 2014 to 2021 show that the launch of China’s COF significantly reduces idiosyncratic risk in energy-dependent firms, and this conclusion remains significant even after a series of robustne...

In the Chinese stock market, there are many retail investors who focus on short-term profits and may consider corporate social responsibility (CSR) differently from institutional investors. We find that CSR significantly reduces firms’ idiosyncratic risk in the Chinese financial market. This result still holds after a series of robustness checks wi...

We investigate the volatility spillover between the crude oil (West Texas Intermediate) and G7 countries' equity markets with high‐frequency data. Considering the trading period difference among different countries, the volatility spillover of oil market intraday and overnight sessions is studied with G7 countries, respectively. The empirical findi...

Machine learning and deep learning are powerful tools for quantitative investment. To examine the effectiveness of the models in different markets, this paper applies random forest and DNN models to forecast stock prices and construct statistical arbitrage strategies in five stock markets, including mainland China, the United States, the United Kin...

Extreme weather anomalies act as threat multipliers, warning us to focus on low-carbon transition and sustainable development. This study analyses the dynamic bidirectional causality between climate policy uncertainty (CPU) and traditional energy, represented by oil, coal, and natural gas, as well as green markets, represented by clean energy, gree...

Taking China’s Accelerated Depreciation Policy in 2014 as a quasi-natural experiment, we run a difference-in-differences regression to investigate how downstream expansion affects an upstream firm’s hiring decision. We find that an expansion in downstream industries has a significant and positive impact on upstream employment, and this finding cont...

This paper investigates whether retail investor attention promotes or inhibits corporate green innovation. Using Chinese nonfinancial public listed firms from 2011 to 2020, we find that retail investor attention significantly positively impacts corporate green innovation. This finding still holds after a series of robustness tests for possible endo...

Using the corporate social responsibility (CSR) report disclosure as an external shock on investors’ heterogeneous belief in China, we find that firms with environmental, social and governance (ESG) information disclosure have lower idiosyncratic risk than their counterparts. This finding is robust to the parallel-trend assumption, placebo test, PS...

Exploring the motivation of corporate ESG (Environment, Social Responsibility, and Corporate Governance) engagement is vital for shareholders protection and corporate sustainable growth. Using a sample of Chinese public listed firms from 2010 to 2020, we study this issue from the manager's misconduct behavior perspective. We find that the quality o...

The daily price limit changed from 10% to 20% in the ChiNext market in 2020. This event can be considered a quasi-natural experiment of change in market trading mechanisms. We employ the difference-in-difference (DID) approach to test the effect of this price limit change on the firm-level market quality indicator. We find that the implementation o...

This paper investigates the role of social media in mitigating corporate bad news hoarding from a stock price crash risk perspective. Using a sample of public listed firms from 2008–2019, we find that social media (Guba) posts could significantly reduce firms’ stock price crash risks in the Chinese stock market. Furthermore, we find that the inform...

Green innovation is an important way for firms to achieve both economic benefits and environmental protection in the long term. We focus on the influence of corporate social responsibility (CSR) on firms’ green innovation. Using the CSR rating and green patent data in the Chinese market from 2008 to 2019, we find that CSR performance has a signific...

This paper investigates how leadership by married couples (marital leadership) affects the default risk of listed firms. Using unique manually collected data from China, we show that marital leadership significantly increases default risk. The relationship is robust after conducting a series of robustness tests and controlling for endogenous proble...

While Fang and Peress (2009) discover the media coverage premium in the U.S. market, we find that this anomaly also exists in the Chinese stock market. We further classify the media articles into positive, neutral, and negative sentiment to test the media sentiment anomaly in the cross-sectional stock returns. We find that firms without positive ne...

We examine how different information disclosure sources could affect investors’ online searching on financial market information asymmetry. Using a sample of 2,715 listed firms in the Chinese stock market over the period of 2011-2019, we find that certain information disclosure sources, such as traditional media news, company announcements or socia...

We introduce the scaled principal component analysis (sPCA) method to forecast oil volatility, and compare it with two commonly used dimensionality reduction methods: principal component analysis (PCA) and partial least squares (PLS). By combining the simple autoregressive model with the three dimensionality reduction methods, we obtain several int...

We explore the impact of economic policy uncertainty exposure (hereafter, EPU exposure) on stock price bubbles. We find that there exists a significantly positive relationship between EPU exposure and stock price bubbles. This result is still significant after a series of robustness checks. Moreover, the relationship between EPU exposure and bubble...

This paper investigates the information content of the futures option markets trading activities in determining commodity futures returns. Our findings suggest that position changes in the commodity futures option markets provide incremental predictive power for commodity futures returns in addition to the effects of commodity futures markets posit...

While the relationship between economic policy uncertainty(EPU) and energy market is of great interest to economist, previous research dose not differentiate the effect from oil-importing countries to oil-exporting countries' EPU on the a country's energy sector. In this paper, we address this issue by testing the effect of importer and exporter's...

Finance, and finance research, is a globalised enterprise. We examine whether or not the representation of editors at leading finance journals is equally globalised. Using data on the affiliation of editorial board members of journals ranked by the ABS as being 4*, 4 and 3 we provide a first mapping of (editorial) power, the geographic diversity of...

This paper shows that shocks to the equity capital ratio of financial intermediaries (CRFI) have predictive ability for stock realized volatility, from both in‐sample and out‐of‐sample perspectives. The revealed predictability is also of economic significance, in that it examines the performance of portfolios constructed on the basis of CRFI foreca...

This paper considers CSI 300 Index futures and the underlying index from April 2010 to December 2018 based on high frequency data to test the price discovery function and spillover dynamics of the futures market given the change in futures market regulation in September 2015. The new regulation restricted the futures market intraday trading volume....

This study mainly investigates which predictors (VIX or EPU index) are useful to forecast future volatility for 19 equity indices based on HAR framework during coronavirus pandemic. Out-of-sample analysis shows that the HAR-RV-VIX model exhibits superior forecasting performance for 12 stock markets, while EPU index just can improve forecast accurac...

This study explores the dynamic and frequency spillover characteristics between economic policy uncertainty (EPU) and stock market realized volatility (RV) in G7 countries. We apply the monthly data of country‐specific economic policy uncertainty indices and realized volatility to calculate the directional spillover indicator. Then we use a Fourier...

We study the impact of international trade policy uncertainty (TPU) on equity markets. To capture the current tension in the relationship between China and the US, we use monthly stock market volatility and TPU indices of China and US from 2000 to 2019. By adopting a time-varying VAR model (TVP-SV-VAR), we find that TPU has heterogeneous effects on...

This paper studies price discovery ability between the options and futures markets of soybeans. The options price index is calculated with a put–call parity method on at-the-money calls and put options with data of one-minute frequency. We show that the price discovery ability of soybean options is stronger than that of soybean futures and graduall...

This paper examines the effects of economic policy uncertainty (EPU) on corporate innovation in China from 2000 to 2017. The monthly EPU index for China, developed by Huang et al. (2019), is applied as the measurement of EPU. We find that EPU is positively correlated with corporate innovation in general. We further conclude that in the low EPU peri...

We focus on 224 big Peer-to-Peer(P2P) lending platforms from 2015 to 2019 to test whether investor attention affects the return in an online lending environment. As investors mainly obtain the platform information through Internet, we use Baidu search index as a proxy of investor attention. Empirical results show that investor attention will decrea...

This study explores the spillovers between economic policy uncertainty (EPU) and stock market realized volatility (RV). The monthly index of Chinese and US EPU and RV are used to analyze the pairwise directional spillovers. We find that RV is a net receiver that is more vulnerable to shocks from U.S. EPU than to shocks from Chinese EPU. We further...

The goal of this paper is to investigate the roles of individual behaviour characteristics and Internet finance industry risk in the light of bank run theory for P2P. We know that risk evaluation is clearly important for peer-to-peer (P2P) lending platforms in China, as during the last two years the industry has experienced thousands of platform cr...

This paper studies the asymmetric spillover effect of important economic policy uncertainty (EPU) on the S&P500 index. We use monthly EPU indexes from Australia, Canada, China, Japan, the U.K. and the U.S. and the realized volatility of the U.S. stock market to study the asymmetric pairwise directional spillovers on the U.S. stock market from 2000...

Using a unique investor account database from a large brokerage company in China, we study the relationship between overconfidence and individual stock investment performance. We show that overconfident investors hurt their performance by trading more in general. We then focus on the effects of the different overconfidence levels of intraday and no...

This paper studies the association between the accuracy of analysts' recommendations and political connections in the Chinese stock market. As most brokerage firms in China are state-owned, it raises concerns about conflicts of interest among their employed analysts issuing recommendations for Chinese state-owned enterprises. Based on 8469 analysts...

We investigate China’s three stock index futures, and their underlying index in Chinese financial markets, to test their long- and short-run price discovery ability. Additionally, we analyze the regulation change of September 7, 2015, which greatly affected the futures market by imposing restrictions on trading volumes. The results suggest that the...

This paper studies the intraday return and volatility spillovers of Chinese CSI 300 industry indices with high frequency data between May 2012 and June 2016. The dynamic correlations between industries are calculated with a VEC-DCC-GARCH model. The correlations between CSI 300 industry indices are high but change with fluctuations in the overall in...

We forecast the realized volatility of crude oil futures market using the heterogeneous autoregressive model for realized volatility and its various extensions. Out-of-sample findings indicate that the inclusion of jumps does not improve the forecasting accuracy of the volatility models, whereas the “leverage effect” pertaining to the difference be...

In the period of financial crisis, financial assets clustered and dropped together. However, such phenomenon can hardly be predicted before it really happened. While traditional test methods can only detect pairwise relationship between two variables, we applied empirical copula to measure multi-assets univariate dependence. The test method is appl...

The stock price fluctuation is studied in this paper with intrinsic time perspective. The event, directional change (DC) or overshoot, are considered as time scale of price time series. With this directional change law, its corresponding statistical properties and parameter estimation is tested in Chinese stock market. Furthermore, a directional ch...

In this paper, the investment behavior of QFII in China stock market from 2004 to 2015 is studied with the network topology method. Based on the nodes topological characteristics, stock holding fluctuations correlation is studied from the micro network level. We conclude that the QFII mutual stock holding network have both scale free and small worl...

A differential evolution algorithm for solving Nash equilibrium in nonlinear continuous games is presented in this paper, called NIDE (Nikaido-Isoda differential evolution). At each generation, parent and child strategy profiles are compared one by one pairwisely, adapting Nikaido-Isoda function as fitness function. In practice, the NE of nonlinear...

This paper studies the behavior of commercial guarantee company in the game theory framework. Different payoff structures with guarantee company behavior for banks, borrowers, and the guarantors are formed in the presence of credit rationing. We derived and explained the surviving rule of different types of guarantee companies, and we further concl...