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This paper studies the impact of fundamental macroeconomic news on stock market return and its volatility by constructing indicators which measure unexpected components of 7 macro announcements series. We find that the monthly returns of stock markets are a hedge against inflation, and PPI, fixed investment, money supply (M2) significantly affect the returns of stock markets, moreover the trade surplus has significant effect on the volatility of stock market returns. We also find daily stock market returns response the macroeconomic announcements differently. For Shanghai stock market, CPI, fixed investment and importation affect the returns of Shanghai Composite Index, and export variable influences both its return and volatility. Shenzhen stock market only has a response to the exportation information. In addition, there are significant structure change in above relationship in the post crisis. Among all macro information variables, only PMI and trade variables strongly affect the market returns, while PPI is significantly related to their volatility. [ABSTRACT FROM AUTHOR]

This paper uses the ΔCoVaR approach to estimate the tail risk spillover effects between Shanghai/Shenzhen and Hong Kong stock markets from November 2006 to December 2018. The results show that: 1) There exist the significantly positive spillover effects between Shanghai/Shenzhen and Hong Kong stock markets in both directions; 2) The spillover effects from Hong Kong to Shanghai/Shenzhen stock market are stronger than those from Shanghai/Shenzhen to Hong Kong stock market; 3) There exist more fluctuations in the spillover effects between Shenzhen and Hong Kong stock markets than those in the spillover effects between Shanghai and Hong Kong stock markets; 4) After the launch of the lShanghai-Hong Kong Stock Connect' and 'Shenzhen-Hong Kong Stock Connect', the spillover effects between Hong Kong and Shanghai/Shenzhen stock markets do not appear to change significantly. [ABSTRACT FROM AUTHOR]

Using the data of A-share listed companies from 2011 to 2016 in Shanghai and Shenzhen, we establish a panel threshold model which the threshold variable is internal control, and analyse the nonlinearity relationship between dividend and agency cost. The result shows:There exist threshold effects between dividend and agency cost based on internal control. Cash dividend can reduce agency cost when internal control quality is higher than the threshold, otherwise, cash dividend will no longer have any effect. That means, a valid internal control is the foundation of dividend governance function. Furthermore, the descriptive statistics result implies that, companies with higher internal control quality than threshold are popular. This paper proofs that agency theory is effective in Chinese market, and higher internal control quality higher propensity to pay. So we disagree with the previous hypothesis of "result" and "substitution" between internal control and dividend. [ABSTRACT FROM AUTHOR]