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Based on a time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV), this paper investigates the dynamic effects of geopolitical risk on mutual fund risk taking in China across three-time horizons and at three selected time points. Overall, the impulse responses are time-varying and we find a negative effect of geopolitical risk on mutual fund risk taking until 2015, with the short-term effect being the most pronounced, suggesting that when professional investors such as mutual fund managers are faced with the stock valuation uncertainty due to a geopolitical shock, they choose to reduce market risk exposures. After 2015, the short-term effect begins to diminish and gradually turns positive, which could be explained by the fact that with the increasing abundance and diversification of investment instruments, fund managers have more effective investment tools and more sophisticated trading strategies to hedge against geopolitical risk, rather than reducing market risk exposure. Further, we explore the heterogeneous effects of eight types of geopolitical risk and three types of mutual fund. The results indicate that the effect of geopolitical actions is stronger than that of geopolitical threats, while the effect of narrow geopolitical risk is stronger than that of broad geopolitical risk. Moreover, we find that the response of the risk taking of growth funds to the geopolitical risk is weaker than that of balanced and income funds. [ABSTRACT FROM AUTHOR]

The power sector is one of the major CO2-emitting industries in China. It is also the first key emissions control industry included in China's national carbon trading market established in 2021. Therefore, based on the data of 30 provinces and cities in China from 2015 to 2022, this study analyzes the impact of the national carbon market policy on the carbon emissions of the power industry based on the generalized Difference-in-Difference (DID) model. Based on the method of text analysis, this paper constructs the carbon market policy intensity index of each region and incorporates it into the DID model. Empirical analysis finds that the national carbon market policy can significantly inhibit the carbon emissions of the power industry. However, the heterogeneity analysis of 30 provinces and cities shows that the national carbon market policy has a significant impact on the regions that already have a carbon pilot, but not on the non-pilot regions. Therefore, this paper demonstrates the effectiveness of the national carbon market policy in the power industry emissions control, and also exposes the heterogeneity between regions, providing an important empirical basis for the inclusion of other energy-intensive industries. [ABSTRACT FROM AUTHOR]

By using the misfired missile event from Taiwan to mainland China as an exogenous shock, we identify the causal effect of potential military risk on the Chinese A‐share market. We find that the misfired missile event indeed causes a significant decline in the stock prices of Taiwan‐related A‐share firms, especially for firms that have stronger relationship with Taiwan. Further analysis shows that the increased required rate of return due to higher political uncertainty is the main driving force of the stock price decline. Our findings provide strong support for the existence of priced political risk in the stock market. [ABSTRACT FROM AUTHOR]

This article constructs China VIX with ETFs option data from SSE, HKEx, and CBOE, and investigates the corresponding volatility premiums and volatility term structures. We find that China's volatility premiums exist in all the three markets with a specific pattern during and after the market crash, and they are highly similar and correlated. This pattern shows that volatility premiums are significantly negative during market crash and quickly rise to a large positive number after the crash, and then slowly decay until next crisis. Moreover, it suggests that investors should short volatility after market collapse rather than long it like most market participants did in the past. Despite the three volatility term structures show that implied volatilities generally decrease with the increasing of terms and rise sharply near the maturity dates, there is no such obvious pattern in the volatility term structure of SSE 50 ETF options due to the extremely imperfection of China's option market. [ABSTRACT FROM AUTHOR]