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All Outputs (31)

Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium (2018)
Journal Article
Zhang, F., & Zhang, Z. (2018). Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium. Journal of Forecasting, 37(3), 340-351. https://doi.org/10.1002/for.2506

We propose a new portfolio optimization method combining the merits of the shrinkage estimation, vine copula structure, and Black–Litterman model. It is useful for many investors to satisfy simultaneously the three investment objectives: estimation s... Read More about Strategic asset allocation by mixing shrinkage, vine copula and market equilibrium.

Rise of the gold market in China: liberalisation and market development (2017)
Journal Article
Wang, Y., Li, X., Zhang, Z., & Zhang, Z. (2018). Rise of the gold market in China: liberalisation and market development. Journal of Chinese Economic and Business Studies, 16(1), 17-38. https://doi.org/10.1080/14765284.2017.1378853

The Chinese gold market is rapidly rising to global prominence in the recent decades. The paper reviews the history of the gold market in China and its liberalisation process amid the country’s opening to the outside world. Details of the current mar... Read More about Rise of the gold market in China: liberalisation and market development.

Oral Intervention in China: Efficacy of Chinese Exchange Rate Communications (2016)
Journal Article
Zhang, Z., Li, H., & Zhang, C. (2016). Oral Intervention in China: Efficacy of Chinese Exchange Rate Communications. International Review of Financial Analysis, 49, 24-34. https://doi.org/10.1016/j.irfa.2016.11.006

This paper analyses China's oral intervention and the efficacy of exchange rate communications by the Chinese monetary authorities. Applying the event study approach, we find that exchange rate communication could help the authorities to impact the C... Read More about Oral Intervention in China: Efficacy of Chinese Exchange Rate Communications.

China's Intervention in the Central Parity Rate: A Bayesian Tobit Analysis (2016)
Journal Article
Li, H., Zhang, Z., & Zhang, C. (2017). China's Intervention in the Central Parity Rate: A Bayesian Tobit Analysis. Research in International Business and Finance, 39(Part A), 612-624. https://doi.org/10.1016/j.ribaf.2016.07.017

This paper investigates China’s daily foreign exchange intervention through the setting and adjustment of the central parity rate, using daily data from July 22, 2005 to July 22, 2013. Applying a Bayes Tobit model, we find evidence that China’s daily... Read More about China's Intervention in the Central Parity Rate: A Bayesian Tobit Analysis.

Exchange Rate Flexibility in China: Measurement, Regime Shifts and Driving Forces of Change (2016)
Journal Article
Dixon, R., Zhang, Z., & Dai, Y. (2016). Exchange Rate Flexibility in China: Measurement, Regime Shifts and Driving Forces of Change. Review of International Economics, 24(5), 875-892. https://doi.org/10.1111/roie.12226

With an emphasis on government intervention that hinders market forces in currency movements, this paper presents a nuanced investigation of the degree and dynamics of flexibility in China's exchange rate regime. A high-frequency data model is develo... Read More about Exchange Rate Flexibility in China: Measurement, Regime Shifts and Driving Forces of Change.

Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence (2015)
Journal Article
Nie, J., Zhang, Z., Zhang, Z., & Zhou, S. (2015). Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence. China & World Economy, 23(3), 97-109. https://doi.org/10.1111/cwe.12116

The present paper studies China's national level currency exposure since 2005 when the country adopted a new exchange rate regime allowing the renminbi (RMB) to move towards greater flexibility. Using generalized autoregressive conditional heterosked... Read More about Currency Exposure in China under the New Exchange Rate Regime: National Level Evidence.

Determinants of Financial Distress in Large Financial Institutions: Evidence from U.S. Bank Holding Companies (2015)
Journal Article
Zhang, Z., Xie, L., Lu, X., & Zhang, Z. (2016). Determinants of Financial Distress in Large Financial Institutions: Evidence from U.S. Bank Holding Companies. Contemporary Economic Policy, 34(2), 250-267. https://doi.org/10.1111/coep.12105

We investigate determinants of financial distress in large financial institutions based on the Distance-to-Default and Z-Scores measures. Using data of U.S. bank holding companies (BHCs), we find that the housing price index is a consistently signifi... Read More about Determinants of Financial Distress in Large Financial Institutions: Evidence from U.S. Bank Holding Companies.

A Multiple Goal Investment Strategy for Sovereign Wealth Funds: An Application to China (2015)
Journal Article
Xie, L., Woo, W. T., Zhang, Z., & Zhang, Z. (2015). A Multiple Goal Investment Strategy for Sovereign Wealth Funds: An Application to China. Asian Economic Papers, 14(1), 78-97. https://doi.org/10.1162/asep_a_00319

This paper develops a multiple-goal investment strategy for sovereign wealth funds. In our investment strategy, we embed the Black-Litterman (B-L) model into the mean variance mental accounting (MVMA) approach. The B-L method provides a means of mode... Read More about A Multiple Goal Investment Strategy for Sovereign Wealth Funds: An Application to China.

Optimal Currency Composition for China’s Foreign Reserves: a Copula Approach (2014)
Journal Article
Zhang, Z., Ding, L., & Zhang, F. (2015). Optimal Currency Composition for China’s Foreign Reserves: a Copula Approach. World Economy, 38(12), 1947-1965. https://doi.org/10.1111/twec.12237

This paper investigates the optimal currency composition for a country's foreign reserves. In the context of China, we examine the asymmetric, fat-tail and complex dependence structure in distributions of currency returns. A skewed, fat-tailed and pa... Read More about Optimal Currency Composition for China’s Foreign Reserves: a Copula Approach.

Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry (2014)
Journal Article
Zhang, Z., Ding, L., Zhou, S., & Fu, Y. (2014). Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry. Multinational finance journal, 18(1/2), 43-84

By applying tournament analysis to the UK Unit Trusts data, the results support significant risk shifting in the family tournament; i.e. interim winning managers tend to increase their level of risk exposure more than losing managers. It also shows t... Read More about Fund Family Tournament and Performance Consequences: Evidence from the UK Fund Industry.

The Options for Reforming the Renminbi Exchange Rate Regime. (2013)
Book Chapter
Pan, Y., Nie, J., Zhou, S., Wu, X., & Zhang, Z. (2013). The Options for Reforming the Renminbi Exchange Rate Regime. In W. Woo, Y. Pan, J. Sachs, & J. Qian (Eds.), Financial Systems at the Crossroads. World Scientific Publishing

Investor learning and mutual fund family (2013)
Journal Article
Zhang, Z., Ding, L., & Zhou, S. (2014). Investor learning and mutual fund family. Journal of Empirical Finance, 26, 171-188. https://doi.org/10.1016/j.jempfin.2013.12.001

In this paper we revisit the cross-fund learning method suggested by Jones and Shanken (2005) and construct a linear hierarchical model to consider the learning across funds within the fund family during the performance evaluation. We provide a full... Read More about Investor learning and mutual fund family.

Exchange Rate Determination and Dynamics in China: A Market Microstructure Analysis (2013)
Journal Article
Zhang, Z., Chau, F., & Zhang, W. (2013). Exchange Rate Determination and Dynamics in China: A Market Microstructure Analysis. International Review of Financial Analysis, 29, 303-316. https://doi.org/10.1016/j.irfa.2012.08.005

This paper provides a market-microstructure analysis of exchange rate dynamics in the Chinese foreign exchange market using a vector autoregressive (VAR) modeling framework. An index of order flow is constructed in the Chinese context to reflect exce... Read More about Exchange Rate Determination and Dynamics in China: A Market Microstructure Analysis.

Accumulation of Large Foreign Reserves in China: A Behavioural Perspective (2013)
Journal Article
Zhang, Z., Chau, F., & Li, X. (2013). Accumulation of Large Foreign Reserves in China: A Behavioural Perspective. Economic Change and Restructuring, 46(1), 85-108. https://doi.org/10.1007/s10644-012-9136-1

The massive accumulation of foreign reserves by China has challenged the conventional thinking about prudent reserve management. This paper develops a behavioural model of optimal decision making under uncertainty to explain the observed Chinese rese... Read More about Accumulation of Large Foreign Reserves in China: A Behavioural Perspective.