This paper investigates the impact of coronavirus disease 2019 (COVID‐19) on the Chinese stock market. We show that the COVID‐19 outbreak not only hurts the stock returns but also affects the stock price sensitivity to firm‐specific information. We document heterogeneous effects of the epidemic infection scale and the public attention about the pandemic. The stock market response to firm‐specific information is decelerated (accelerated) by the public attention (infection scale). Moreover, the decreasing (increasing) effect of the public attention (infection scale) on such response is more intensive to positively toned (negatively toned) firm‐specific news articles. Finally, we observe price reversal (momentum) following the public attention (infection scale).

In this paper we investigate the applicability of the asymptotic approach developed in Fouque et al. (2000) for pricing commodity futures options in a Schwartz (1997) multi factor model, featuring both stochastic convenience yield and stochastic volatility. We show that the zero order term in the expansion coincides with the Schwartz (1997) two factor term, with expected long-term volatility replacing the constant volatility term, and provide an explicit expression for the first order correction term. Using empirical data from the natural gas futures market, we demonstrate that a significantly better calibration can be achieved by involving the correction term as compared to the standard Schwartz (1997) two factor expression. This improvement comes at virtually no extra effort.

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In this paper we introduce a three factor model to price commodity futures contracts. This model allows both the spot price volatility and convenience yield to be stochastic, nevertheless futures prices can be obtained conveniently in closed form. Further, we use Brent crude oil futures prices to calibrate the model using the extended Kalman filter. In comparison to the benchmark model for commodity futures pricing, the Schwartz two-factor model, our three factor model shows a superior fit for contracts that have longer maturities. We further assess risk premia in Brent crude oil through the two models and observe that the Schwartz two-factor model over-predicts risk premia in comparison to the new model.

Focusing on the equity exchange traded funds (ETFs) in China, we demonstrate the significant effect of ETF flows on the informativeness of the ETF index. Following the novel approach proposed by Xu et al (2019a). to identify different driving forces for ETF flows, we explore whether the forward‐looking ETF flows at a day’s closing substantially improve the index’s efficiency on the next day. The mechanism behind it is inter‐market information spread: the efficiency effect of the forward‐looking ETF flows strengthens when ETFs share more new information; and the forward‐looking ETF flows increase the information flow to the ETF index on the next day.