As a response to the growing concern on the interconnection of international stock markets, this study uses the Pena-Box model to capture time-varying relationship of the returns of 13 stock indices during 1993-2002. The results indicate a dynamic relationship of world major stock markets over time, which provide new but supplemental evidence on the conclusion derived from the conventional confirmatory factor analyses in literature.

We examine the pricing implications of monetary policy uncertainty (MPU) in the cross‐section of stock returns in the Chinese stock market. Our results show that the long‐short portfolio that is long stocks with the lowest exposures to innovations in MPU and short stocks with the highest exposures to innovations in MPU earns about 6% annualized alpha. The coskewness, idiosyncratic volatility, size, and book‐to‐market effects cannot account for the low (high) average returns earned by stocks with high (low) exposures to innovations in MPU. Furthermore, the exposure to innovations in MPU commands a significantly negative risk premium in the Fama‐MacBeth regressions. These results indicate that investors have preferences for the early resolution of MPU.

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Using factor models, we examine two pricing issues of cloud stocks in China's stock market. In particular, we test whether the Fama and French factor models are useful to explain the stock prices of cloud stocks and whether there are abnormal returns unexplained by these models. Using the daily stock prices of 1670 cloud stocks from 2012 to 2022, we find that the factor models explain up to nearly 97% of the stock return variations of the cloud stocks, and mispricing. The results are robust to alternative measure of factors, outliers, sampling period and different approaches of factor modelling.