Shuyi Ge

Nankai University - Department of Finance

94 Weijin Road

Tianjin, 300071

China

SCHOLARLY PAPERS

9

DOWNLOADS

1,276

SSRN CITATIONS

14

CROSSREF CITATIONS

1

Scholarly Papers (9)

1.

News-Implied Linkages and Local Dependency in the Equity Market

Number of pages: 54 Posted: 19 Apr 2021 Last Revised: 28 Mar 2022
Nankai University - Department of Finance, University of Cambridge and Peking University
Downloads 404 (137,855)

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Spatial asset pricing model, weak and strong cross-sectional dependence, local dependency, networks, textual analysis, big data, large heterogeneous panel

2.

Decoding Cross-Stock Predictability: Peer Strength versus Firm-Peer Disparities

Number of pages: 55 Posted: 31 May 2024
Reichman University - Interdisciplinary Center (IDC) Herzliyah, Nankai University - Department of Finance, Peking University and University of Cambridge
Downloads 225 (259,076)

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cross-stock predictability, asset pricing, economic links, information aggregation JEL Classification: G11

3.

Dynamic Peer Groups of Arbitrage Characteristics

Number of pages: 50 Posted: 21 Jul 2020 Last Revised: 07 Jun 2021
Peking University, University of Cambridge and Nankai University - Department of Finance
Downloads 202 (280,414)
Citation 1

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Semiparametric; Peer Groups; Power-enhanced Test

4.

Diamond Cuts Diamond: News Co-mention Momentum Spillover Prevails in China

Number of pages: 67 Posted: 26 Jun 2023
Shuyi Ge, Shaoran Li and Hanyu Zheng
Nankai University - Department of Finance, Peking University and The University of Hong Kong - Faculty of Business and Economics
Downloads 126 (416,381)
Citation 3

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Economic Linkage, Big Textual Data, Momentum Spillover, News co-mention, Limited attention

5.

A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model

Number of pages: 43 Posted: 15 Sep 2022 Last Revised: 11 Nov 2022
Shuyi Ge
Nankai University - Department of Finance
Downloads 106 (473,234)

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Contagion, Interdependence, Regime-switching, Mutual-excitation, Sovereign credit risk

6.

CSNCD: China Stock News Co-mention Dataset

Number of pages: 9 Posted: 29 Nov 2023
Nankai University - Department of Finance, Peking University, Peking University - School of Economics, Peking University - School of Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 86 (542,609)
Citation 1

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Big data; News; Chinese stock market; Textual analysis; Stock links

7.

CSNLFD: China Stock News Leader-Follower Dataset

Number of pages: 6 Posted: 29 Feb 2024
Nankai University - Department of Finance, Peking University, Peking University - School of Economics, Peking University - School of Economics and The University of Hong Kong - Faculty of Business and Economics
Downloads 55 (688,808)

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Big data, News, Chinese stock market, Textual analysis, Stock links, Leader-follower

8.

A Tale of Two News-implied Linkages: Information Structure, Processing Costs and Cross-firm Predictability

Number of pages: 54 Posted: 12 Feb 2024
Shuyi Ge, Shaoran Li and Hanyu Zheng
Nankai University - Department of Finance, Peking University and The University of Hong Kong - Faculty of Business and Economics
Downloads 52 (706,588)

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Information processing costs, Limited attention, Cross-firm momentum, News, Big textual data, Linked firms, Attention spillover, Return predictability

9.

A-H Share Price Difference: A Theoretical and Empirical Analysis

Number of pages: 64 Posted: 11 Apr 2024
Peking University, Nankai University - Department of Finance, Peking University - School of Economics and University of Cambridge
Downloads 20 (961,617)

Abstract:

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Price Premium, Dual list shares, General equilibrium