Effect of COVID-19 on non-performing loans in China.

We examine the resilience of Chinese banks during the COVID-19 pandemic by investigating non-performing loan (NPL) ratios. We find that despite the reduction in the growth rate of total bank lending, bank NPL ratios significantly increase during the COVID-19 crisis. Banks with high-quality capital are more effective in controlling their NPL ratios during the Crisis. Big Five banks, state-owned banks and domestic banks have lower NPL ratios than their counterparts during the Crisis.

Volatility spillover around price limits in an emerging market.

The intraday volatility effects of price-limit hits for stocks in the BIST-50 index during a volatile period are examined. Our evidence supports the volatility no-effect, dampening and spillover hypotheses depending on whether the lower or upper price limit is hit and on when the hit begins and ends. Post-hit volatilities tend to be lower for limit hits near the beginning of the first trading session, unchanged for those that transcend a trading session and for upper price-limit hits near the end of either trading session, and higher for lower price-limit hits near the end of either trading session. These results are robust using samples differentiated by cross-listed status, same-day news, equi-distant and trade-by-trade returns and volatility measures accounting for return-series autocorrelations. Our findings have implications for emerging markets planning to impose price-limit bands or to increase their efficacy.

Social Performance and Firm Risk: Impact of the Financial Crisis.

This paper examines the impact of the recent financial crisis (2008-2009) on the relation between a firm's risk and social performance (SP) using a sample of non-financial U.S. firms covering the period 1991-2012. We find that the relation between SP and risk is significantly different in the crisis period (post-crisis period) compared to the pre-crisis period. SP reduces volatility during the financial crisis. The risk reduction potential of SP is mainly due to the strengths component of SP. Since the relation of risk is stronger with SP strengths than SP concerns, this implies an asymmetric relation between these SP components and a firm's risk. Specifically, strengths act as a risk reduction tool during an adverse economic environment.