Global information breadth and stable tail risk at the Chinese market open

This is the authors' abstract. We don't add key points for this paper.

Large opening price movements may reflect both the intensity of foreign information and its distribution across markets. This paper replaces latent news counts with two measurable states: information strength, capturing the aggregate magnitude of foreign equity signals, and effective breadth, capturing how evenly that magnitude is distributed across regional channels. Constructed using information available before the Chinese opening auction, these states enter the conditional scale of an asymmetric stable model, while signed regional innovations enter its conditional location. Evidence from three Chinese equity indices most clearly supports an information intensity channel through completed foreign session ranges, whereas the contribution of breadth remains imprecisely estimated. The model improves predictive log scores and joint Value at Risk and Expected Shortfall scores relative to simpler stable benchmarks, although gains over a model with signed foreign factors are smaller and Student t innovations remain competitive. These findings support distinguishing measurable information intensity from breadth rather than interpreting opening risk through an unobserved event count. Remaining Expected Shortfall calibration failures indicate that richer tail dynamics are needed.