*2.1. Sample*

We used the 2015 sociological survey dataset provided by China's National Survey Research Center (the dataset can be found at http://cnsda.ruc.edu.cn/). Data were collected using a stratified clustered sampling design and were representative for the non-institutionalized adult (i.e., 18 and above) population in China. The primary survey unit (PSU) of this survey is at the county level or district level. Using China's latest census as the sampling frame, the survey project included 969 of the most crowded PSUs across China. One hundred and thirty PSUs were randomly chosen and each chosen PSU was assigned a quota of households based on the population of that neighborhood as a proportion of the total population of all 969 PSUs. The researchers then selected households randomly using the residence records in the sampling frame. One adult person was randomly selected from each sampled household to serve as a respondent. Survey administrators visited each household after 18:00 h on weekdays or after 14:00 h during weekends and holidays to maximize the participation rate. The dataset consists of 10,968 face-to-face interviews (6470 respondents from rural and 4498 from urban areas, respectively). The sample includes 5834 female and 5134 male individuals from 130 PSUs (hereafter, "communities") in 28 provinces. Most of the respondents were aged 41–60 (40%). Our samples were nested in two levels: the individual level and the community (i.e., county or district) level. The detailed distributions of sample are summarized in Table 1.



### *2.2. Outcome Variable: Self-rated Mental Health*

Self-rated mental health status was based on five statements that are similar to the WHO-Five Well-Being Index (WHO-5): "I often feel calm and peaceful; I often feel active and vigorous; I often feel depressive and unhappy; I often feel exhausted and tired; and I often feel that I cannot stand my life". For the first two statements, the responses were given a value from (1) "not at all" to (5) "very true". As for the last three statements, the responses were given a value from (1) "very true" to (5) "not at all". The Cronbach's alpha was 0.86. The eigenvalue of one principal component of this scale is 3.29, which represents the significant amount of variance in each item that can be explained by the principal component.

The items were evaluated by a confirmatory factor analysis (CFA) model. A weighted average mental health score was generated, which was resulting from the multiplication of each statement by its corresponding CFA standardized regression weight. The mental health score was standardized to have a mean of zero and a standard deviation of one. That is, if an individual is in good mental health status, then his or her mental health score is positive. Otherwise, it is close the zero or negative.

### *2.3. Independent Variables: Social Capital*

Social capital is regarded as "connections among individuals in social networks and norms of reciprocity and trustworthiness that arise from them" [37] (p. 19). The literature has identified four dimensions of social capital:

Structural social capital refers to an individual's social network and various forms of civic engagemen<sup>t</sup> while cognitive social capital means an individual's subjective perception of level of trust and reciprocity, which can be regarded as the result of structural social capital [38–42]. Horizontal social capital (or bonding/bridging social capital) refers to the relations developed between individuals or groups at the same social-economic hierarchical level, while vertical social capital (or linking social capital) includes the vertical relations between individuals or groups at different levels of formal power or authority [39,43–45]. Finally, social capital is not just an individual's resource [46–48] but also a contextual capital [39]. Community or neighborhood social capital is usually based on day-to-day interaction between individuals [49]. According to [50,51] and [52,53], an individual in a particular area is also exposed to the community-level context, which may have an effect on an individual's health. Therefore, we included contextual social capital variables, which can be constructed by grouping individuals within the same county/district and by aggregating an individual's answers.

In this study, we have adopted the four-dimension framework of [39] to measure both individual and community-level social capital in the Chinese context.

The first dimension is civic participation (CP), a type of structural and horizontal social capital, here assessed by the frequency of an individual's participation in nine different civic activities over the past 12 months (i.e., festivals, kinship networking, sports, entertainments, time with fellow workers, skill development, philanthropy, educational and religious activities). The responses were given a value from (1) "not at all" to (5) "very frequently". The Cronbach's alpha was 0.74. The eigenvalue of one principal component of this scale is 3.37, indicating a substantially large amount of variance in each item that can be explained by the principal component. The items were standardized to have a mean of zero and a standard deviation of one, and were then evaluated by a CFA model. A weighted average CP score was generated, which was resulting from the multiplication of each statement by its corresponding CFA standardized regression weight.

The second dimension is civic trust (CT), a type of cognitive and horizontal social capital, here measured by the degree of a respondent's trust on people, based on 13 different types of relations (i.e., close neighbors, distant neighbors, people living in the same town/village with the same family name, people living in the same town/village with different family name, relatives, acquaintances, townsmen, members of gymnasium club, members of non-political associations, members of volunteer organizations, classmates, colleagues, and total strangers). For each statement, the responses were given a value from (1) "not true at all" to (5) "very true". The Cronbach's alpha was 0.81. The eigenvalue of one principal component of this scale is 4.03. The items were standardized to have a mean of zero and a standard deviation of one, and then evaluated by a confirmatory factor analysis (CFA) model.

The third level is political participation (PP), a type of structural and vertical social capital, here assessed using four binary items—whether the respondent was a member of the Chinese Communist Party (CCP) or any other political party, or a governmen<sup>t</sup> official or military officer, or a member of People's Congress (PC) or of People's Political Consultative Conference (PPCC), or had participated in any political protests or petitions. The sum of these four items was used as the PP score, which was then standardized to have a mean of zero and a standard deviation of one.

Fourthly, political trust (PT), a type of cognitive and vertical social capital, referred to the extent to which respondents trusted in China's political institutions (i.e., CCP, PC, PPCC, court system, People's Procuratorate, military, police, and local as well as central governments). PT was measured by nine statements in terms of a respondent's satisfaction of political institution's service performance on transparency and accountability, social inequality, healthcare disparity, social services for the elderly/poor households, education service, judiciary's efficiency and fairness, crime crackdown, defense and policing, and environment protection. For each statement, the responses were given a value from (1) "not satisfied at all" to (5) "very satisfied". The Cronbach's alpha was 0.80. The eigenvalue of one principal component of this scale is 4.71. The items were standardized to have a mean of zero and a standard deviation of one, and then evaluated by a confirmatory factor analysis (CFA) model.

Confirmatory factor analysis was performed on the constructs of CP, CT, PT, and mental health using open source R statistics package (see www.r-project.org) to evaluate the factor structures. The results indicated a good fit of each construct yielding a root mean square error of approximation (RMSEA) smaller than 0.05 and goodness-of-fit index (GFI) as well as an adjusted GFI superior to 0.90. All items were significantly loaded on their latent variables. The internal consistency of the scales (i.e., Cronbach's alpha) was greater than 0.70, indicating high reliability of our measures.

Thereafter, we aggregated these four social capital subcomponents into one general social capital index (SCI). Finally, five contextual, district-level social capital variables (CP-Dist, CT-Dist, PP-Dist, PP-Dist, PT-Dist, and SCI-Dist) at the community level were measured on the basis of aggregated individual answers for each county/district.

### *2.4. Independent Variables: Human Capital Covariates*

Following [54] proposition, we have included a series of socioeconomic-demographic variables to control the confounding effects.

Gender was represented by a dummy variable for female. Age was categorized into four categories (1 = 18–25; 2 = 26–40; 3 = 41–60, and 4 = 61 and above). Education was measured as the highest grade completed (0 = no formal education; 1 = primary school; 2 = junior high school; 3 = senior high school; 4 = college; 5 = postgraduate). Marriage was categorized into three groups (1 = never married; 2 = married; 3 = divorced or widows/widowers). Unemployment was a dummy variable for whether one had been unemployed for the last three months. Self-reported social-economic status was assessed by a five-point likelihood scale ranging from 1 (very low) to 5 (very high). The respondents were asked to compare their social-economic status with peers within the same community.

Household income was measured based on the household annual expenditure (see [21]). Wealth index was constructed from a factor analysis of 15 terms related to household dwelling characteristics and ownership of consumer durables (such as, cars, TV sets, telephones, and so on. See [55] for more details. Finally, household size referred to the total number of family members that were living together.
