中国股市收益率的时变方差与周内效应

对于中国股市收益率是否存在周内效应尚缺乏共识。本文采用交叠 ( overlapping)样本方法与分段取样方法 ,通过 GARCH模型 ,检验沪深两市指数收益率的周内效应 ,得出的结论是 :第一 ,中国股市的早期阶段 (大约 1 994年前 )周一的收益率显著为负 ,而中间更长时期存在显著的周五正收益 ,不过这种“周五效应”从 1 998年左右开始趋于弱化。第二 ,无论是周五的高收益还是周一的低收益 ,都不是源于风险溢价的变化。因为周五的收益波动幅度并没有明显增加 ,周一的波动幅度反而较高 ,我们认为后者是由于周六和周日两个非交易日里也有信息为交易者吸收所致。     

上证综合指数的星期效应检验

对1992年5月21日至2002年6月21日上证综合指数星期效应的检验，发现周五的平均收益最高，周四次之，周一，周二的平均收益均为负，周二平均收益最低；对10％涨跌停板制度前后两个时期分别进行考察的结果，发现前一时期星期效应的模式和整体样本一致，而后一时期却是周三收益次高，周一平均收益最低。     

后金融危机时期我国黄金期货市场的日历效应分析

文章选取2010²014年上海黄金期货交易所黄金连续主力合约期货日收盘价数据,通过对后金融危机时期我国黄金期货市场的对数收益率的均值和波动的状况进行实证分析,判断我国黄金期货市场的日历效应。结果显示,我国黄金期货市场有显著的正的周一效应和负的周四效应。     

外国直接投资的行业内与行业间溢出效应:哪些行业受益?

本文运用2000至2005年省际分行业的数据,对外国直接投资的水平、后向和前向溢出效应进行了检验和分析.经分析发现,在样本期间和地区,外国直接投资的溢出效应并不十分明显.溢出效应主要体现在对内资企业生产前沿的影响上,其中,消费品或轻工业产品行业的内资企业主要从FDI的前向溢出效应中受益;采掘、资本品或重工业行业的内资企业主要从FDI的后向溢出效应中受益;水平溢出效应大多为负,体现了外企竞争的不利影响.     

基于GARCH模型的上证综指收益率的周内效应研究

收益率的周内效应是股票市场有效性研究的重要组成部分,论文选取2000年1月5日至2010年9月30的上证综指收盘价数据为样本,首先运用简单描述性统计方法对样本数据进行统计描述,随后使用带虚拟变量的GARCH模型进行回归分析,以期判断中国的股票市场是否有效。     

中国证券市场的周期性异象检验

本文分析了6年多来中国证券市场大盘指数和基金指数的周内、月内及年内效应，并对其相互间的关联性进行了检验。实证表明，中国市场存在“周二周四”的周内效应；市场大盘指数2月份的收益率相对最高，基金指数在3月份、12月份的收益率较高，同时大盘指数和基金指数9月份的收益率都显著较低；各指数第三季度收益率相对最低；上半年收益率要高于下半年。联动性检验显示。周二、周四与月内的不同时段交互作用并不显著；周四与10月份对大部分市场大盘指数和基金指数有负的联动效应。     

中国开放式基金周内效应研究

运用非参数检验方法和GARCH模型识别法对我国开放式基金的周内效应进行实证分析,结果表明我国开放式基金收益存在周内效应,主要表现为“周三效应”;研究结果也表明样本基金收益的波动性存在显著的“周三效应”,说明基金的高收益和高风险紧密相伴。     

论增值税转型对我国企业财务绩效的影响

增值税是商品生产、劳务、服务、以及商品流通等多个环节新增价值或附加值收取的一种流转税，它分为“生产型增值税”“消费型增值税”和“收入型增值税”三种。增值税转型在很大程度上取得了明显的效果，它的实施必然会对我国企业产生重大的影响。增值税转型不是一次就能完成的，它经历了时间的考验。我国从2004年7月1日起首先在东三省和大连市八大行业试点增值税转型，即2004年7月1日以后企业购入固定资产的进项税可以抵扣当年销项税，随之2007年7月1日在中部六省又实行转型，直到2009年7月1日全国所有行业实行标准的消费型增值税。从而标志着增值税转型全面启动。本文分别从实际负税、投资、现金流量、财务指标来分析增值税转型对企业财务绩效的影响。     

边境效应、邻近效应与沿边地区双边贸易:基于贸易相对集中视角

边境效应理论认为边境的存在会抑制两地区之间的双边贸易,使得内部贸易相对密集于对外贸易。中国沿边地区对外贸易不仅具有边境效应,而且具有一定的独特性,具体表现为与相邻国家的绝对双边贸易额较小,而相对贸易额较大,即呈现出贸易相对集中的邻近效应。为了探索中国沿边地区对外贸易的边境效应与邻近效应,文章整理了2000～2013年海关数据库以及各省(区)市统计年鉴数据,将边境效应和邻近效应同时纳入引力模型中,检验边境效应和邻近效应对沿边地区双边贸易的影响。实证结果显示:考虑邻近效应后,边境的存在对双边贸易的负影响显著降低,即邻近效应对边境效应具有缓解作用,且出口边境效应明显大于进口边境效应;邻近效应对双边贸易具有显著促进作用,且贸易的相对集中对出口的影响大于对进口的影响;区域异质性对边境效应和邻近效应的作用具有显著影响。     

股市的节日效应探源:基于上证综指和深证成指收益率

采用上证综指和深证成指收益率数据,运用加权最小二乘法,对我国股票市场的节日效应进行研究,发现中国股市存在显著的节日效应。在研究中国股市的节日效应与周内效应的关系时,发现考虑了周内效应后,沪深两市的节日效应依然显著存在,节日效应并不是由周内效应引起的。通过结合不休市的传统节日研究发现,传统节日也存在显著的节日效应,因此,节日效应不是闭市效应的一种体现。     

年年中秋,别样滋味

农历八月十五,中秋节,被喻为是最有人情味、最富诗情画意的中国传统节日。每逢佳节倍思亲,尤其是中秋节这一轮明月高挂的时刻。中秋之所以是中秋,是因为农历八月十五这一天是在三秋制中。"天上一轮才捧出,人间万姓仰头看。"这一天,天上的圆月分外明亮,特别大特别圆,一盘月饼、一壶香茶和一些瓜果,犹记得一家老老小小夏夜里静静品月的场景。年年中秋,却总有着别样的滋味,对于往日传统的怀念与回忆,对于现在商业味的无奈和感慨,对于中秋的各种情怀……     

The Ex-Dividend Day Stock Price Behavior: The Case of Portugal

This paper examines the ex-dividend day behavior of stock prices in the Lisbon Stock Market over the period 1990–1998, extending on international evidence and discussing the adequacy of competing theories, considering the Portuguese institutional environment. We find that on the ex-day stock prices fall by less than the dividend, which is in line with the findings of several studies based on US and non-US data. The main contributions of this paper are: (1) the rejection of a tax explanation for the stock price drop, because it is inconsistent with the Portuguese tax regime; (2) considering the very small stock price tick and the fact that dividends are always integer multiples of tick size, the discreteness hypothesis of Bali and Hite (Journal of Financial Economics 47(2):127–159, 1998) is also ruled out as a possible explanation for ex-day price movements. We find no evidence of tax related clientele effects. We propose that ex-day price behavior may be an anomaly, reflecting a less than efficient market with low liquidity levels, price stickiness, and insipid arbitrage trading.

Weekday seasonality of stock returns: The contrary case of China

We document that Chinese stock returns exhibit early-in-the-week effects opposite-signed to those observed worldwide. The period of analysis is 2001–2016. Dominated by individual investors, Chinese stock markets offer unique out-of-sample insight regarding the source of weekday seasonality, ascribed elsewhere to institutional investors’ trading patterns. High returns to the market and to small, speculative stocks early-in-the-week pose a refuter to the mood explanation for the conventional (negative) Monday effect. A battery of tests suggests that the patterns in the Market, SMB, and RMW factors are jointly associated with Chinese individual investors whose demand is tilted towards small, speculative stocks. Our findings point to a potential role of dominant investor type in driving weekday patterns and the RMW premium.     

Do Monetary Policy Announcements Affect Exchange Rate Returns and Volatility of Returns? Some Evidence from High‐Frequency Intra‐Day South African Data

This paper examines the temporal effect of domestic monetary policy surprises on both returns and volatility of returns of the South African rand/U.S. dollar exchange rate. The analysis in this “event study” proceeds using intra‐day minute‐by‐minute exchange rate data, repo rate data from the South African Reserve Bank's scheduled monetary policy announcements, and market consensus repo rate forecasts. A carefully selected sample over the period August 2003 to November 2017 ensures that the change in monetary policy is exogenous to the exchange rate. We find statistically and economically significant responses in intra‐day high‐frequency South African rand/U.S. dollar exchange rate returns and volatility of exchange rate returns to domestic interest rate surprises, but anticipated changes have no bearing on exchange rate returns and their volatility. The empirical results also indicate that there is an instantaneous response of the rand/dollar exchange rate to monetary policy surprises and that monetary policy news is an important determinant of the exchange rate until at least 42 minutes after the pronouncement – suggesting a high degree of market “efficiency” in its mechanical sense (although not necessarily in the deeper economic‐informational sense) in processing this information. Essentially, the asymmetric GARCH results exhibit no leverage effects – positive and negative information shocks have symmetric effects on conditional variance.     

《焦点访谈》之《国庆走基层》系列节目分析

2011年10月3日--10月7日，中央电视台的《焦点访谈》栏目推出了一档国庆特别节目--《国庆走基层》。本文将通过对这一系列共五期节目的分析，探索如何进行电视新闻节目的策划与制作。具体从这五期节目的选题立意与表现形式两个方面分析其独到之处，选题立意包括：报道题材选择的原因、作用；表现形式包括：节目内容编排（题目、顺序、节目的内容）、采访人物的选择、镜头的运用、主持人的表现、细节表现等方面。对四期节目分别进行具体分析之后，再从整体进行分析。     

STOCK MARKET VALUATIONS OF R&D AND ELECTRONICS FIRMS DURING TAIWAN'S RECENT ECONOMIC TRANSITION

The objective of the present study is to investigate the market valuation of Research and Development (R&D) investments in the Taiwanese stock market from July 1988 to June 2002. The motivation stems from Taiwan's recent economic transition from a labor‐intensive, then to a capital‐intensive, and currently to a technology‐based economy. The results support not only the existence, but also the persistence of R&D‐associated mispricing. More importantly, it has become stronger as the electronics industry gradually dominates the economy. First, R&D‐intensive stocks tend to outperform stocks with little or no R&D. Second, the R&D‐intensity effect cannot fully be attributed to firm size. Third, the R&D‐intensity effect is more pronounced for firms in the electronics industry after 1996.     

Do Japanese Work Shorter Hours than before? Measuring trends in market work and leisure using 1976–2006 Japanese time-use survey

Using Japanese time-use data from the Survey on Time Use and Leisure Activities (STULA), this paper measures trends in average hours worked (market work) and leisure for Japanese over the past three decades. OECD reports at least a 15% decline in market work for Japan since the 1970s. However, holding demographic changes constant, we found that market work per week increased from the 1970s until mid-1980s, and has been relatively stable for the last two decades for both male and female full-time workers. Furthermore, although the market work per week remained relatively constant since the mid-1980s, we found a significant change in the allocation of time to market work within the week during the period. Specifically, when dividing samples into weekdays (Monday–Friday) and weekends (Saturday and Sunday), average hours spent for market work per weekday among full-time males increased by 0.4 h since the mid-1980s, whereas a significant decline in market work on Saturday was observed. This suggests that people shifted their work time from Saturday to weekdays in response to the reduced work week introduced by the amendment of the Labor Standards Act at the end of 1980s. In the meantime, commuting time and home production had decreased by 3 h since the mid-1980s for full-time female workers, indicating that the average hours of leisure had increased for females even though market work remained the same. Interestingly, however, hours for sleep declined consistently over the last three decades, resulting in a 3–4 h reduction per week for both male and female workers. Lastly, a comparison of Japanese and US time-use data suggests that Japanese work much longer than their American counterparts. On average, Japanese males work 10 h longer per week, and Japanese females 7 h longer, than Americans, even after adjusting for demographic differences between the countries.     

股市泡沫检验研究综述及实证分析

本文实证检验了上证综合指数和深证成份指数数据样本的泡沫水平，并利用单位根检验方法进一步对泡沫序列进行了分析，结论主要有：我国股票市场长期存在泡沫，多数时期泡沫水平都比较高，尤其在股指上升时，泡沫水平通常随之上升，可见泡沫对股市上涨的推动作用明显。而从2005年开始到2007年10月的股市新一轮上涨中，股市的泡沫成分也是空前规模存在的。我国股市泡沫总体上属于理性泡沫，但局部的非理性泡沫时有发生，而在股指快速上涨时，非理性泡沫最为严重。     

Risk and seasonal effects: international evidence

Various explanations have been advanced for the January effect in the existing literature, but no consensus has been arrived at to distinguish one particular explanation from any others. In this paper, a time-series GARCH-M model with conditional variance as a proxy for market systematic risk is applied to investigate the seasonal effects in four countries with different tax system and tax year end: the USA, the UK, China and Australia. Empirical evidence showed a January effect in the USA, a January and an April effect in the UK, a July effect in Australia and no significant seasonal effect in China. This pattern consistently links to tax year end and the tax system in the sample countries; however, no clear evidence has been found to support the proposition that market risk is higher or priced highly only in calendar months with a seasonal effect. However, to reflect the seasonal effect, an interactive dummy variable is added into the time-series GARCH-M model, and the seasonal effects are explained away. The results of the sampled countries support the proposition that market volatility increases when it is close to the date of financial statement performance due to the uncertainty of the financial information.     

中国创业板市场节日效应的实证分析

本文回顾了创业板市场建立过程,以香港创业板与深市创业板的时间序列数据,首先进行了香港创业板(GEM001)和深市创业板指(399006)对数收益率的波动性刻画,验证其分别服从GARCH(1,1)和ARCH(1)模型,且拟合优度较好;然后采用虚拟变量回归的方法,对其节日效应进行了检验,结果发现:港股在元旦、五一、春节时具有较为显著的节日效应(节前效应和节后效应);深创业板在国庆时具有较为明显的节日效应,在元旦和五一具有节前效应。最后针对创业板市场的关键问题,提出看法和建议。