A Proposal for Progressively Integrating Illiquid Shares and Liquid Shares in Chinese Stock Markets

This paper classifies the market barriers which cause the division of the Chinese stock markets into two categories： the barriers for trading across markets and the barriers for capital transference across markets. It critically reviews various plans and Chinese historical practices which aimed to remove the barriers, and brings forward a proposal for progressively integrating illiquid shares and liquid shares in Chinese stock markets.     

Impacts of Internet Stock News on Chinese Stock Markets

The research of impacts of the intemet stock news （ISN） on the Chinese stock markets emerges with the era of the popular usage of the intemet. In this paper, the ISN is empirically related to the stock returns based on the neural networks. Experiments demonstrate the probable relations, hinted by the neural networks. The results are helpful in probing the microstructure of the Chinese stock markets.     

Time frequency effects on market indices： World comovements

The international comovement of stock market indices is reviewed in this paper. The most powerful argument for cross-border investing is the risk reduction due to low correlation of world＇s stock markets. Diversifying risk has become even more important as financial markets globalize, helped by advanced information technology which lowers the transaction costs. Systematic risk is lowered through international diversification in markets with low correlation in domestic markets. Investors must be willing to take advantage of these correlations to reduce volatility in their portfolios. As such, the authors show the usefulness of wavelet analysis for financial relations. The current work tries to analyze the relationship among eleven stock indices using wavelet theory, applying the MODWT, Cross-Wavelets techniques, and regression analysis for different time scales. The findings suggest that there is strength to moderate cointegration among many stock markets, and therefore evidence of intra-continental relationships. Thus, it is able to disentangle different short, medium and long-run relations. The importance of historical transmissions is low for the period under analysis.     

Volatifity spillovers on precious metals markets and the G-7： The effects of the Asian crisis

This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; We use EGARCH modelling, which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to precious metals returns, but overall the results are significant in the other way around. In terms of volatility spillovers effects, the main findings are that there is evidence of volatility spill over running in a bidirectional way in almost all the cases. And finally, the results from asymmetric spillovers effects show that negative news has a stronger impact in these financial markets than positive news.     

China＇s Stock Market： Inefficiencies and Institutional Implications

The dramatic movements of China＇s stock market in the past two and a half years have renewed debate among academics over the efficiency of China＇s stock market. The present paper tests the efficiency of China＇ s stock market. The realization of efficient markets requires the effective operation of a complete set of macro and micro mechanisms. However, such mechanisms are not only incomplete in China＇ s stock market, but are also ineffective because of the prevalence of institutional deficiencies.     

Credit default swaps and stock prices： Further evidence of mean and volatility transmission using a GARCH-M model

This paper empirically investigates the association between the stock market and the credit default swap （CDS） market in terms of mean and volatility spillovers. The analysis uses daily observations from four stock markets and two European CDS indices, along with the error correction （EC） methodology and the generalized heteroskedasticity in mean （GARCH-M） modelling. The authors find that stock returns across European and US markets are negatively related to European CDS spread changes, that the CDS market seems to lead the stock market （implying that information contents coming from the firm＇s environment impacts first on the CDS market and then on the stock market）, and that CDS spreads volatility has a positive impact on stock market returns, both in mean and in volatility.     

An asymmetric and DCC analysis of two stock markets returns＇ volatility： An evidence study on the Hong Kong and Japan＇s stock markets

This paper discusses the model construction and the association between the Hong Kong and the Japanese stock markets. The data period is from January 4, 1999 to December 30, 2005. This paper also utilizes student＇s t distribution to analyze the proposed model. The empirical results show that the bivariate asymmetric-GARCH （1, 2） model with a dynamic conditional correlation （DCC） seemed to be appropriate in evaluating the relationship between them. The empirical result also indicates a positive relation between the Hong Kong and the Japanese stock markets returns. The average estimation value of DCC coefficient equals to 0.5196, which implies that these two stock markets＇ return volatility had synchronized influence on each other. In addition, the empirical results also show that the Hong Kong and the Japanese stock markets have an asymmetrical effect. Based on the idea of the good and bad news, the explanatory ability of proposed model is better than the model of the bivariate GARCH with a DCC.     

英文文摘

Global economy＇s ＂second dip＂ and China＇s challenges
Recently, the prospects of global economic dim.Especially, since late September, the U.S. stock market evaporated over 3.4 trillionS.Global stock markets fall into a bear market. And Europe bogged down in debt crisis. This economic crisis quickly spread to all over the world. Now, fear is occupying the entire world. The world is suffering a crisis of confidence.To deal with it.     

Emerging Impact of Chinese Commodity Futures Market on Domestic and Global Economy

In this paper we construct a set of indices that capture the special features of the Chinese commodity futures market for the period from January 2000 to December 2011 to analyze the general properties of China＇s commodity futures market. Using these indices we investigate the risk premiums of Chinese commodity futures and verify that the commodity futures can act as an effective diversification tool for Chinese asset management. It is found that the commodity futures can hedge both expected and unexpected inflation in China, and agricultural commodity futures are found to signal inflation 2 months beforehand. Finally, we explore the relationship between Chinese and US commodity futures markets in the years 2000 and 2010, and find that their interactions strengthen over time. Our research reveals an increasingly important role of the Chinese commodity futures market in both the domestic and the global economy. Some policy changes are suggested in response to this trend.     

Scaling risk and the square-root-of-time rule in the emerging markets： Evidence from the Chinese stock market

This paper examines the square-root-of-time rule that frequently used in volatility estimation to the Chinese stock market that comprises Shanghai and Shenzhen stock market. The Jarque-Bera test conclusively rejects normal distribution of both stock market returns, while the Hurst analysis indicates both stock market returns does not follow a random walk. Furthermore, the tests for volatility scaling indicate volatility of both stock market returns do not scale according to the square-root-of-time rule and lead to bias in risk estimation. Henceforth, the study urges more alternative methods in risk management that suitable for the emerging Chinese stock market.     

The Efficiency of the Chinese Commodity Futures Markets： Development and Empirical Evidence

I. Introduction In the early 1980s China set about transforming its moribund economy by adopting, in stages, various elements of the market-based systems. Among the reforms were thederegulation of prices and the introduction of financial markets for assets. The first stock market was set up in Shanghai in 1991 and in the same year the first commodities market opened in Zhengzhou, Henan Province. Since then, both the stock market and the commodities futures markets have expanded substantiall…     

Testing the impact of trading volume on market return and volatility： The case of the Romanian stock market

This paper examines both the return-volume and volatility-volume movements on Bucharest stock exchange, in order to evaluate the impact of changes in stock market liquidity on stock returns and on volatility of returns. We employ linear Granger-causality tests to investigate the dynamic relation between trading volume, stock returns and returns volatility on the Romanian stock market, using daily logarithmic returns for the composite index BET-C, as a proxy for the market, and daily logarithmic change in trading volume during the period January 2004-July 2008. As a proxy for return volatility we employ absolute values of daily deviation of return from its mean value during the considered time period. We can report unidirectional linear causality from returns to volume and also from volume to volatility.     

Efficient Market Hypothesis and State-owned Shares＇ Circulation at Market Price

It is generally considered that the reason why the state-owned shares failed in circulation is that state-owned shares and the Negotiable Shares are in two separated markets. However this paper argues that the real reason why state-owned shares failed in circulation at market price and Negotiable Shares＇ price has been overstated is that Chinese stock market does not accord with Efficient Market Hypothesis, moreover Chinese investors are short of the concept COC and Chinese capital market has no short sells system.     

Competitive Neutrality of the OECD Consensus Myth or Reality

This research paper gives into context ongoing changes in the balance of forces in the international markets caused not only by the crisis and the need to restore market-neutral internationally agreed system for state participation in the support for exports based on real economic criteria. The aim of this research is to demonstrate the changes of the balance of forces in the international markets. This paper presented the statistical data relating to development of GDP, indebtedness or value of exports or imports that the present changes in international markets and open discussion about the topic problem. This article recalled the basic principles of insurance and export financing with state support and also are presented current problems of implementation rules of the CONSENSUS. Due to the fact that state support for exports is an important internationally respected system it is necessary to overcome some doubts and bring to the system real market neutrality. Therefore, we ask whether are respected in practice the agreed principles of international state aid exports and what problems currently international markets and fundamentally different countries are struggling. It can be said that the rules CONSENSUS OECD has contributed to the creation of fair market conditions in international markets, but it can be also monitored over time to some extent being away from the demands of market neutrality. In view of these facts it can be considered as the basis of the current situation primarily to ensure a truly market and competitive neutrality of state support for exports.     

Rebalancing Growth in China：A Three-Handed Approach

I. Introduction On 21 July 2005 China began the process of rebalancing its economy. The new exchange rate rule will, over time, reduce the incentive to invest in the export sector. This is the right move for China because there are increasing signs that the economy has proceeded too far?2006 The Authors Journal compilation ?2006 Institute of World Economics and Politics, Chinese Academy of Social Sciences into manufacturing for export markets, to the point that the country’s capital sto…     

The Cause of Turnovers of Top Management -An Empirical Research on the Special Treatment Companies in China

The turnover of top management is important for both foreign stock market and corporate management. China has developed its own stock market for more than ten years. During this period, a lot of listed companies＇ top managers were on the move. Based on 97 Chinese ST companies of 2004, this paper invesdgates the main factors, which causes the top management turnovers in the ST companies. The results of regression analysis show that the turnover of top management in Chinese ST companies is highly positively related to the change of large shareholder and are negatively related to the rate of net profit to total assets. We also find that net cash flow that is provided from operations per share, the proportion of state-owned shares and the type of audit views have no influence on the top management turnovers in such ST companies in China.     

Stock Returns, Volatility, and Cointegration among Chinese Stock Markets

I. IntroductionA plethora of research has focused on therelationship between returns and volatility, andcointegration among major, well-established financial markets. It has been found that aninverse relationship exists between an individualfirm’s stock return volatility and itsstockprice. There are two popular explanations: the first one is related to the leverage effect. Itasserts that a decrease in afirm’s stock price increases the firm’s debt ratio (or decreasesthefirm’s equity ratio)…     

China＇s Penetration of the Korean Market： Stylized Facts and Welfare Effect

China＇s penetration of the world market has been impressive. This paper uses highly disaggregated Korean import data （from 1992 to 2008） to examine China ＇s penetration of the Korean market in the context of the composition of value （the extensive and intensive margins） and the product type （homogeneous and differentiated） in trade. The increase in Chinese imports has been attributed to the rapid increase in the import of new products （the extensive margin） and of existing products （the intensive margin）. However, the growth rate of new products decelerated in the 2000s. The growth in the intensive margin was due to quantity, not price. Chinese imports to Korea did not improve over the period in terms of quality. Although Chinese products became cheaper, they were more differentiated over time. Welfare gains were realized through the expanded introduction of new products from China. However, much of the gains from Korea＇s Chinese product import boom were realized in earlier years （1992 -2000） because even though imported products became more differentiated, the increase in the extensive margin was lower in more recent years （2001- 2008）.     

Rise and Fall of the First Financial Futures Market in China： The Case of Chinese Government Bond Futures

This paper studies the rise and fall of the first financial futures market in China. We compare the characteristics in the Chinese Government bond futures market with those in the US T-bond futures market. They differ in market design and structure, market governance, margin requirements, position limits, delivery process, and the way in which the settlement price is calculated. Furthermore, with a unique dataset, we show that prior to maturities of government bond futures, traders began to accumulate significant amounts of long positions for several selected contracts without the intention to offset, forcing short position holders to either purchase deliverable bonds or offset futures at highly inflated prices, causing higher market volatility and price disequilibrium in both spot and futures markets. Arbitrage opportunity arises and the market eventually collapses. The lessons learned from the suspension of the Chinese Government bond futures market offer an invaluable learning experience.     

Research on implementing the centralized VMI mode in petrochemical enterprises

Problems existed in the stock control have been always a development obstacle to Chinese petrochemical enterprises. Aiming at above problems, this paper expounds the advantage of the centralized VMI mode first, then analyses the important function that the materials company could play in implementing the centralized VMI mode, and presents the implement steps and the problems which should be paid attention to in the implement course.