美国次贷危机对中国金融和出口企业的影响与政策建议

本文从理论和实际两方面分析了美国次贷危机对中国金融和出口企业的影响,由于全球经济一体化加深,次贷危机主要通过市场传导和资金传导影响中国股市下跌和银行亏损;通过贸易传导影响出口企业需求下降等.对此提出主要政策建议:1.中国金融体系开放应审慎有序地推进和进一步发展国际金融合作;2.应核心监管和控制金融衍生品市场曲风险;3.市场信心应是监管的重要内容;4.建立和完善股市的风险防范机制等.     

“次贷危机”后中美金融市场联动性更强了吗

本文以"次贷危机"为分界线,采用SVAR模型对中美两国的货币市场,股票市场和外汇市场间的联动性进行分析。实证研究表明,危机前,中国金融市场对美国各子市场的影响微乎其微,美国金融市场对中国股市、货币市场的影响较弱。危机后,中美金融市场间的联动性增强但存在一定非对称性。中国金融市场对美国金融市场的影响相较危机前略有增强,相比之下,美国金融市场对中国的影响则更加显著。中国金融市场开放步伐加快、中美两国实体经济联系密切、投资者投资理念更加成熟以及信息传递便捷等因素,是使得两国金融市场联动性增强的主要原因。     

中美股市联动性研究

将中美两国股市从2007年1月到2009年12月按年度为标准分为三个阶段,通过实证分析研究中美两国股市的联动性。根据实证分析的结果,剖析两国股市联动性的内在机制。在剖析两国股市联动性的内在机制的基础上,提出了一些可行性的政策建议。     

美国次贷危机及其对中国的启示

2007年3、4月开始,美国次级抵押贷款市场爆出危机,波及债务担保证券（CDO）市场。中国近年来经历了相似的房地产市场高涨,次级抵押贷款高速发展的情况,本文回顾美国次贷危机,同时运用金融市场相关理论对其进行原因分析,最后对中国次贷危机发生的可能性进行探讨,并提出政策建议。     

美国次贷危机并未对A股市场产生实质性影响

从“美国次贷危机论”来看,2008年1~3月,鉴于A股市场的大幅下落,一些人强调,这主要是美国次贷危机惹的祸。但这种说法是缺乏足够根据的。如果美国次贷危机能够对中国股市产生实质性影响,至少需要具备两个条件之一。一是中国股市属于开放式国际股市,由此,有大量的海外资金入市。     

中外股市联动性研究

中国与世界的经济联系甘益紧密，中国经济的发展不仅受到本国相关因素的制约和影响，也会受到其他国家对中国经济发展的冲击，反应各个国家宏观经济晴雨表的股市也呈现出越来越强的联动性。本文选取中国和其他六个国家的股指数据，通过实证分析发现中外股市联动性的越来越强，为避免中外股市联动性加强后中国股市过度波动对中国造成的不利影响，本文提出了相关政策和建议。     

基于分层条件Copula的金融危机传染路径研究

本文采用分层条件Copula理论来研究次贷危机和欧债危机下的危机传染路径问题。在研究中采用t-GARCH (1,1)模型拟合各个金融市场的股指日收益率,以条件Copula分析两次危机下中国大陆股市与美国股市、英国股市、日本股市、台湾股市、香港股市2005年1月至2012年7月间的风险传染关系。实证研究表明：次贷危机期间美国股票市场将危机传染到香港股票市场,再由香港股票市场传染其他亚洲股票市场。而在欧债危机期间英国股票市场分别直接传染美国股票市场和香港股票市场,再通过香港股票市场对其他亚洲股票市场传染。两次危机下香港股票市场均是亚洲股票市场受到危机传染的媒介,因此我国在制定防范金融危机传染政策时应考虑对香港股票市场的控制,在传播层面上控制金融危机对我国的传染,减少对我国金融系统的冲击。     

中国资本账户开放进程中跨境证券投资对国内金融市场的影响*

随着中国资本项目开放进程的推进,跨境证券投资对国内金融市场的冲击日益增强。在此背景下,本文首先通过构建考虑了资本市场收益率以及有管理浮动汇率制度的IS LM BP模型对跨境证券投资与中国国内金融市场的相互影响机理进行了理论探究,并基于中国2005年7月—2016年8月的月度数据,运用马尔科夫区制转移向量自回归模型对中国资本账户开放进程中跨境证券投资与人民币汇率、股票市场收益率、短期利率的联动关系进行了实证分析。研究结果表明：第一,四者的关联性存在明显的区制特征,区制1主要包括次贷危机时期（2007—2008年）、欧债危机时期（2010—2012年）以及后金融危机时期（2015—2016年）,经济呈现“股票市场收益率较低、跨境证券投资较少、短期利率较高、金融市场波动性大”的状态;区制2主要包括次贷危机前夕（2005—2006年）、次贷危机后的量化宽松时期（2009—2010年）以及欧债危机后的调整期（2013—2014年）,经济呈现“股票市场收益率较高、跨境证券投资较多、短期利率较低、金融市场波动性小”的状态。第二,当处于资本市场化进程较快、金融市场波动性较大的区制阶段（区制1）时,跨境证券投资与国内金融市场的联动关系更加明显。本文研究结论对于我国进一步开放资本市场具有借鉴价值和政策启示。     

美国“次贷危机”的启示

“次贷危机”是指2007年8月发生在美国,并席卷欧盟、日本等世界主要金融市场,因次贷抵押贷款机构破产,投资基金被迫关闭、股市剧烈震荡引起的风暴,致使全球主要全速市场隐约出现流动性不足危机。笔者就其发生成因影响和给予的启示作简要分析和探讨。     

基于信息不对称的次贷危机成因分析

2007年以来的次贷危机引发了一场百年一遇的金融危机,其对整个世界经济的冲击引起了国内外学者、商界人士、投资者的广泛关注;从信息不对称的角度解释次贷危机的成因,并以此为基础,总结美国次贷危机的经验教训,针对中国住房抵押贷款市场的发展提出相关的政策建议。     

Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis

This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) during the period 2005–2010. Our empirical investigation is based on the wavelet squared coherence which allows us to assess the co-movement in both time-frequency spaces. Our results reveal frequent changes in the pattern of the co-movements especially after 2007 for all the selected GCC markets at relatively higher frequencies. We further note an increasing strength of dependence among the GCC stock markets during the last financial crisis signifying enhanced portfolio benefits for investors in the short term relative to the long term. On the financial side, we uncover that the strength of co-movement between GCC markets may impact the multi-country portfolio's value at risk (VaR) levels. These findings provide potential implications for portfolio managers operating in the GCC region who are invited to consider co-movement through both frequencies and time when designing their portfolios.     

Financialization of agricultural commodities: Evidence from China

Speculation in the commodity futures market distorts commodity prices, driving them away from rational levels. This phenomenon, which is known as the financialization of commodities, has raised significant concerns in recent years. Particularly, in the agricultural market, ‘financialized’ commodities have been blamed for high world food prices. In this paper, we examine the financialization of agricultural commodities in China. To do so, a time-varying copula is employed to investigate the dependence structure between commodities and stock markets. Four insightful results are obtained. First, positive correlations between agricultural commodities and stock markets demonstrate the financialization of agricultural commodities. Second, the identified correlations are time-varying and idiosyncratic with respect to products. Third, the agricultural commodity market is more closely correlated with the domestic stock market than with the overseas market. Fourth, a growing dependence between commodities and the stock markets is detected and the co-movement became stronger after the global financial crisis.     

市场分割下中国股市反馈交易实证研究——来自A股、B股和H股市场的经验证据

文章在行为资本资产定价模型(BCAPM)的基础上,通过借鉴Watanabe(2002)的方法,建立了GJR-GARCHM(1,1)-M模型,充分考虑中国股票市场处于分割状态的现状,使用基本覆盖A股、B股和H股市场全部交易历史的市场指数日收盘价数据,对A股、B股和H股市场的反馈交易行为进行研究和比较,结果显示:A股和B股市场都存在显著的正反馈交易效应,反馈交易行为主要取决于波动率水平和市场涨跌两个因素;与成熟股票市场类似,H股和红筹股市场的正反馈交易行为不显著;A股市场的反馈交易行为受市场涨跌因素影响更大,而B股市场的反馈交易行为主要由波动率水平决定;深市比沪市更容易出现正反馈交易者主导市场的现象。文章的研究不仅对行为资本资产定价理论的成立提供了经验性证据,而且对投资经理的实践操作和政策制定者的监管调控都具有一定的参考价值。     

Discount between H Share and A Share from the Perspective of China

The effect of strict segmentation on pricing in the context of the Chinese stock markets was investigated. As an effective complementary to domestic A share market, H share market has played an important role in attracting foreign capital flows into mainland and as an open window for foreign investors to know Chinese enterprises. However, H share has received little attention by researchers. Considered that H share market enjoys relatively more free information and has a greater and faster access to global news sources, The discount between H share and A share is mainly studied in this paper. By constructing the model and based on proposed hypotheses, the empirical test confirms information asymmetry between foreign investors and domestic investors, liquidity effects, diversification effects are significant factors in explaining discounts on H share from the cross-section data.     

中小投资者羊群行为的多阶段模型探究

在中国的股票市场中,中小投资者虽是弱势群体,但其数量却占了股市投资者总数的大部分,其投资行为将直接决定着大盘走势和股票市场的波动情况。文章借鉴传染病模型,建立金融市场上中小投资者羊群行为的多阶段模型,就金融市场信息的不对称性与投资者的认知水平等影响金融市场上中小投资者羊群行为的阶段行为特征进行了深入分析,并有针对性地提出相关建议。     

沪港股市动态相关性和大风险溢出的实证研究

本文首先采用时变相关Copula模型对沪港两市收益率的动态相关性进行研究,在此基础上利用BG算法将整个样本期划分为两个不同的阶段,并利用Hong（2001）年提出的风险一Granger因果检验方法分析了不同时段两市间的风险溢出效应。实证结果表明,两地股市收益率的相关性存在逐步增强的趋势,进一步分析表明两市闻风险溢出特征在过去发生了显著变化,风险溢出显著增强。     

Stock Market‐Induced Currency Crises—A New Type of Twins

This paper explores the link between currency crises and the stock market in emerging economies. By integrating foreign stock market investors in a currency crisis model, we reveal a new fundamental inconsistency as a potential crisis trigger: since emerging economies' stock markets often have high returns, whereas central bank reserves grow slowly or decline, the amount of reserves foreign investors can deplete when selling their stocks and repatriating the proceeds grows over time and is considerably higher than funds that have been invested in the stock market. Capital withdrawals of foreign stock market investors can trigger currency crises by depleting central bank reserves, particularly in successful countries with booming stock markets and large foreign investment.     

国内外期铜市场互动及其价格波动关系研究

文章全方位检验了国内期铜市场和国际市场(伦敦市场)的互动关系,并应用VEC模型考察了它们之间的波动性。结论表明,国内期铜市场已经真正融入了世界,进一步开放的时机已经成熟;中国在国内外市场“定价权”地位已正式确立。不过,要充分发挥该市场套期保值功能,还应在实际操作中因市场而异。     

Asset pricing and institutional investors with disagreements

We develop a dynamic asset pricing model with two institutional investors who have benchmark incentives and who disagree about the underlying economy. We derive semi-closed form expressions for all equilibrium quantities. We find that the benchmark stock price increases and the non-benchmark stock price decreases with the benchmark incentives. Furthermore, each stock price decreases with its own disagreement and increases with the other stock disagreement. We also show that there is a positive relationship between the co-movement of the stocks and the benchmark incentives, but that this co-movement is negative with the disagreements, owing to the endogenous risk-sharing mechanisms. Moreover, we find that, when one stock disagreement increases, the optimistic institutional investor always takes positions on this stock by shorting the other stock and the bond in order to hedge against the risk of market changes, in line with the pessimistic investor's beliefs.     

Exogenous shocks,dynamic correlations,and portfolio risk management for the Asian emerging and other global developed and emerging stock markets

ABSTRACT

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks, our results highlight the usefulness of including other global stock assets in the traditional portfolio for Asian emerging market investors. However, investors have limited opportunities to diversify their assets during the global financial crisis. Moreover, the shocks from the U.S. stock market have a greater influence on global stock markets compared to that from U.S. economic policy. Fortunately, the model with exogenous shocks improves its accuracy, which plays the same role of controlling structural breaks in the model. More importantly, incorporating exogenous shocks in our model also provides better value-at-risk performance results and hedging effectiveness. These results have several important implications for investors, researchers, and policymakers.