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.     

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.     

中国股票所有权的分割、流通及对投资银行业的制约

I. IntroductionSince establishment of the two stock markets in Shanghai and Shenzhen, the markets havegrown substantially to over 1,200 listed companies in 2003. The total stock marketcapitalization reached over 45 percent of Chinas gross domestic product (GDP) as of April2000, a figure comparable to that in developed countries, according to Fung and Leung(2002, p.100). Development of the Chinese stock market is critically important, because itenables Chinese firms to raise external capi…     

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.     

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.     

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.     

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.     

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.     

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.     

中国商品期货市场有效性的方差比率检验

随机游动模型的方差比率检验方法可以被用于检验中国商品期货市场的有效性程度。对1999-2004年间六个商品期货品种的收盘价和结算价的分阶段（1999-2001和2002-2004）检验结果表明：铜期货市场在整个样本期间都基本上达到了弱式有效，而铝、天胶、大豆／豆一、豆粕等品种在2002-2004年间的有效性却表现出一定程度的下降。但是，在2002-2004年间，小麦期货市场的有效性得到了一定程度的提高。这些实证结果表明监管当局应该汲取以往期货市场大幅震荡的教训，有针对性地继续努力改进并提高期货市场的有效性水平。     

The emergence of agricultural commodity markets in China

By conscious design, reformers in China only gradually focused their efforts on expanding the role of markets for the allocation of goods and services in the economy. As a result, markets—especially in the agricultural sector—developed slowly. Throughout the 1990s there was a heated debate about the degree to which markets had emerged. The main goal in this paper is to bring together a number of simple and revealing facts on the emergence of China's markets. To do so we examine several sets of price data and analyze spatial patterns of market prices contours over time and text the extent to which market prices are integrated among China's regions. According to our analysis, we find that to a remarkable degree, agricultural commodity markets have emerged; price patterns look much like those in market economies in the rest of the world and prices are highly integrated across space.     

我国黄金市场期货价格与现货价格的实证研究

选取近10年的黄金期货价格数据和现货价格数据进行分析。对两组时间序列数据进行单位根检验、协整性检验以此分析期货和现货之间的关系,并建立误差修正模型分析期货价格对现货价格的影响程度,通过格兰杰因果检验分析两者之间的效应。结果表明,近十年黄金的期货和现货价格之间确实存在协整关系,两者之间相互影响,影响效果显著性不强。期货价格对现货价格的指导作用效果不强,表明我国期货市场的价格发现作用没有完全发挥。     

The effect of index futures trading on volatility: Three markets for Chinese stocks

This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with Chinese index futures traded in Singapore and Hong Kong. Our results indicate that Chinese index futures decrease spot market volatility in all three spot markets considered. In contrast, we do not obtain the same results for the companion index futures markets in Hong Kong and Singapore. China's stock market is relatively young and largely dominated by private retail investors. Nevertheless, our evidence is favorable to the stabilization hypothesis usually confirmed in mature markets.     

Distortions at the Border; Integration Inland: Assessing the Effect of WTO Accession on China's Agriculture

The main goal of the paper is to address the impact of the WTO on China's agricultural sector. To accomplish this goal we address two sets of issues. First, we seek to provide measures of the distortions in China's agricultural sector at a time prior to the nation's accession to WTO. This is accomplished by estimating the nominal rates of protection (NPRs) of the agricultural sector's major commodities using a new methodology to account for grain quality differences within China and between China and the world market. Second, we seek to assess how well integrated China's markets are in order to understand which areas of the country and which segments of the farming population will likely be isolated from, or affected by, the changes that WTO will bring. We find that NPRs differ among commodities. Some of China's agricultural commodities are well above and others are well below world market prices. We also find that if increased imports or exports affect China's domestic price at the border, its own domestic markets are mostly integrated so that price shifts in one area will affect prices in most of the rest of China. Our analysis finds, however, that a number of policy and structural factors limit the overall size of the shock.     

上海期货交易所期货价格有效性的实证检验

本文在风险溢价理论框架下,借助协整分析法对上海期货交易所铜、铝期货价格的有效性进行了规范的实证检验。结果显示:距最后交易日前7、14、28天的铝期货市场支持风险溢价假说,在风险溢价条件下具有长期效率;而距最后交易日前7、14天的铜期货市场亦在风险溢价条件下呈有效状态,当距最后交易日28天时,铜期货市场不支持风险溢价假说,但并不能就此得出此时的铜期货市场没有效率的结论。     

Dynamic price discovery in Chinese agricultural futures markets

Research has not fully explored how Chinese agricultural futures markets perform their price discovery function over time. Our paper examines the role of Chinese agricultural futures markets in the price discovery process based on three well-established measurements of average price discovery contribution, and more importantly, the dynamic price discovery measurement. Using daily futures and spot prices from fourteen agricultural commodities, we find eleven contracts are efficient in price discovery. Besides, market-oriented changes in policies strengthen the price discovery performance of most futures markets, except for commodities that rely heavily on imports from other countries. Our results also suggest that trading activity is particularly important in determining whether thinly traded contracts are efficient in price discovery. Our paper provides a comprehensive judgment involving both average and dynamic price discovery contribution measurements on assessing the efficiency of Chinese agricultural futures markets. Our results might also serve as a reminder that market-oriented reforms in the spot markets of commodities might be useful to intensify the pricing power of the futures markets.     

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.     

基差偏离度对中国商品期货市场定价的影响 —基于横截面检验的实证分析

构建了中国商品期货市场上最近月合约的基差偏离度指标,并以此构造多空组合进行横截面检验.研究结果发现:基差偏离度较高的期货组合未来会获得较低的收益,而基差偏离度较低的期货组合未来会获得较高的收益;中国商品期货市场上现货溢价的现象较为普遍,由基差偏离度构造的多空组合其超额收益主要来自于组合的多头.这说明基差偏离度是中国商品期货市场上的重要定价因子和风险指标.     

The futures premium and rice market efficiency in prewar Japan

This article studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non‐Bayesian time‐varying model approach to the fundamental equation for spot returns and the futures premium, we detect when efficiency reductions in the two major rice markets occurred. We also examine how government interventions affected the rice markets in Japan, which colonized Taiwan and Korea before the Second World War, and argue that the function of rice futures markets crucially depended on the differences in the structure of rice spot markets. Initially the increased volume of imported rice of a different variety from domestic rice disrupted the rice futures markets. Then, government intervention in the rice futures markets failed to improve the disruption. Changes in colonial rice cropping successfully mitigated the disruption, and colonial rice was promoted in order to unify the different varieties of inland and colonial rice.