石油金融：融合态势与中国发展战略

随着现代经济的发展,石油与金融的结合越来越紧密,石油金融化趋势日益凸显。因此,为应对国际石油价格的未来走势,保障中国金融体系和中国国民经济的安全和长期稳定发展,中国迫切需要制定石油金融体系。新形势下中国石油金融体系构建的战略取向为：多层次构建石油交易市场体系;多渠道营造石油银行系统;多途径形成石油基金组合;多方位灵活运用石油外汇;等等。     

REIT Stock Market Volatility and Expected Returns

We study the relation between REIT stock volatility and future returns, focusing particularly on the financial crisis period of 2007–2009. There is ongoing debate about whether stock volatility can forecast future returns. Our findings suggest that REIT‐implied volatility is negatively related to contemporaneous stock returns; there is a significant positive relationship between REIT implied volatility and future stock volatility; and there is a significant negative relation between REIT implied volatility and future stock returns. Lastly, we develop trading rules based on REIT implied volatility to test whether these relationships are exploitable. The result suggests a potentially profitable trading strategy.     

Why are African commodity exchanges languishing? A case study of the Zambian Agricultural Commodity Exchange

Food price volatility and high transactions costs remain major problems in African food markets. These persistent problems provide a strong theoretical justification for the development of commodity exchanges. However, the majority of African commodity exchanges remain underdeveloped. Through a case study of the Zambian Agricultural Commodity Exchange (ZAMACE), this article explores why agricultural commodity exchanges in the region have thus far failed to develop into sustainable trading platforms and identifies the most important changes needed to enhance their performance.     

Thinking creatively about markets

The paper takes a broad view of how economists identify market boundaries. Three types of definition are distinguished: trading markets, anti-trust markets and strategic markets. The first is based on the familiar law of one price, while the second follows US DIJ guidelines and is designed to identify positions of market power. Neither of these definitions suits the needs of one of the more recent and fastest growing users of economics, namely those responsible for corporate strategy decisions inside firms. The paper reviews why market definitions are a fundamental part of strategy decisions, and identifies several ways that such users might define market boundaries.     

Strommarktdesign: Zur Ausgestaltung der Auktionsregeln an der EEX

This paper studies the design of power exchanges in liberalized electricty markets. We analyze several pricing rules for day ahead trading and show that a uniform price mechanism has quite desirable properties as compared to its alternatives. We then discuss how the particular cost structure of electricity generation can be accounted for by appropriate bid formats. We moreover analyze the effects of bid caps and price floors in electricity auctions on market performance, as well as several other aspects of electricity market design. In particular, we discuss linkage of independently operating markets for electricity, reserve energy and transmission capacities, coupling of national power exchanges, and the effects of transparency on the outcome of electricity markets.     

灰色模型在股票价格预测中的应用——以中国石化为例

通过对原始数据进行筛选,将GM(1,1)模型用于股票预测,对交易日收盘价格进行预测,并以中国石化(600028)2012-01-04至2012-12-31的交易数据为例进行了分析。分析结果表明,灰色预测模型的平均预测准确度为98.63%。考虑到股票交易规则,42%的预测数据为有效预测,有效预测的平均预测准确度为99.31%。     

基于波动率指数的期权对冲策略研究

波动率指数反映了期权投资者对未来市场波动性的预期,被用作衡量市场风险的重要依据。试图应用波动率指数来构建一种风险收益特性类似于债券的期权投资策略,即寻找市场中隐含波动率较相应的波动率指数高估或低估的期权品种并进行建仓,再用标的现货使组合保持delta中性。最后采用香港恒生指数期权数据进行了实证分析,结果显示该策略具有一定的实用价值,对期权投资具有一定的参考意义。     

Price changes and trading volume relationship in the Hong Kong stock market

Studies on the relationship between price changes and trading volume can provide insight into the structure of the financial market. In this paper, we will study the above topic and concentrate on the stock market of Hong Kong. The correlation between price changes and trading volume as well as that between the magnitude of price changes and trading volume will be examined. We will also check the asymmetry of the price changes and volume relationship. Moreover, we will investigate the relationship between the variance of return and trading volume. Finally, the Granger causality test of price changes and volume will be performed.     

Managerial response to constitutional constraints on shareholder power

Research summary: We examine whether top managers engage in misconduct, such as illegal insider trading, illegal stock option backdating, bribery, and financial manipulation, in response to the presence, or absence, of governance provisions that impose constitutional constraints on shareholder power. Within the agency framework, shareholders typically oppose governance provisions that limit their power because those provisions could undermine shareholder influence and increase agency costs. However, when shareholders support provisions that constrain their power, managers could respond positively by refraining from self‐interested behavior in the form of managerial misconduct. We find this to be especially true in industries where these governance provisions are particularly relevant to managers and in scenarios where CEOs do not also serve as board chair. Managerial summary: In recent years, shareholders have become central to organizations and the managers who run them. Shareholders and managers establish a rapport with one another, such that the behavior of one affects the behavior of the other. One of the most consequential decisions shareholders can make pertains to the reach of their influence: They can choose to impose strict governance over firms they own or they can allow for constitutional constraints that limit shareholder power. When they act in the mutual interest of managers by allowing such constraints, we find that managers respond in kind by refraining from bad behavior, such as illegal stock options backdating, insider trading, and financial manipulation. This is especially true in industries and scenarios in which shareholder pressure is most relevant to managers. Copyright © 2016 John Wiley & Sons, Ltd.     

A technology valuation model to support technology transfer negotiations

The development and commercialization of advanced technologies will depend increasingly on efficient technology transfer and technology trading systems. This requires the development of technology markets or exchanges and hence a reliable technology valuation methodology. This paper develops a methodology for an objective and impartial valuation of fully developed technologies.
A web-based technology valuation system is developed with which interested users can make efficient and real-time evaluations of technologies.     

Global marketing and procurement of industrial products: Institutional design of interfirm functional tasks

Marketing and procuring component parts in the global marketplace can pose such significant trading hazards that industrial transactions often must be embedded in protective governance. This article identifies key forces influencing the institutional designs that best safeguard exchanges between international trading partners for such industrial tasks as the design, fabrication and delivery of component parts. The effectiveness of designs such as market contracting, alliances, and international joint ventures are shown to be a consequence of the transactional characteristics of a given task, the governance risks experienced by both buyer and supplier, and the differences between the institutional environments of the partners' countries. In addition to a comprehensive institutional design model, several propositions are developed to serve as a guide to future empirical research in the areas of global industrial marketing and procurement.     

Multiple versions of markets: Multiplicity and performativity in market practice

Recent research efforts in economic sociology have attended to the performativity of economic sciences, that is, to the import of various economic theories on economic reality. Hitherto, these efforts have been limited to idiosyncratic market situations such as financial and auction markets. Moreover, the efforts have largely focused on the performativity of economics and financial economics (narrowly defined). This paper argues for the need to broaden the discussion on performativity to take into account multiple theoretical influences and for the importance of studying performativity in more mundane markets. The paper contributes to this endeavor by developing a practice-based framework that deals with the multiple theoretical influences that can be expected to take part in the shaping of markets.     

Managing the influence of internal and external determinants on international industrial pricing strategies

In developing pricing strategies, managers typically take into account a wide array of factors, including those that are internal to the firm as well as those that are external to its operations. However, little attention has been paid to how managers consider these factors in combination and how such judgments affect their ultimate choice of pricing strategy. These questions are the focus of this study, particularly as they pertain to international pricing decisions. Drawing on key dimensions thought to influence the relative weights that pricing managers place on both internal and external factors, the study details how those relative weightings influence the ultimate strategies managers employ. Findings indicate that international experience, product technology, degree of internationalization, market share, and certain external factors influence weightings managers give to internal and external factors in the process of making international pricing decisions. Furthermore, these decision-making factors combine to affect the specific strategies pricing managers employ in determining international prices.     

Untersuchung verschiedener Handelsstrategien für Wind- und Solarenergie unter Berücksichtigung der EEG 2012 Novellierung

The new EEG 2012 law opens up for more parties to participate in the trading of wind and solar power, because of the bonus system that now compensates everybody for all market relevant costs, not only the Transmission System Operators. Therefore it can be expected, that the trading of renewable energies by private parties will increase. One of the central questions to be answered is how efficient does a balance responsible party have to be to stay competitive also with a small pool. The quantification of balance costs for different trading strategies is however complex and non-trivial. We propose a methodology in this study that accounts for this fact. Additionally, we analyse and show the requirements and the monetary value of Intra-Day trading for the handling of wind and solar power. The trading strategies proposed in this article make use of an uncertainty band around the forecasts used in the Intra-Day, in order to avoid double trading and thereby reducing the total balancing volume and the associated costs.     

Managing Mortgage Interest-Rate Risks in Forward, Futures, and Options Markets

This article reviews the Housing Commission's perspective and recommendations on management of interest-rate risks in housing finance, and considers the relative advantages of various techniques by which institutions on the supply side of mortgage markets can absorb or shift such risks. It is argued that exchange-based options can provide a more reliable way than cash forward contracting for originators or purchasers of mortgages to manage commitment-period risk, but that commitment fees charged household borrowers should not fully correspond to premiums for put options "traded" on the exchanges. It also is argued that exchange-based futures can provide a more effective and economical way than asset-liability maturity matching in cash markets for thrift institutions to manage portfolio interest-rate risks; in particular, futures trading can permit these institution to meet the maturity preferences of liquidity-conscious creditors and risk-averse borrowers, to reduce the risk associated with unexpected shifts of the yield curve, and to maintain a higher degree of asset quality. The capacity of futures markets to handle large-scale hedging by mortgage market participants will depend upon heavy participation by highly leveraged speculators who are willing to take long positions without the receipt of substantial risk premiums from hedgers.     

Using Experimental and Neurological Data to Gain a Deeper Understanding of Realization Utility Theory

Starting with the premise that realization utility theory helps explain trading behavior, this study combines a carefully crafted experimental design with functional magnetic resonance imaging technology to offer a more inclusive examination of factors that affect REIT trading behavior beyond whether a REIT is simply trading up or down. We add to the nascent field of neurological real estate by finding that local gains/loss domains are more relevant than are global gain/loss considerations, financial skewness is a significant determinant of trading behavior, and that performance inside the REIT market influences how hard subjects think when performing tasks outside the market.     

Fertilizer market liberalization and private retail trade in Kenya

This paper examined the factors influencing the entry and sales decision of private traders in fertilizer retail trade in a liberalized market using survey data from Kenya. A two-stage econometric model is used to examine traders’ entry and sales decision. The results provide insights into factors that are associated with private retail traders’ entry and sales decisions in an era of liberalized fertilizer markets. It shows substantial entry into fertilizer retail trade following market liberalization. Relatively limited investments in trading assets and equipment are predicted to hold back firm expansion. Implications drawn from the study provide insights into likely research and policy interventions.     

碳汇交易机制在西部生态补偿中的借鉴与启示

随着经济快速持续发展,生态环境的瓶颈日益凸显,政府通过财政转移支付及项目专项资金实施补偿,但市场化补偿长期缺位,补偿远远低于生态效益产品的成本.碳汇交易的市场化机制,给西部生态补偿长效机制的确立,提供了新范式.文章从碳汇交易发展前景,结合西部的碳汇存量及生态补偿现状,分析了西部发展碳汇的必要性和可行性,并提出了具体的建议.     

低碳经济发展的金融支持研究

金融业要支持低碳经济,发展“绿色金融”、“碳金融”是必经之路。绿色金融在低碳经济下发展势头迅猛,碳金融交易市场成为低碳经济制高点。中国碳金融具有巨大的市场空间,因此,应积极发展碳金融,获得主动权,即要积极制定碳金融发展的战略规划;健全碳金融监管和法律框架;培育碳金融创新机制,完善碳金融中介服务;创新和发展多样化的碳金融工具;建立统一的碳金融市场;积极推动碳交易人民币计价的国际化进程;等等。     

Ein Vergleich ausgewählter europäischer Strombörsen

We study the rules of selected european energy exchanges and compare their institutional design. In most countries (except for the UK) a uniform price mechanism is used. The rules differ, however, in the possibilities to express complementary cost components in the bids. Also the degree of international coupling of markets is very different across countries. Our comparison of the markets allows to identify attractive trading rules and yields insights on an effective electricity market design.