春拍看点：创纪录的一周

新年伊始，全球艺术品拍卖市场就又进入了“春拍”模式，而率先打头阵的是每年2月初在伦敦进行的春拍。以前我们观察国际艺术品拍卖市场的春拍行情的走势，往往只将目光聚焦在5月份纽约艺术品市场的交易情况，对伦敦这个全球第二大艺术品拍卖中心的市场行情则关注得不够深入。其实，伦敦春拍行情走势的高低，对判断一年全球国际艺术品拍卖的市场行情也非常重要，不仅因为伦敦是佳士得和苏富比两家拍卖巨头的“老基地”，而且伦敦也有着很悠久的艺术品交易历史和深厚的收藏底蕴。更为关键的是进入21世纪之后．伦敦吸引了欧洲各地乃至全世界大量的高净值人士到伦敦定届和置业，资本市场中汇聚了“老钱”和“新钱”。老藏家和新贵富豪都对艺术品收藏兴趣盎然，就购买力而言，伦敦市场是相当的充沛。     

离岸市场在美元短期资产定价结构中的作用及对人民币的启示北大核心CSSCISSCI

伦敦银行间同业拆借利率(LIBOR)是国际金融市场的基准利率,是离岸市场美元短期资产定价的定价基准,同时也对在岸市场美元资产产生重大影响。美国在离岸市场定价权的无为而治以及LIBOR报价体系监管缺失,一度导致LIBOR被操纵,无法反映银行间真实融资成本。本文结合对美元短期资产定价体系及LIBOR利弊及改革进展的分析,对人民币资产全球化定价体系进行梳理,并提出未来既要充分培育人民币离岸市场,建立主动干预手段及渠道,又要建立和优化在岸市场的资产定价结构,以维持在岸市场在人民币资产全球定价中的控制权和主导地位,避免离岸市场发展过于超前并形成惯性,从而使在岸市场边缘化。     

艺术品拍卖路在何方？

众所周知,全国上下正在全方位进行大刀阔斧的金融改革。可以预见,在不久的将来,中国完全有可能成为国际艺术金融和艺术品交易中心,并一跃超越香港成为＂世界艺术品拍卖之都＂。为此,在艺术品拍卖和交易的相关政策和制度上,中国应当充分借鉴纽约、伦敦和香港等老牌＂世界艺术品拍卖之都＂的经验和制度。根据最新的政府调研报告,未来中国艺术品拍卖,最有可能在以下几个方面发生翻天覆地的巨大变化。     

香港人民币离岸中心发展的机遇与挑战

香港人民币离岸中心建设已成为高层共识,前景光明,并已取得初步成果。它与内地的金融改革是协同推进的,有助于巩固香港金融中心地位,促进东亚经贸繁荣。来自其他国际金融中心的竞争,以及与大陆金融市场在利率、汇率等核心金融指标上的差异,是香港人民币离岸中心发展的重要挑战。展望其发展,有如下建议:采取适当的财政货币手段化解离岸与在岸市场的利率和汇率差异;循序渐进、逐步完善香港人民币离岸市场的货币功能;打通人民币"回流"和"外循环"的通道,支持香港成为全球人民币资产的交易、清算和定价中心。     

外汇市场的关联性——基于人民币在岸和离岸即期与NDF远期的实证研究

人民币市场关系的研究中常有分析方法相同但结果迥异的情况。原因有二:一是市场的选取;二是数据的时间段。本文确定了人民币在岸即期和离岸即期与境外NDF的逻辑关系以及数据选取的时间段。以此为基础对NDF不同期限和香港离岸即期以及在岸即期进行格兰杰分析。分析结果显示:离岸NDF引导香港离岸即期以及在岸即期。     

“先行先试”热度升温

深圳打造财富管理中心,最有基础。前海毗邻香港,打通境内,境外资产管理,在岸,离岸资产交易,是打造财富管理中心最大的特色,也是最大的亮点。     

个人投资艺术品攻略

从陆俨少<杜甫诗意百开册>到孟广慧藏甲骨精品,从清乾隆<缂丝兰亭序卷>到宣统三年大清银币长须龙壹圆金质样币……一个个纪录让2004年春季艺术品拍卖格外引人注目.从北京到上海,从香港到伦敦,内地买家驰骋各地显示艺术品市场的勃勃生机.艺术品与股票、房地产共同成为我国投资市场的主要品种已经是不争的事实.作为个人投资者,如何才能分享到艺术品市场高速发展所带来的收益呢?在下面的文章中,我们将对艺术品市场中的各个品种进行分析,希望能够对你今后的投资有所帮助.     

人民币离岸与在岸市场资本流动的渠道

随着香港等离岸人民币市场的快速发展,推动人民币离岸市场建设,加快在岸金融市场开放,处理在岸与离岸资本流动的关系,已成为金融改革的重要课题。论文从跨境贸易渠道、直接投资渠道、金融市场渠道、银行渠道、官方渠道、个人渠道和自贸区渠道等七个方面分析了人民币离岸市场与在岸市场之间的流动渠道,并在此基础上提出政策建议。     

人民币离岸与在岸汇率差异的影响因素分析

本文采用FAVAR模型,从人民币升贬值预期、市场的流动性、市场之间收益率差异以及国际金融市场情绪四个方面对人民币离岸与在岸之间汇差的影响进行了实证研究。结果显示,人民币升贬值预期以及中港之间利差对人民币离岸与在岸之间汇差在短期内均具有相互的引导作用。进一步地,人民币升贬值预期以及市场之间的收益率差异对人民币离岸与在岸之间汇差均具有正向影响,国际市场流动与国内市场的流动对人民币离岸与在岸之间汇差均具有负向影响,市场的波动对人民币离岸与在岸之间汇差具有正向影响,说明人民币并不是投资者们的避险工具。最后指出,国内因素对人民币离岸与在岸之间汇差的解释能力强于国际因素。     

在岸人民币市场与香港离岸人民币市场联动关系的实证研究

作为国际金融中心,香港为内地的发展提供了举足轻重的金融服务。近年来,我国政府力推人民币国际化,具有完备金融市场的香港成为构建离岸人民币中心、促进人民币国际化进程的排头兵。香港已经建成了规模庞大的离岸人民币市场,这一市场的波动和走势对在岸人民币市场的干扰和影响不可轻视,关乎在岸人民币市场的稳定和国家金融安全。文章分析了在岸人民币市场即期汇率、远期汇率与香港离岸人民币市场即期汇率、远期汇率之间的关系,发现两两之间并不总是存在引导关系。     

Price Interactions in a Sequential Global Market: Evidence from the Cross-listed Stocks

In this paper, we investigate the pattern of dynamic interactions among the prices of those stocks that are cross-listed on the three major stock markets of the world, i.e. New York, London and Tokyo. Major findings are: first, regardless of the nationality of stocks, innovations in the 'home' market returns are always fed into the returns in the 'overseas' markets, with the former causing the latter in the Granger sense. However, innovations in the New York market returns of foreign stocks are fed back into their respective home markets, contributing to the price discovery there. Second, the 'succeeding' overseas market, which operates immediately after the home market, plays a dual-role: it conducts the home market innovations to the next-opening overseas market, as well as adds its own innovations. Third, the exchange rate changes substantially influence the overseas market returns, but not the home market returns. The exchange rates appear to play a role in the transmission mechanism mainly via the inter-market price parity.     

Does Trading Volume Contain Information to Predict Stock Returns? Evidence from China's Stock Markets

This paper examines empirical contemporaneous and causal relationships between trading volume, stock returns and return volatility in China's four stock exchanges and across these markets. We find that trading volume does not Granger-cause stock market returns on each of the markets. As for the cross-market causal relationship in China's stock markets, there is evidence of a feedback relationship in returns between Shanghai A and Shenzhen B stocks, and between Shanghai B and Shenzhen B stocks. Shanghai B return helps predict the return of Shenzhen A stocks. Shanghai A volume Granger-causes return of Shenzhen B. Shenzhen B volume helps predict the return of Shanghai B stocks. This paper also investigates the causal relationship among these three variables between China's stock markets and the US stock market and between China and Hong Kong. We find that US return helps predict returns of Shanghai A and Shanghai B stocks. US and Hong Kong volumes do not Granger-cause either return or volatility in China's stock markets. In short, information contained in returns, volatility, and volume from financial markets in the US and Hong Kong has very weak predictive power for Chinese financial market variables.     

Vested Interest and Biased Price Estimates: Evidence from an Auction Market

This study employs a new data set from art auctions to examine the relationship between auctioneer presale price estimates and the long‐term performance of artworks. We find that the price estimates for expensive paintings have a consistent upward bias over a long period of 30 years. High estimates at the time of purchase are associated with adverse subsequent abnormal returns. Moreover, the estimation error for individual paintings tends to persist over time. These results are consistent with the view that auction house price estimates are affected by agency problems and that some investors are credulous.     

Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York

Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, we examine patterns of information flows for China–backed stocks that are cross–listed on exchanges in Hong Kong and New York. Results analyzing the dual–listed stocks indicate significant mutual feedback of information between domestic (Hong Kong) and offshore (New York) markets in terms of pricing and volatility. Stocks listed on the domestic market appear to play a more significant role of information transmission in the pricing process, whereas stocks listed on the offshore market play a bigger role in volatility spillover.     

Measuring equity market integration using uncorrelated information flows: Tokyo,London and New York

Equity markets do not pass all overnight information into prices instantly at the opening of trade. We adjust open-to-close return series for non-instantaneous information absorption and then use adjusted series to measure integration among three major equity markets. Because the adjusted daytime return series are uncorrelated, we can accurately measure the size, and identify the sources, of transmissions. Overnight news, as represented by foreign open-to-close returns, explains 13% of opening price variation (close-to-open returns) in New York, 14% in Tokyo and 30% in London. For New York and Tokyo, the largest influences come from the market that trades immediately prior (London and New York respectively) whereas opening price variation in London is linked closer with New York than Tokyo. Foreign volatility spillovers are also significant, and subject to asymmetric effects.     

2014年7月境外人民币离岸市场综述

2014年7月,境外人民币市场总体保持平稳发展势头。主要运行特点包括：境外人民币资金池略有收缩;Hibor人民币隔夜拆借利率继续上涨,境内外利差持续出现倒挂;境外人民币债券发行量较高峰期有所回落;香港美元兑人民币可交割即期汇价持续走低,境内外美元兑人民币远期汇价震荡下行,境内与香港可交割人民币远期汇价差异略有下降;香港交易所人民币期货交投活跃度上升,CME人民币期货日均交易额下降。     

2014年5月境外人民币离岸市场综述

2014年5月,境外人民币市场保持发展势头,主要特点是：境外人民币资金池继续扩大;Hibor人民币隔夜拆息趋升,境内外利差有所缩减;境外人民币债券发行433．24亿元,较上月大幅增加;香港美元兑人民币可交割即期汇价持续震荡,境内外美元兑人民币远期汇价均明显上行,境内与香港可交割人民币远期汇价差异略有上升;香港交易所人民币期货交投活跃度持平,CME人民币期货日均交易额有所回落。     

Corporate governance and market segmentation: evidence from the price difference between Chinese A and H shares

This paper empirically examines whether the price difference between Chinese A shares, which are traded in the domestic market, and their matching H shares, which are traded in the Hong Kong market, can be explained by firms’ corporate governance characteristics. We find that the A- to H-share price premiums are higher for firms in which the controlling shareholders and corporate insiders have greater potential to expropriate wealth from outside investors. This result is robust when we use a variety of corporate governance variables specific to listed Chinese companies to explain the A-share price premiums and when we control for differences between domestic and foreign investors in required returns, degree of speculative trading, liquidity, information, and demand elasticity. Our findings highlight the important role of corporate governance in explaining the price difference in segmented stock markets.     

Market segmentation and price differentials between A shares and H shares in the Chinese stock markets

We find that the risk premiums associated with the Hong Kong and mainland Chinese markets in a two-factor model successfully explain the cross section of returns on the A and H shares. Discounts of H-share prices relative to A-share prices are related to the contemporaneous movements of the H-share local market index relative to the A-share local market index, especially during the period of the Asian financial crisis, as well as the spread of savings rates between Hong Kong and mainland China. The evidence suggests that the risk premiums associated with the segmented A-share and H-share markets exert crucial impacts on the price differentials between the two classes of shares.