证券市场的弹性分析及其应用

本文对证券市场,特别是股票市场的量价关系进行了分析,通过建立一个成交量与股价变化关系的数学模型,找出某股票在某时刻t其价格对其成交量的弹性指标,并对该弹性指标作出定性分析,结合对股票市场的长期研究,得出了一些对实际操作有指导意义的结论。这些结论将对于预测股票行情、帮助投资者在股票市场中获利和规避风险有参考价值和实际意义。     

中国股票市场量价关系的实证分析

从学术的角度研究量价关系可以追溯到Osbom（1959），他用扩散过程来模拟股票价格的变化，发现其方差依赖于日交易的次数。Karpoff（1987）对来自股票市场与期货市场的18项量价关系的研究成果进行总结，得到比较一致的结论，即交易量与价格变动的绝对值正相关；量价关系具有非对称性，交易量对正的价格变动更加敏感。这与人们的直觉是一致的，即投资者“追涨杀跌”心理。     

中国公司债券交易量与价格波动的关系

使用中国沪深证券交易所的公司债数据,检验了债券交易量与价格波动的线性关系和非线性尾部相关性,分析了债券流动性水平对量价关系的影响,研究了债券量价关系的时变特征。结果表明:中国公司债市场中债券交易量与价格波动之间存在显著的线性关系;债券流动性水平对量价关系有显著影响,债券流动性水平越高(低),则量价关系越弱(强);债券交易量与价格波动存在非对称的下尾相关性;债券量价关系具有时变性,市场低风险时期量价关系较弱,市场高风险时期量价关系较强。     

动态二元混合模型在量价关系中的应用研究

文章首次引入动态二元混合分布模型,并利用该模型对中国股票市场的量价关系进行了实证研究.研究结论认为:动态二元混合分布模型能在很大程度上捕捉收益波动的持续性特征,并能揭示交易量与收益波动的联动规律性,但同时该模型也存在一定的缺陷.文章对模型存在缺陷的原因进行了分析,并提出修正建议.     

上海股票市场收益率与成交量因果关系研究

线性因果关系检验结果表明,在股市得到快速发展和市场交易制度改善后,我国股市量价因果关系阶段性异质特征明显,我国股票市场量价关系从因果关系不显著发展为具有双向因果关系.同时,非线性因果关系检验也得到类似的结论,不同之处在于在取消涨跌停板制度后的第二阶段,虽然不存在交易量对收益的线性因果关系,但存在非线性格兰杰因果关系.所有检验结果表明我国股市在交易制度转变后,市场结构也同时发生了根本变化.     

股票市场量价关系分析——模型与实证

文章将行为金融学的分析方法引入到股票市场量价关系的研究中,在考虑市场参与者非理性行为———＂急于实现盈利＂同时＂不愿结算浮亏＂的前提下,首先通过供求分析,给出股票市场中的需求曲线与供给曲线,然后设定初始均衡,采用经济学中的比较静态分析方法,研究新信息到来时对初始均衡的影响,进而分析新信息的到来对成交量和价格的影响。模型的结论是＂成交量和成交价格的变动正相关＂、＂成交量和成交价格变动的绝对值正相关＂。使用计量经济学方法,基于中国A股市场的历史数据进行了实证检验,实证结果支持了模型的结论。通过进一步分析,文章最后还得出＂投资散户是股票市场的自动稳定器＂的结论。     

上市公司国有资产总价值流失理论模型及应用

随着我国股票市场十年来的迅猛发展，理论界对上市公司的研究也更加广泛和深入，然而却忽略了上市公司国有资产流失这一重要问题，对此，本尝试从资产的广义理解出发，推导和构建了上市公司国有资产总价值模型，并对上市公司国有资产的价值流失问题进行了应用分析。     

关于中国宏观经济变量与证券市场关联性的实证研究

检验股票市场与经济发展之间的关系是经济增长理论研究中的一个新课题,股票市场作为金融市场重要组成部分与经济增长、宏观经济变量之间的关系,更是当前研究的热点。文章将重点研究我国的宏观经济变量与股票市场之间是否存在关联性。文章选取了能够较为全面代表宏观经济运行情况的相关指标,并将这些宏观经济变量与代表中国股票市场运行的上证综合指数一起建立数据模型进行分析,探讨宏观经济变量与股票市场之间的相互关系,进而对中国股票市场的更好发展提出有效建议。     

我国股票市场指数与国际股票市场主要指数的联动性研究——基于协整分析

本文对2002—2009年中国股票市场与国际主要股票市场的每日收盘数据进行统计分析,运用相关性检验、协整检验和格兰杰因果关系检验实证了上证综合指数、深圳成分指数分别与香港恒生指数、道.琼斯指数、日经225指数、法国CAC40指数和伦敦金融时报指数之间存在相关、协整关系。进一步研究我国股票市场与国际股票市场的联动性,结果表明,国际股票市场对我国股票市场的影响越来越明显。这表明中国股票市场日趋成熟,逐渐与相对完善的国际股票市场接轨。     

我国股票市场发展对经济增长影响的实证分析

一、研究文献回顾与综述 对于股票市场发展与经济增长的关系,前人做了许多研究,从研究结论得出的观点大致可以分成两种,一种观点认为股票市场与经济增长有相关关系。Atje和Jovanovic（1993）通过对72个国家1980～1988年的样本数据进行OLS回归分析得出,一国股票市场的相对规模有助于解释人均国内生产总值增长的结论,说明股票市场发展对经济增长有积极影响。     

Testing for Temporal Asymmetry in the Price‐Volume Relationship

This paper presents some evidence for the presence of temporal asymmetry in the price-volume relationship in the crude oil futures market. By using threshold models we show that there is bidirectional causality between volume and prices, whereas the conventional model that assumes symmetry can only detect unidirectional causality. The results also show that the price-volume relationship is asymmetric, in the sense that negative price and volume changes have stronger effects (on each other) than positive changes. Some explanations for asymmetry in the price-volume relationship are suggested.     

On the impact of leverage constraints on asset prices and trading volume

Abstract. Researchers have used stylized facts on asset prices and trading volume in stock markets (in particular, the mean reversion of asset returns and the correlations between trading volume, price changes and price levels) to support theories where agents are not rational expected utility maximizers. This paper shows that this empirical evidence is in fact consistent with a standard infinite horizon – perfect information – expected utility economy where some agents face leverage constraints similar to those found in todays financial markets. In addition, and in sharp contrast to the theories above, we explain some qualitative differences that are observed in the price-volume relation on stock and on futures markets. We consider a continuous-time economy where agents maximize the integral of their discounted utility from consumption under both budget and leverage constraints. Building on the work by Vila and Zariphopoulou (1997), we find a closed form solution, up to a negative constant, for the equilibrium prices and demands in the region of the state space where the constraint is non-binding. We show that, at the equilibrium, stock holdings volatility as well as its ratio to stock price volatility are increasing functions of the stock price and interpret this finding in terms of the price-volume relation. We would like to thank the editor and two anonimous referees for valuable substantive comments. Our gratitude also to Franklin Allen, Kerry Back, Domenico Cuoco, Xavier Freixas, Sanford Grossman, Michel Habib, Lutz Hendricks, Richard Kihlstrom, Fernando Restoy, Mary Thomson, Jean-Luc Vila, participants to seminars at Birkbeck College, Carnegie-Mellon, Columbia, ESSEC, HEC, IAE, INSEAD, London Business School, London School of Economics, McGill, Michigan, National University of Singapore, Pompeu Fabra, North Carolina, Washington-St-Louis, Wharton, the Jornadas de Economía Financiera BBV, and the Meetings of the Society for Economic Dynamics and Control and the American Finance Association. Special thanks are due to Süleyman Basak for his enthusiastic support and many helpful suggestions. The usual disclaimer applies. We gratefully acknowledge the support of the BBV and Caja de Madrid Foundations and CREF (both authors) and of the Spanish Ministry of Education under DGICYT grant no. PB93-0388 (first author).     

A sneeze in the U.S., a cough in Japan,but pneumonia in Taiwan? An application of the Markov-Switching vector autoregressive model

This paper examines the lead–lag relationships among the output of Taiwan, Japan and the U.S. Three testing methods are employed: the traditional linear Granger causality test, Hiemstra and Jones' [Hiemstra, C., Jones, J.D., 1994. Testing for linear and nonlinear Granger causality in the stock price-volume relation. Journal of Finance 49, 1639–1664] nonlinear Granger causality test and Warne's [Warne, A., 2000. Causality and regime inference in a Markov-S switching VAR, Working Paper no. 118, Sveriges Riksbank, Stockholm.] Granger causality test under the Markov-Switching model. We find that the causal ordering is unclear and depends on the model we used. Because Markov-Switching model imposes few restrictions in estimation, we tend to use its estimated results but bear in mind that the evidence is sensitive. First, the common shock hypothesis is found that most probably exists between Taiwan and the U.S. Next, we conclude that Japan tends to lead Taiwan's output, to a certain extent. Last, there is no causal ordering between the U.S. and Japan economies.     

核心-边缘理论在区域旅游规划中的运用

核心－边缘理论为区域旅游规划提供了建构区域旅游空间结构系统的认知模型。运用这种空间结构模型，在进行旅游资源的区域整合，景区土地利用功能配置与都会城市旅游圈层构造，以及促进区域旅游联动发展方面可取得满意的实践成果，核心与边缘地区应该是一种平等竞争，优势互补，合作互嬴的空间关系，发展核心，带动边缘，是区域旅游发展的重要战略兴措，发展中地区要注意培育旅游核心区，形成旅游创新活动基地，带动边缘区域发展，壮在整个区域的旅游竞争力。     

Digital Platforms and the Nature of the Firm

Abstract:

Digital platforms turn traditional approaches of the firm, which relied on the wage relation to explain the major difference between firm and market, upside down and underline the advantages of coordination through organization over coordination through market. This study aims to propose a definition of the firm able to integrate, besides the integrated firm, also hybrid forms such as networks of subcontractor/subcontracting firms as well as atypical forms such as digital platforms. By reactivating the firm-boundary problem, this article suggests putting valorization by labor at the heart of the firm’s decisions concerning integration. It suggests therefore a general definition of the firm as a techno-institutional center of capital valorization, provided that firms make profits by means of the appropriation of labor incorporated into their (productive, structural, intellectual) capital through institutional arrangements. By stressing the relation of production between the owners of the means of production and the direct producers, the approach of the firm supported here should allow to cover the different existing models of the firm, from the classical firm to hybrid models, around which the boundary debate has revolved, to digital platforms.     

How the purpose of the inter-firm relationships influences the choice of the governance form: evidence from the machine tool and the pharmaceutical industries

In today's competitive landscape, the choice of the appropriate mode to govern an inter-firm relationship is a critical factor for companies. In the literature several theoretical strands have examined the impact of the purpose of inter-firm relationships on the forms of governance. Building on a robust literature review on the topic, this study focuses on a specific issue influencing the choice of the form of governance in inter-firm relationships, i.e. the purpose of inter-firm relationships with relation to partner's resources. We gather in a unique framework three typologies of partner's resources, i.e. production, R&D and marketing, and through two empirical analyses in two different Italian industries, machine tool and pharmaceutical, we show how differently these purposes shape the choice of the governance mode.     

创业激情对创业者说服投资人的作用机理 ——基于说服理论的中介模型

创业激情作为创业创新活动的关键驱动力,它不仅会影响创业者本人,也会影响利益相关者.现有研究只关注其对创业者本身的作用,但由于获得投资对创业者极其重要,有必要重点探讨创业激情对于创业者说服投资人进行投资的作用.本文基于说服理论,提出一个由激情和专业性构成的中介模型,并基于国内某高校创业比赛的150份答卷对模型进行检验,结果显示:在创业激情的两个维度中,只有认知激情有助于提升投资人对商业计划的评价,情感激情无此作用;创业者的专业性在认知激情与商业计划评价之间起中介作用.笔者揭示了创业说服过程机制,有助于进一步理解创业融资过程.     

对公司股东与利益相关者的比较研究--一个契约理论的扩展分析

主流的企业契约或契约连接点理论对解释现代公司提供了一个具有说服力的规范性理由,尤其在与股东的关系方面.但契约理论本身并没有具体要求其研究的主体必须是股东还是利益相关者.更有甚者,该理论允许任何处于契约连接点的各方通过相互同意所达成的经济组织方式.本文通过对该理论的一个简单扩展,对股东和利益相关者作了进一步的比较,其结论可以缓解我们对这二者之间对立性的认识,并对现实的公司具体的激励机制设计有所帮助.     

关系营销成为营销通用理论的关键：认识论与方法论的更新

本文简要介绍了当前关系营销理论的发展现状,主要从认识论与方法论的角度就关系营销难以形成营销通用理论的原因进行了分析,并就今后关系营销理论如何基于系统论和协同论构建有别于传统营销的理论体系提出了自己的一些看法。     

消费者过激维权背后的博弈分析——兼论市场经济条件下消费者和生产者之间的关系

近几年消费者过激维权的事件时有发生,那么这样的事件背后折射出来的是消费者与生产者之间一种什么样的关系呢?本文从博弈论的角度,通过模型的建立与分析,对这种事件背后的消费者和生产者的关系进行了探讨。