绝对离差风险测度模型与均值方差模型的比较研究

本文将绝对离差风险测度模型与马科维兹均值方差模型进行比较研究。分析它们之间的关系及各自的优越性；通过引入两种模型的估计误差、两种模型估计错误的机会成本等概念．在小样本股票组合下，比较了两种风险测度模型的有效边界、两种风险测度模型产生估计误差的大小以及产生估计错误的机会成本大小等。研究结果表明，在不同的股票组合样本大小下．两模型的性质和各自的优势会有一定的差异。     

关税政策预期和实施对股市波动的影响：基于中美贸易摩擦的准自然实验研究

文章利用中美第一轮贸易摩擦提供的自然实验条件，通过拓展的双重差分法分别研究了美国关税政策预期和实施对中国个股波动率的影响。研究结果表明：在预期和实际都被加征关税的上市公司之中，关税政策实施会立即加剧这些公司股票的波动率，但这种影响持续时间较短；对于预期不被加征但实际被加征关税的公司而言，关税政策实施对这些公司股票的影响存在一定时滞；在美国公布正式关税政策之前，预期被加征关税个股的波动率在重要贸易摩擦信息公布日附近显著增加；在美国正式关税清单公布后，预期被加征关税个股面对的不确定性降低，从而相对减缓了该类个股的波动率。文章的研究有助于政府和投资者理解关税政策预期和实施对股市的作用机理，也为相关部门评估中美贸易摩擦对中国金融市场的影响及制定相关政策提供了实证依据与参考。     

中国住宅市场价格泡沫的测度——基于预期时间路径的拟合估计北大核心CSSCISSCI

本文运用牛顿-高斯非线性参数分析、最小二乘回归等经济计量方法,对预期时间路径的主要参数进行了估计;并利用2005年7月至2010年6月全国住宅价格月度同比数据,对估计的预期函数进行了拟合优度检验。检验结果表明:样本区间内人均可支配收入的变动对住宅价格没有直接影响,预期的变动是住宅价格波动的唯一原因。理性预期从而基本面价值遵循指数增长趋势。当预期偏离均衡值时,价格泡沫开始形成并呈周期性变化。样本区间内,泡沫变化的周期约为30.4个月,平均泡沫程度约为2.25%,极端泡沫值约占基本面价值的6.64%。     

股指期货不同推出方式对股票市场的影响

本文构建一个多期理论模型研究股指期货以非预期方式推出的影响。本文比较了它和按确定时间表推出这两种方式对股票现货价格、流动性以及波动性的不同影响。在无其他冲击环境下,我们发现按确定时间表推出期货,市场的流动性与波动性将增加,另外股市会在期货推出后短期下行。而以非预期的方式推出期货对市场的流动性与波动性的影响要低于前一种方式,且股市在期货推出后将短期上行,然后回调。如果管理层的目标是使股指期货推出对市场流动性和波动性冲击最小化,那么选择以非预期的方式推出更为合适。     

做空条件下与非做空条件下股价泡沫的实验研究

本文通过金融工程实验室真人实验平台进行了三次有无做空的对比实验，发现可以做空的情况下，市场的均衡价格低于无做空的市场均衡价格；当股票的基础价值短期不变时，做空可以减少股票估值泡沫；市场的均衡时间延长，股票的成交价格方差扩大，市场的波动性加大，市场的波动性与定价泡沫成反方向变化。将市场波动纳入泡沫界定能更好的衡量做空对市场的影响，做空能否降低市场泡沫，需要同时讨论估值泡沫和市场波动及各自的权重参数。     

中国股市停牌信息披露机制的有效性研究——基于沪深32家上市公司的实证分析

停牌制度设立的初衷是在于使投资者有充分时间了解消化影响公司股票价格的信息.然而股票市场中信息提前泄露,市场效率低下可能导致停牌制度无法起到预期的效果.文章通过面板数据的方式,选取了沪深两市中市值较大的32支股票近3年来的信息,分析了这些股票在非例行停牌前与非例行停牌后的股票收益率波动情况.研究结果表明,信息提前泄露与市场的滞后反应的情况在样本中是显著存在的.     

对股票期权行权价格的修正

股票期权激励得到越来越普遍的运用，然而观其效果很多情况下并不能达到人们的预期水平．特别是在狂热的股市背景下，股票期权激励有时会产生负的激励效果。出现这样的情况．文章认为主要原因之一是因为在设定股票期权激励的行权价格时没有考虑股票市场的有效性．价格过于固定．基于此，文章提出了一些修正方案以使股票期权能够达到更好的激励效果．     

我国股票市场非预期收益的影响因素分析

本文运用向量自回归的方法来对投资者未预期到的股票收益方差进行分解,发现在我国股票市场未来预期现金流消息和投资者未来预期收益消息对股票收益波动的影响相差不大.关于未来收益的消息并不独立于关于红利的消息,非预期收益更多地受到了未来预期现金流消息和未来预期收益消息之间的交互影响;未来收益的冲击与未来红利的冲击正相关,意味着关于基本面的好消息会伴随着未来预期收益的上升,股价对红利消息的反应速度低于当投资者期望收益固定时股价对红利消息的反应速度,说明市场效率较低.预期收益过程的持久性意味着预期收益的变化能够引起较大的股价下跌,预期收益1%的增加会引起5%～6%的资本损失.     

包含多个知情交易者的可甄别交易流模型研究

本文扩展Corb（1994）分析框架，研究包含多个知情交易者的可甄别交易流模型．通过数值解的方法求得理性预期均衡。研究表明，线性理性预期均衡与相应的卡尔类型模型的均衡是相同的。在非线性理性预期均衡中，与卡尔类型模型相比，知情交易者的期望利润更低．市场流动性更高；当市场上不知情交易者的数量较少以及知情交易者的私人信息准确度不高时．知情交易者的交易强度更大，价格更有效，反之，知情交易者的交易强度会更小。     

浅析无风险利率对股指期贷合约价格波动抑制

在发达的股票现货市场，对股票价格的预期可以引起股指期贷合约价格的变化。但是通过对股指期货持仓成本模型的分析，我们发现无风险利率在理论上对股指期贷合约的价格也会施以影响。本文从对由持仓成本模型结合无风险套利原理推导出的股指期货合约价格模型分析，指出无风险利率与股指期贷合约价格的关系，借助于对无风险利率的控制来减弱因股票现货市场价格波动而使期货市场股指期货合约价格的波动效应。     

Market microstructure and price discovery on the Tokyo Stock Exchange

This paper compares the price discovery processes at the opening and closing transactions for the fifty largest stocks trading on the Tokyo Stock Exchange. Open-to-open returns are found to have a greater volatility and a more negative autocorrelation pattern than close-to-close returns, similar to the pattern we found on the New York Stock Exchange. The results are consistent with pricing over-reaction at the opening and partial price-adjustment at the close. These patterns persist over time and prevail when estimated for returns conditional on the contemporaneous market effect. Our analysis of daytime and overnight returns suggest that pricing errors at the opening are corrected over the trading day. We present a new measure of volatility — the relative dispersion of stock returns around the market return — and find that it is greater at the opening, consistent with a more noisy price discovery process.     

投资者结构与股价波动：基于过度自信和注意力分配的理论分析

本文假定市场上仅存在散户和机构,且他们之间存在过度自信的差异和对多期私有信息注意力分配方式的差异,在此基础上对投资者结构和股价波动的关系进行了理论分析,并进一步研究了投资者结构的长期均衡问题。研究表明,当两种差异同时存在时,第一,市场上现有的投资者结构决定了散户或机构比例的上升是否增加股价波动。如果市场是散户主导的,那么散户比例的上升将加剧股价波动;如果市场是机构主导的,那么在特定情形下,机构比例的上升将加剧股价波动。第二,散户在长期均衡时不仅不会彻底消失,甚至会在特定情形下完全占据市场。     

后金融危机时期中国股市的国际地位——基于非线性视角的股市联动网络分析

后金融危机时期全球股市一体化程度不断提高,全面认识中国股市的国际地位对于揭示国际股市一体化联动中的传导机制,防范和应对国际金融风险冲击具有重要的理论意义和现实价值。文章应用非线性格兰杰因果检验方法和社会网络分析方法,对金砖国家和七国集团股市收益率和波动率的联动关系及其联动网络结构进行分析,揭示出中国在国际股市联动中的地位对传导关系的控制方式,定量分析出事件冲击下中国股市与国际股市之间的交互影响。研究发现：（1）国际股市收益率和波动率联动网络呈现出稳定的非线性联动关系网络结构,受其影响各国股市收益之间存在互惠性,而波动之间则存在传染性;（2）在收益率联动网络中,中国股市的作用和地位已与英国相当,远高于其他金砖国家,正逐渐由"从属地位"转向"中心地位";（3）在波动率联动网络中,中国股市是造成国际股市风险交叉影响的重要"桥梁"。综上而言,当前中国股市表现出"高风险低收益"的市场特征;（4）中国对国际股市的影响具有典型的"地缘特征",将网络中心国家股市的利好传递给地缘临近国家股市;（5）波动率联动网络中初始冲击强度较大的国家,往往是对中国股市持续大规模产生冲击的国家;（6）相比较国际股市调整波动冲击的时间而言,中国股市调整时间较短,这表明后金融危机时代中国致力于股市的一系列改革举措取得了显著成效。     

LONG MEMORY IN SOUTHERN AFRICAN STOCK MARKETS

The paper examines long memory in equity returns and volatility for stock markets in Botswana, South Africa and Zimbabwe using the ARFIMA‐FIGARCH model in order to assess the efficiency of these markets in processing information. The findings are diverse. Significant long memory is demonstrated in the equity returns of Botswana; while, in South Africa this result is not statistically different from zero. For Zimbabwe returns are characterised by an anti‐persistent process. Furthermore, all the markets investigated provide evidence of long memory in volatility with the exception of Botswana where there is no evidence of volatility persistence and hence the return from taking risk in this market cannot be predicted on the basis of previous values.     

Calendar Effects on the Amsterdam Stock Exchange

For daily data on a value-weighted index of all shares in the Netherlands (1981-1998), we find abnormally high returns in the pre-Christmas period of the second half of December and around the turn of the month, whereas returns are negative and volatility is relatively high on the Mondays where the previous week's return is below zero. Furthermore, our evidence indicates the presence of an ARCH(1) effect. Our intraday results based on an equal-weighted index of the leading shares in the Netherlands (1986-1993) reveal a U-shaped return pattern over each trading day, Monday morning excluded. Moreover, our tests reveal repeated price adjustments mostly in the same direction around and over non-trading periods. We argue that the arrival of private information is affected by strategic and behavioral factors incompatible with the risk-return paradigm.     

Short selling and stock prices with regime switching in the absence of market makers: The case of Japan

This paper investigates the relation between short selling and stock price at an aggregated market level. In order to study the differential impact of market microstructure on short selling, the data from Japanese stock markets are used. Both traditional regression and Markov switching models are used to compare Japanese results to those of U.S. and to admit non-stationary relation between short selling and stock price, respectively. Particularly, relatively long period (1978–2002) of analysis including bullish and bearish periods gives a good testable bed for studying the effect of short selling on stock price according to market condition. The empirical findings reveal that percentage change of short interests has a statistically significant positive relation with stock returns. It gives regulators policy implication that short selling is not a destabilizing activity, but an acceptable form of trading even in the absence of market makers. And short selling information cannot be used as an indicator for predicting future stock markets.     

The Fed’s reaction to the stock market during the great depression: Fact or artefact?

A notable feature of the 1920s and 1930s is the volatility in several key macroeconomic aggregates, and this feature used to econometrically identify the reaction of the Fed to stock market developments. The volatility of economic activity may have contributed to deepening the divisions among policy-makers about how the Fed ought to respond to stock price developments. Relying on the technique of [Rigobon, R. 2003. Identification through heteroskedasticity. Review of Economics and Statistics 85, 777–792], volatility is used as an instrument to estimate the Fed’s response to the stock market. Other identification assumptions based on structural VARs produce compatible results. Fed behavior appeared to have changed following the stock market crash of 1929. Consistent with the Riefler-Burgess doctrine, interest rates and stock returns are negatively related. I conclude that, prior to the stock market crash of 1929, a form of benign neglect explains Fed behavior. Thereafter, the Fed reacts only slightly more aggressively to stock market developments.     

国际市场粮食价格波动性上升的原因及未来趋势分析

近年来,国际市场粮食价格波动性明显上升,其原因在于全球粮食库存持续下降、粮食需求波动加大以及全球流动性过剩与金融投机的推动,未来国际市场粮食价格波动性仍将处于高位。中国需要确保粮食基本自给,以防国际市场粮食价格的高波动性传入中国。     

Firm-specific volatility of stock returns, the credibility of management forecasts, and media coverage: Evidence from Japanese firms

This paper explores the determinants of firm-specific informativeness of the stock price in terms of corporate disclosure quality and the quantity of public information by using Japanese data. In our empirical framework, we examine how the credibility of disclosure and media coverage are associated with the firm-specific volatility of stock returns. The results indicate that both greater accuracy of management forecasts and greater total media coverage contribute to the incorporation of firm-specific information in the stock price. Furthermore, for earnings-related news, the media reporting leads to less firm-specific volatility. Finally, an improvement in forecast accuracy enhances the marginal effect of media coverage of the earnings news toward reflecting firm-specific information.