中国股市长记忆性的实证分析

股票市场收益率的长记忆特征对于系统非线性结构的确定以及市场有效性的研究具有重要的意义。针对上海和深圳的日收益序列，采用非线性R／S方法来检验收益序列的长记忆特征，并用ARFIMA模型对收益率序列的长记忆性做了进一步判断，根据分段分析的结果，得出中国股市渐进趋于有效的结论。     

汇率市场收益及波动的长记忆特性研究

该文利用对数周期图法对日本/中国汇率中间价的收益及波动序列的长记忆特性进行研究,并建立了ARMA-FIGARCH和ARMA-FIEGARCH模型。研究结果发现:收益序列不存在长记忆特性,而波动序列却存在显著地长记忆特性。     

汇率市场收益及波动的长记忆特性研究

该文利用对数周期图法对日本/中国汇率中间价的收益及波动序列的长记忆特性进行研究,并建立了ARMA-FIGARCH和ARMA-FIEGARCH模型。研究结果发现：收益序列不存在长记忆特性,而波动序列却存在显著地长记忆特性。     

连续时间金融框架下证券市场跳跃模型研究

为了准确刻画证券的价格和波动过程中的跳跃特征,文章采用基于贝叶斯分析的马尔可夫链蒙特卡罗(MCMC)模拟方法,利用离散样本数据,分别分析了连续时间内,收益与波动过程存在相关无限活跃列维跳跃的随机波动模型以及仿射跳跃扩散模型(AJD).首先,MCMC方法可以准确联合估计模型中扩散、随机波动以及列维跳跃各个成分的特征参数;其次,与仿射跳跃扩散模型相比,无限活跃列维跳跃的随机波动模型可以捕捉到在收益与波动过程中,那些由布朗运动和复合泊松过程所不能刻画的列维跳跃,从而更好地描述金融时间序列的动态特征.最后,通过对中国上证综合指数收益序列的实证研究,验证了上述结论.     

基于GARCH模型族的深圳股市波动性分析

文章以深证综合指数作为研究对象．采用GARCH模型族对1997-2008年中国深圳股票市场的波动情况进行实证分析。研究结果表明，深圳股市具有明显的ARCH效应、深综指收益率序列具有显著的“尖峰厚尾”特点。存在波动聚集效应，期望收益与期望风险之间存在正相关关系。     

原油市场收益率及其波动率序列的长期记忆性

本文通过构建ARFIMA模型、FIGARCH模型及ARFIMA-FIGARCH模型来系统检验国际原油市场收益率序列及其波动率序列的长期记忆性特征,结果表明：（1）Brent原油现货价格对数收益率时间序列当中不存在显著的长期相依性特征,但是在Brent原油现货价格对数收益率波动率时间序列当中却具有极为显著的长期相依性特征,即长期记忆性特征;（2）采用Student-t分布代替正态分布来刻画Brent原油现货价格对数收益率时间序列及其波动率时间序列的“尖峰厚尾”分布性质是极为恰当的,相比之下,Student-t分布能够更好地捕捉到Brent原油现货价格对数收益率时间序列及其波动率时间序列中存在的长期记忆性特征.     

基于日间高频交易数据的股市波动研究

本文利用上证综指在2005～2009年内的日间高频数据,通过已实现波动率这一概念对我国股市在这5年间的波动特性做了研究。进一步地,根据已实现波动率序列的统计特征,对其进行长记忆建模,并对模型的波动率预测效果与常规GARCH模型的预测效果做了对比分析。基于上证综指的研究结果表明,利用了日间高频信息的波动率模型在波动率预测上,比仅利用了收盘信息的GARCH模型更有优势。     

基于EGARCH(1,1)-M-EVT模型的风险度量研究

针对金融资产收益的异常变化,采用EGARCH-M模型对风险资产的预期收益做风险补偿并捕捉收益序列的厚尾性、波动的异方差性杠杆效应等特征,将收益序列转化为标准残差序列,通过EGARCH-M模型与极值理论相结合拟合标准残差的尾部分布,建立了基于EGARCH(1,1)-M-EVT模型的动态VaR模型。通过对上证综指做实证分析,结果表明该模型能够合理有效地度量上证综指收益的风险。     

上海期货市场收益波动性的实证分析——基于EGARCH模型的应用

本文利用EGARCH（1，1）模型对上海期货市场的三个交易品种天然橡胶、铜、铝的收益率波动进行估计，考察了交易量、持仓量和收益波动的动态关系，然后再考虑滞后一期交易量和持仓量对收益波动的影响。实证结果显示：上海期货市场不存在杆杠效应，同时收益波动具有一定的持久性和聚集性。橡胶和铝不管是同期还是滞后一期的交易量和持仓量对收益波动的影响都为正。铜交易量和收益率波动没有显著的关系，但是同期和滞后一期持仓量对收益率波动有显著的负向影响。     

中国股市收益率与波动率跳跃性特征的实证分析

股票市场收益率通常小幅波动，但是当市场出现重大或者异常信息时，收益率会在短时间内发生大规模的运动．产生跳跃性变化，市场波动率也明显加剧。本文采用Jump—GARCH对沪深两市A股B股的这类跳跃性特征进行实证分析。根据该模型：当收益率小规模变化时，波动率由GARCH（1，1）平稳随机过程产生，但是当收益率发生跳跃性变化，波动率将背离GARCH（1，1）过程．调整到一个较高的水平。实证结果表明，该模型能够有效地估计出沪深两市收益率和波动率的跳跃性变化．比正态分布的GARCH模型更合理地反应了市场收益率和波动率过程。本文同时讨论了A股B股的跳跃性特征。     

On the Major Transformation of the Asia-Pacific Regional Structure北大核心CSSCISSCI

Recent years have witnessedsignificant changes in the Asia-Pacific regionalstructure featuring the shift in power balance among related countries as well as adjust-ments in their respective regional strategies. So what is the prevailing trend in thistransformation and what kind of regional order will likely emerge in the future？ To an-swer these questions, the paper tries to explore the following dimensions： the evolvingregional context, shift in power balance and power conversion, geo-political and geo-e-conomic developments and interactions between them, and evolving regional order. Asthe study shows, the broadening of regional geographical scope, the rise in the numberof actors involved, as well as changesin the relations among them, have combined tocast a pluralistic and complex flavor to the regional structure. While the power balanceamong China, the United States and Japan shifts, and power conversion is also occur-ring. China and Japan are paying increasing attention to their security roles, whereasthe United States under the Obama administration laid more stress on expanding itsgeo-economic clout. In spite of the intensifying geopolitical competition among China,the United States and Japan in recent years, a Sino-US strategic compromise-whichholds the key to regional geopolitics-isother front, some kind of geo-economicmore likely to take place in the future. On thecooperation will probably emerge. In the longerterm, it will be the geo-economic trend thatwill prevail over the geopolitical trend inthe region. Finally, the future evolution of regional order wiI1 mainly follow the eco-nomic logic, accompanied by the dilutionof its hegemonic and hierarchical nature.Hence, a pluralistic and complex regional community will emerge.     

The German Hanse and Bergen – new perspectives on an old subject

Abstract

The Hanseatic League and her kontors (trading posts) were an integral part of the medieval trade system in Northern Europe. Hanse merchants dominated many markets in this region and managed to maintain a monopoly-like role in towns like Novgorod and Bergen for many centuries. Consequently, one focus of historical research about the Hanseatic League lay on the mechanisms that enabled the Hanse merchants to keep that strong of a position for such a long time.

This article is part of the discussion about this topic. Based on Lübeck merchants with business interest in the Norwegian town of Bergen, the so-called Bergenfahrers (Bergen travellers), it will give new insights into the Hansards' economical and social organization. The three main points are (a) the integration of the Bergen market in the Hanseatic trade network as an intermediary trading place on the vivid East–West route of Hanse trade; (b) the importance of the Bergenfahrers within the Hanse merchants' economical, social and political networks; and (c) the structure of the Bergenfahrers network patterns in the late Middle Ages.

In addition to new insights into the important role of Bergen and the Bergenfahrers within Lübeck's and the other Wendish Hanse towns' trading system, this articles provides further proof for the usefulness of the methods of Social Network Analysis in medieval economic research.     

Organization and incentives in the age of sail

The British Navy in the age of sail was the most successful bureaucracy of its time. Its organization and incentive structures differed importantly from contemporaneous private sailing ventures, but closely resembled those of today’s large corporations. To induce efficient effort, the navy used a hierarchical tournament, in which sailors competed for higher pay that came with promotions based on relative performance. Promotion probabilities, the option value of future promotions, and the higher effort required of men in higher ranks and on larger vessels, combined to yield a highly skewed pay structure.     

Financial Reporting and Trade Credit: Evidence from Mandatory IFRS Adoption*

We investigate the effect of mandatory IFRS adoption on trade credit. We document that firms in countries that adopt IFRS receive more trade credit from their suppliers, consistent with improved financial reporting quality and comparability playing a role in facilitating informal financing. This increase is larger for countries with a low level of societal trust, a poor pre‐IFRS‐adoption information environment, and stronger legal enforcement. These cross‐sectional results suggest that the conditions under which higher‐quality information is made publicly available affect suppliers' decisions to provide trade credit. This increase is also larger for firms with greater exposure to foreign markets, a finding that highlights the importance of more comparable international financial reporting standards in facilitating cross‐country trade credit. We also find that IFRS adoption has a stronger positive effect on trade credit for firms with greater liquidity needs. Finally, we find that firms in countries that adopt IFRS also extend more trade credit to their customers. Overall, our results support the notion that financial reporting can have a causal effect on trade credit.     

区域工业产业竞争力指标体系的构建及其评价方法研究

文章通过建立省级区域工业产业竞争力评价指标体系,设计竞争力模型,利用SPSS统计软件,对各省工业产业竞争力进行了评价测定。     

中俄经济技术合作面临新机遇

中俄在十年内把各自的GDP翻一番的目标,为发展中俄经济技术合作提供了机遇.仅仅依靠商品贸易的增长很难大幅度提升中俄经贸关系,需要全面开展经济技术合作,特别是加强在自然资源开发、跨国投资、军工技术和产品贸易领域的合作.     

INFRASTRUCTURE POLICY IN INDONESIA, 1965–2015: A SURVEY

This survey, first, provides an overview of the main developments in the infrastructure sector in Indonesia during the past five decades and, second, considers what the main policy and management bottlenecks in infrastructure appear to be. The overview of main developments indicates that, in broad terms, most parts of the sector have expanded considerably but that the needs remain acute for further expansion and for attention to the maintenance of existing facilities. Demand for infrastructure is high, especially since the regulated prices set for infrastructure services are often low. Access is often difficult, however, because of shortages of infrastructure, and quality is often unsatisfactory because of poor maintenance and indifferent management. These problems of access are exacerbated by the regulation of prices. This overview also points to the markedly different performances of industries in which pro-competitive policies have been applied and those in which more traditional policies of close regulation have restricted the operation of markets.