国有股减持与全流通的理性思考

中国的股票市场一开始就是在规范中发展中前行的。中国的股票市场最大的不规范就是由股份分割造成的流通股是非流通股的区分,让非流通股流通起来应该是中国股票市场规范与发展的题中之义,但这却困扰了中国股票市场长达十余年的第一大难题,如何看待股票的全流通问题,如何解决股票的全流通问题,都关系到中国资本市场建设乃至国民经济发展的重大问题,是中国资本市场方方面面的参与者都十分关心的重大问题。所以我们需要改革现行国有股权管理模式,全流通下把非流通股转为优先股和非流通股向流通股股东配售。     

股份全流通与上市公司国有股减持

股权分裂问题事关我国股票市场的稳定和健康发展 ,是目前中国资本市场面临的最大难题。解决股权分裂问题最根本的和唯一的途径是实现上市公司股份的全流通。上市公司非流通股份中 ,国有股占有绝大多数 ,上市公司国有股份的减持会给股票市场施加重要的影响。股份全流通与上市公司国有股减持是两个不同的命题 ,有着明显的区别 ,但同时又存在密切的联系。股份全流通是纲 ,上市公司国有股减持是目 ,上市公司国有股减持必须在全流通的整体框架下进行。     

基于虚拟定向增发流通股与回购安排下的全流通

股权割裂所带来的种种弊端已经在我国股票市场上逐步显现 ,市场全流通是解决股权割裂的最根本的措施。在立足于市场现有的制度框架内 ,按照市场化和可操作的原则 ,就基于虚拟定向增发流通股与回购的全流通方案进行探讨     

全流通过程中波动率的实证分析

金融产品最受人关注的就是合理的估值体系,金融产品想要获得成功就一定要能够准确的定价。利用欧式期权的价值公式对其中与全流通有关的变量进行分析,并利用我国股票市场的实际数据和SPSS分析软件,着重分析了全流通对于波动率的影响。     

全流通背景下我国货币政策对股票市场调控效应的实证研究

选取我国股改前后3年的利率、广义货币乘数、货币供应量中的M2和股票指数等经济时间序列为变量,利用向量误差修正模型（VEC）与现代计量经济技术,对比实证分析货币政策对股票市场调控效应,得出结论：全流通背景下,利率调控股票市场效果非常不理想;广义货币乘数调控股票市场效果非常显著,货币供应量M2调控股票市场效果一般,央行利用货币政策中介目标调控股票市场有待进一步完善。     

全流通前后股东利益的博弈分析

在我国证券市场进行的股权分置改革中,上市公司非流通股股东所持有的非流通股可以解禁并在二级市场流通,流通股股东也可在对价支付中获得收益,我国股票市场就此进入全流通阶段.本文针对股权分置改革中支付对价问题进行研究,采取动态博弈建模,从博弈角度分析股权分置改革.同时,本文对全流通前后非流通股股东及流通股股东的收益变化进行博弈矩阵分析,对全流通给两者的影响进行研判     

以期权定价的思路解决全流通问题

国有股、法人股的流通一直是中国股票市场亟需解决的问题。本文探讨了一个新思路,用期权的思想分析流通股与非流通股的差异,并据此提出用一个期权市场解决全流通问题的方案。     

大股东交易、波动性与市场效率——基于全流通A股市场的实证研究

全流通市场中解禁的大股东已经成为我国股票市场最重要的投资主体。由于大股东特殊的地位和身份,其交易行为对股票市场效率的影响一直都备受争议。基于此,本文从股价波动性的角度来检验大股东交易对股票市场效率的影响。实证结果表明控股股东与非控股股东的减持都明显降低了股价波动性;而相对于非控股股东而言,控股股东增持对股价波动性的降低作用更明显。     

股权分置改革对券商一级市场业务的影响分析

本文通过对目前股票市场的形式和全流通后对上市公司冲击的分析,得出股权分置改革对一级市场的影响:新股发行可能暂停一段时间,股权分置试点及推广将成为券商未来3～5年的新蛋糕,方案的合理和创新及投行的推介力将决定项目的成败。新老划断后将考验投行的定价能力。全流通后并购业务和财务顾问业务将大幅度增加。     

以期权定价的思路解决全流通问题

国有股、法人股的流通一直是中国股票市场亟需解决的问题.本文探讨了一个新思路,用期权的思想分析流通股与非流通股的差异,并据此提出用一个期权市场解决全流通问题的方案.     

会计信息对上海证券市场股票价格影响作用的实证分析

股票价格的变动受多种因素的影响,其中会计信息对股票价格的影响显得尤为重要。会计信息是股票市场信息的主要来源,是影响股票价格的直接因素。因此通过对深沪股市股票价格与会计信息的实证分析,能进一步明确不同会计信息对股票价格的影响程度,及二者之间的关系,从而为投资者在投资时使用财务数据提供理论依据。     

Are stocks dumped or neglected by analysts' inferior investments to covered stocks?

We compare the long-term stock price and operating performance of firms that are followed by analysts to those that are not over the period of 1994-2005. While analysts are skillful in identifying quality firms for coverage, the market is efficient in pricing both covered and neglected stocks such that risk-adjusted stock returns are compatible between the two groups. However, dumped stocks consistently outperform covered stocks with significant risk-adjusted returns across different market conditions and regulatory environments. Hence, investors might earn better returns by investing in dumped stocks, but the higher returns may represent compensation for greater search costs and information risk associated with investing in these stocks.     

Order imbalance and the dynamics of index and futures prices

This study uses transaction records of index futures and index stocks, with bid/ask price quotes, to examine the impact of stock market order imbalance on the dynamic behavior of index futures and cash index prices. Spurious correlation in the index is purged by using an estimate of the “true” index with highly synchronous and active quotes of individual stocks. A smooth transition autoregressive error correction model is used to describe the nonlinear dynamics of the index and futures prices. Order imbalance in the cash stock market is found to affect significantly the error correction dynamics of index and futures prices. Order imbalance impedes error correction particularly when the market impact of order imbalance works against the error correction force of the cash index, explaining why real potential arbitrage opportunities may persist over time. Incorporating order imbalance in the framework significantly improves its explanatory power. The findings indicate that a stock market microstructure that allows a quick resolution of order imbalance promotes dynamic arbitrage efficiency between futures and underlying stocks. The results also suggest that the unloading of cash stocks by portfolio managers in a falling market situation aggravates the price decline and increases the real cost of hedging with futures. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:1129–1157, 2007     

Tick sizes and relative rates of price discovery in stock,futures, and options markets: Evidence from the Taiwan stock exchange

This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The price‐discovery ability of the Taiwan Top 50 Tracker Fund, an exchange‐traded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum tick size in the stock market decreases, the bid–ask spreads of the component stocks of the stock index and the Taiwan Top 50 Tracker Fund get lower, and the contribution of the spot market to price discovery increases. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 29:74–93, 2009     

Foreign Ownership Restriction and Momentum – Evidence from Emerging Markets

This study investigates the impact of foreign investors on stock price efficiency and return predictability in emerging markets. It finds that stocks fully investible for foreign investors exhibit stronger price momentum than non‐investible stocks. The difference in momentum effects between stocks with different levels of investibility cannot be fully explained by world market risk, size, turnover, or country‐specific factors. Further tests show that fully investible stocks have no post‐earnings‐announcement drift (PEAD), and their short‐term momentum reverses over a longer horizon. These results show that the stronger momentum of highly investible stocks does not appear to be driven by foreign investors' underreaction to firm‐specific information, but is more likely to be generated by their positive feedback trading.     

Do single‐stock circuit breakers provide a safety net for Canadian investors?

This study looks at the market impact of recent regulatory changes in Canada that provide for trading halts on individual stocks that experience large upside or downside movements. The focus is on all stocks traded on the Toronto Stock Exchange since the inception of the single‐stock circuit breaker rule (SSCB) in February 2012, to replace the short‐sale uptick rule. The results support pricing efficiency: material information that caused the circuit breaker is incorporated in stock prices on the day of the halt (neither overreaction nor underreaction), with no decline in market liquidity. Using trade‐by‐trade data constructed on five‐minute trading intervals, we refine the daily results, and show that shocks in realized volatility are focused in the 10‐minute trading interval surrounding the halts. While circuit breakers provide a limited safety net for investors when their stocks are subject to severe volatility, they do not allow for a quick turnaround for stocks experiencing severe price decline events.     

Information revelation in the futures market: Evidence from single stock futures

This paper analyzes 31 months of data on 137 single‐stock futures (SSFs) traded on OneChicago. The results indicate that on the days they trade, SSFs contribute approximately 24% of the price discovery for underlying stocks. Information revelation in the SSFs market decreases with the ratio of spreads in the futures and the stock markets and the volatility in the stock market. Moreover, the quality of the market for the underlying stocks improves substantially after the introduction of the SSFs market, with the largest improvement occurring on days with SSFs trading. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:335– 353, 2008     

Option trading and the cross-listed stock returns: Evidence from Chinese A–H shares

We empirically investigate the effects of option trading on the cross-listed stock returns. Using dual-listed stocks in mainland China (A) and Hong Kong (H) stock exchanges, we show that option order imbalance (OI) positively and significantly predicts daily stock returns for both markets, controlling for risk factors and firm characteristics. Informed trading rather than price pressure better explain the predictability. High OI stocks have higher trading volume and present lottery-like properties. Three important events significantly affect the predictive power of OI, consistent with the improved market quality and the episode of speculative trading. Robustness checks support the main findings.     

Does People's Bank of China communication matter? Evidence from stock market reaction

This paper tests whether the communication of the People's Bank of China affects market expectations and matters as a monetary policy tool. For that purpose, we first rely on a computational linguistic tool to measure the tone of PBC speeches and second, we use a high frequency methodology to estimate the effect of tone on stock price. Our results show that positive changes of the tone affect positively stock price in the Shanghai and the Shenzhen stocks markets. Additional extensions show that PBC communication still has a positive and significant impact on stock price even when controlling for all the monetary policy instruments implemented by the central bank, but that this impact is not persistent over time. One potential channel through which PBC tone affects stock prices is the risk-based channel of monetary policy.     

A note on the derivation of Black‐Scholes hedge ratios

An option hedge ratio is the sensitivity of an option price with respect to price changes in the underlying stock. It measures the number of shares of stocks to hedge an option position. This article presents a simple derivation of the hedge ratios under the Black‐Scholes option‐pricing framework. The proof is succinct and easy to follow. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:1119–1122, 2003