ST板块缘何受宠

随着中报预亏的序幕拉开,大盘在众多利空因素中步入调整,但是绩差股尤其是ST板块表现出非常独立的个股行情,成为目前弱市行情中的一点亮色。 从历史的经验来看,以往该类个股在受到业绩影响的情况下,通常表现出调整行情,表明市场对其后市的     

我国股票市场行业板块流动性的溢出效应研究

运用贝叶斯向量自回归模型对十大行业板块之间的流动性溢出效应进行实证分析,结果表明我国股票市场不同行业板块之间的流动性溢出效应在方向和影响程度上存在较大差异;各行业板块流动性对来自自身的冲击反应最为强烈;能源、材料、工业、金融、电信服务等行业板块流动性变化对其他板块流动性具有显著正向溢出效应;可选消费、日常消费、医疗保健、信息技术、公用事业等板块流动性变化对其他板块流动性具有显著溢出效应,但在方向上存在差异;可选消费对电信服务,日常消费对能源、材料、工业和电信,医疗保险对能源、日常消费,公用事业对日常消费、医疗保健均未呈现显著的溢出效应。     

我国股市股指波动“杠杆效应”的实证分析

在股票市场中,我们经常可以看到这样的现象:预期的看空或利空消息出台等负面冲击要比预期看多或利好消息出台等正面冲击对大盘股指波动的影响更为剧烈,即股市下跌的反应要比股市上涨的反应更为迅速,表现出一种非对称效应,这种效应也被称为"杠杆效应"。     

投资机会

2012年年初以来,文化产业的市场表现跑输大盘,涨跌幅在各行业处于中游偏下水平。尤其经过去年四季度以来大盘的调整,文化传媒板块的估值得以深度修复。与历史比较,2013年的行业动态估值为18倍,2012年为23倍,绝对值处于历史较低水平。今年投资机会新型城镇化,文化产业投资将加大,城乡文化消费结构性差异削弱,文化消费将加速增长,中信建投证券认为传媒行业的投资机会如下:一是内容价值高,已形成或逐渐形成品牌     

中国文化消费水平的地域分异及影响因素

伴随着消费时代的来临,文化消费在社会结构与社会重构中的作用愈发明显。文章结合经济地理学、文化社会学、消费经济学等多维研究视角,遵循指标选择的科学性、综合性、针对性和数据可获取性原则,以及中国文化消费的具体情况,从文化消费环境、文化消费意愿、文化消费满意度三个层面构建文化消费指数测度指标体系。综合运用GIS空间分析法和数理统计法,探讨中国文化消费水平的地域分异规律及其影响因素。结果显示:①中国省域文化消费水平在空间上整体表现为东西差异,且存在一条类似人口、经济分布规律的"胡焕庸线","胡线"两侧文化消费水平差异较大。②中国省域文化消费水平梯度差异明显,以板块内差距为主,板块间差距为辅。③文化产品供给、经济发展水平、政府调控能力以及教育发展程度共同驱动中国省域文化消费水平的地域分异。④建议通过完善文化消费市场、提升文化产业发展质量、挖掘文化产品内涵、推广文化教育并培养专业人才、制定差异化文化政策等策略,合理引导文化消费,实现区域文化协调发展。     

中国可再生能源消费、经济增长与碳排放的动态关系

通过协整检验、脉冲响应分析和方差分解,对1980—2009年中国的可再生能源消费、碳排放量与经济增长之间的动态关系、冲击效应和贡献度进行了分析。研究结果显示:可再生能源消费、经济增长与碳排放之间存在长期、稳定的协整关系;经济增长受其他变量的冲击均表现为正效应;可再生能源消费的冲击对碳排放的影响微弱,而经济增长的冲击影响较强而持续,且前期波动剧烈但后期平稳;受碳排放的影响,可再生能源消费的累积冲击效应为负,而且正负冲击效应交替出现。     

浅析90后大学生着装消费心理及行为

受到社会、心理、流行等因素影响,"90后"大学生对生活的追求,表现出其独特的一面,尤其是在着装方面,"90后"大学生这一特性更加明显.本文采用文献总结法,实地进行考察与问卷调查相结合、对数据进行系统分析的研究方法,研究目的是探讨90后大学生着装消费心理及行为受到哪些因素的影响,从而更好的掌握作为中国庞大的服装消费群体的消费趋势,为我国的服装企业进一步提升掌握市场的能力,提升企业竞争力.     

金融能力、信贷约束缓解与家庭消费——地区差异的视角

随着扩内需改革的深化和消费环境的改善,关于家庭消费升级的研究成为学术界关注的焦点.金融机构的信贷支持有助于缓解家庭信贷约束从而促进消费,这种作用受家庭内部金融能力的影响,并表现出地区差异.本文分析了居民金融能力对家庭分类消费的影响,并进一步探讨其中的作用机制.实证结果表明:居民金融能力对家庭总消费,尤其是其中的质量型消费,产生了显著的正向影响,并且这种促进效应存在明显的城乡和地区差异.就居民金融能力作用于质量型消费的程度而言,城镇地区明显大于农村地区,西部地区大于东、中部地区.进一步研究发现,缓解信贷约束后家庭的正规负债、财富以及社会资本中的亲缘关系能够解释金融能力对总消费和质量型消费的促进作用.     

中国经济波动——基于新凯恩斯主义垄断竞争模型的分析

本文运用新凯恩斯主义垄断竞争模型来研究中国经济波动问题。模型校准的结果表明,就暂时冲击而言,消费偏好冲击、投资边际效率冲击、技术冲击、名义货币供给增长冲击和政府支出冲击都能产生明显的暂时经济波动;就冲击的持久性而言,只有消费偏好冲击和技术冲击的持久性对经济波动变化具有较明显的影响。但技术冲击对产出波动的影响不如RBC类模型那样大,而持久的正向消费偏好冲击对稳定经济增长非常重要。     

入世概念股:重蹈申奥板块覆辙?

2001年10月31日在大盘再度陷于低迷时,入世概念股突然发力,旱地拔葱,带动大盘强劲上扬,成为市场中的一道亮丽风景线。纺织股上海三毛、工纺机、龙头股份封在涨停板、港口股天津海运、上港集箱、深赤湾、招商局也有不俗表现。联想到2001年6月份申奥板块在市场上的昙花一现,投资者不禁要问,入世概念股会重蹈“申奥板块”覆辙吗?结合多方面的因素,我们认为这种可能性较小。     

When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?

In a standard incomplete markets model with a continuum of households that have constant relative risk aversion (CRRA) preferences, the absence of insurance markets for idiosyncratic labor income risk has no effect on the premium for aggregate risk if the distribution of idiosyncratic risk is independent of aggregate shocks and aggregate consumption growth is independent over time. In equilibrium, households only use the stock market to smooth consumption; the bond market is inoperative. Furthermore, the cross-sectional distributions of wealth and consumption are not affected by aggregate shocks. These results hold regardless of the persistence of idiosyncratic shocks, even when households face tight solvency constraints. A weaker irrelevance result survives when we allow for predictability in aggregate consumption growth.     

居民资产、财富效应与我国城镇居民消费

现代消费理论认为财富是影响居民消费的重要因素,并且各种财富形式对消费水平影响不同.对我国居民资产财富效应的实证研究表明,股票资产在长期对居民消费有负向影响.财富效应微弱,而房产财富对居民消费的正向效应比较明显,刺激消费作用较强.当前财富效应的产生与我国股市发展不稳定及房地产市场的发展特性相关,而个人可支配收入和储蓄仍是影响我国居民消费支出的主要因素.     

Monetary shocks and asymmetric effects in an emerging stock market: The case of China

In this paper, we study the effect of monetary shocks on the Chinese stock market over the period of 2005 to 2011 with the MSVAR–EGARCH model. The evidence suggests that Chinese monetary policies have significantly asymmetric effects on the stock market in different time periods and market cycles. The effects of shocks from interest rate and reserve rate vary across market cycles but effects from money supply and exchange rate do not. Empirical evidence from the non-linear model shows that monetary policy changes increase stock market volatility, even though these monetary policies are often aimed at stabilizing macro-economic activities. The evidence suggests that both the market conditions and the effects on stock markets should be taken into consideration in monetary policy design and implementation.     

Structural shocks and dynamic elasticities in a long memory model of the US gasoline retail market

A structural multivariate long memory model of the US gasoline market is employed to disentangle structural shocks and to estimate the own-price elasticity of gasoline demand. Our main empirical findings are: (1) there is strong evidence of nonstationarity and mean reversion in the real price of gasoline and in gasoline consumption; (2) accounting for the degree of persistence present in the data is essential to assess the responses of these two variables to structural shocks; (3) the contributions of the different supply and demand shocks to fluctuations in the gasoline market vary across frequency ranges; and (4) long memory makes available an interesting range of convergent possibilities for gasoline demand elasticities. Our estimates suggest that after a change in prices, consumers undertake a few measures to reduce consumption in the short- and medium-run but are reluctant to implement major changes in their consumption habits.     

Non-neutral responses to money supply shocks when consumption and leisure are Pareto substitutes

Summary. To a greater extent than is often stressed in existing literature, preference assumptions affect responses to money shocks in equilibrium monetary models. Temporary money shocks can have persistent real effects if the marginal utility of leisure is a decreasing function of consumption, where leisure is measured as time endowment less market labor effort, and consumption refers to market produced goods. This condition is an empirically supported implication of home production models. Though not theoretically necessary for supporting the existence of short run real effects, the presence of distortionary taxes and endogenous productivity can have significant quantitative effects on responses to temporary money supply shocks. Received: August 21, 1996; revised version: February 3, 1997     

市场规模、本地市场效应与空间经济结构演进——兼论中国不同空间尺度下的区域协调发展

在使用多区域的新经济地理模型研究了市场规模对空间经济结构的影响后,发现本地市场效应在其中起到了关键作用。在不同的发展阶段,在运输成本等外部冲击下,产业份额由于市场规模分布而发生变化,空间经济结构逐渐演变为单核心、双核心等形态,特别是过程中会出现"中部塌陷"。使用理论模型的结果,可以对中国东、中、西区域的"中部塌陷"、城市群结构等现实问题进行分析。随着大力发展交通基础设施,在不同空间尺度下,因本地市场效应的影响形成多样化的发展模式。通过缩减经济距离,促进集聚经济,达到区域内趋同,将有助于实现区域协调发展。     

Exogenous shocks,dynamic correlations,and portfolio risk management for the Asian emerging and other global developed and emerging stock markets

ABSTRACT

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks, our results highlight the usefulness of including other global stock assets in the traditional portfolio for Asian emerging market investors. However, investors have limited opportunities to diversify their assets during the global financial crisis. Moreover, the shocks from the U.S. stock market have a greater influence on global stock markets compared to that from U.S. economic policy. Fortunately, the model with exogenous shocks improves its accuracy, which plays the same role of controlling structural breaks in the model. More importantly, incorporating exogenous shocks in our model also provides better value-at-risk performance results and hedging effectiveness. These results have several important implications for investors, researchers, and policymakers.     

Macroeconomic shocks and stock market returns: the case of Korea

This study examines the effects of macroeconomic shocks on key macro variables, including stock market returns in Korea, using the structural vector autoregression (SVAR) model. We suggest a three-variable SVAR model incorporating inflation, output growth and stock returns. We adopt a nonzero z-ratio restriction for the long-run identifying assumption to allow for economically meaningful relationships among variables. While our results support the negative (positive) relation of demand (supply) shocks to stock returns, we also find that demand shocks influence stock market variance more significantly than supply shocks do. The sub-period analysis finds that global market fluctuations during the global financial crisis have relatively little effect on Korean stock market performance. We also examine a generalized five-variable model that includes the foreign exchange rate and interest rate, confirming the results from the three-variable case.     

International Risk Sharing and the Transmission of Productivity Shocks

This paper shows that standard international business cycle models can be reconciled with the empirical evidence on the lack of consumption risk sharing. First, we show analytically that with incomplete asset markets productivity disturbances can have large uninsurable effects on wealth, depending on the value of the trade elasticity and shock persistence. Second, we investigate these findings quantitatively in a model calibrated to the U.S. economy. With the low trade elasticity estimated via a method of moments procedure, the consumption risk of productivity shocks is magnified by high terms of trade and real exchange rate (RER) volatility. Strong wealth effects in response to shocks raise the demand for domestic goods above supply, crowding out external demand and appreciating the terms of trade and the RER. Building upon the literature on incomplete markets, we then show that similar results are obtained when productivity shocks are nearly permanent, provided the trade elasticity is set equal to the high values consistent with micro-estimates. Under both approaches the model accounts for the low and negative correlation between the RER and relative (domestic to foreign) consumption in the data—the "Backus–Smith puzzle".     

The asymmetric effects of investor sentiment and monetary policy on stock prices

We examine the impact of investor sentiment and monetary policy on the stock prices under different market states based on the Markov-switching vector autoregression (MS-VAR) model. The results show that the sentiment shocks, more than monetary policy shocks, lead to not only much larger fluctuations of stock prices but also much longer duration in the stock market downturn than in the stock market expansion, which shows obvious asymmetric effect. Moreover, the responses of stock prices to the sentiment shocks present an immediate effect, while the responses of stock prices to the monetary policy shocks show one-period lag effect.