中国股票市场估值研究——局部投资价值凸现与市场整体性结构调整并存

在当前价格下,样本股票未来带给国内投资者的回报率可能不低于成熟市场,如果国内投资者对样本股票所要求的股权风险溢价能与境外投资者对成熟市场所要求的水平相当,那么样本股票无疑已凸现投资价值;如果国内投资者对样本股票所要求的股权风险溢价与境外投资者对中国香港等新兴市场所要求的水平看齐,那么样本股票就可能存在高估的问题;但是如果考虑到A股含权的因素,即使是与中国香港市场比较,样本股票可能已具备较高的投资价值。     

浅析B股市场十大风险

股市是高收益、高风险的市场，Ｂ股市场自然不能例外，甚至它的风险因素还要多于Ａ股市场。所以，投资者应正确认识投资Ｂ股以市场的风险性，决不能草率入市，盲目操作。 首先，投资者自身因素风险。自从今年２月 １９日允许国内居民以合法持有的外汇入市，到开市交易，仅有１０天的时间，许多投资者都是仓促入市，缺乏Ｂ股市场的充分了解，比如Ｔ＋０回转交易， Ｔ＋３交收等基本规则没搞懂，个股资料更是知之甚少；还有许多跟风入市者，连Ａ股也未做过，不具备证券投资的基础知识和操作技巧。当旁人大谈涨停板、增发新股、逆市抗跌这些基…     

外资救赎A股上市公司

新年伊始,股市投资者就收到一份“利好大红包“.2006年1月4日,商务部、证监会、国家税务总局、国家工商总局、国家外汇局五部委联合发布的一项股市新政正式登场.这份名为<外国投资者对上市公司战略投资管理办法>(以下简称<办法>)的文件,宣布白2006年1月31日起允许外国战略投资者购买A股,这是国家继合格境外机构投资者(QFⅡ)实施之后的又一重大举措,有利于吸引境外长期资本的入市,并有利于激活和推动国内资本市场的并购重组,中国股市的大门由此对外资正式开启.而在一定程度上,这也预示着借助外力倒逼国内经济体制改革已是大势所趋.……     

浅析中国股市政策性依赖减弱的原因

文章从投资者的风险偏好角度出发,分析中国股票市场从特征明显的“政策市”到政策性依赖趋于减弱的原因。通过研究单一代表性经济人的单期模型发现,在投资者风险厌恶程度较低时,由政策因素引起的预期股票收益率的变化而带来的股市变化幅度较大;随着投资者结构以及投资理念的转变,投资者的风险厌恶程度明显加大,导致政策因素变化对股票市场的影响幅度大大减弱。     

基于损失概率的时间分散风险研究

风险性资产的风险是否随着时间增加而有所改变 ,在国外财务经济学界一直存在争论。文章以未达到报酬基准的概率即损失概率作为损失风险探讨时间分散风险理论 ,并使用年化的酬率就中国股市进行实证 ,结果表明 :若以回收本金为基准 ,损失风险随投资期间延长而降低 ;若以无风险报酬为基准 ,股市长期投资无法降低损失风险。结论为 :间歇离开市场可能是更好的避险策略 ;中国股市风险偏高 ,市场应当提供更高的报酬期望 ,吸引投资者长期投资股市     

股权规模、风险溢价与投资者理性--基于中国股市的经验研究

基于从市场模型出发,来研究风险溢价在中国是否存在,分析风险系数β值及规模因素对预测股票收益的作用,以及通过数据分段来分析我国股市处于不同运行周期情况下的投资者行为特征,发现:(1)在较为合理的估算方法下,β值对股票收益的作用得到很大的提升,而这一结论与国内一些学者研究的结论有着明显差异。(2)在两个观测期内都没有捕获到正风险溢价存在的证据,即在第一个观测期内存在弱小盘股效应,在第二个观测期内则发现较明显的大盘股效应和负风险溢价现象。研究结果表明,当股市处于较为正常的运行周期时,投资者呈现出较高的理性特征;而当股市处于长期熊市期间时,我国投资者呈现出明显的非理性特征。     

境外投资者持股稳定性与股价波动风险——基于陆股通日频持仓数据的研究

本文以2016-2021年陆股通上市公司为样本，按照陆股通资金换手率将境外投资者分为长期投资者与短期机会主义者，探究境外投资者持股稳定性如何影响股价波动风险。研究发现，陆股通资金持股稳定性越高，股价异质性风险和股价暴涨暴跌风险越低。异质性研究发现，在机构投资者持股比例高、股权集中度高、分析师跟踪数量多的样本中，陆股通资金持股稳定性对股价波动风险的影响程度更大。在稳健性检验中，采用沪股通开通作为准自然实验，发现境外投资者持股稳定性越高，股价波动风险越低的结论依然显著。结论表明短期机会主义境外投资者交易加剧了市场波动，而长期境外机构投资者发挥了稳定市场的作用。     

个体特质、信息获取与风险态度——来自中国股民的调查分析

本文利用中国6个城市的733位股市投资者的调查数据,分析了投资者的风险偏好状况及其影响因素。研究显示,我国投资者的总体风险态度是风险规避型的,进一步的多变量Logit回归分析发现,投资者的部分个体特质(比如受教育程度、职业)、个人财富状况会显著影响投资者的风险偏好;投资经验的积累会降低其风险系数。一个创新的研究结果是投资者获取信息的渠道和对媒体的信任程度会对投资者风险态度有显著影响,具体来说,信息来源更为丰富的渠道会提高投资者的风险偏好程度,而对新闻媒体的信任程度越低,风险偏好程度也会提高。这些研究结论对券商有针对性的进行客户管理、证券监管部门加强投资者的风险控制、新闻媒体的监管等等,都有重要的政策意义。     

股票市场小规模投资者投资能力调查报告

作为股市中一个庞大而重要的群体,小规模投资者在面对股市风险的同时,也在一定程度上影响着中国股市的发展。因此,从小规模投资者特点、投资心理与行为、避险能力几个方面出发,在调查与分析的基础上,运用行为金融学理论和统计学工具,对调查数据进行了详细的整理分析。从而得知：广大小规模投资者投资行为受自身心态、外部信息等多方面因素影响表现非理性状态。并提出几点合理化建议,希望投资者在不断提高自身生存能力的同时,推动股票市场向成熟化发展。     

H股的春天

<正>监管机构选择在目前推出个人境外投资试点,在时机的把握上可谓是恰到好处。一方面,目前推出个人境外投资试点,不会对A股市场产生太大的负面影响。尽管个人购汇作境外投资不作额度方面的限制,但由于先于QDⅡ出海的境内资金近期已经得到境外市场大幅波动给予的深刻风险教育,个人境外投资试点推出后,可能也不会有太多的个人投资者大规模从A股市场转移至香港股市。尽管如此,这个试点仍然有它无可比拟的重要意义:在不远的将来,香港证券市场可能将对内地投资者完全开放。试点之后,内地投资者将可通过被内地法律授权许可的渠道,自由进出香港证券市场。     

Stock Market‐Induced Currency Crises—A New Type of Twins

This paper explores the link between currency crises and the stock market in emerging economies. By integrating foreign stock market investors in a currency crisis model, we reveal a new fundamental inconsistency as a potential crisis trigger: since emerging economies' stock markets often have high returns, whereas central bank reserves grow slowly or decline, the amount of reserves foreign investors can deplete when selling their stocks and repatriating the proceeds grows over time and is considerably higher than funds that have been invested in the stock market. Capital withdrawals of foreign stock market investors can trigger currency crises by depleting central bank reserves, particularly in successful countries with booming stock markets and large foreign investment.     

Herding by foreign investors and emerging market equity returns: Evidence from Korea

This paper studies the effect of herding by foreign investors on stock returns in the Korean market. We conduct both pre and post-liberalization analyses and utilize a three-stage least squares analysis in order to control for the simultaneous relationship. We find evidence of a significant impact of foreign investor herding on stock returns in addition to intra-year positive feedback trading by foreign investors. However, changes in domestic institutional ownership do not have any significant effect on stock returns. In addition, foreign investors tend to buy/sell shares that domestic institutions sell/buy in the herding year.     

Has the Asian crisis changed the role of foreign investors in emerging equity markets: Taiwan's experience

This paper examines whether the 1997 Asian crisis changed the trading behaviors of foreign investors and of local institutional investors in Taiwan's stock market. There is little evidence that the Asian crisis changed the relationship between equity flows and market returns in Taiwan's stock market but there is evidence that volatility effects and volatility spillover were strengthened after the crisis. The general findings are (i) feedback trading arguments are much stronger than information arguments; (ii) relationships between returns and sale changes are the weakest but volatility effects using sale measures are the strongest; (iii) strong volatility effects and volatility spillover are found after the crisis; and (iv) the results for domestic institutional investors are slightly stronger than those for foreign investors.     

Exploring the interaction between stock price index and exchange rates: an asymmetric threshold approach

This article examines the impact of stock market news on the foreign exchange markets of USA, Canada and UK, employing an innovative extension of the asymmetric threshold model of Apergis and Miller (2006). Under this framework we can disentangle the reaction of foreign exchange market to bad or good news and small or large news of stock returns. Our comprehensive daily data-set spans the period from January 1990 to June 2014. Using a cointegration and error correction model, we document the existence of a causal relationship between stock market and foreign exchange markets. Most interestingly, our results derived from the asymmetric threshold model confirm that the relationship between stock and foreign exchange markets is sensitive to short-term good or bad news and short-term small or large news. Our findings entail significant implications for policymakers, governments, risk managers and international investors.     

Discount between H Share and A Share from the Perspective of China

The effect of strict segmentation on pricing in the context of the Chinese stock markets was investigated. As an effective complementary to domestic A share market, H share market has played an important role in attracting foreign capital flows into mainland and as an open window for foreign investors to know Chinese enterprises. However, H share has received little attention by researchers. Considered that H share market enjoys relatively more free information and has a greater and faster access to global news sources, The discount between H share and A share is mainly studied in this paper. By constructing the model and based on proposed hypotheses, the empirical test confirms information asymmetry between foreign investors and domestic investors, liquidity effects, diversification effects are significant factors in explaining discounts on H share from the cross-section data.     

我国证券市场融资管理改革中几个关键问题的思考

合理的融资管理制度，对资本市场的健康发展及保护国内外投资的利益起着极其重要的作用，但若照搬国外市场管理运作制度，有时会人为地加剧市场动荡。本对我国股票发行的两种改革方案利弊进行了比较分析，同时提出了在股票增发、配股及国有股减持中避免一种市场系统风险的审核及定价建议。     

全球金融危机前后境内外股票市场联动性实证分析

在梳理国际主要股票市场间联动性研究成果的基础上,本文采用1991-2011年数据,通过对各个时间区间的分析尤其是次贷危机引发的全球金融危机的前后比照,按照由表及里、由特征属性到变化趋势与影响机制的系统与动态分析的思想方法,对国内A股与美国、英国、德国、日本、香港股市之间的联动性进行了实证检验。结论表明：（1）2000年特别是2007年次贷危机以来,境内外主要股市联动性显著增强;（2）境内外股市相互冲击效果不断增大,传导速度加快;（3）在股市资金联动性不断加强的同时,波动幅度也随之扩大;（4）这种市场联动性内在机制是宏观经济（宏观）、资本市场政策和机制（中观）、行为金融情绪（微观）三位一体的互动。本文最后提出了相关政策建议和投资策略建议。     

The relationship between the Vietnam stock market and its major trading partners – TECM with bivariate asymmetric GARCH model

This study employs threshold error-correction model with bivariate Glosten–Jagannathan–Runkle-generalized autoregressive conditional heteroscedasticity model to examine the relationship between the Vietnam stock market and its major trading partners, the United States, Japan, Singapore and China. The results indicate that the Vietnam stock market and return risks are influenced by Japan and Singapore stock markets. We also find that the volatility of stock market in Vietnam and its trading countries have an asymmetrical effect. These findings could be valuable to individual investors and financial institutions holding long-run investment portfolios in the Vietnam stock market.     

Foreign investor trading and information asymmetry: evidence from a leading emerging market

This article examines the influence of foreign investor trading on information asymmetry in the Korean stock market, a representative emerging market characterized by a high level of information asymmetry between corporate insiders and outsiders, and among investors. We find a significantly positive relationship between foreign investor trading and the consequent bid–ask spread – the latter of which is considered as a proxy for the degree of information asymmetry – on both daily and weekly bases. Our results indicate that active foreign investor trading tends to exacerbate informational variation.     

国有机构投资者持股能提升企业投资效率吗?

具有国资背景的机构投资者,对于资本市场平稳发展具有重要意义。本文基于我国2015—2019年A股上市公司样本,考察持股对企业投资效率的影响。研究发现,持股显著提升了企业投资效率,并且该影响在代理冲突更严重和所处信息环境更不透明的公司中更加显著。机制检验表明,降低企业内外部信息不对称和代理成本是持股提升企业投资效率的重要渠道。进一步研究发现,国有机构投资者持股时间越长,对企业非效率投资的治理效果越好;细分国有机构投资者类型后发现,致力于长期维护资本市场稳定和上市公司长期健康发展的证金公司和汇金公司对企业投资效率的提升作用显著,但没有发现“救市”基金和外管局旗下的投资平台对企业投资效率有提升作用。研究结论从企业投资效率视角为国有机构投资者持股在微观企业日常经营中发挥的治理作用提供了新颖的经验证据,对进一步提高我国上市公司质量具有启示意义。