中国股票市场“震荡市”非理性行为表现及原因

“震荡市”在股票市场中非常常见,而我国股票市场中的“震荡市”却更加频繁剧烈,受到非理性行为的影响更大.政策制度及投资者非理性行为是导致我国股票市场出现剧烈震荡的主要原因.波动剧烈的股票市场导致市场效率低,系统风险的发生率加大,阻碍了股票市场的健康发展.加强政府管理、制定适合政策制度、提升投资者投资意识都会减少股市的剧烈波动.     

个人股票投资风险的成因与防范分析

股票市场是充满不确定性的要素市场,不确定性导致股票市场价格波动.股票市场剧烈而频繁的价格波动决定股票市场具有巨大的投资风险.本文从股票市场个人投资者之视角,深入剖析导致个人股票投资者风险的成因,并相应提出了个人股票投资者防范风险的基本方法.     

中国证券市场制度风险的生成及化解

中国证券市场制度风险的形成 ,归因于政府对证券市场发展的隐性担保契约。政府对市场的“控制均衡”约束及其制度安排上的内在缺陷 ,引致证券市场制度风险的产生 ,并通过非对称信息动态博弈下的企业上市包装、上市公司利润操纵、投资者行为投机化和市场泡沫“制度化”得以扩散与强化。本文认为 ,制度风险源于市场制度设置本身 ,化解制度风险只有通过制度创新路径 ,解除政府隐性担保契约 ,才能提高证券市场的运行效率和功能效率。     

禁止卖空机制与投资者行为退化的模型分析

制度不完善是引发投资者噪音行为的一个重要因素.在允许卖空机制的制度条件下,投资者可以从股票上涨和下跌两个途径获利;而在禁止卖空机制的制度条件下,投资者只能通过股票上涨获利.投资者在不同的条件下追求相同的平均收益率,因此,制度因素导致投资者理性地选择不同的交易行为.在允许卖空机制的市场中,投资者理性地选择信息交易,股票市场不会出现过度波动;在禁止卖空机制的市场中,投资者理性地退变为噪音交易者,导致股票市场的过度波动.     

中国股票市场风险问题及化解思路

中国股票市场在转换企业经营机制、优化资源配置等方面发挥着日益重要的作用,但也存在着股市发展与国民经济发展不匹配、系统性风险占比过大、政策市现象明显、投资者风险意识淡漠、信息披露机制不健全、国际资本炒作等风险问题。可以从监管方、上市公司、投资者三个层面采取措施对风险加以化解,尤其要加快构建股票市场风险预警指标体系,推进多层次资本市场体系建设,完善金融产品创新监管机制,完善股票回购机制,完善投资者保护制度等。     

T+1制度对中小投资者保护效果的实验研究

为了保护中小投资者,我国股票市场于1995年开始执行与国外主要市场有着显著差异的T+1交易制度。20多年以来,该制度的有效性一直饱受争议。本文利用实验经济学的方法构建了T+0和T+1制度的股票市场,并利用收集到的市场层面和个体行为层面的数据对这两种制度进行了对比分析。研究发现,相对于T+0制度,T+1制度保护的并不是中小投资者,而是大投资者。而且,T+1制度显著减少了市场的成交量,不但不能明显地降低市场泡沫,还加剧了市场价格的波动。研究还进一步发现,T+1制度还保护了具有较高风险偏好水平的投资者,避免了这类投资者的频繁交易。     

股权溢价研究

我国股票市场具有自己的独特性,是否存在股权溢价一直是国内研究学者争论的问题.本文选取我国股票市场1991年到2008年的数据进行股权溢价的计算,并以基于消费的资产定价模型为基础,考虑消费对股权风险溢价的影响,验证我国是否存在股权溢价,结果发现我国存在很高的风险溢价,而模型却不能对其进行解释,主要是消费和风险收益的相关性很低。通过对我国股权溢价的研究,提出研究风险溢价,对投资者和政府决策的意义重大.对投资者来说,关注分析股权溢价,能够作为合理分配资产进行投资的一种参考方式;对政府来说,监管股票市场需要首先了解股票市场的特性,在此基础上,合理调控股票市场,完善市场。     

对我国股指期货与现货市场关系的探讨

中国证券市场经历了十多年的风风雨雨，取得了令世界瞩目的成就。投资者队伍构成、市场容量等方面均达到了一定的高度。随着市场规模的不断扩大，系统性风险也将不断增大，如果没有规避风险的工具来对冲股票市场的系统风险，将不利于机构投资者和中小投资者的资产运作。为了股票市场的良性发展，尤其是发挥为企业融资的主要功能，必须适时推出股指期货这一创新金融衍生工具。     

股票市场演化机制与中国股票市场演化指引

股票市场参与主体的利益追求是股票市场演化的原动力,竞争压力引发股票市场参与主体的适应性学习,技术和制度的适应性创新是股票市场演化的主动力,参与主体之间的动态博弈实现对创新技术与制度的选择,技术与制度的协同演化触发股票市场演化的结构—功能—效率的传动,五大机制逻辑展开,循环嵌套,共同维系股票市场的演化发展.改革发行制度,规范上市公司行为,可为投资者提供价值投资选择对象;构建学习环境,加强投资者教育,可落实投资者角色功能;完善创新选择机制,促进技术与制度适应性变迁,可夯实股票市场演化的主动力.三者奠定中国股票市场拉马克演化的基础.     

浅谈股票市场失灵的经济环境因素

一、引言 股票市场的制度安排使得投资者之间以及投资者与管理者之间存在信息不对称,在信息不对称情况下,公司管理者通过操纵信息来控制股票价格,导致股票价格异常波动,使股票市场价格严重脱离其内在价值,破坏股市资源优化配置这一基本功能,导致股票市场失灵.     

Pleasure and belief in Hume's Decision Process

Abstract

The purpose of this paper is to introduce explicitly pleasure and belief in what aims at being a Humean theory of decision, like the one developed in Diaye and Lapidus (2005a). Although we support the idea that Hume was in some way a hedonist – evidently different from Bentham's or Jevons' way – we lay emphasis less on continuity than on the specific kind of hedonism encountered in Hume's writings (chiefly the Treatise, the second Enquiry, the Dissertation, or some of his Essays). Such hedonism clearly contrasts to its standard modern inheritance, expressed by the relation between preferences and utility.

The reason for such a difference with the usual approach lies in the mental process that Hume puts to the fore in order to explain the way pleasure determines desires and volition. Whereas pleasure is primarily, in Hume's words, an impression of sensation, it takes place in the birth of passions as reflecting an idea of pleasure, whose “force and vivacity” is precisely a “belief”, transferred to the direct passions of desire or volition that come immediately before action. As a result, from a Humean point of view, “belief” deals with decision under risk or uncertainty, as well as with intertemporal decision and indiscrimination problems.

The latter are explored within a formal framework, and it is shown that the relation of pleasure is transformed by belief into a non-empty class of relations of desire, among which at least one is a preorder.     

Globalization,Neoliberalism and the attack on social security

Neoliberal political movements advocate privatization of public pension systems. Globalization imposes pressure on nations to conform to neoliberal policy views with respect to the design and structure of social insurance, including public pension systems. The paper begins with an investigation of the economic, ethical and ideological dimensions of the privatization debates in the U.S.; it argues that privatization advocates may be largely moved by ideology, since the other reasons advanced appear weak or unfounded. The second part discusses the history of Social Security, the purposes for its creation, and some of its economic effects. Differences between public and private pension systems are considered. A brief international comparison of some aspects of public pension system finance and benefit structures is presented. The final section considers the ethical, macroeconomic and distributional implications of privatization, prefunding and payroll tax funding, and argues for a pay as you go system financed with income taxes. In order to promote equity, economic security, community, and social cohesion, public pension systems should be universal in coverage. In order to reduce the inequality, income insecurity, and aged poverty generated by market economies, public pension systems ought to be progressive: benefit/contribution ratios should be inversely proportional to income, and progressive income taxes should finance the system. To promote economic growth, the systems should be financed on a pay-as-you-go basis, and should not be prefunded except for an emergency reserve. The fiscal policy recommendations partially depend upon the theory developed by Abba Lerner in the 1940s, and recently advanced by Wynne Godley and Randy Wray: Lerner's “principle of functional finance.”     

Interest on reserves and inflation

The payment of interest on reserves has been a common practice in inflationary economies. This policy may seem paradoxical since it involves returning part of the seigniorage, generated by the inflation process, with the intention to finance the fiscal deficit. This paper argues that the motivation for this policy can be captured by the discretionary regime, where the policymaker pays interest on reserves because he is concerned with the erosion of real liquidity by inflation, which is in part beyond his control. However, this policy is an unlikely outcome in the commitment regime, where the policymaker is in full control of inflation.     

John Stuart Mill's Theories of Wealth and Income Distribution

Although he was much influenced by David Ricardo when he wrote the classical part of his Principles , John Stuart Mill was not a Ricardian when he penned his theories of wealth and distribution. They are based on a triple foundation. First, a belief that economics is a moral discipline. Second a theory of custom-driven human behavior. Third, an empirically formed conviction that the institutions of state, education and business cooperate to structure the distribution of income. On the basis of these presuppositions, Mill formulated 1) an institutional theory of the formation of human and non-human wealth and 2) an even more institutional theory of distribution demonstrating how the aforementioned institutions malignantly skew the distribution of income to the advantage of the propertied classes and to the extreme disadvantage of the working class. As a social economist, Mill recommended institutional reforms designed to eradicate the poverty of the working class.     

Neurally reconstructing expected utility

While the concept of “expected utility” informs many theories of decision making, little is known about whether and how the human brain might compute this quantity. This article reviews a series of functional magnetic resonance imaging (FMRI) experiments designed to localize brain regions that respond in anticipation of increasing amounts of monetary incentives. These studies collectively suggest that anticipation of increasing monetary gains activates a subcortical region of the ventral striatum in a magnitude-proportional manner. This ventral striatal activation is not evident during anticipation of losses. Actual gain outcomes instead activate a region of the mesial prefrontal cortex. During anticipation of gain, ventral striatal activation is accompanied by feelings characterized by increasing arousal and positive valence. These findings affirm the role of emotion in the anticipation of incentives, and may provide an initial step towards a neural reconstruction of expected utility.     

Duplication, Growth and ‘Total Return Economics’

Maintenance consumption is an expense recovered in product prices, yet also a source of taste satisfaction which must be exhausted, rather than reinvested, from the capital affording it. This riddle is solved in the duplication rules: the cost of maintenance consumption is recovered in pay and prices, but an equal flow is exhausted from the human capital of the worker earning the pay. The rules impact tradition in several ways. If output is defined in principle as value added, then it cannot also be described as consumption plus net investment without double-counting the maintenance consumption recovered in prices. Also rate of return in the stationary state is not zero, but is the rate sufficient to offset the exhaustion of individual human capital. The rules lead to new insights into economic return, and support an argument that all growth at the scale of closure is due to productivity gain rather than to thrift.     

Forecasting the price of gold

This article seeks to evaluate the appropriateness of a variety of existing forecasting techniques (17 methods) at providing accurate and statistically significant forecasts for gold price. We report the results from the nine most competitive techniques. Special consideration is given to the ability of these techniques to provide forecasts which outperforms the random walk (RW) as we noticed that certain multivariate models (which included prices of silver, platinum, palladium and rhodium, besides gold) were also unable to outperform the RW in this case. Interestingly, the results show that none of the forecasting techniques are able to outperform the RW at horizons of 1 and 9 steps ahead, and on average, the exponential smoothing model is seen providing the best forecasts in terms of the lowest root mean squared error over the 24-month forecasting horizons. Moreover, we find that the univariate models used in this article are able to outperform the Bayesian autoregression and Bayesian vector autoregressive models, with exponential smoothing reporting statistically significant results in comparison with the former models, and classical autoregressive and the vector autoregressive models in most cases.     

Simulating the Effect of Regulatory Systems in a Fishery, An Application to the French Driftnet Albacore Fleet

With a thin economic component, most bio-economic models of fisheries failto assess the effects of the regulation systems on firms. In order to analysethe short term consequences of different management schemes, a simulationmodel is applied to the French driftnet albacore fleet: licence allocation withdriftnet regulation, individual quotas, and individual transferable quotaswithout any input control. Vessel technology is estimated by using the datacollected, and groups of vessels are distinguished according to criteria ofperformance. We present the adjustment within firms and between groupsunder different scenarios (limited entry with and without driftnetregulation, individual quotas and individual transferable quotas allocation),and we compare their results in terms of quasi-rent value and otherindicators such as hake harvests or dolphin by-catches.     

Knowledge as a Path-Dependence Process

By following a new approach proposed by Cognitive and Neuroeconomics, this paper presents and extends that part of Hayek's theory concerning knowledge in path-dependent terms, and shows that this is a fertile theory, opening new lines of inquiry for contemporary economics. In his theory of knowledge Hayek shows that the dynamics of economic change is path-dependent, in a different and more profound way than in the rest of the path-dependent literature. This literature deals with an important controversy, which will be also discussed and its specific and original meaning will be highlighted. As it will emerge, knowledge as a path-dependent process is consistent with cognitive theories of perception and learning and it plays a more important role than is traditionally assumed. Path-dependence is in fact always present in the cognitive dimension of perception and in individual decision-making processes, as well as in the processes of organizational innovation, and even in the macro-dimension of institutional change. This revised version was published online in July 2006 with corrections to the Cover Date.