连续下挫后 市场步入震荡与分化

投资者预期与情绪的波动会引发A股市场的短期动荡,但是并不能左右A股市场的趋势性变化。我们认为经历了持续下跌后的A股市场,将在反弹延续、步入震荡、股价结构性分化的轨迹中运行。在如此复杂并变化较快的市场环境下,建议投资者还是要降低仓位比重,谨慎对待市场波动中产生的各种投资机会。     

中国股票市场的操纵与监管:模拟分析

利用模拟的方法研究了操纵所造成的股价行为以及可以采取的监管措施.结果表明,模拟出来的股价行为符合实证研究的结果;涨跌停板等监管措施无法对操纵产生本质影响,必须引入理性投资者.     

融资融券视阈下的投资者情绪与A股收益率波动研究

本文以融资融券市场作为研究目标分析投资者的获利倾向、心理状态、行为决策等因素所反映出的投资者情绪特征对A股收益率波动的影响。采用CR I T I C赋权法,通过计算融资融券中融资余额、融券余额、融资融券交易占比以及融资买入量等多个数据指标构建融资融券投资者情绪指数CRISI。结合A股市场日交易数据,分析研究了融资融券市场中投资者情绪指数和股市收益率波动的相互作用。本文实证结果表明,融资融券投资者情绪指数对A股市场收益率存在正向作用,而A股市场收益率对投资者情绪的影响并不显著。此外,A股市场中股价的“异常涨跌”亦对投资者情绪影响不明显。实证结果反映出我国融资融券市场中投资者情绪与A股市场收益率之间存在一种单向的影响关系,为我国股票市场投资者情绪调查机制与监控系统的建立和完善提供了依据。     

机构投资者的彩票类股票交易行为与股价同步性

文章使用Kumar（2009）提出的低股价、高特质波动率和高特质偏度识别股票的彩票特性,利用2010至2012年A股市场的大样本数据,实证分析了机构投资者的博彩偏好及对股价同步性的影响。结果表明,我国机构投资者存在明显的博彩偏好;且这种博彩偏好会提高股价波动的同步性程度。这一结论从博彩偏好的视角,为机构投资者有限理性造成的股价同步性的存在提供了新的证据。     

公司杠杆对股价同步性的影响——来自中国股票市场的证据

本文通过对2003-2012年在我国A股上市的上市公司的研究,从监管与公司信息流动效率角度解释我国股票市场中存在的同涨同跌现象。研究发现,在我国的A股市场中,公司杠杆与公司股价的同步性存在显著的负相关关系,从而从侧面说明了公司杠杆的存在可以导致债券投资者加强对公司的监管,从而提高公司信息流动效率,降低了公司股票的同涨同跌现象。     

公允价值变动对中国上市公司影响的实证分析——从盈利和股价波动的视角进行

本文以中国2007～2009年资本市场的大起大落为研究背景,以存在公允价值变动的A股上市公司为研究对象,通过统计和面板数据分析公允价值变动损益对上市公司盈利波动以及股票价格的影响,试图对公允价值计量方法是否在金融危机中扮演了助涨助跌的角色给出一个经验性证据。研究发现,公允价值变动损益对上市公司盈利波动的确具有显著影响,并且投资者会对公允价值变动损益带来的公司盈利额外波动要求风险溢价。在上市公司交叉持股的情况下,这种盈利波动和股价变化具有助涨助跌的作用,会加速金融危机的传染。     

税负效应与除息日股票价格行为研究——来自A股市场的实证证据

本文基于我国A股市场相关数据对除息日股价行为的税负效应进行全面检验,实证结果表明股息和资本利得税率对除息日股价波动行为具有显著影响,税负效应理论存在于A股市场,但除息日股价波动行为不能完全由税负效应进行解释,另外实证研究还发现我国A股市场不存在税收诱导客户效应。     

股价异常期间卖空机制对A股不同板块的冲击——基于2020年A股市场的准自然实验

本文以2020年疫情期间股价暴跌为数据基础,构建负收益偏态系数和公司股票收益上下波动的比例两个股价崩盘风险指标,检验卖空机制对A股市场及A股三个板块的冲击大小.研究结果表明,股价异常期间,卖空机制加大了股票崩盘风险,对主板与中小板的冲击远大于创业版,投资者的情绪得到释放后,卖空机制对A股的冲击将缩小.研究结论对于提高监管效率、完善证券市场制度、引导投资者行为具有重要的政策含义.     

盈余管理、投资者情绪与股价“同涨同跌”

上市公司的盈余管理和投资者情绪是否影响了股价的"同涨同跌"(股价同步性),证券市场信息效率是否因此受到了影响?本文采用2002～2010年中国股市和上市公司样本,用R2度量股价同步性,检验在不同市场不确定性下盈余管理和投资者情绪对股价同步性的影响。研究发现:管理者盈余管理使得股价同步性降低,而投资者情绪波动使得股价同步性上升;但是,两者均导致股票收益的"惯性"或"反转"效应增强,即市场信息效率下降。因此,本文认为不能简单地以股价同步性的高低来衡量股价的信息效率,需结合影响股价同步性的信息不对称和心理因素进行新的解释。     

转融券扩容、有限关注与解禁股的信息溢出

本文以转融券业务推行及两次扩容前后的解禁股为研究对象,考察该业务的执行对A股市场定价效率的影响。研究发现,相较于试点阶段,扩容后的样本波动显著减小,投资者注意力实现了更高效的配置,对股价的负向冲击效应减弱。因此,我国资本市场发展中卖空机制的存在对提高市场有效性具有重要作用。     

机构投资者影响我国股价波动的实证研究

采用 TGARCH 模型对机构投资者与我国股指波动的关系进行研究,实证结果表明：无论是否考虑宏观经济因素对股票市场的影响,机构投资者对我国股票市场波动均产生正向影响。进一步用面板数据模型对机构投资者与上市公司股价波动的关系进行研究,发现机构投资者在不同宏观经济环境下也均未起到稳定上市公司股价波动的作用。     

Price limit performance: New evidence from a quasi-natural experiment in China's ChiNext market

This study examines the impact of daily price limits on market performance and trading activity by using a quasi-natural experiment in China. It focuses on the case of the ChiNext market, where the daily price limits of stocks increased from 10% to 20% in 2020. The results show that, initially, the stock prices and occurrences of 10% price limit hits increase, but then decline after the new price limits have been implemented. The level of trading liquidity and volatility increases significantly, with a greater impact on the short term than the long term. These price limit performances are more pronounced for stocks with additional retail interest. The analysis of detailed trading data reveals that institutional investors initially purchase ChiNext stocks in large quantities, followed by retail investors who purchase smaller quantities. In the long run, institutional investors tend to increase their holdings, while retail investors tend to sell their holdings. Additionally, there is a temporary increase in investor attention, price synchronicity, and stock risks, followed by a decline. The findings suggest that wider price limits increase trading volumes and enhance long-term market efficiency, but encourage immediate price manipulation, causing short-term overreactions and long-term reversals. This study provides valuable insights for building an effective price limit system.     

基于相关均衡的A股投机控制研究

追涨杀跌是股市投机中的聚点纯策略纳什均衡,在投机力量作用下,正反馈价格传导机制使得投资者陷入博弈困境,理性的投资者将依据共同观测到的信号进行趋势投资,建立价值投资的股市文化任重道远,政府有必要适时发出明确的相关信号维护股市平衡运行.     

Risk sharing in a financial market with endogenous option prices

This article investigates a financial market in which investors may trade in risk-free bonds, stock and put options written on the stock. In each period, stock and option prices are simultaneously determined by market clearing. While the introduction of put options will decrease the systematic risk in the financial market, it will increase the price of risk. Investors with mean-variance preferences will generally hold portfolios containing the primary asset and the put option and may use the option to increase the risk in their wealth position in exchange for higher returns. Aggregate wealth is unaffected by an option market when there are no spillover effects on stock prices, and it is shown that short selling of options will increase the volatility of individual wealth positions. Investors with erroneous beliefs may on average be better off not trading in put options.     

Order price clustering,size clustering,and stock price movements: Evidence from the Taiwan Stock Exchange

This paper examines order price clustering, size clustering, and stock price movements in an active emerging country’s equities market, the Taiwan Stock Exchange (TWSE). We first explore the relationships between investor types and order price/size clustering. Next, we investigate the joint determinants of the round-price and round-size orders based on daily and intraday data analyses. Finally, we look at the relationships among investor types, round prices/sizes, and stock price movements. The findings reveal that all investor types exhibit price and size clustering phenomena. After controlling for other factors, institutional investors have a relatively lower level of size clustering when compared with individuals. Our results confirm the price resolution hypothesis, whereby the levels of daily price and size clustering increase with firm risk, and the probability of a round-price or round-size order increases as transitory volatility rises. Partially consistent with the negotiation hypothesis, the probability of a round-price or round-size order increases when order competition turns fiercer. Mutual funds exhibit stronger quarter-end and session-end effects than do other investors. We also detect strategic trading behaviors, showing that the probability of an order with a tail price of one (nine) increases when buy (sell) order competition is fiercer. Lastly, stocks with mutual funds’ round-price or round-size buy (sell) orders experience rising (falling) future stock returns.     

Ambiguous Information,Portfolio Inertia,and Excess Volatility

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, investors may not react to price changes even if there are no transaction costs or other market frictions. Moreover, I show that small shocks to cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess volatility.     

我国上市公司高送转公告效应的实证研究

为检验上市公司定高送转预案公告发布对其股票价格的影响,本文以2009年至2010年沪深两市推出高送转预案的285家上市公司为样本,选取公告日前10日至公告日后20日为事件窗口,运用事件研究法对高送转公告效应进行实证研究。结果表明：中国股市具有明显的高送转公告效应,上市公司高送转预案公告发布前后股票具有显著的正价格效应,会产生持续的累计异常正收益;然而,由于信息不对称,部分投资者通常会提前获得有关高送转的内幕信息并提前买入,并以此获得可观的超额收益,而普通投资在公告发布后买入只能获得小部分的超额收益并且需要承担更大的风险。     

Multi-dimensional corporate social responsibilities and stock price crash risk: Evidence from China

Worldwide, there has been an ongoing debate about whether corporate social responsibility (CSR) can lead to better financial market performance, or whether corporations can do well by doing good. Working with a sample of all listed companies in China from 2010 to 2017, this study examines the impacts of three dimensions of CSR on stock price crash risk. We find that CSR, especially firms' responsibility to the environment and stakeholders, significantly reduces stock price crash risk, while social contributions such as charitable donations have no significant effect on stock crash risk. Attracting long-term institutional investors is the primary mechanism through which CSR can curb crash risk. Mitigating earnings management is also a channel through which overall CSR and stakeholder responsibility contribute to a lower stock crash risk. Finally, we find that stakeholder responsibility and environmental responsibility can help improve stock market performance.     

信息不对称、过度自信与股价变动

信息传导的非同步和投资者情绪变化是股票市场的两个典型特征,前者会引发投资者之间出现信息不对称问题,后者主要体现为投资者过度自信,两者共同作用影响股票价格变动。本文将信息不对称和投资者过度自信情绪置于同一个分析框架,建立两阶段动态序贯定价理论模型研究现实市场上信息传导过程中股价变动的内在机制。结果表明:(1)面临新信息的进入,投资者对股票收益预期的调整与均衡价格之间具有正相关关系;(2)面临有利消息时,过度自信投资者比例越大,股票的均衡价格越高,投资收益将越低;面临不利消息时则相反;(3)随着过度自信投资者比例以及过度自信程度升高,市场风险溢价将下降;(4)投资者群体在信息传导过程中出现分化,对股价变动形成异质信念,未获取信息和获取信息但未出现过度自信的投资者认为股价被高估,获取信息且出现过度自信的投资者认为价格被低估,促使更多的交易,引发市场成交量和股价变动;(5)过度自信投资者比例与过度自信程度提高均会对市场效率产生正向影响,而对市场深度具有负向效应。最后,基于理论结果对非对称性和持续性等典型的市场波动性特征进行解释。     

Institutional investor information network,analyst forecasting and stock price crash risk

In this paper, we construct the information network of fund investors based on the theory of social relationship networks and examine its impact of fund information sharing with analysts on stock price crash risk. Our results show that private information sharing among institutional investors reduces crash risk. Further results show that fund information sharing can alleviate analyst optimism bias and improve analyst forecast accuracy, which further reduces stock price crash risk. Moreover, these identified effects are more pronounced in a bull market than a bear market. Our study contributes to the research on private information transmission in fund information networks, and provides a new perspective for recognizing the relationships among institutional investor behavior, analyst forecasting, and stock price crash risk.