上海股票市场的分形特征研究

本文对有效市场假说和分型市场假说的基本理论做了介绍,对上海证券市场的分形结构进行了研究,并对上证指数收盘价的日数据和周数据进行R/S分析并计算Hurst指数,通过对比发现,上海股票市场不属于EMH所描述的有效市场,而是具有自相似性、状态持续性、长期记忆周期等明显的分形特征。     

上海股票市场分形特征的动态研究——基于R/S分析

文章通过R/S分析方法计算出上海股票市场不同发展时期的Hurst指数,进而对市场的分形结构进行了实证研究。研究结果表明,上海股票市场在不同时期其分形结构存在一定程度的差异。     

分形市场理论及其在中国股票市场中的应用

自分形几何学和分形市场理论创立以来,学者通过分形结构得出了大量创新性的结论,分形市场理论已经成为研究资本市场的一种重要理论和方法。目前我国股票市场发展并不完善,对我国股票市场分形结构的研究就越发的必要。本文基于分形市场理论,对中国股票市场的分形结构进行分析,并在之后对分形理论在股票市场的应用进行研究。     

对股票发行核准制市场效率的实证分析

我国证券市场在2001年3月17日实行了公司上市资格认定的核准制制度，这是我国股票市场发展上的一次重要的制度变迁，本文通过对我国股票一级市场上发行制度改变后，上市公司对这一制度改变的市场反应，来论证证券市场上的一制度变迁的绩效行为，通过实证检验，笔者认为我国股票市场的发行方式的变迁提高了市场效率。     

市场有效理论及我国股票市场有效性的实证检验

我国股票市场近年来出现的一系列事件引发了人们的深刻思考，而传统的资本市场理论已无法圆满地解释我国股票市场现有的发展程度、发展阶段及有效性等问题。为此，本文提出了市场有效性理论。利用该理论，作者通过抽样统计，对我国股票市场的有效性进行了实证分析。本文的重点在于研究我国股票市场的层次即有效性层次。首先通过随机游程和股价自回归检验方法提出了我国股票市场处于弱型有效的结论，然后针对目前关于有效性层次方面的争论，用事件研究方法阐述了如下观点：我国股票市场目前正处于弱型有效市场层次，但并不具有半强型有效市场的特点。     

弱势无效:当前我国股票市场的主要特征

我国的股票市场从建立至今已有10年的历史.在股票市场不断发展的过程中,股票市场的有效性问题也逐渐成为一个十分引人注目的问题,因为它直接关系到投资者通过一定方法能否获得超额利润.效率市场理论根据信息的不同层次将效率市场分为弱势有效市场、半强势有效市场和强势有效市场.本文试从市场假说的假设条件方面对我国股票市场的效率进行分析,并提出若干治理构想,以期对提高我国股票市场的有效性有所裨益.     

分形市场假说与股票市场的有效性分析

主流的金融计量理论是以价格的随机游走和收益的正态分布假设为基础的,而分形市场研究认为价格是分形,价格遵循有偏随机游走,并用分形分布描述收益的分布规律;在分形研究的框架下,作为主流有效市场假说的替代理论,分形市场假说用不同投资期水平下的投资者对信息的不同评估来解释价格行为的分形机制,也启发我们从动态的和相对的角度去思考股票市场的有效性问题。     

社会融资结构变迁对货币政策有效性的影响——基于2003—2010年中国数据的实证分析

本文利用2003—2010年间我国社会融资结构变迁年度数据,对我国货币政策的实施有效性进行了计量分析。研究结果表明：信贷市场对货币政策有效性的影响为正向;企业债券市场的发展在一定程度上会影响从严货币政策的效果;股票市场的繁荣使得央行的货币政策很难达到预期的效果;保险市场的发展与货币政策的有效性间不存在格兰杰因果关系。总体来讲,随着社会融资结构的不断变迁,其对货币政策有效性产生的是负面影响。     

上海股票市场的分形特征及时间特征分析

本文运用了多重分形消除趋势分析方法(MFDFA)分析了上海股票市场收益率序列的的分形特性,分别选择了上海股票市场在3个长短不同的时间增量上的收益率作为研究对象,分析了上海股票市场的收益率在不同时间增量上的分形结构,并找出上海股票市场分形结构的时间特征,为投资者进行合理的投资和政府部门进行监管提供了依据。     

论我国股票市场制度创新的模型选择

中国股票市场在成长过程中的强外生性及其中国股票市场制度变迁所面临的整体经济的转轨性，决定了中国股票市场的制度变迁必须采取政府供给主导型的强性制度变迁。在制度变迁的模型选择上，政府引导、市场跟进的制度变迁模式是最优模型之一。     

转轨经济中我国股票市场的制度缺陷与政府行为

我国股票市场是由政府强行催生于计划经济依然占主导地位的20世纪90年代初期,为保障其顺利发展,政府为其制定了一系列基本制度框架。事隔十几年后,我国基本经济制度已由计划经济转型到市场经济,尽管股票市场的基本制度安排也几经调整和转换,但制度缺陷依然明显存在并影响了股票市场的进一步健康发展。本文从深入分析我国股票市场现存的基本制度缺陷入手,指出我国股票市场存在功能定位扭曲、股权分置和股市监管行政化的制度缺陷,认为政府过度干预是造成股市上述制度缺陷的主要原因,并提出解决股票市场的制度缺陷必须从重新界定政府与市场边界入手。     

US, UK and European Stock Market Integration

Abstract:   This paper examines long‐run convergence between US, UK and seven European stock markets. We report evidence to suggest that while real short‐run diversification gains may occur, in general they tend to be short‐lived. However we also find that US and UK markets are relatively less bound to a common trend, which would imply that increased stock market merger activity, and any transition to the European common currency by the UK, may lead to relatively large stock market adjustments as markets adapt to these institutional changes.     

The Effect of US Stock Market Uncertainty on Emerging Market Returns

We investigate the effects of US stock market uncertainty (VIX) on the stock returns in Latin America and aggregate emerging markets before, during, and after the financial crisis. We find that increases in VIX lead to significant immediate and delayed declines in emerging market returns in all periods. However, changes in VIX explained a greater percentage of changes in emerging market returns during the financial crisis than in other periods. The higher US stock market uncertainty exerts a much stronger depressing effect on emerging market returns than their own-lagged and regional returns. Our risk transmission model suggests that a heightened US stock market uncertainty lowers emerging market returns by both reducing the mean returns and raising the variance of returns. The VIX fears raise the volatility of emerging market returns through generalized autoregressive conditional heteroskedasticity (GARCH)-type volatility transmission processes.     

US and Domestic Market Gains and Asian Investors’ Overconfident Trading Behavior

We find that subsequent to both US and domestic market gains, both Asian individual and institutional investors increase their trading and that this effect is more pronounced in bull markets, in periods of relatively favorable investor sentiment, in periods of extremely high market returns, and in markets with short‐sale constraints. We also find that individual investors trade more in response to market gains than institutional investors. Moreover, we find that further integration of Asian stock markets with US stock markets after the Asian financial crisis in 1998 is an important reason for Asian investors’ response to US market gains.     

Institutional Herding in the ADR Market

This study examines institutional herding in the ADR market between 1985 and 1998. We find a significant positive relation between changes in institutional ownership and ADR returns over the same period. The positive relation persists after we control for the momentum effect in the US stock markets. We also find that in the ADR market, past winners (losers) in the herding period continue to be the winners (losers) in the post-herding period. The lack of a returns reversal suggests institutional herding is related to momentum trading. However, the positive relation between institutional ownership changes and ADR returns remains after controlling for momentum trading in the ADR market. Our results also rule out that positive feedback trading is related to institutional herding in the ADR market.     

The Asymmetry and Volatility of the Chinese Stock Market Caused by the “New National Ten”

ABSTRACT

To curb the excessively rapid rise in housing prices in China, the State Council of China promulgated the New National Ten, which restrains speculative investment behavior and has a linkage effect on the stock market. In this study, we use a series of GARCH models to analyze the effect of the New National Ten on the volatility and asymmetry of the Shanghai Composite Index. Specifically, we investigate how changes in investors’ expectations due to regulations affect the stock market. The result clearly illustrates that this policy is effective in stabilizing the stock market. Investors expect a bullish future stock market and only care about the continuing execution of the policy. Finally, policy implications of our findings are discussed.     

Measuring informational efficiency of the European carbon market — A quantitative evaluation of higher order dependence

This paper introduces a new method for measuring nonlinear predictability in financial price changes: the so-called intermittency coefficient, a parameter of the multifractal random walk model by Bacry et al. (2001). As the intermittency coefficient can quantify the degree of nonlinear deviation from a random walk, we employ its estimates from financial data as a proxy for the loss of financial market efficiency. In addition, we propose a new statistical test of the random walk hypothesis. In an empirical application using data from the largest currently existing market for tradable pollution permits, the European Union Emissions Trading Scheme (EU ETS), we show that the degree of efficiency of this market remains largely unchanged over the period of observation 2008–2019. This suggests that the market has reached a mature state: informational efficiency in Phase III remains at a level comparable to Phase II. What is more, the EU ETS is found to be more efficient than the US stock market. This result, surprising as such, is largely attributable to the lower exposure to global economic shocks of the EU ETS.     

Asia-Pacific Stock Market Integration: New Evidence by Incorporating Regime Changes

ABSTRACT

This work provides new evidence of Asia-Pacific stock market integration by incorporating the regime changes of each stock market through the smooth transition autoregressive (STAR) model. According to empirical results, most Asia-Pacific stock market returns follow STAR dynamics to a significant degree with more rapid and frequent regime changes of a shorter nature compared with G7 markets. A series of STAR-based Granger causality tests reveal evidence of stronger equity market integration compared with linear Granger causality tests. We also find that Asia-Pacific stock markets are integrated in different levels. Finally, we provide evidence that in the early twenty-first century the influence of China and the United States on Asia-Pacific stock markets has been maintained while that of Japan has been weakened.     

The impact of country institutional factors on firm disclosure: Cybersecurity disclosures in Chinese cross-listed firms

This paper explores differences in qualitative disclosures between Chinese firms that cross-list in the US and their US domestic counterparts that reflect firm-level cybersecurity awareness. Consistent with the strong regulatory framework in China externalizing cybersecurity and thus reducing the need to disclose individual company cybersecurity awareness, we find that relative to their US domestic counterparts, Chinese cross-listed firms in the US provide less cybersecurity disclosure. However, market valuation of these cybersecurity disclosures is higher for Chinese cross-listed firms, suggesting that the market more favorably views Chinese firm disclosures that communicate a greater level of internalized cybersecurity awareness. We also explore the effect of institutional setting on market valuation of cybersecurity awareness through an event study surrounding the arrest of Huawei’s CFO. This event highlighted cybersecurity weaknesses at Huawei, potentially more generally challenging the effectiveness of Chinese cybersecurity policies. We find a negative stock market reaction to the event, but only for our Chinese sample. These results provide evidence that the market’s view of company cybersecurity awareness is sensitive to changes in perceptions of companies’ institutional setting.     

Time variation paths of international transmission of stock volatility — US vs. Hong Kong and South Korea

This study examines continuous time variation paths of sensitivities of the Hong Kong and South Korea stock markets to the US stock market and bond market (proxied by long-term interest rates) by using the Flexible Least Squares (FLS) estimation technique. The FLS findings suggest that changes in both the US stock market and US long-term interest rates may simultaneously have significant effects on the Hong Kong stock market in some time periods. In other periods, neither may have significant effects on the Hong Kong stock market. The results also indicate that the South Korea stock market is overall insensitive to changes in the US capital markets. However, it becomes more sensitive in the 1990s. Some macroeconomic variables may explain changes in the sensitivities of the Hong Kong and South Korea stock markets to changes in the US capital markets.