Is Volatility the Best Predictor of Market Crashes?

The objective of this paper is to determine the best predictor of equity market crashes by focusing particularly on volatility and market liquidity. In finance, volatility has traditionally been regarded as the best measure of market risk. However, this paper shows that the forecast value of market liquidity, in particular our modified calculated market depth, predicts equity market crashes much more accurately than does the forecast values of EGARCH or Implied Volatility.     

Intradaily volatility and adjustment

Intradaily volatility is related to the speed of adjustment of prices towards their intrinsic values. The decomposition of volatility into intrinsic and noise related components is demonstrated to be impacted by speeds of adjustment. Intradaily speeds of adjustment are estimated for U.K. index data and some empirical evidence of overreaction at the open and underreaction at the close of the trading day found for the FTSE100 index. The major result that we report in this paper is that differential intradaily volatilities at the index level are related to differential speeds of adjustment, thus providing insights into the similar results reported in U.S. index studies, such as [Gerety, M., Mulherin, J., 1994. Price formation on stock exchanges: the evolution of trading within the day. The Review of Financial Studies 7, 609–629].     

The Impulse of Stock Market Volatility and the Market Crash of October 1987

This paper employs the technique of variance decomposition and impulse response functions to examine the dynamic nature of stock market volatility relationships among six major countries during the pre, around, and post October 1987 crash period. During the period around the crash, the US stock market volatility explains much better the variations of the stock market volatility of Australia, Hong Kong, Japan, Singapore and the UK. Our findings clearly indicate that the crash originated in the US and then spread to other major stock markets.     

关于发展我国老年保险的思考

本通过对我国保险市场上老年险种的供给和需求状部的分析,指出在当前的国际国骨形势下老年保险的必要性及面临的障碍,并结合实际提出如何开发老年保险市场的建议。     

券商如何拓展证券电子商务

对于传统券商来说，如何对原有的组织结构作一些调整，建立和完善一套适应新业务发展要求的组织形式，是其能否在证券电子商务领域取得突破的关键环节之一。     

How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

We propose a discrete-time stochastic volatility model in whichregime switching serves three purposes. First, changes in regimescapture low-frequency variations. Second, they specify intermediate-frequencydynamics usually assigned to smooth autoregressive transitions.Finally, high-frequency switches generate substantial outliers.Thus a single mechanism captures three features that are typicallyviewed as distinct in the literature. Maximum-likelihood estimationis developed and performs well in finite samples. Using exchangerates, we estimate a version of the process with four parametersand more than a thousand states. The multifractal outperformsGARCH, MS-GARCH, and FIGARCH in- and out-of-sample. Considerablegains in forecasting accuracy are obtained at horizons of 10to 50 days.     

农业银行金融产品短缺及开发研究

中国加入WTO以后,我国银行业首先面临的将是外资银行抢滩登陆后异常激烈的人才与产品竞争,作为衍生于计划经济时期的农业银行,由于受传统的银行业行业分工后遗症的影响,其金融产品短缺问题尤其突出.要应对外资银行的冲击,首先必须突破其产品短缺性制约的壁垒.本文旨在通过对农行现有产品短缺现象的解剖,以及产品开发动因的分析,联系农行业务经营实际,重点对农行金融产品的开发原则、重点及路径进行探讨.     

How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models

Abstract:  We propose generalised stochastic volatility models with Markov regime changing state equations (SVMRS) to investigate the important properties of volatility in stock returns, specifically high persistence and smoothness. The model suggests that volatility is far less persistent and smooth than the conventional GARCH or stochastic volatility. Persistent short regimes are more likely to occur when volatility is low, while far less persistence is likely to be observed in high volatility regimes. Comparison with different classes of volatility supports the SVMRS as an appropriate proxy volatility measure. Our results indicate that volatility could be far more difficult to estimate and forecast than is generally believed.     

民营银行之花如何绽放?

民营银行在中国早已不是要不要的问题,而是已经存在,如何让其健康发展、扩大其功能作用的问题。     

北京怎样进一步发展生产性服务业——专访北京市社会科学院经济研究所所长、研究员赵弘

“水立方”温润柔美,“鸟巢”宏伟壮观,奥林匹克公园传统的园林意境与现代的景观建造完美结合……奥运场馆不仅向世界展示了美,更重要的是所有的奥运工程都是新能源利用的典范。2月22日,在2008年首都能源与经济运行工作会上,市能源与经济运行调节工作领导小组副组长、市发改委主任张工作了能源工作报告,报告指出,2007年北京的能源与经济运行总体平稳．各项工作取得了新成绩,继续以较低的能源消耗支撑了较快的经济增长．奥运能源工程基本完成。据了解．在奥运工程中采用新能源利用项目共69项．包括光电、光热,各种地热、污水热能、风能等可再生能源利用项目34项．先进热回收空调技术13项,先进能源利用技术22项。这些新能源的利用反映了北京对奥运三大理念的承诺。     

商业银行如何开展中间业务

一、商业银行开展中间业务应具备哪些条件?是否需要履行审批手续? 根据中国人民银行的有关规定,商业银行申请开办中间业务,应符合以下要求:(1)符合金融市场发展的客观需要;(2)不损害客户的经济利益;(3)有利于完善银行的服务功能,有利于提高银行的盈利能力;(4)制定了相应的业务规章制度和操作规程;(5)具备合格的管理人员和业务人员;(6)具备适合开展业务的支持系统;(7)中国人民银行要求的其他条件.     

怎样开创人力资源价值会计

当生产者 (人力资源 )只是运用生产资料 (物力资源 )在社会平均生产力基础上 ,进行简单再生产与外延扩大再生产时 ,由于生产者按月领工资 ,已得到社会平均的必要报酬 ,那么 ,其所创造的社会平均利润 ,税后应全部按资分配 ,以保证物力资本所有者的最低收益。如果生产者运用物力资源 ,努力发展科学技术 ,提高生产力 ,进行内涵扩大再生产 ,其所创造的超过社会平均利润的内涵利润 ,税后小部按资分红 ,大部留成论功行赏 ,则物力资本所有者享有越来越多的额外收益。先进生产者享有越未越多的额外报酬 ,就能激励全员更加努力发展科学技术 ,把企业办得欣欣向荣。这是看得见摸得着切实可行的人力资源价值会计。     

异质预期、群体演化与资产价格波动机制

信息和心理偏差的非完全同质性导致投资者形成异质的主观预期,因而市场中的投资者可细分为持有不同主观预期的群体。当原群体成员主观预期发生调整时,该群体成员可能就会转移到与其新预期相似的群体中,或者与其他投资者组成一个新的群体,从而引发群体间规模的此消彼长或新预期类型群体的产生,最终实现群体间的演化。据此,文章提出"个体—群体—群体"的演化路径,系统阐述了资产价格波动的形成机制:现实市场中的群体演化必然引起不同资金流的合并或分化,从而导致市场资金流分布格局发生演变,进而推动资产价格波动。这一结论从社会互动这一独特视角进一步揭示了资产价格波动及资产价格泡沫形成机制。     

城市普惠医疗险发展问题探讨

通过探讨城市普惠医疗险在发展中存在的问题,结合特征分析,总结其发展现状,发现城市普惠医疗险呈现爆发式发展、运营模式以政府指导为主、产品设计大同小异、保险公司积极参与、第三方服务平台接力闯入的特点。如何保证参保率、保险公司能否持续经营、如何平衡保费和保障成为城市普惠医疗险发展过程中遇到的核心挑战。基于此,建议应加强监管指导,建立协同联动管理机制;应坚持因地制宜,实行“一城一策”;应做到如实宣传,做好引导。     

企业债券市场计将安出?

发展和完善我国的企业债券市场,对于企业、银行、投资者乃至整个金融体系都有重要的意义. 在我国发展非政府债券市场问题上,目前存在一个争论:我国是发展企业债券、还是公司债券?按照我国有关法律法规,公司债券和企业债券在概念内涵上是一致的,只是在概念外延上有所区别:公司债券是企业债券一种特定形式.在我国目前的宏观经济环境、微观经济基础以及资本市场发育程度的背景下,目前我国应发展广泛意义上的企业债券市场,而不应只局限于公司债券市场.     

人民币汇率波动与我国通胀、产出波动：一个扩展泰勒曲线的研究

发挥市场供求对汇率的调节作用,增强人民币汇率双向浮动弹性,是当前我国汇率体制改革的主要方向。本文在泰勒曲线的框架下考察人民币汇率波动对我国宏观经济波动和货币政策实施的影响。通过实证研究发现,1994—2006年通货膨胀波动对人民币汇率波动是不敏感的,人民币汇率传递效应不显著,人民币汇率波动对宏观经济波动没有显著的影响;2007年以后人民币汇率波动推动泰勒曲线向内移动,因此更大的人民币汇率弹性对货币政策传导和货币政策有效性是有利的,逐步扩大的人民币汇率弹性区间对我国宏观经济运行是适宜和可接受的。另外人民币汇率波动也使得泰勒曲线更加陡峭,稳定通货膨胀所导致的产出缺口波动减小了,因而更有利于货币政策当局追求一个低而稳定的通胀目标。     

The Dog That Did Not Bark: Insider Trading and Crashes

This paper documents that at the individual stock level, insiders' sales peak many months before a large drop in the stock price, while insiders' purchases peak only the month before a large jump. We provide a theoretical explanation for this phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed investors may react more strongly to the absence of insider sales than to their presence (the “dog that did not bark” effect). We test our hypothesis against competing stories, such as insiders timing their trades to evade prosecution.     

Cash Flow Volatility, Prices and Price Volatility: An Experimental Study

The value of an asset is equal to the present value of its expected future cash flows. It is affected by the magnitude, timing and riskiness, or volatility, of the cash flows. We hypothesize that if the expected values of two assets?? cash flows are equal, the value of the asset with more volatile cash flows will be lower. Furthermore, we examine the impact of the volatility of cash flows on the volatility of prices. We consider a simple experimental environment where subjects trade in an asset which provides dividends from a known probability distribution. The expected value of the dividends is identical in all experimental treatments. The treatments vary with respect to the volatility of dividends. We find that when dividends are more volatile, transaction prices are lower. We also find that the volatility of prices is lower in the treatment with highly volatile dividends. In addition, as expected, trading volume is lower when cash flows are less volatile.