A rare move: The effects of switching from a closing call auction to a continuous trading

This study investigates the effects of switching to a closing continuous trading (CCT) on market quality, while considering the trading behaviors of different types of traders. Investors become more patient in the period preceding the last trading phase, which reduces the bid–ask spread (BAS) in that period. We find an increase in the BAS and volatility during the last trading phase, due to diminishing investor patience. Market volatility and the closing pricing errors relate positively to the trading activities of foreign institutional investors. Overall, the introduction of the CCT worsens the market quality before the closing.     

Night trading and market quality: Evidence from Chinese and US precious metal futures markets

Given a dominant exchange, how should other exchanges set their trading hours? We examine the introduction of a night session by the Shanghai Futures Exchange, allowing trading concurrently with daytime trading at the Commodity Exchange in the United States. After developing hypotheses, results for gold and silver show: trading activity has increased; liquidity in Shanghai has risen and prices are less volatile at market opening; the price discovery share of Chinese gold futures has fallen but this is not a sign of weakening market quality; and volatility spillovers increase bidirectionally. Longer trading hours have decreased market segmentation and increased information flow.     

Peer Effects in Consumption Among Chinese Rural Households

This article attempts to identify peer effects in household consumption in rural China using the Chinese Household Finance Survey (CHFS) 2011 data. In addition to the selection effect, reflection problem and correlated effect, we address the actual peer problem via the matching method in identifying the peer effect. It is found that as peer household’s consumption expenditure increases by 1%, the household’s consumption would increase by 0.24%. It is also found that richer households are more susceptible to peer pressure in consumption decisions. Finally, household is more sensitive to changes in the consumption of poorer peers, relative to their richer peers.     

强强联合真的是最优组合吗？——基于IPO中券商和企业组合的视角

以2004—2016年我国IPO企业为样本,按照保荐机构（券商）和企业自身规模,将IPO企业分成了四种组合：大券商大企业、小券商大企业、大券商小企业和小券商小企业。以IPO业务承接规律为基础,挖掘四种组合形成的原因,并试图解读形成原因背后所传递的关于企业质量的信息,验证针对四种企业组合动因的解读是否正确,重点考察强强联合（大券商大企业组合）企业的业绩是否最优。研究发现：（1）强强联合并非最优,但从长期来看,业绩还是较优;（2）小券商大企业组合的IPO企业业绩较差,且操纵性盈余水平高于其他组合,验证了合谋的推断;（3）大券商小企业组合的IPO企业业绩优于其他组合,证实了券商的价值发现功能。研究意义在于：（1）向监管机构和资本市场传递了并非“大”就是“好”的信息;（2）发现了券商和企业各种组合形式及其形成原因,本身就能作为甄别企业质量的有效信号;（3）验证了在我国证券市场,券商存在一定的价值发现功能。     

Price Discovery in the Treasury‐Bill When‐Issued Market

When‐issued (i.e., forward) trading in T‐bills yet to be auctioned provides a unique environment for examining price discovery. Because T‐bills are auctioned in a sealed‐bid process, when‐issued traders cannot observe the spot market price. Yet the forward price must ultimately converge on the auction outcome price. Our results indicate that traders in the when‐issued market “discover” the ultimate auction price. Little evidence is found that standard order flow variables contribute to price discovery. Instead, the ability to observe a few trades with relatively small volume in the when‐issued market is sufficient to discover the auction price resulting from the sealed‐bid process.     

我国沪深300股指期货价格发现功能的实证分析

我国股指期货的推出对证券市场产生了巨大的影响,改变了股票市场缺乏规避系统性风险工具的现状,给金融市场带来新的生机与活力。本文采用协整检验、误差修正模型、方差分解和脉冲响应函数实证分析了我国股票市场和期货市场的价格发现功能。研究发现股指期货在价格发现上占主导地位,表明我国股指期货的推出,增强了市场效率,使市场信息能够更快捷的传达。     

A Survey of Emerging Derivatives Markets

This paper summarizes theoretical and empirical research on the roles and functions of emerging derivatives markets and the resulting implications on policy and regulations. Previous studies revealed that commodity derivatives markets offered an effective and welfare-improving method to deal with price volatility. Financial derivatives markets have helped to support capital inflows into emerging market economies. On the other hand, the use of financial derivatives has led to exacerbated volatility and accelerated capital outflow. There is a consensus that derivatives are seldom the cause of a financial crisis but they could amplify the negative effects of the crisis and accelerate contagion. Previous studies of derivatives markets have supported the hedging role of emerging derivatives markets. Empirical results from a few emerging countries suggest a price discovery function of emerging futures markets. The findings on the price stabilization function of emerging derivatives markets are mixed. Finally, recent research has documented that constructive development of derivatives markets in emerging market economies needs to be supported by sound macroeconomic fundamentals as well as updated financial policies and regulations.     

Price discovery among SSE 50 Index-based spot,futures, and options markets

This paper studies the contribution of newly launched SSE 50 Index-based options and futures to price discovery. We find that the derivatives markets quickly begin exhibiting price leadership over the corresponding spot market, despite their short history; the information share from both derivatives markets rose from 59.84% in mid-2015 to 84.6% in mid-2017. Using substantial regulation changes during the sample period, we test the trading cost hypothesis. The increases in derivatives transaction costs do not immediately impede their roles in price discovery. Findings suggest that in nascent and immature markets, investors’ trading experience matters more than trading costs.     

基于改进遗传算法的模具零件孔群加工路径优化

为提高孔群模具的加工效率,提出了一种最近邻、遗传算法和禁忌搜索相融合的改进遗传算法。采用最近邻算法选取一系列好的初始种群,同时将禁忌搜索中"禁忌"的思想引入到遗传算法中,并在进化过程中随机引入部分新个体,进行迭代搜索。根据孔群加工特点建立了类似旅行商问题的数学模型,并用改进算法求解最短加工路径,在分布复杂的孔类模具上进行数值实验。轮胎实例应用结果表明,改进算法优化后路径长度比CAM系统算法优化后路径长度缩短5.31%,比X向路径法缩短77.88%,比Y向路径法缩短77.63%,比最近邻算法缩短4.52%;当实验参数相同时,改进算法路径长度比遗传算法缩短14.65%,且运行时间平均缩短了63.60%。改进算法的路径长度明显缩短,有效提高了孔群的数控加工效率。其通用性较好,在提升数控系统孔群加工效率方面具有参考价值。     

Tiered Information Disclosure: An Empirical Analysis of the Advance Peek into the Michigan Index of Consumer Sentiment

This paper studies market microstructure implications of informed high‐frequency traders (HFTs) from two seconds of advance peek into the Michigan Index of Consumer Sentiment (ICS), provided by Thomson Reuters to its elite customers. Using individual stocks in the NASDAQ data set, we show how HFTs trade around ICS events. We find that liquidity demanders during two seconds of advance peek earn substantive profits, which are consistent with the notion that HFTs’ informational advantages may increase adverse selection costs for other market participants. This evidence elucidates the debate on regulatory oversight and its role in circumventing the potentially adverse effects from an advance peek into ICS.