中国股市波动性与交易量的关系--基于混合分布假说的实证研究

本文在混合分布假说(MDH)框架下,应用EGARCH—Volume(附加交易量的指数GARCH)模型,分阶段考察了收益率波动性与交易量的关系。与以往研究结论不同,本文通过对沪深股市分阶段的实证研究,结果表明:在股市发展的过渡、调整阶段(1993～1996),同期交易量作为信息到达的代理变量,明显降低了沪深两市收益率中时变波动的持续性特征,而在规范、发展阶段(1997～2001),沪深两市的交易量基本不能解释收益率波动的持续性特征,收益率波动的持续性受其他因素的影响。混合分布假说对股市持续性解释力呈现阶段性差异,说明信息对收益率波动的影响机制随着股市的发展而变化。     

超市生鲜食品保存量优化决策分析

如何合理地确定超市生鲜食品的保存量，是超市连锁经营企业所普遍关注的问题。论文在对超市生鲜食品的存贮和配送特征进行剖析的基础上，构造了超市生鲜食品保存量优化决策的基本模型，并通过数字仿真给出了模型中各参数的关系。最后，结合超市生鲜食品配送存在延迟的实际情况，给出了相应的模型。     

防火卷帘在建筑工程中的应用

随着社会经济的发展,当前国内各地迅速兴建大量的各种高层、超高层的建筑物和大型停车库。特级防火卷帘的面世,解决了现代公共建筑物中大厅分隔的一道技术难题,可省去耗资巨大的自动喷水灭火系统或水幕灭火系统对普通防火卷帘两侧的保护,既保障防火安全,又节省工程投资,具有显著的社会效益和经济效益。     

输变电工程造价指数体系构建及计算方法研究

针对以往造价指数分析中运用同一种方法进行全部指数计算时的不适用性,在充分对比派氏及拉氏指数计算方法的基础上,结合不同造价指数的特点为输变电工程的综合及分项造价指数、价格指数及物量指数分别制定了适宜的指数编制过程,并对电网公司2008-2014年输变电工程造价指数进行实例分析。实例分析结果表明：研究提出的指数计算方法能够更准确的衡量造价波动实际情况。     

Multi-market trading in the Eurodollar futures market

On March 18, 2004, the London International Financial Futures and Options Exchange launched trading in Eurodollar futures contracts in an attempt to compete with a U.S. rival, the Chicago Mercantile Exchange. The Chicago Mercantile Exchange responded to the challenge by introducing several policy changes that aided the transfer of its trading volume in Eurodollar futures from open outcry to the electronic trading platform, Globex, thereby retaining its market share. We compare trading volume, effective spread, and price discovery in Eurodollar futures at the Chicago Mercantile Exchange before and after the London International Financial Futures and Options Exchange began trading the same contract. We find a general increase in trading volume on Globex beginning October 2003, way before the London International Financial Futures and Options Exchange launched its contract. Globex provides greater price discovery than open outcry during the entire time period under study. Our research thus supports the global trend of conversion of traditional open outcry systems into electronic exchanges.     

进口原油途耗分析

调研的3个油库15个月罐收累计量比提单量及油轮检验量损耗0．2％～0．3％。船检数据中标准密度的增大与含水量的降低减缓了对标准体积亏损的关注。油轮舱容表误差较大,检验机构干舱报告有待改进,样本代表性及货主平行样监护应予重视。     

差异化红利税真的能抑制投机吗

差异化征收红利税是我国资本市场制度建设的新尝试。为了研究差异化红利税的政策效果,本文选取2005年6月14日-2014年8月13日期间A股市场发生的7927次纯现金分红作为样本,采用事件研究法和回归分析,发现：（1）政策实施后,除息日异常收益率显著增大,投资者对现金分红的偏好减弱,实际红利税负加重;（2）除息日前后的异常交易量显著增大;（3）股价波动率显著增大。差异化红利税政策没有起到抑制投机的作用。     

Rational expectations,difference of opinions and asset pricing

This article applies the concept of relative overconfidence (the measure of how heavily investors depend on others’ information) to combine the rational expectations equilibrium (REE) and difference of opinions (DO) models. And we discuss the effects of relative overconfidence on asset price efficiency and trading volume. We find that when investors hold assets to maturity, relative overconfidence has no effect on price efficiency and trading volume; however, when investors speculate, relative overconfidence reduces price informativeness and trading volume, because investors will reckon asset prices as more noisy and find it meaningless to speculate on capital gains based on their private information. Our results highlight the role of speculation in differentiating REE and DO models and influencing the effects of overconfidence.     

Investor sentiment,trading behavior and stock returns

This article examines how investor sentiment and trading behaviour affect asset returns. By analysing the unique stock trading dataset of the Korean market, we find that high investor sentiment induces higher stock market returns. We also find that institutional (individual) trades are positively (negatively) associated with stock returns, suggesting the information superiority (inferiority) of institutional (individual) investors. Investor sentiment generally plays a more important role in explaining stock market returns than investor trading behaviour.     

Investor Attention and Global Stock Returns

The author constructs a direct measure of investor attention toward global benchmark indices using Google search volume and empirically examines its impact on stock returns. The author documents a significant decrease in index returns following an increase in investor attention. This result is consistent with the investor recognition hypothesis (Merton [1987 Merton, R. “A Simple Model of Capital Market Equilibrium with Incomplete Information.” Journal of Finance, 42, (1987), pp. 483–510.[Crossref], [Web of Science ®] , [Google Scholar]]) and the finding of no-media premium in the United States (Fang and Peress [2009 Fang, L., and J. Peress. “Media Coverage and the Cross-section of Stock Returns.” Journal of Finance 64, (2009), pp. 2023–2052.[Crossref], [Web of Science ®] , [Google Scholar]]). Additional tests suggest that the attention effect may be attributable to local and U.S. investors. Finally, such negative effect of attention is found to be strengthened (weaken) in the market with positive (negative) sentiments.