Stock market comovements around the Global Financial Crisis: Evidence from the UK,BRICS and MIST markets

This paper analyses stock market co-movements around recent crises and explores the international portfolio diversification benefits available for UK investors holding a portfolio in the BRICS and MIST emerging markets. The application of conventional and regime-switch cointegration techniques suggests an absence of diversification benefits. Further evidence from application of a multivariate time-varying asymmetric model (i.e. AG-DCC) suggests that conditional correlation among the stock markets exhibits higher dependency when it is driven by negative shocks to the market. The asymmetric causality test provides supporting evidence of the decoupling hypothesis. The results indicate that the Chinese stock market is the most attractive option for the UK investor.     

旅游业上市公司多元化经营能够降低公司风险吗？——基于2004—2012年A股上市公司数据的实证研究

我国的旅游业上市公司普遍存在进入房地产业、高新技术产业等行业的多元化经营现象。国内外学者对多元化经营与公司风险之间的关系展开了一系列的研究,但是没有得出一致的结论。截至目前,对旅游类企业多元化经营能否降低公司风险的研究仍较为欠缺。因此,文章以2004—2012年国内23家A股旅游业上市公司1的184个截面数据为样本,利用多元回归分析法检验了旅游业上市公司多元化经营对其公司风险的影响。旅游行业自身的行业特征及其多元化特点使得针对旅游业上市公司多元化经营行为的分行业研究产生了与以往整体层面的研究截然不同的结论：旅游业上市公司多元化经营能够降低公司的财务风险,但无法降低公司的经营风险。进一步对多元化类型进行区分后发现：旅游业上市公司相关多元化水平的提升可以显著地降低公司的财务风险,但无法显著地降低公司的经营风险;而非相关多元化水平的提升无法显著地降低公司的财务风险与经营风险。基于上述研究成果,文章从促进融资体系多元化、完善主业发挥自身优势、谨慎选择多元化行业3个角度对旅游业上市公司的多元化发展提出了建议。     

区县党委政府保障和改善民生实践存在的问题与对策——以重庆市九龙坡区为例

一段时间以来,我国区县一级党委政府围绕保障和改善民生进行了积极实践,但也还存在保障水平不高、顶层设计不善、部门协同不力、社会参与不够等突出问题.从重庆九龙坡区的实践来看,我国区县党委政府要深入推进保障和改善民生实践,必须坚持系统抓好经济发展、提升战略认识、加强组织领导和强化科学统筹四个方面的工作.     

Trends in stock-bond correlations

Previous studies document the existence of long-run trends in comovements in the stock and bond markets. Following these findings, this article examines possible trends in stock-bond return correlations. To this end, we introduce a trend component into a smooth transition regression (STR) model including the multiple transition variables of Aslanidis and Christiansen (2012). The results indicate the existence of significant decreasing trends in stock-bond correlations for many advanced safer countries. In addition, although stock market volatility continues to be an important factor in stock-bond correlations, the short rate and yield spread become only marginally significant once we introduce the trend component. Our out-of-sample analysis also demonstrates that the STR model, including the volatility index and time trend as the transition variables, dominates other models. Furthermore, we find a significant increase in stock-bond correlations for riskier euro countries around the beginning of the euro crisis. Our findings of decreasing and increasing trends in stock-bond correlations can be considered a consequence of the decreasing effects of diversification and more intensive flight-to-quality behaviour that have taken place in recent years and after the euro crisis.     

The international diversification-performance link in Spain: Does firm size really matter?

This study provides new insights into the link between international diversification and firm performance in a sample of large manufacturing firms and SMEs based in Spain for the 1994–2008 period. Specifically, the focus is on how the nature and shape of this relationship may vary over time with firm size. The results show the existence of a horizontal-S curve when the whole sample of firms is considered in the empirical analysis. However, major differences are found between SMEs and large firms, and even within the actual group of SMEs. Strong support is found in large firms for the existence of a horizontal-S curve. Within the group of SMEs, there are small firms with a linear and negative relationship, whereas medium-sized firms record a U-shaped form. These findings suggest that as the international diversification-performance link is size-dependent, future research should explicitly consider firm size in order to better understand the nature of this relationship.     

Capital Market Integration in the Middle East and North Africa

This paper studies capital market integration in Middle Eastern and North African (MENA) countries and its implications for international portfolio investment allocation. Starting with four cointegration methodologies, we significantly reject the hypothesis of a stable, long-run bivariate relationship between each of these markets and the European Monetary Union (EMU), the United States, and a regional benchmark. This indicates the existence of significant diversification opportunities for three categories of investors (EMU, world, and regional investors). A recursive analysis based on Barari (2004) suggests that recently, the MENA markets have started to move toward international financial integration. Investigating the effect of selected financial, economic, and political events on such a process, we extend the methodology and find that the markets react heterogeneously to the different categories of shocks. They should therefore not be treated as a bloc for global allocation purposes. Finally, after adjusting the integration levels by relative market capitalization, Israel and Turkey are the most promising markets in the region, followed by Egypt, Jordan, and Morocco. Tunisia and Lebanon seem to be lagging behind.     

国资国企改革典型经验研究与启示——央企和部分省市典型经验对上海“十二五”期间国资国企改革的启示

国有经济和国有企业伴随着中国30年的改革开放，有了重大的变化。中央企业和各省市探索出许多国资国企改革方面值得总结和借鉴的宝贵经验。这些经验也将给上海市“十二五”期间进一步深化国资国企改革带来有益的启示，促进新一轮国资国企的改革发展。