Regulation Change and Volatility Spillovers: Evidence from China's Stock Markets

This paper investigates the structural changes of volatility spillovers between Chinese A-share and B-share markets induced by a regulation change on February 19, 2001, that allowed Chinese domestic investors to trade in the B-share market. The empirical results of the study, using high-frequency intraday data collected from a sample of seventy-eight firms issuing both A-shares and B-shares and employing a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, show that after the regulation change, the volatility in A-shares increases the volatility in B-shares, thus increasing the risk of the whole market, whereas the latter reduces the former, thus reducing the risk of the whole market. A further investigation of the determinants influencing these structural changes shows that the following factors can encourage structural changes that reduce overall market risk: government ownership, institutional ownership, firm size, B-share proportion, and market-to-book ratio. Conversely, the following factors can encourage structural changes that increase overall market risk: dual roles of chief executive officer and chairman and the joint effect of firm size and B-share proportion.     

R&D INVESTMENT, CREDIT RATIONING AND SAMPLE SELECTION

We study whether R&D‐intensive firms are liquidity constrained, by modelling their antecedent decision to apply for credit. This sample selection issue is relevant when studying a borrower–lender relationship, as the same factors can influence the decisions of both parties. We find firms with no or low R&D intensity to be less likely to request extra funds. When they do, we observe a higher probability of being denied credit. Such a relationship is not supported by evidence from the R&D‐intensive firms. Thus, our findings lend support to the notion of credit constraints being severe only for a sub‐sample of innovative firms. Furthermore, the results suggest that the way in which the R&D activity is organized may differentially affect a firm's probability of being credit constrained.     

Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence

We investigate interdependencies between stock returns and exchange rate changes for six industrialised countries, namely the US, the UK, Japan, Germany, France and Canada, by testing for volatility spillovers using a bivariate EGARCH model. Volatility spillovers from stock returns to exchange rate changes are found for all countries except Germany. These spillovers are symmetric in nature. No evidence is found of volatility spillovers from exchange rate changes to stock returns for any country. Spillovers from stock returns to exchange rate changes have increased since October 1987. This finding is consistent with the notion that international financial markets have become increasingly integrated.     

MultiFactor Valuation of Floating Range Notes

Under a one-factor Gaussian Heath-Jarrow-Morton model, Turnbull (1995) as well as Navatte and Quittard-Pinon (1999) have provided explicit pricing solutions for range notes contracts. The present paper generalizes such closed-form solutions for the context of a multifactor Gaussian HJM framework.     

“空心化”背景下农村外出劳动力回流意愿研究

大量农村劳动力的转移,使农村的人口“空心化”现象愈加严重,给农村社会的发展带来了很大的阻碍。推进城乡一体化建设,发展农村多元化产业,进行农村的就地城镇化,吸引外出农民回流,在家乡就近就业,实现治理人口“空心化”和推动城镇化建设的双赢。文章基于苏北农村的调研,采用Probit模型,分析外出农民就近就业意愿。结果表明：农民回流意愿与受教育程度、外出收入所占比例、回家频次、家中是否有老人或学生、对当地教育和基础设施满意度等显著相关。分析农民工回流意愿,对治理农村人口“空心化”,建设社会主义新农村等有参考意义。     

Market Risk in Demutualized Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas

Abstract

This article examines market risk in four demutualized and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and the Morgan Stanley Capital International (MSCI) Index returns provide the respective asset and market portfolio data. A bivariate GARCH model is used to estimate time-varying betas for each exchange from listing until 7 June 2005. While the results indicate significant beta volatility, unit root tests show the betas to be mean-reverting. These findings are used to suggest that despite concerns that demutualized and self-listed exchanges entail new market risks that merit regulatory intervention, the betas of the exchange companies have not changed significantly since listing. However, market risk does vary considerable across the exchanges, with mean time-varying betas of 0.56 for the Deutsche Börse, 0.66 for the London Stock Exchange, 0.78 for the Singapore Stock Exchange, and 0.95 for the Australian Stock Exchange.     

公众参与度对土地整治项目规划方案满意度的影响分析

研究目的:探究不同公众参与度对土地整治项目规划方案满意度的影响规律,为优化和改进公众参与机制,提高规划的满意度和可操作性提供依据。研究方法:实证研究,灰色关联度和有序回归(Ordered probit)模型分析法。研究结果:公众参与度对规划满意度有正向关联,总体上,A镇公众参与度高,规划满意度也高,满意比例比C镇高49.29个百分点;A镇公众参与度与满意度关联系数高于C镇,值域范围分别为0.270~0.788、0.203~0.672;不同公众参与度对规划满意度的显著性和边际效用不同。研究结论:公众参与是规划方案质量的重要保障,也是提高规划可操作性的前提条件,而公众对规划的满意度则是衡量公众参与效果的主要指标,可根据公众参与度对规划满意度的影响规律,优化和改进公众参与机制,提高规划满意度:(1)提高公众文化程度,加大耕地流转力度;(2)实行多元化公众参与主体;(3)提供便捷的公众参与渠道;(4)加大宣传力度,积极发挥各个社会组织的作用;(5)实行广泛地全程参与;(6)建立健全公众意见反馈机制等。     

A negative binomial thinning-based bivariate INAR(1) process

This article considers a bivariate INAR(1) process based on an extension of the negative binomial thinning operator by prespecifying the distribution of the innovations. The dependence is introduced through the innovation components. The existence, uniqueness, strict stationarity, ergodicity, and some probabilistic properties of the process are derived. The estimation methods of conditional least squares and conditional maximum likelihood are considered. Some numerical results of the estimates are presented by simulation study. An application to crime data set is provided.     

Quantile information share

This paper presents a new method to estimate Hasbrouck-type market information share in price discovery. The prevailing market information share is calculated on the basis of conditional mean. We propose a conditional quantile regression approach to obtain a new market information share measure, quantile information share, which varies across the combinations of different price quantiles. The method is illustrated with two data sets, one on the spot and futures markets in pricing S&P 500 equity index, and the other on price discovery for a cross-listed stock.     

Modeling travel decisions: Urban exploration,cultural immersion,or both?

This paper investigates the characteristics of the choice between cities and culture (or aspects of both) in selecting certain travel destinations. The data consist of 28,700 individuals in 32 European countries. Bivariate probit model estimates show that those with moderately and skilled occupations, students, pensioners, women, people living in cities and regions with a high gross domestic product per capita have a higher joint probability of undertaking city and cultural trips. Furthermore, there are large differences in decisions to take a combined city and cultural trip across the countries of residence surveyed, with small western European countries exhibiting the highest probability.