Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange

Using stocks from a wide range of industry sectors on the Australian Securities Exchange, this paper examines the conditional distribution of intra-day stock prices and predicts the direction of the next price change in an ordered-probit-GARCH framework that accounts for the discreteness of prices. The analysis also incorporates the endogeneity of the time between trades in an ACD framework. Other elements considered include depth, trade imbalance, and volume. The results show that trade imbalance has a positive effect on the probability of price change. Durations have a negative effect. In-sample and out-of-sample forecasting analyses reveal that, in 71% of cases, the system successfully predicts the direction of the subsequent price change.     

Re-employment probabilities over the business cycle

Using a Cox proportional hazard model that allows for a flexible time dependence in order to incorporate business cycle effects, we analyze the determinants of re-employment probabilities of young workers in the USA from 1978–1989. We find considerable changes in the chances of young workers finding jobs over the business cycle despite the fact that personal characteristics of those starting jobless spells do not vary much over time. Therefore, government programs that target specific demographic groups may change individuals’ positions within the queue of job seekers, but may only have a more limited impact on average re-employment probabilities. Living in an area with high local unemployment reduces re-employment chances as does being in a long spell of non-employment. However, the damage associated with being in a long spell seems to be reduced somewhat if a worker is unemployed in an area with high overall unemployment.

Spousal Effect and Timing of Retirement

The retirement decisions of individuals are strongly influenced by spousal retirement, financial incentives and institutional constraints such as access to early retirement benefits. In the European Union (EU), farm retirement is encouraged by early retirement provisions for farmers. As exit from farming determines the characteristics of structural change in agriculture, it is important to find out how spousal retirement and economic incentives affect the timing and type of retirement decisions among elderly farmers. This paper analyses the timing of early retirement decisions of farming couples using duration analysis and different exit channels. The empirical analysis is based on Finnish farm‐level panel data for the period 1993–1998. The results suggest that an expected pension particularly advances farm transfers. Farming couples are found to co‐ordinate their early retirement decisions. However, farmers are not found to co‐ordinate their early retirement according to spousal retirement under other pension schemes.     

The role of financial development in exchange rate regime choices

We make the first attempt in the literature to empirically investigate the role of financial development in the choice of exchange rate regimes. Using a binary choice model, we first show that financially less developed countries are more likely to adopt a fixed exchange rate. To further examine the impact of financial development on the conditional probability of exiting from an existing pegged system to a flexible one, we then employ hazard-based duration analysis. We find strong evidence that countries with higher levels of financial development are more likely to exit a pegged system, and, interestingly, financial development only matters to orderly exits but not disorderly exits. Our results are robust to controlling for endogeneity and sample selection.     

中国股市收益率波动实证研究--基于自回归条件持续性模型

结合高频数据和自回归条件持续性(ACD)模型进行的研究表明:在中国市场,自回归条件持续性模型可以成功用来衡量交易到达的强度.最后展望了该模型的发展方向.     

On the inclusion of bivariate marked point processes in graphical models

Graphical models use graphs to represent conditional independence relationships among random variables of a multivariate probability distribution. This paper introduces a new kind of chain graph models in which nodes also represent marked point processes. This is relevant to the analysis of event history data, i.e. data consisting of random sequences of events or time durations of states. Survival analysis and duration models are particular cases. This article considers the case of two marked point processes. The idea consists of representing a whole process by a single node and a conditional independence statement by a lack of connection. We refer to the resulting models as graphical duration models.     

金融产品市场风险管理技术的变迁

随着金融市场环境和金融理论的发展,金融产品的市场风险管理技术也出现了相应变迁。本文通过对期限缺口、存续期、风险价值、TRM等风险管理应用技术和模型的概述,勾画出风险管理技术变迁和发展的主线。     

基于持续期依赖马尔可夫转换模型的我国股市泡沫研究

使用持续期依赖马尔可夫转换模型,通过Gibbs抽样估计方法,对上海股票市场是否存在泡沫进行研究。结果表明,我国股票市场具有明显的持续期依赖特征。给出上海股票市场在样本期间内各时刻处于有泡沫状态的概率,发现在样本期间内有三个时段存在泡沫的概率超过了50%。     

我们为什么需要绿色金融?——从全球经验事实到基于经济增长框架的理论解释

当前,绿色金融备受关注,然而该领域的基础理论尚需进一步强化。根据经济学的一般原理,由于污染的外部性问题,环保的主要力量应当是公共部门而非金融系统。然而为何越来越多国家选择发展绿色金融?其背后的经济学原理是什么?深入探讨这些问题是有效制定政策、构建绿色金融理论体系的基础。本文基于跨国面板数据的分析表明,绿色金融对经济增长具有显著的促进效应,表现出与公共部门环保投入的显著差异。在此基础上,本文构建基于经济增长框架的绿色金融理论模型,对经验事实给出理论解释。模型证明:绿色金融的成本分摊与风险分担功能使其具有独特的长期增长效应,是经济发展必然选择;绿色金融政策与绿色财政政策的协调配合是实现高质量发展的有效手段。本文从理论层面回答了“为什么需要绿色金融”这一问题,为绿色金融的经济学理论发展和政策分析提供了可借鉴的框架。