Information Flows across Markets: Evidence from China–Backed Stocks Dual–Listed in Hong Kong and New York

Using a bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model, we examine patterns of information flows for China–backed stocks that are cross–listed on exchanges in Hong Kong and New York. Results analyzing the dual–listed stocks indicate significant mutual feedback of information between domestic (Hong Kong) and offshore (New York) markets in terms of pricing and volatility. Stocks listed on the domestic market appear to play a more significant role of information transmission in the pricing process, whereas stocks listed on the offshore market play a bigger role in volatility spillover.     

A Study of Arbitrage Efficiency Between the FTSE‐100 Index Futures and Options Contracts

Despite the importance of the London markets and the significance of the relationship for market makers, little published research is available on arbitrage between the FTSE‐100 Index futures and the FTSE‐100 European index options contracts. This study uses the put–call–futures parity condition to throw light on the relationship between options and futures written against the FTSE Index. The arbitrage methodology adopted in this study avoids many of the problems that have affected prior research on the relationship between options or futures prices and the underlying index. The problems that arise from nonsynchroneity between options and futures prices are reduced by the matching of options and futures prices within narrow time intervals with time‐stamped transaction data. This study allows for realistic trading and market‐impact costs. The feasibility of strategies such as execute‐and‐hold and early unwinding is examined with both ex‐post and ex‐ante simulation tests that take into consideration possible execution time lags for the arbitrage trade. This study reveals that the occurrence of matched put–call–futures trios exhibits a U‐shaped intraday pattern with a concentration at both open and close, although the magnitude of observed mispricings has no discernible intraday pattern. Ex‐post arbitrage profits for traders facing transaction costs are concentrated in at‐the‐money options. As in other major markets, despite important microstructure differences, opportunities are generally rapidly extinguished in less than 3 min. The results suggest that arbitrage opportunities for traders facing transaction costs are small in number and confirm the efficiency of trading on the London International Financial Futures and Options Exchange. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:31–58, 2002     

The Effect of Earnings–Announcement Timing on Earnings Management

This paper examines whether firms which delay earnings announcements engage in earnings management. The cross–sectional version of the modified Jones 1995 model is used to estimate 'normal' accruals. Prior research has documented that, on average, delayed earnings announcements are associated with negative earnings surprises. Our evidence suggests that the market anticipates unfavorable earnings news when it observes reporting delays. As a consequence, late reporters appear to make the most of a bad situation by employing income–decreasing accruals in big–bath–type earnings management and in contractual renegotiations. We find that the magnitude of income–reducing abnormal accruals is related to the reporting lag.     

试论市场经济条件下和谐劳动关系的构建

和谐的劳动关系,是和谐社会的内核,建立和谐的社会,就必须首先建立和谐的劳动关系。而要建立起和谐的劳动关系,就必须进行一系列深层次社会变革。     

黑河流域生态环境保护和建设

黑河是我国西北地区一个较大的内陆河，该流域由于人口压力，林牧矛盾，水资源粗放利用，出现了严重的土地沙化，盐化，沙尘暴等生态问题，本文提出应执行抢救性水源林生态环境建设，合理配置和科学利用水资源，实施跨流域调水等补水工程，构建生态农业体系的发展方略，实现黑河流域生态良性循环，促进区域经济，社会的可持续发展。     

中、德循环经济发展的比较研究

本文通过对比中、德发展循环经济的背景、模式和基础等条件差异，总结德国循环经济的特点。中国发展循环经济应借鉴德国经验，立足国情，走清洁生产与综合治理相结合、强制性实施与义务性实施相结合、原始创新与引进吸收相结合、绿色税收与绿色行政管理相结合的道路。     

浅谈知识经济下的财务管理创新

随着知识经济时代的到来,企业财务管理的形式和内容也发生了新的变化。在知识经济时代,企业财务管理必须做好财务管理目标、财务关系和企业投资管理等方面的创新工作。     

上市公司内部审计管理战略初探

上市公司内部审计在建立完善企业内部控制、加强内部管理、提高企业核心竞争力方面发挥着越来越大的作用。本文认为,在国际、国内经济形势日益发生变化的今天,如何从战略的角度开展内部审计的核心专长和核心能力的培养;内部审计人员的人事、招聘管理和内部审计人员的绩效评价管理的研究,显得十分重要。     

中国物流现状与发展

论述了我国物流的现状和存在的问题；分析了我国经济发展和改革对物流业提出的新要求；对如何加快交通运输业的发展、建立现代化物流中心等问题应采取的发展对策进行了探讨．     

What Moves the Mortgage‐Backed Securities Market?

Using a vector autoregressive model with monthly data from 1988 through 2001, this study investigates the factors that drive the excess returns on a widely followed mortgage-backed securities (MBS) index. We find that eight important economic variables (industrial productions, new home sales, bond horizon premium, bond quality premium, mortgage rate, refinancing proxy, general stock market index and world bond market index) appear to move the excess returns on MBS. Impulse response analysis and variance decomposition further indicate a strong dynamic relationship between MBS excess returns and changes in these economic variables. Additional analysis of Freddie Mac and Fannie Mae MBS also indicates that the risk of the MBS guarantor is an important determinant of the MBS return dynamics after the creation of the Office of Federal Housing Enterprise Oversight.