Credit default swaps and stock prices： Further evidence of mean and volatility transmission using a GARCH-M model

This paper empirically investigates the association between the stock market and the credit default swap （CDS） market in terms of mean and volatility spillovers. The analysis uses daily observations from four stock markets and two European CDS indices, along with the error correction （EC） methodology and the generalized heteroskedasticity in mean （GARCH-M） modelling. The authors find that stock returns across European and US markets are negatively related to European CDS spread changes, that the CDS market seems to lead the stock market （implying that information contents coming from the firm＇s environment impacts first on the CDS market and then on the stock market）, and that CDS spreads volatility has a positive impact on stock market returns, both in mean and in volatility.     

英文文摘

Global economy＇s ＂second dip＂ and China＇s challenges
Recently, the prospects of global economic dim.Especially, since late September, the U.S. stock market evaporated over 3.4 trillionS.Global stock markets fall into a bear market. And Europe bogged down in debt crisis. This economic crisis quickly spread to all over the world. Now, fear is occupying the entire world. The world is suffering a crisis of confidence.To deal with it.     

Regional Environmental Performance and Its Determinants in China

A growing awareness of environmental quality hasplaced increasedpressure on China to improve environmental protection and regulations in the country. How have the regional economies in the country performed in terms of environmental efficiency？ The answer to this question is yet to be explored in the case of China. The objective of this paper is to present a quantitative analysis of environmental performance in China＇s regional economies and to examine the determinants of regional variation in performance. The findings are used to draw policy implications for environmental protection and are helpful in the discussion of China＇s future sustainable development.     

Excess Liquidity and Inflation Dynamics in China： 1997-2007

The surge in international capital inflows and the remarkable excess liquidity in China between 1997and 2007are examined in the present paper. It is shown that China＇s improved position in terms of foreign exchange purchases, ignited by huge foreign capital inflows, has effectively induced excess liquidity in China. More importantly, by developing an econometric madel for inflation and excess liquidity, the present study demonstrates that excess liquidity has imposed significant pressure on inflation in China over the past 10 years. This finding suggests that excess liquidity in China has not only contributed to the rise in stock prices and the real estate market boom, but also affected the consumer goods market. The potential transmission mechanism of liquidity-driven inflation and policy implications of the findings of this study are discussed.     

Labor Market Reform, Income Inequality and Economic Growth in China

The year 1996 was a turning point both in terms of Chinese labor market reform aria m China＇s economic growth pattern. Before 1996, labor market reform was mainly implemented through adjustment of people＇s occupation and income structure. Since 1996, employment restructuring has led to differentiation in terms of employment status. Labor market reform in the former stage resulted in slow growth in wages, whereas reform in the latter stage enhanced economic efficiency. Both stages have enabled the Chinese economy to apply its comparative advantage of low labor cost. Labor market reform has also increased income disparity and, therefore, new challenges are posed in sustaining economic growth. China needs to adjust its development strategies and introduce labor market reform that can improve income equality, so as to achieve sustainable economic development.     

Linkage between stock volatility and corporate bond yield spread in Thailand

This paper studies the relationship between stock volatility and corporate bond yield spread in Thai market by using Campbell and Taksler （2003） panel data regression approach. The results show that the equity volatility＇s variables, such as finn＇s idiosyncratic risk, market risk, individual stock return and market return, are matter to explain the corporate bond yield spread. Surprisingly, these variables could explain the spread better than credit rating variables. Furthermore, during bear market period, only corporate bond yield spreads in financial finns are increasing significantly. Some of the deterministic yield spread parameters such as level and slope of interest rate also alter from bull market period.     

Analysis of Chinese Cigarette Competition Modes in the Government Monopoly Environment

As a main tax resource, cigarette industry brings about 10% of Chinese annual income. China is by far the largest producer of tobacco products of the world. The nation＇s policy and management mechanism are important elements greatly influencing the competition structure of cigarette industry. Due to the double characters of tobacco, the country generally imposes a high tax and a limited total product output in order to intervene the cigarette market. Therefore, the price signal of cigarette market is distorted and to large extent the competition of the industry is far from a free one, Presently cigarette industry is under the administrative monopoly management in China and meanwhile the cigarette producing is in a multi-element competition style within the nation＇s planning scheme. In other words, administrative monopoly and over-competition exist simultaneously in China＇s cigarette industry. The country predetermines the output quota of each cigarette manufacturing enterprise and the actual production outputs of these enterprises could be adjusted through the quota trades among them. The competition in cigarette industry is mainly represented in 3 modes, i.e. production output competition based on quota trades, value-added competition in producing and selling, and the niche market competition based on product classification.     

Uncertainty and Corporate investment： An Empirical Analysis of China＇s Manufacturing Firms

With the measurement of volatility of a firm＇s stock returns uncertainty, the paper examines the investment behavior of China＇s manufacturing firms over the period of 1998-2003, and studies the relationship between uncertainty and corporate investment by using the 2SLS re, gression method. The empirical results indicate that there are significantly positive relationships between total uncertainty and investment, and market uncertainty and investment, but the relationship between firm-specific uncertainty and investment is not significantly positive.     

Empirical Study on New Issue Long-term Pricing Performance ——Subject to the Hypothesis and Proof of Shell Resource Value

This paper calculates the long-term return of the IPOs in China＇s stock market, we find that the positive abnormal return of new issues lasts for 7 months after adjusted by the market return. The author explains the long-term market performance of IPOs with the concept of ＂Shell Resource＂ and supplies the related proofs.     

The Cause of Turnovers of Top Management -An Empirical Research on the Special Treatment Companies in China

The turnover of top management is important for both foreign stock market and corporate management. China has developed its own stock market for more than ten years. During this period, a lot of listed companies＇ top managers were on the move. Based on 97 Chinese ST companies of 2004, this paper invesdgates the main factors, which causes the top management turnovers in the ST companies. The results of regression analysis show that the turnover of top management in Chinese ST companies is highly positively related to the change of large shareholder and are negatively related to the rate of net profit to total assets. We also find that net cash flow that is provided from operations per share, the proportion of state-owned shares and the type of audit views have no influence on the top management turnovers in such ST companies in China.     

Market Response and Firms＇ Operating Performance Surrounding Actual Share Repurchases： Evidence from Hong Kong

Share repurchases have become a popular payout method to distribute cash flows to shareholders not only in the U.S. but also other countries. This study examines the firms＇ share price and operating performance surrounding actual share repurchases and the motivations behind share repurchases in the Hong Kong stock market. The empirical results show that, on average, firms engage in share repurchases when their stocks are under-valued andrepurchases are followed by abnormal positive returns. Among repurchases, the stock price performance varies across firms＇ size and market-to-book ratios. The market responds most favorably to repurchases that are made by small and ＂value＂ firms. This suggests that smaller firms are usually less analyzed and more likely to be undervalued; hence, the market reacts more favorably when they repurchase.     

The Efficiency of the Chinese Commodity Futures Markets： Development and Empirical Evidence

I. Introduction In the early 1980s China set about transforming its moribund economy by adopting, in stages, various elements of the market-based systems. Among the reforms were thederegulation of prices and the introduction of financial markets for assets. The first stock market was set up in Shanghai in 1991 and in the same year the first commodities market opened in Zhengzhou, Henan Province. Since then, both the stock market and the commodities futures markets have expanded substantiall…     

Actuality Analysis of the Development of Industry Association in China and its Countermeasures

With China＇s entry into WTO and the globalization of the market economy, changing the old management mode of administration of Chinese employer＇s organization as soon as possible and building the function mode of modem market mechanism have already, become the urgent task of China＇s economic reform and development. Based on the current situation of the development of industry association in China, this paper lists the problems and difficulties faced in the development of employer＇s organization at present and puts forward corresponding countermeasures and suggestions by analyzing the problems.     

Financial Development, Economic Growth and Adaptive Efficiency： A Comparison between China and Pakistan

The strong economic growth in China is difficult to reconcile with its inefficient financial system. The puzzle of China＇s financial development and growth can be explained through a dynamic criterion of adaptive efficiency, rather than through allocative efficiency. Using the framework of an autoregressive distributed lag model, the present paper tests the hypothesis that the GDP growth rate is dependent on financial development along with other variables in China and Pakistan. The hypothesis cannot be rejected in both cases. However, the results show that economic growth has a negative relationship with credit to the private sector in China. We conclude that financial development is a source of China＇s high growth rate and that the banking system is still under an evolutionary process, involving the pursuit of social objectives instead of the sole objective of profit maximization. Our results provide some implications for other developing countries like Pakistan.     

A theoretical analysis of IPO underpricing

This paper provides a theoretical analysis of IPO underpricing and some testable hypotheses. Our model suggests that the IPO underpricing phenomenon can be explained by information asymmetry theory and agency theory in mature security market where market determines issuing price, but not in China＇s developing market where restrictions on issuing price exist. The IPO underpricing is actually a problem of asset pricing in China.     

A Study on Current and Future Guanxi Networks of China

Despite the abundant opportunities are presented by Chinese market, many foreign practitioners have commented that operating in China is more complex and time consuming than necessary, and of the 53 companies interviewed by Hong Kong＇s Bank of East Asia, 42% were reported not to be profitable （Economist Intelligence Union （EIU）, 1995）. Given the fact that China＇s potential as a market is unparalleled, while many foreign business practitioners have commented that operating in China is difficult to be profitable, and it is more complex and time consuming than it is necessary （Ewing, Garuana ＆ Wong, 1999）, a large number of researches on doing business hi China recogniZe the concept of Guanxi, a business relationship network, as the key for conducting successful business in China This study co llectsboth primary data and secondary data to explore the issues of Guanxi. The review on the secondary data helps to build the analysis techniques and study instruments. A survey questionnaire is developed after the study on the secondary data, and the primary data is collected from the surveys, which are faxed to sample groups in both Taiwan and Mainland China. The study on the Mainland China senior managers is to find the current Guanxi concept of China, while the Taiwan senior manager group and the Mainland China college student group are chosen to explore the future Guanxi changes. By using statistical techniques of the mean and standard deviation calculations, the t-test for two samples with equal variances, and the correlation test, the findings of this study help to answer the critical questions concerning the study objectives. The practical interpretation and implications of this study of Guanxi are gained from the summary of the statistical results. A conclusion and recommendations of this study on the Guanxi concepts are presented to business practitioners both inside and outside of China.     

Study on Real Estate Investment Trusts and application in China

The Real Estate Investment Trusts （REITs） is a mature investment and financing tool in the real estate market abroad. RE1Ts is able to deploy resource, circulate necessary funds and disperse risk effectively. It is the feasible effective way and necessary choice during the real estate finance innovation. But there is a big gap between RE1Ts in China and the mature RE1Ts abroad. Because RE1Ts in China puts more attention on the financing function of the real estate. Besides, because the relevance law and the market environment are not perfect, REITs couldn＇t exploit its advantages very well in China. It needs to be developed in the practice. This paper starts with introducing the concept of REITs. Then the paper goes on to tell the types and characteristics of REITs aboard. It continues to study the experience of mature RE1Ts in the market and finds out disadvantages which China＇s RE1Ts have. Based on above research, the paper considers about the situation in China and states the mode of RE1Ts we should choose in China. At the same time, the paper points out the important problems we should deal with when we develop REITs in China.     

Comparison and Enlightenment of Chinese and American Social Security System

As a typical market economy country, US＇s social security system generally and fairly takes shape. While China is the country which is under the reform and the inefficient development of market economy is a basic reality. The comparison between Chinese and American social security system and enlightenment have been drawn in this paper.     

Is Financial Development Another Source of Comparative Advantage？ Evidence from China

Using panel data for 29 provinces in China during 1990-2004, the present paper attempts to explore a possible link between financial development and China＇s foreign trade. Three measures of comparative advantage in manufactured goods have been applied in our study, including Balassa＇s revealed comparative advantage, the net manufactured export index, and the Michaely index. We also use four indicators of financial development to identify the different functions of regional financial development, and to determine both size and efficiency features of financial institutions. The estimation results suggest that besides factor endowments, foreign firms and infrastructure, financial development has a quantitatively large and robust effect on China ＇ s manufactured goods trade. Therefore, further reform of China＇s financial system should be encouraged to fully exploit the comparative advantage of China＇s foreign trade.     

Do Poor Rural Households Produce Less Grain than Non-poor Rural Households

China＇s poor rural households produce substantially less grain compared with non-poor rural households. The present paper applies a decomposition approach and uses China＇s rural household survey data to investigate the causes of this grain output gap The paper first compares the grain output gap between poor and non-poor rural households, and then decomposes the gap into differences in yield and area sown, The results indicate that the gap in grain output mainly results from differences in the amount of inputs used in production. Differences in the number of labor days and the level of intermediate inputs account for 13.6 and 47.S percent of the gap, respectively. Poor rural households are also less efficient in their use of intermediate inputs, which contributes to 13.2percent of the gap. However, the efficiency of poor households＂ labor days reduces the gap by 7.2 percent, while agricultural physical capital, househoM head education and agricultural training have no substantial impact on the household grain output gap.