对我国上证A股市场有效性的检验

证券市场的有效性,就是证券价格对市场信息反应的效率性。有效市场理论的中心思想就是市场能够最有效率地把市场信息包含在价格当中。以有效市场理论为基础,运用ADF检验和事件研究法对我国上证A股市场的弱势有效和半强有效进行系统性的检验。检验结果显示：我国上证A股市场已经达到了弱式有效,但尚未达到半强有效。投资者依据历史数据进行技术分析的手段来获得超常收益亦是十分困难,但由于上证A股市场尚未达到半强有效,有关红利分配等公开发表的信息在投资者之间无法均匀分布,这也就意味着投资者依然可以利用对选定目标股票的基本面分析（尤其是会计资料）及内部信息获得超额收益。     

CAPM模型在我国上市公司的检验 ——以华谊兄弟为例

CAPM是当代金融学最重要的基础理论之一.它主要主要是探讨证券市场中风险资产与资产预期收益之间的相关性以及描述在均衡状态下市场风险与资产收益的关系.近年来关于资本资产定价模型在中国股市的有效性的检验越来越多,大量的实证结果表明并不总是有效.本文选择了华谊兄弟来验证CAPM模型在中国股市的有效性,选取了华谊兄弟个股的日数据和周数据分别与上证A股、深证A股和创业版市场进行回归,以此分析哪一个市场的收益率作为CAPM的市场收益率更加确切.同时本文还对华谊兄弟的股价进行预测,以此分析CAPM模型在我国市场的有效性.     

证券市场效率与投资决策——由有效市场假说引起的思考

证券市场效率一直是证券市场发展中的核心问题,也是长期以来学术研究中的一个极具吸引力且富有争议的热点。研究证券市场的效率性必然涉及有效市场假说。有效市场假说包含证券价格的信息有效性和证券的配置有效性两个含义。证券配置有效性指证券配置是否达到帕累托最优,而证券价格的信息有效性是指证券价格是否完全反映了可利用的信息。无疑,如何准确地理解和认识有效市场假说,是正确地把握和运用信息进行投资决策的重要前提。     

公司股票和债券价格中的信用风险信息效率研究北大核心CSSCISSCI

有效市场假说认为,金融市场上金融资产的价格变化是对各种信息的反应,如果这种反应是即刻而充分的,那么市场就是有效的。本文基于我国上市公司股票和债券的价格数据,应用KMV模型和信用价差模型度量上市公司股票和债券价格变化所反映的公司信用风险大小,在此基础上检验并比较上市公司股票和债券价格对其信用风险信息反应的效率。结果表明,从短期信息有效性方面看,股票价格能够更加及时有效地反映公司信用风险信息,公司债券价格对信用风险信息的反应存在滞后性,但随着实际信用风险增加,滞后时差缩短;从长期来看,股票价格和债券价格在反映公司信用风险信息上存在一致性,公司的实际信用风险大小是影响两者存在一致性的重要因素,实际的信用风险越大,两者的一致性越强。     

会计收益反应系数、分析师盈余预测修正系数的风险效应——基于中国股票市场的检验

在宿成建(2012a,b)三因素模型框架下来进行实证检验并发现:(1)具有高总风险的股票具有更高的ERC;(2)股票价格对证券分析师预期的会计收益增长信息不存在总风险补偿效应;(3)ERC随着系统风险增加而增加,并且,对于高系统风险的公司,证券价格对证券分析师预期的会计收益增长信息存在系统风险补偿效应。     

基于Wild Bootstrap方差比检验的REITs市场有效性研究——以香港为例

基于有效市场假说(EMH),使用Wild Bootstrap方差比检验法研究REITs市场的有效性。首先,阐述有效市场假说的基本原理,建立Wild Bootstrap方差比检验模型;之后,以香港为例,选取恒生REITs指数(HSRI)和恒生综合指数(HSCI),从纵、横向角度分别进行总体和滑动方差比检验;最后,根据检验结果和实际情况判断REITs市场的有效性,得出研究结论和投资建议。在REITs市场有效性研究中引入了Wild Bootstrap方差比检验法,为相关研究提供了新的方法与研究视角。研究表明,香港REITs市场尚未达到弱式有效,市场有效性有待加强。     

国际原油期货市场对碳金融市场溢出效应实证检验

本文通过构建VAR模型和二元GARCH模型对国际原油期货市场对碳金融市场的动态关系进行了实证检验,结果表明:碳金融市场与国际原油期货市场存在单向价格溢出效应,同时国际原油期货市场存在向碳金融市场的单向波动溢出效应。     

对证券投资趋势指标的有效性检验

技术分析在投资界受到一定追捧,但学术界研究较少。趋势指标分析在技术分析中占有一席之地。本文通过作出一些合理的设定,建立实证模型,对证券市场数据进行计算,以检验中美两国证券市场中趋势指标的有效性,并试图寻找出最优参数。研究结果表明:趋势指标在中国市场是有效的,合理选择参数能够获得超额收益,其主要原因在于帮助投资者规避单边下跌而带来的损失。美国市场上趋势指标却是无效的,最佳策略就是买入并持有。     

中国证券市场有效性的实证检验

只在有效程度较高的证券市场上,证券价格才能够及时、充分、准确地反映出公司的全部经营信息,证券市场的微观约束机制才能真正起作用,资本资源才会在价格信号的引导下实现合理有效的配置。本文在对有效市场理论和中国证券市场有效性的研究进行文献综述的基础上,通过对我国沪综指和深成指进行单位根检验,发现两指数都满足一阶单位根的平稳序列,股指服从随机游走,从而得出目前我国证券市场已经初步达到弱有效态势的结论,并对原因进行了分析,文章最后给出了政策建议。     

多个金融市场协同波动溢出效应检验——基于中国证券投资基金市场经验数据

金融市场发育越完备,金融市场的传导机制发挥就越充分,金融市场间的联动性就越强。通过独立成分分析和建立EGARCH-M模型探讨中国主要金融市场(股票市场、债券市场和外汇市场)对中国证券投资基金市场的协同波动溢出效应。实证结果表明多个金融市场对于证券投资基金市场表现出为非对称性的协同波动溢出效应。但我国的金融市场传导机制仍不显著,金融市场发育不完全,对于投资者的指导性不强。     

Forecasting risk,informed speculation,and financial innovation

Speculators who prey on hedgers can stifle financial innovation in the sense that new markets can fail. In this paper I analyze whether a profit maximizing exchange nonetheless chooses to open markets for speculative securities and if so, how to circumvent the problem of market failure. I find that the optimal financial innovation takes two forms. The first is a market structure consisting of hedge instruments, traded in low volume at stable asset prices. The second is a market structure consisting of speculative instruments, traded in greater volume at volatile asset prices. These strategies are derived within the same framework where the cost and the quality of the speculators' information set and the hedgers risk aversion ultimately determine which is the optimal one.     

Financing the green projects: Market efficiency and volatility persistence of green versus conventional bonds,and the comparative effects of health and financial crises

The establishment of the green bond market is an attempt to attain environmental sustainability from the finance perspective. One of the factors that could either hinder or promote this course is the degree of market efficiency of the market. Against this background, this study comparatively examines the market efficiency of the U.S. green and conventional bonds. In addition, the performance of both markets is investigated during global health and financial crises. Applying the fractional integration technique, we find that the overall green and conventional bonds markets are still inefficient, indicating that green and conventional investors can make excess gains by predicting the future trends of bond prices. There is also evidence that the green bond market exhibits higher volatility persistence during the global health crisis than during the global financial crisis. These findings are corroborated by the GARCH-based models, whose results show that volatility shocks are more persistent in the green bond market during the health crisis than during the financial crisis. However, the conventional bond market observes persistence in volatility shocks during both events. Towards sustainable environment goals, these results have relevant implications for green investors and policy makers.     

中国股市羊群效应的区制转移时变性研究

传统研究采用静态CCK模型检验股票市场的羊群效应,但无法描述羊群行为的动态变化以及市场可能受到的外部影响。本文基于中国股市日频交易数据,在静态CCK模型中引入参数的区制转移性质识别股市在不同状态间的转换,并分析中国股市羊群效应和交叉羊群效应的时变特征。研究表明,中国股市运行周期可被划分为两个区制,分别呈现低波动和高波动的行情特征;羊群效应的程度随区制转移而变化,具有区制依存性。其中,沪深股市在高(低)波动区制中,羊群效应更强(弱),相应区制持续时间较短(长);中国台湾股市仅在高波动区制中出现羊群效应,相应区制持续时间较短;中国香港股市无论在低波动区制或是高波动区制中,均不存在羊群效应。此外,沪深A股在低波动区制中对美国股市和中国香港股市存在交叉羊群效应。     

Incomplete‐Market Equilibria Solved Recursively on an Event Tree

Because of non‐traded human capital, real‐world financial markets are massively incomplete, while the modeling of imperfect, dynamic financial markets remains a wide‐open and difficult field. Some 30 years after Cox, Ross, and Rubinstein (1979) taught us how to calculate the prices of derivative securities on an event tree by simple backward induction, we show how a similar formulation can be used in computing heterogeneous‐agents incomplete‐market equilibrium prices of primitive securities. Extant methods work forward and backward, requiring a guess of the way investors forecast the future. In our method, the future is part of the current solution of each backward time step.     

Financial Innovation and the Role of Derivative Securities: An Empirical Analysis of the Treasury STRIPS Program

The role that financial innovation plays in financial markets is very controversial. To provide insight into this role, we examine how market participants use the highly successful Treasury STRIPS program. We find that investors use the option to create Treasury-derivative STRIPS primarily to make markets more complete and take advantage of tax and accounting asymmetries. Although liquidity-related factors help explain differences in the prices of Treasury bonds and STRIPS, we find little evidence that the option to strip and reconstitute securities is used for speculative or arbitrage-related purposes.     

A model of a systemic bank run

This paper provides a model of the view that the 2008 financial crisis is reminiscent of a bank run, focussing on six stylized key features. In particular, core financial institutions have invested their funds in asset-backed securities rather than committed to long-term projects: in distress, these can potentially be sold to a large pool of outside investors at steep discounts. I consider two different motives for outside investors and their interaction with banks trading asset-backed securities: uncertainty aversion versus adverse selection. I shall argue that the version with uncertainty averse investors is more consistent with the stylized facts than the adverse selection perspective: in the former, the crisis deepens, the larger the market share of distressed core banks, while a run becomes less likely instead as a result in the adverse selection version. Therefore, the outright purchase of troubled assets by the government at prices above current market prices may both alleviate the financial crises as well as provide tax payers with returns above those for safe securities.     

投资者理性预期、流动性约束与股价崩盘传染研究

“传染性”是股价崩盘三大基本特征之一,会加剧股价崩盘负面影响,甚至引发系统性金融风险,因此,本文重点关注股价崩盘传染机制研究。首先,本文基于两阶段理性预期均衡模型,提出股价崩盘传染两大假设,即投资者理性预期与流动性约束导致传染;其次,基于2000-2016年全球28个国家或地区资本市场数据,实证检验股价崩盘传染机制和传染渠道。研究显示:(1)投资者理性预期、流动性约束会导致股价崩盘发生传染;(2)股价崩盘事件会在资本市场关联国家或地区传染;(3)提高资本市场信息透明度、加强金融管制有助于降低受关联国家或地区股价崩盘传染。     

Supervisor and Market Analysts: What Should Research be Seeking?

This article is primarily directed towards examining the desirability of incorporating market signals in the process of supervision of commercial banks by regulators and insurers. But the ideas developed here can also be applied to the general problem of using market information to assess the solvency and safety of any financial or non-financial institution.Market prices and yields of securities anticipate actions by regulators, central banks, and other players due to the fact that such actions may materially influence the risk and the expected return associated with investment decisions pertaining to those securities. It is well known that the yield curve of government securities such as T-bills, T-notes and T-bonds reflect the market's consensus regarding the actions that the Federal reserve may take as they pertain to the valuation of such securities. The extent to which the market has already discounted the future actions of the central bank will no doubt play a role in the way in which the central bank may think about its actions, its actual effect and how it relates to its intended effects.The extent to which market prices can provide useful guides depends on the underlying market structure and the practices in the industry.While markets may do lot of the hard work in aggregating and incorporating future actions, the task of supervision and regulation can never be put on automatic pilot. Ideally, supervisory policies should effectively combine the market signals with initiatives that serve to maintain the safety and the soundness of the underlying markets. I will begin by exploring the extent to which equity prices may be used as a signal of bank credit risk. I will then explore the advantages and disadvantages of using subordinated debt securities to derive a market signal.     

Financial innovation, values and volatilities when markets are incomplete

The traditional pricing methodology in finance values derivative securities as redundant assets that have no impact on equilibrium prices and allocations. This paper considers a model with incomplete markets in which the valuation of derivative securities cannot be treated independently from the valuation of the primary securities. The model constitutes a framework for the analysis of the consequences of financial innovation (creation of new contracts or modification of existing contracts). We provide a numerical counterexample to the popular belief that financial innovations that increase the volatilities of traded securities are bad. In this example the introduction of an option increases the volatility of the rate of return on the underlying stock, yet the creation of this asset is unanimously supported by investors.I am grateful to H. Polemarchakis and to an anonymous referee for insightful suggestions.     

Contrasting Worldviews at Bank and Securities Market Regulators

Bank and securities regulators operate with different attitudes about the appropriate regulation of financial institutions and markets. Bank regulators’ prudential oversight protects depositors from worrying about the repayment of their bank claims. In contrast, securities market regulators tend to presume that security markets (almost) always clear quickly at prices close to the asset's fundamental value. These regulators seek to assure full disclosure of information, which facilitates active securities trading. In the United States, the Securities and Exchange Commission's (SEC) investor protection duties are tailored to the financial sophistication of individual investors.