Rise and Fall of the First Financial Futures Market in China： The Case of Chinese Government Bond Futures

This paper studies the rise and fall of the first financial futures market in China. We compare the characteristics in the Chinese Government bond futures market with those in the US T-bond futures market. They differ in market design and structure, market governance, margin requirements, position limits, delivery process, and the way in which the settlement price is calculated. Furthermore, with a unique dataset, we show that prior to maturities of government bond futures, traders began to accumulate significant amounts of long positions for several selected contracts without the intention to offset, forcing short position holders to either purchase deliverable bonds or offset futures at highly inflated prices, causing higher market volatility and price disequilibrium in both spot and futures markets. Arbitrage opportunity arises and the market eventually collapses. The lessons learned from the suspension of the Chinese Government bond futures market offer an invaluable learning experience.     

Pass-through Effects of Global Commodity Prices on China＇s Inflation： An Empirical Investigation

The present paper uses a two-step approach to estimate the pass-through effects of changes in international commodity prices and the RMB exchange rate on domestic consumer price inflation in China. We first estimate the pass-through effects of international commodity prices on producer prices and then estimate the pass-through effects of producer price inflation on consumer price inflation. We find that a l O-percent increase in international commodity prices would lead to China＇ s producer prices increasing by 1.2 percent 3 months later, which in turn would increase China＇ s domestic inflation by 0.24 percent over the same period. However, a 10-percent appreciation of the RMB exchange rate against the US dollar would help to reduce increases in producer prices by 4.4 percent over the following 3 months, which in turn would lead to a 0. 89-percent decline in consumer price inflation over the same period. Our findings suggest that appreciation of the RMB in an environment of rising global commodity prices and a weak US dollar could be an effective instrument to help contain inflation in China.     

The Chinese Interbank Markets： Cornerstone of Financial Liberalization

I.IntroductionWell-functioninginterbankmarketsareofutmostimportanceinmodernfinancialsystems.Theirpurposeistoefficientlyallocateliquidityamongfinancialinstitutionsandregions,shiftfundstoinstitutionsandregionsthatneeditmost,andallowforasmoothworkingofthepaymentsystem.1Inmostmodernbankingsystems,depositoryfinancialinstitutionsarelegallyrequiredtomaintainminimumreserves.Duetolargetemporarypayments,individualdepositoryinstitutionsmaybeeitheraboveorbelowtheirrequiredreservepositions.Sincesuchreserv…     

The Study of the Development of Chinese Online Game Industry and Market

The development, sale and management of online game have become a whole industry chain. It is hard to imagine its economic benefits. The article analyses the forming of supply-demand relationship in online game market, profits source, the way of market exchange, business order and primary problems that online game market faces. To make the market and the industry of online game develop in a sustaining and healthy way, our society should create a favorable environment, and the authorities in economics, management and law fields ought to attach importance to the research on relevant problems,     

Research on the Present Situation and Countermeasure of the Development of Chinese Architectural Industry

Along with the development of Chinese social economy and the innovation of government policy, Chinese Architectural Industry is playing a more and more vital role in the entire national economy. This paper first abstracts the connotation and basic characteristic of the Architectural Industry, then discusses the present situation of the development of Chinese Architectural Industry and carries on the analysis on the entire construction industry. Finally discusses the development tendency of Chinese architectural industry, and put forward the corresponding policy proposals to its developmental strategy.     

Viability and the Development of China＇s Capital Markets

The paper analyzes the abnormal phenomena in China‘s capital markets and provides a critical review of the existing hypotheses about the phenomena. The paper argues that thelack of “viability” among most of the listed SOEs is the primary cause of the problems in China‘s capital markets. The paper also applies a consistent framework to analyze the relationship among viability, SOEs and the capital markets, and makes some policy proposals for improving China‘s capital markets.     

The Study of the Significance of Chinese Private Automobile Industry Development

The paper defines the private auto industry in a reasonable way at first, confirms the importance of auto industry in China and points out private capital is able to enter into auto industry based on the analysis of the inner and outside environment. Afterwards, the paper calculates the contribution rate private auto industry made to the whole auto industry.     

Chinese Offshore RMB Currency and Bond Markets： The Role of Hong Kong

This paper discusses the role of Hong Kong in China’s grand scheme to build up the RMB as a global reserve currency.We highlight the economic importance of Hong Kong to China in terms of channeling foreign direct investment into China,some of which,in the future,will be denominated in the RMB.We discuss the development of China’s RMB currency swap and deposit markets in Hong Kong.These offshore markets enable the RMB to trade freely, setting the stage for the RMB to become fully convertible and allowing market forces to play a role in pricing the value of the RMB,and help in the development of the RMB-denominated bond(or dim sum bond)market in Hong Kong.Finally,we present evidence of the phenomenal growth of the dim sum bond market in Hong Kong,which can further enhance and strengthen the use of the RMB outside China.     

Impact of the Global Financial Crisis on China： Empirical Evidence and Policy Implications

This paper applies a structural vector autoregression analysis to quantify the impact of the global financial crisis on China. It is found that the impact is indeed sizeable： a 1-percent decline in economic growth in the USA, the EU and Japan is likely to lead to a0. 73-percent decline in growth in China. The article discusses whether the current measures of fiscal stimulus are adequate to offset the sharp decline in external demand Although there is little doubt that the massive fiscal stimulus will largely offset the significant shortfalls in external demand, the current growth pattern in China will be increasingly unsustainable in the long term. China ＂s reform cycles suggest that external shocks are often opportunities for structural reforms. Therefore, the crisis could also be a catulyst for rebalancing China ＇s economic structure so as to return the economy to a sustainable path.     

Scaling risk and the square-root-of-time rule in the emerging markets： Evidence from the Chinese stock market

This paper examines the square-root-of-time rule that frequently used in volatility estimation to the Chinese stock market that comprises Shanghai and Shenzhen stock market. The Jarque-Bera test conclusively rejects normal distribution of both stock market returns, while the Hurst analysis indicates both stock market returns does not follow a random walk. Furthermore, the tests for volatility scaling indicate volatility of both stock market returns do not scale according to the square-root-of-time rule and lead to bias in risk estimation. Henceforth, the study urges more alternative methods in risk management that suitable for the emerging Chinese stock market.     

涨跌停板对中国商品期货市场效率影响实证研究

运用上海、郑州、大连期货交易所近六年日交易数据,实证研究涨跌停板制度对我国商品期货市场效率的影响。结论表明,涨（跌）停限制干扰了交易的正常进行,阻碍了信息传递,降低了我国商品期货市场效率,并且涨（跌）停所造成的价格延迟效应一般会延续到第二天。在此基础上,比较分析了与其他市场的异同,提出了相应的政策建议。     

影响我国农产品期货市场效率的期货公司因素与对策

为了进一步促进我国农产品期货市场的完善与发展,提高我国农产品期货市场的效率,对影响我国农产品期货市场效率的期货公司因素进行了具体分析。指出当前我国农产品期货公司存在规模小,竞争力低、业务单一、功能简单、缺乏多级代理机制等问题。提出创新涉农期货公司业务范围,做大做强以农产品为特色的期货公司,从而提高涉农期货公司的竞争力等具体政策建议。     

中国商品期货市场有效性的方差比率检验

随机游动模型的方差比率检验方法可以被用于检验中国商品期货市场的有效性程度。对1999-2004年间六个商品期货品种的收盘价和结算价的分阶段（1999-2001和2002-2004）检验结果表明：铜期货市场在整个样本期间都基本上达到了弱式有效,而铝、天胶、大豆／豆一、豆粕等品种在2002-2004年间的有效性却表现出一定程度的下降。但是,在2002-2004年间,小麦期货市场的有效性得到了一定程度的提高。这些实证结果表明监管当局应该汲取以往期货市场大幅震荡的教训,有针对性地继续努力改进并提高期货市场的有效性水平。     

Emerging Impact of Chinese Commodity Futures Market on Domestic and Global Economy

In this paper we construct a set of indices that capture the special features of the Chinese commodity futures market for the period from January 2000 to December 2011 to analyze the general properties of China＇s commodity futures market. Using these indices we investigate the risk premiums of Chinese commodity futures and verify that the commodity futures can act as an effective diversification tool for Chinese asset management. It is found that the commodity futures can hedge both expected and unexpected inflation in China, and agricultural commodity futures are found to signal inflation 2 months beforehand. Finally, we explore the relationship between Chinese and US commodity futures markets in the years 2000 and 2010, and find that their interactions strengthen over time. Our research reveals an increasingly important role of the Chinese commodity futures market in both the domestic and the global economy. Some policy changes are suggested in response to this trend.     

An Empirical Study on Momentum and Contrarian Effects in Chinese Futures Market

As Chinese futures market is on track of standardized development, its efficiency and related investors＇ strategy have drawn wide attention from scholars worldwide. This paper aims to provide an empirical study on momentum and contrarian effects in Chinese futures market. It investigates how efficient this market has been after decades of development and what investment strategy can be used to obtain significant positive excess return. The analysis is based on weekly and monthly trading data of the major commodity futures listed in three Chinese futures exchanges since January, 1999. By establishing a zero-cost investment trading strategy as testing method, this empirical study shows that contrarian effect is significant in both weekly frequency （short term） and monthly frequency （long term）, and that as the holding period extends, the contrarian effect disappears. It also concludes that the reverse effects in the short term and long term origin from three factors： defective information transfer system, mean reversion in the contrarian effect, and immaturity of investors＇ mentality.     

基差偏离度对中国商品期货市场定价的影响 —基于横截面检验的实证分析

构建了中国商品期货市场上最近月合约的基差偏离度指标,并以此构造多空组合进行横截面检验.研究结果发现:基差偏离度较高的期货组合未来会获得较低的收益,而基差偏离度较低的期货组合未来会获得较高的收益;中国商品期货市场上现货溢价的现象较为普遍,由基差偏离度构造的多空组合其超额收益主要来自于组合的多头.这说明基差偏离度是中国商品期货市场上的重要定价因子和风险指标.     

电价交叉补贴阻碍绿色发展效率吗——来自中国工业的经验证据

文章以2007-2013年中国30个省、自治区和直辖市为样本,用NDDF-DEA方法评估了各地区工业绿色发展效率,运用CLAD估计方法实证分析了电价交叉补贴对工业绿色发展效率的作用机制。结果表明,从全国层面来看,电价交叉补贴通过要素投入和成本机制对中国工业绿色发展效率产生消极影响;从分地区层面来看,虽然电价交叉补贴对各地区工业绿色发展效率的影响途径一致体现于要素投入和成本机制,但其影响程度存在较大的空间差异,电价交叉补贴会显著阻碍东部地区工业绿色发展效率提高,而对中西部地区工业绿色发展效率没有显著消极影响,甚至有利于工业绿色发展效率提高。     

专业市场与电子商务联动发展的演化路径研究--以义乌中国小商品城为例

当前,专业市场的发展总体上呈现出分化、整合、转型、提升的态势,地区、行业间的专业市场正处于全盘“洗牌”时期。在此背景下,借助电子商务改造提升专业市场势在必行。基于演化经济学理论,文章从资产专用性、交易的不确定性、交易频率三个维度分析专业市场与电子商务联动发展的演化特征、动力及其路径选择。研究发现,专业市场与电子商务联动发展呈现出植入性变异、多样化和动态博弈的演化特征,而专业市场资产专用性减弱、交易的不确定性增强及交易频率的波动共同构成两者演化的驱动力,同时两者联动演化的过程大致分为起步期、发展期、联动期三个阶段。最后,以义乌小商品市场为案例,从实证角度验证了本文理论,并给出了相关对策建议。     

基于协整理论的美国电力期货市场实证研究

本文基于VAR的协整理论,对美国PJM电力期货市场作了模型实证研究。因果关系检验显示下月合约价格是现货价格单向的Granger原因。协整检验结果显示电力期货价格和现货价格存在长期稳定均衡的关系,期货市场具有价格发现的功能,与现货市场相比价格发现功能较弱。方差分解结果显示,期货价格受自身的影响很大,受现货价格的影响很小;而现货价格受自身影响很大,随着滞后期的增加,受自身的影响逐渐减弱,受期货市场的影响逐步增大,期货市场在价格决定中起主导作用;脉冲响应函数同样显示现货对期货的影响较小,期货对现货的影响相对较大。     

The Synergistic Effects Between Insurance and Credit Markets on Economic Growth: Evidence from China

Insurance and credit markets share some common roles in stimulating economic growth, whether they are complementary or not is worth researching further. Based on the generalized method of moments, this paper investigates the synergistic effects between insurance and credit markets on economic growth in Chinese different regions using an interaction term in the regression model. Moreover, to understand the different economic roles of life and nonlife insurance sectors, we include them into estimation model as well. The results indicate that total insurance and credit markets are substituted, life insurance and credit markets are substituted, and nonlife insurance and credit markets are complementary in the whole region. Specifically, the synergistic effects between insurance and credit markets on economic growth vary considerably across different regions. These findings offer several useful insights for policy-makers.