基于Copula理论的宏观经济与股票市场相关性研究

为了刻画宏观经济与股票市场波动间的相关性,在静态Copula模型的基础上,应用了一种全新的条件动态Copula(DCC-Copula)技术,它可以捕捉到经济变量间动态的相关结构。结合Gaussian-GARCH模型和DCC-Copula函数,建立了DCC Copula-GARCH模型全面对宏观经济变量与股票市场之间相关性进行了分析。结果说明,随着时间的变化,宏观经济与股票市场波动之间存在着较稳定的正相关关系。     

股票市场与商品期货市场联动性分析

将从商品期货市场和股票市场成交角度验证两个市场的整体联动性,应用回归模型、相关及滞后相关模型进行分析两个市场间关联性的强弱程度和关联形式。     

我国开放式基金市场与股市的动态相关性——基于DCC-MVGARCH模型分析

以中证基金指数与上证综指和深圳综指在2003年1月至2011年12月的日收益率为研究样本,运用Engel(2002)提出的DCC-MVGARCH模型对我国开放式基金市场与沪深股市之间的动态相关性进行了分析。研究结果表明,我国开放式基金市场与沪深股市均存在高度的正相关关系,并具有明显的时变特征,其中开放式基金市场与上海股票市场动态相关系数的波动幅度要小于其与深圳股票市场的动态相关系数的波动幅度。     

利率上升对股票市场的影响——基于TARCH模型的实证研究

<正>一、引言利率上升会对股票市场产生负面影响,本文利用门限自回归条件异方差(TARCH)模型,运用事件分析法研究利率上调对股票市场的影响。利率上升对股票市场的影响程度取决于投资者对利率上升幅度的预期和股票市场的现实状况以及升息事件的信号效应。我认为2006年8月的调息对股票市场产生了一定影响,但程度微弱。     

宏观经济政策对股票市场的影响研究

理论上,宏观经济通过传导机制对股票市场产生影响,从而产生联动效应。文章主要通过理论分析和实证分析相结合的方法,建立了VEC模型,就我国宏观经济政策对股票市场的走势的影响进行深入分析。结果表明,宏观经济政策对股票市场有一定的影响,但政策变量产生影响的显著程度与股票市场对政策变量的敏感度,时滞现象,观测时间长短以及市场自身波动性有关。     

中国省份产业经济周期的经验研究——基于贝叶斯潜在多动态因子模型的分析

本文利用基于吉本斯抽样估算的贝叶斯潜在多动态因子模型,估算出中国改革开放以来三次产业实际产出波动的全国、地区和省份动态因子,发现全国动态因子和区域动态因子较好得刻画了中国宏观经济波动的基本特征和基本区域经济事实。方差分解的结果表明,全国动态因子是省份第二产业实际产出波动最重要的驱动力,异质性成分是省份第一、第三产业实际产出波动的主要驱动力,区域动态因子影响力弱,省份动态因子对第一、第三产业有一定的影响。不同类型动态因子对各产业影响程度的省份差异在一定程度上和区域以及省份特征相关。     

我国股票市场有效性的研究

本文从有效市场假设出发,重点研究我国股票市场的有效程度。本文作者通过抽样统计,对我国股票市场的有效程度进行了实证分析。先运用序列相关检验的自回归模型对市场指数收益率数据进行检验,得出了我国股票市场处于弱式有效水平的结论;然后引入事件研究法,通过对超常收益率的测算检验市场是否达到半强式有效,进而阐述如下观点:我国股票市场目前已达到弱式有效水平,但并不具有半强型有效市场的特点。     

我国沪、深股市的波动性研究——基于GARCH族模型

金融市场的波动性不仅是投资者关注的焦点之一,而且也是被研究的热点之一。中国股市还非常年轻,股票市场的价格常常表现出大幅波动的特征。本研究以上证综合指数和深圳成分指数为研究对象,分别运用GARCH模型、TARCH模型和EGARCH模型同时拟合,并对比分析了中国股市日收益率波动的动态特征;结果显示,EGACH模型能更有效拟合股市的波动性。     

中国股票市场牛熊市运行周期探究

本文运用马尔科夫区制转移模型描述和研究中国股票市场综合指数日收盘价序列的动态轨迹,以此来研究中国股市的牛、熊市周期。实证结果表明,上证和深证综合指数日收盘价在不同的区制状态下均可以表现出较为显著的持续性特征,上证和深证的牛、熊市区间具有明显的协同性。同时发现,中国的经济政策操作与股票市场价格波动及股票市场区制的阶段性转变之间具有明显的相关性。     

基于马尔科夫链的转化方法分析新型国家的股票市场流动性和汇率间的关系

这篇文章我们运用马尔科夫链转化方法 EGARCH模型来揭示1994～2009年间股票市场流动性与4个新型国家汇率间的动态关系。结果表明在两种不同政权下的股票收益率的条件均值和条件方差都是不同的。第一种政权的特征是高均值低方差,而第二种政权的特征是低均值高方差。我们进一步提出论点,股票市场和汇率市场之间的关系是独立的政权和股票价格流动性对外汇市场表现了不对称性。我们的结论解释了汇率变动对政权过渡的概率有显著影响。     

Development in Information and Communications Technology (ICT) Statistics at the Australian Bureau of Statistics

This paper outlines the ICT statistical developments that the ABS has undertaken over recent years. These developments have been on both the supply side (ICT industry) and the demand side (use of IT by sector). The content of ABS ICT surveys has changed significantly over the last few years and are expected to develop further in line with industry changes and emerging policy needs.
Recent developments in household collections have been the inclusion of IT use questions in the 2001 Census of Population and Housing and in various ABS social surveys such as Children's Participation in Culture and Leisure Activities. Annual business IT use surveys are now conducted and include topics such as Internet commerce and IT security. Biennial ICT industry surveys are conducted to provide data on ICT production, imports and exports, ICT industry employment, performance and structure information. An Internet activity survey is run every six months and provides regional Internet access details and infrastructure details on Internet service providers.
A major development for 2002–03 will be the compilation of an ICT satellite account. ABS intends to produce an ICT Information Development Plan to guide its future statistical development work in the ICT field.     

Value at Risk in the Suburbs: Eminent Domain and the Geographical Politics of the US Foreclosure Crisis

Several US counties and local governments have recently considered a novel solution to the foreclosure crisis. They plan to use eminent domain to compel the owners of mortgage debt—and specifically of private‐label mortgage‐backed securities—to sell the debt to the government at a price reflecting the loan's market value. The government would then restructure the debt and resell it to new investors. The plans are striking because—in contrast to both development‐driven eminent domain and the federal subprime bank bailout—they would force investors to assume asset devaluation and increased long‐term risk. Notably, the plans have emerged as an instance of financialization‐focused politics in suburbs and suburban cities of color, specifically majority‐black and ‐Latino/a suburbs. Local support for the plans, we argue, is rooted in the long‐term disinvestment of these ‘suburbs of exception', which became targets of subprime lending and eventually sites where the ‘financial exception' has been localized. But these demographic shifts, fragmentation and fiscal pressures have at the same time created a suburban political terrain in which the plans have gained their strongest political support.     

Towards a Theory of Serendipity: A Systematic Review and Conceptualization

Serendipity – the notion of making surprising and valuable discoveries – plays a major role in the success of individuals and organizations alike. Previous research has established the importance of serendipity and identified important individual- and organizational-level antecedents. However, the literature has been dispersed and the boundaries of the concept have been blurry, leading to a lack of conceptual clarity and structure, and thus limiting validity and managerial actionability. Based on a systematic literature review, I synthesize existing management-related research on serendipity and explicate the emergence and composition of serendipity in the organizational context. I first identify three necessary conditions that differentiate serendipity from related concepts such as luck or targeted innovation: agency, surprise, and value. Then, I draw from the literature on sensemaking, event-based theorizing, and quantum-based approaches to management to conceptualize the process of cultivating serendipity in the organizational context as a process of enabling potentiality and materialization, and develop a multi-level theory of (cultivating) serendipity. This conceptualization contributes to our collective understanding of how, why, and when (i.e., under what conditions) organizations can leverage the value in the unexpected, which opens up fruitful avenues for further research.     

Accountability of NGOs in Bangladesh A critical overview

NGOs in Bangladesh have been recognized as effective change agents in the socio-economic arena throughout the world. Their contributions in micro credit, non-formal education and primary health care are widely known. NGOs play a significant role in society. NGO accountability, as a result, has become a critical issue. NGO accountability in Bangladesh has been examined here in relation to patrons, clients and themselves. Of the three relationships only accountability to patrons is in a near satisfactory state. Accountability to clients is handicapped by lack of opportunities of beneficiaries to participate meaningfully in NGO policy making. Accountability to themselves is adversely affected due to the adherence to a strictly hierarchical system and the influence of founding and charismatic NGO leaders.     

Towards an Asian model of human resource management? A comparative analysis of China,Japan and South Korea

There has been much discussion regarding the possible decline and weakening of national systems of human resource management (HRM). Yet, culture and institutions are often cited as the major stumbling blocks to this outcome. Such constraints may dissipate in the analysis, particularly if ‘regional clusters’ are considered where geographic and cultural closeness and ‘openness’ to similar economic pressures exist. In such cases, it might be postulated that convergence in HRM will occur. We argue that China, Japan and South Korea represent such a cluster. This article examines these countries, to see if a degree of convergence is taking place and if it is towards an identifiable ‘Asian’ model of HRM. A model of change is presented that distinguishes between levels of occurrence and acceptance. Details of the development and practice of HRM in each country are then set out. The article ends with a discussion and implications section and a brief conclusion.     

Ansätze und Ergebnisse anglo-amerikanischer M&A-Forschung

Based on a review of established U.S. management journals (1995–2003), six schools of thought are identified within the Anglo-American M&;A research: “Capital Market”, “Principal/Agent”, “Industrial Organization”, “Organizational Behavior”, “Human Resources” and “Strategic Management”. The literature review shows that the definition of M&;A success, the methods applied, and insights from empirical research differ according to the respective school of thought. Empirical studies focus on the resource combinations of merger partners, the specific circumstances of merger negotiations, and on integration management as antecedents of merger performance. Unfortunately, empirical findings have not yet provided reliable explanations for M&;A success. Based on the current state of Anglo-American M&;A research, the authors discuss implications for business practice, identify research gaps, and propose areas for future research.     

Introduction of New Technology with a Sound Transition of the Input-Output Structure

We examine the general equilibrium repercussions associated with the introduction of new technologies, using the generalized Leontief system that allows technological substitutions. We show that an untested introduction of cost-increasing technologies in any industry may result in creating a non-productive technological structure that does not satisfy the Hawkins-Simon condition, following the autonomous dynamic adjustment process with structural transitions in the economic system. Therefore, we propose a practicable control scheme of introducing cost-increasing technologies that strictly avoids the creation of non-productive structures in all periods of structural transition, using the available information on the ex ante technological structure.     

The Creation of the Office for National Statistics

A new Office for National Statistics was created in the United Kingdom in 1996 following a series of developments designed to strengthen the relevance and integrity of statistics. This paper describes these fundamental changes and sets out a blueprint for future progress. It also sets current developments in the United Kingdom in an historical and international context.     

What helps? Women engineers' accounts of staying on

We have considerable understanding of the obstacles that women engineers encounter and the reasons that they leave the field, but we know less about what enables them to remain. Adopting an interpretivist approach, this article examines how a group of British women engineers in two FTSE 100 companies account for “staying on” in their male‐dominated work settings. We delineate four specific forms of help that facilitate women's retention in the field. We argue that exposure to help leads to women developing a habitus that enables them to continue working in engineering. To conclude, we draw on our findings to outline HR practices that will facilitate supportive relationships in the workplace and pave the way towards developing more positive organisational climates.     

论现代物流企业的发展观

物流业经过诸多年的发展目前已经成为最热门的行业之一,物流企业的注册数量也与日俱增,达到前所未有的规模。毋庸置疑,任何企业都希望自己迅速做强做大,并成为真正现代物流企业的典型代表,要实现这一目标一个首要问题就是要解决现代物流企业的发展观问题。