An empirical study to identify shift contagion during the Asian crisis

The paper is an empirical study on contagion during the 1997–1998 Asian crisis. In line with Sander and Kleimeier [Sander, H., Kleimeier, S., 2003. Contagion and causality: an empirical investigation of four Asian crisis episodes. International Financial Markets, Institution and Money 13, 171–186], Granger causality among Asian economies on sovereign debt market is tested. Using a new measure of causality, we attempt to show the existence of shift contagion defined as significant differences in cross-markets links between tranquil and crisis periods. Firstly, non-existent links during the tranquil period play a key role during the crisis. Secondly, causality directions give evidence of the major influence of the South Korean crisis which seems to prevail on investors to reassess the whole region.     

中国货币替代与铸币税经济关系的实证分析

本文对中国2002-2007年上半年间货币替代率与铸币税之间的经济关系进行了深入分析。样本考察期内数据的统计分析表明,中国的货币替代率近几年一直呈下降趋势,而与其相对应的铸币税则呈波动性的上涨趋势,且铸币税的波动幅度远大于货币替代率的波动幅度;协整关系研究表明,中国的货币替代率与铸币税之间有着稳定的均衡关系,即长期内随着货币替代率的增加或减少,政府的铸币税收入也将相应呈减少或增加趋势;动态关系研究表明,货币替代率的短期冲击明显大于误差修正机制的长期调整力度。此外,研究还表明,货币替代率与铸币税之间互为Granger因果关系。     

汇率制度改革后中国股市与汇市关系——人民币名义汇率与上证综合指数的实证研究

本文利用协整检验和Granger因果检验的计量方法研究了汇率制度改革后中国股市与汇市的关系。实证结果表明,汇率制度改革后中国股市与汇市存在长期稳定的协整关系,人民币升值是中国股市上扬的单向Granger原因。最后,本文利用国际收支和资本流动理论对这些实证结果作了进一步解释,并提出了相应的政策建议。     

Tick size change on the Stock Exchange of Thailand

This paper explores the impact of an exogenous tick size reduction on bid-ask spreads, depths, and trading volume on the Stock Exchange of Thailand (SET). On November 5, 2001, the SET implemented a tick size reduction on stocks priced below THB 25. Even though trading on SET is largely dominated by retail investors, the tick reduction produces similar empirical results found in markets where institutional investors are more dominant. Tick reduction on the SET is associated with declines in spreads, and quoted and accumulated market depths. The study finds no significant change in trading volume due to the reduction.

A change in market microstructure: the switch to electronic screen trading on the New Zealand stock exchange

The New Zealand Stock Exchange (NZSE) switched from open outcry trading to an electronic screen trading system on June 24, 1991. The change was made by the members of the exchange to improve the trading system and to reduce costs. This paper investigates empirically whether improvement was achieved through a reduction in transaction costs. The tests and results focus on order-flow migration to the exchange from alternative execution locations and changes in bid-ask spreads. On balance, we conclude that transaction costs have declined.     

Hawkes model for price and trades high-frequency dynamics

We introduce a multivariate Hawkes process that accounts for the dynamics of market prices through the impact of market order arrivals at microstructural level. Our model is a point process mainly characterized by four kernels associated with, respectively, the trade arrival self-excitation, the price changes mean reversion, the impact of trade arrivals on price variations and the feedback of price changes on trading activity. It allows one to account for both stylized facts of market price microstructure (including random time arrival of price moves, discrete price grid, high-frequency mean reversion, correlation functions behaviour at various time scales) and the stylized facts of market impact (mainly the concave-square-root-like/relaxation characteristic shape of the market impact of a meta-order). Moreover, it allows one to estimate the entire market impact profile from anonymous market data. We show that these kernels can be empirically estimated from the empirical conditional mean intensities. We provide numerical examples, application to real data and comparisons to former approaches.     

An empirical examination of the impact of market microstructure changes on the determinants of option bid-ask spreads

This paper examines the determinants of bid-ask spreads in the Australian Options Market before and after it switched from a quote-driven floor-traded market to an order-driven screen-traded market. This study reports that both put and call option bid-ask spreads are positively related to the option's value, its remaining term-to-maturity, its absolute hedge ratio and the volatility of returns from the underlying asset and negatively related to the level of trading activity in that option series. The study also reports that spreads are generally less when market makers are obliged to maintain continuous quotes in the market. The paper also finds that following the change in trading regime, both call and put option spreads became more sensitive to the absolute value of the option's delta. This finding is consistent with previous theoretical and empirical work from equities markets that has suggested that a switch to an electronic trading regime results in an increase in the adverse selection component of the bid-ask spread. There is also some limited evidence that suggests that the switch to electronic trading resulted in call option spreads being less sensitive to the return volatility of the underlying asset but more sensitive to the option's price.     

An empirical investigation of trading on asymmetric information and heterogeneous prior beliefs

The purpose of this study is to identify and analyze inter-temporal trading patterns attributable to informed trading. Recent theoretical models posit that heterogeneous prior beliefs provide a source of trading volume in addition to the commonly accepted trading motives of liquidity and asymmetric information. After separating informed from uninformed trading using the estimation procedure of Easley et al. [Journal of Finance 51 (1996) 1405], we test for the presence of trading on heterogeneous beliefs as opposed to asymmetric information. The empirical findings confirm the existence of trading on heterogeneous prior beliefs and generally support the inter-temporal patterns proposed by Wang [Journal of Financial Markets 1 (1998) 321].     

我国保险业与经济增长关系的实证研究

为研究保险业和经济增长的关系,选取2001～2011年我国大陆30个省份(不含西藏)保险密度和人均GDP的面板数据,分别进行全国以及区域(东部、中部、西部地区)的保险业和经济增长之间的长期、短期及因果关系检验,分组计算经济增长对保险业发展的贡献度,得出如下结论:全国层面经济增长是保险业发展的重要因素,保险业发展又反过来促进了经济增长;区域层面经济增长和保险业发展之间的关系不一致,保险业发展与经济发展不协调。     

An information-based model of target stock price runup in the market for corporate control

The stock price runup of target firms in the market for corporate control has been anecdotally attributed to inside trading. Moreover, the empirical merger and acquisitions literature documents a time-varying level and duration of the stock price runup of target firms. Using a market microstructure approach, we model stock price runup as a stochastic process that shifts between a random walk without drift and a predictable process dependent on a parsimonious set of state variables. Consistent with the market microstructure literature, predictability in prices can be exploited only by the informed trader. The model is capable of explaining the complex stylized facts observed in stock price runup. It is also consistent with the merger wave literature, as we find that capital liquidity, economic growth, and market valuations drive the complex dynamics of stock price runup.     

Determinants of Exchange Market Pressure in Turkey: An Econometric Investigation

This paper investigates the hypothesis that there is a causal relation between speculative pressure and real exchange rate overvaluation, banking-sector fragility, and the level of international reserves in Turkey. An autoregressive distributed lag (ARDL) bounds-testing procedure and Granger causality within vector error-correction models (VECM) are applied to the period after the liberalization of capital flows (August 1989-August 2006). The results of the ARDL bounds test support the theory that exchange market pressure is in a long-run equilibrium relation with the three hypothesized variables over the sample period. On the other hand, the results of the short-run and long-run Granger causality tests indicate the existence of Granger causality running from the three variables to exchange market pressure. The findings further suggest that a feedback relation exists between banking-sector fragility and exchange market pressure.     

The Informational Efficiency of the Equity Market As Compared to the Syndicated Bank Loan Market

The loan market is a hybrid between a public and a private market, comprised of financial institutions with access to private information about borrowing firms. We test whether this is reflected in informationally efficient price formation in the loan market vis-a-vis the equity markets, and reject this private information hypothesis. We also reject a liquidity hypothesis which suggests that equity markets always lead loan markets, despite bank lenders' access to private information, because of greater liquidity in equity markets. We further test, and reject, an asymmetric price reaction hypothesis that states that loan returns are more sensitive to negative information whereas equity returns respond symmetrically to both positive and negative information. We find evidence most consistent with an integrated markets hypothesis that suggests that both the equity and syndicated bank loan markets are highly integrated such that information flows freely across markets. This is particularly true when the equity market makers are also loan syndicate members.      

Regional Housing Prices in the USA: An Empirical Investigation of Nonlinearity

Existing literature on housing prices is predominantly in a linear framework, and an important question that has not been addressed is whether housing prices exhibit nonlinearity. We examine Smooth Transition Autoregressive (STAR) model based nonlinear properties of housing prices over the 1969–2004 period for the entire US and the four regions. Our main findings are (1) housing price for the entire US and all regions except for the Midwest show non-linearity, (2) the dynamic properties implied by the nonlinear estimation explain the typical patterns that have characterized each housing market, and (3) results of Granger causality tests look more plausible in the nonlinear framework where we find stronger evidence of Granger causality from housing price to employment and also from mortgage rates to housing price.

增值税转型对财政收入影响的实证研究——以吉林省为例

本文以吉林省为例,实证分析了增值税转型对财政收入的影响。结论表明:局部转型不会给中央财政收入带来较大冲击,短期内地方财政收入存在减少的因素、但影响并不大,对个别以单一产业结构为主的市县财政收入有一定的影响。Granger因果检验表明,增值税对财政收入变化产生的影响效应需要滞后4年才能显现出来;协整分析表明,增值税与财政收入之间存在着长期稳定的均衡关系,增值税转型政策在短期内会对财政收入产生一定的影响,但这种影响效应较小。     

企业金融学的研究范式及其架构--西方公司金融学的借鉴与我国财务管理学范式转换

我国传统财务管理学主要研究单纯的财务技术,将制度、金融市场视为分析框架的外生变量,导致了理论与现实的缺失.西方公司金融学为传统财务管理学的研究范式转换提供了重要的借鉴.鉴于非公司制企业的重要地位,采用企业金融学的命名可以比公司金融学更能广泛地反映该学科所关注的企业对象.企业金融学以"企业"现实和"金融"现实为研究出发点,着重研究制度、金融市场和财务技术三个基本要素及其交互关系,从而实现了对传统财务管理学的拓宽和发展.     

Examining the Effect of Globalization on Insurance Activities in Large Emerging Market Economies

This study applies the cross-sectionally augmented distributed lag long-run estimation technique alongside bootstrap panel Granger causality testing to examine the impact of globalization on insurance market activities in large emerging market economies. Economic, social and political globalization indices are considered separately. Two alternative measures of globalization (de facto and de jure) are also used in each case for our estimations. The empirical results confirm the following; first, empirical outcomes are slightly sensitive to the choice of globalization measure used. Second, cross-sectional dependence and cross-country heterogeneity exist among large emerging market economies. Third, causality varies across large emerging economies with different conditions. We make a case for de facto measures as the most appropriate since they reflect actual practices rather than policy claims. We thus reach the conclusion that all dimensions of globalization positively impact life and non-life insurance density.     

Price leadership and asynchronous movements of multi-market listed stocks

We examine the asynchronous price movements of the same assets traded on multiple markets, each of which has its unique characteristics. Differently from the existing literature, we use a dynamic structural Vector Autoregressive (VAR) setting to explore the effects of market-wide and idiosyncratic shocks on both home and host listings. We find strong evidence that foreign prices lead home prices, but not the reverse effect. Contrary to theory predictions, investors in the firms’ home market respond to idiosyncratic fluctuations in the stock returns in the host markets. Our results suggest that investors pay attention to fluctuations in the stocks listed on the more institutionally developed markets.     

中国A股量价之间动态关系的实证研究

本文采用了VAR模型以及Granger因果检验的方法来考察量价之间的动态相关关系。我们选定1996年12月16日至2008年12月31日作为样本研究区间,实证发现滞后期的交易量和收益对当前期交易量与收益的解释力度存在下降趋势;同时,交易量同收益之间由收益对交易量的单向引导发展为双方互为Granger原因。本文得到的交易模式的动态演变轨迹反映了我国投资者式逐步趋于理性成熟。     

Performance-weighted ensembles of random forests for predicting price impact

For any large player in financial markets, the impact of their trading activity represents a substantial proportion of transaction costs. This paper proposes a novel machine learning algorithm for predicting the price impact of order book events. Specifically, we introduce a prediction system based on ensembles of random forests (RFs). The system is trained and tested on depth-of-book data from the BATS and Chi-X exchanges and performance is benchmarked using ensembles of other popular regression algorithms including: linear regression, neural networks and support vector regression. The results show that recency-weighted ensembles of RFs produce over 15% greater prediction accuracy on out-of-sample data, for 5 out of 6 timeframes studied, compared with all benchmarks. Feature importance ranking is used to explore the significance of various market features on the price impact, finding them to be highly variable through time. Finally, a novel procedure for extracting the directional effects of features is proposed and used to explore the features most dominant in the price formation process.     

国内外石油价格波动性溢出效应研究

本文分析了国内外石油价格波动传导机制与国内外石油价格波动的典型化事实 ,将动态相关系数的多变量随机波动模型与固定系数的Granger波动性因果关系模型结合起来,构建了动态相关系数的带Granger因果检验的多元随机波动模型(DGC-MSV),并实证检验了美国、英国和中国的石油现货价格之间、期货价格之间以及期货价格与现货价格之间的波动溢出效应,主要得到如下结论:中国、美国、英国石油期货价格、现货价格波动性之间的相关系数都是动态变化的;中国石油现货价格受美国石油现货价格的波动溢出影响,而同时中国石油现货价格又对美国和英国的石油期货价格波动有显著溢出效应;英国和美国的石油现货价格之间、石油期货价格之间都具有双向波动溢出效应;中国石油市场的金融属性低于英国和美国石油市场。最后提出一些对策建议。