经济发展对房地产发展的启示

在2012年1月到3月的时候,我们完成了的关于经济发展对房地产发展的调研报告。这个调研非常全面,超过50个海内外开发商、以及第三方独立机构参与其中。参与调研的对象,有40％为本地开发商、以及房地产相关企业,而剩余的60％都是海外第三方的独立机构。因此可以说,这是个非常公正的调研。     

A股上市公司审计意见购买研究

提高审计费用是审计意见购买的主要实现方式,且在现阶段,国内审计收费主要受审计业务工作量影响.因此,采取实证分析方法,以A股上市公司为样本,通过分析其审计费用异常增长情况,可以大体推断出近年来部分上市公司存在审计意见购买的重大嫌疑,该部分公司占整个市场比重应在2%以上.同时中国证监会的查处也进一步予以验证,由此可以提出加强会计师事务所报酬披露和监管的建议.     

中国物流市场竞争因素分析

围绕影响市场重新分割的4个主要因素:品牌效应、客户需求导向、价格因素以及技术应用程度,分析了中国物流市场的发展变化趋势。     

我国物流市场的区域差异分析

首先运用因子分析法对我国31个省（区、市）物流市场的差异作了分析，得出3个主要因子。然后以这3个主要因子为新变量，采用聚类分析法将31个省（区、市）分为5个层次，分别代表不同的物流需求程度。最后结合我国物流市场的实际情况加以定性分析。     

中国需要“并购机器”进入国际市场

中国公司正在走向全球。他们试图通过收购海外公司进入到战略同盟和合资企业,从而渗透到海外市场。但他们大都失败了。比如联想收购IBM个人电脑业务．明基收购西门子电话业务和TCL收购法国汤姆逊公司。     

Towards estimating the demand for money in China

The demand for money in China is estimated separately for the periods before and after the economic reform. Besides the traditional transactions demand variable, the expected rate of inflation (as a measure of the opportunity cost of holding money) and the monetization process are also incorporated into the demand function. The preliminary results show that the demand for money in China has changed in response to the institutional changes during the economic reform. Adding the monetization and inflation expectation variables into the money demand function has enhanced significantly its explanatory power.     

重大风险事件对中国商品期货市场的冲击效应——基于学生分布的随机波动模型

为检验重大风险事件对我国商品期货市场的冲击效应,本文在构建基于重大风险事件的随机波动模型的基础上,运用贝叶斯MCMC推断技术对中国商品期货市场进行了实证研究。实证结果表明:经济事件、政治事件和自然灾害对中国商品期货市场的收益和波动均存在显著的冲击,并且,"利好事件"和"利空事件"对收益和波动的影响均具有显著的不对称特征;相对而言,各类事件对期货市场影响的显著性、程度和方向既存在一定共性,也具有个体差异。     

基于长记忆的中国期货市场实证研究

通过某期货公司研发部编制的期货指数,基于长记忆研究方法,运用经典的R/S分析、修正的R/S分析,分别建立了研究长记忆的ARFIMA模型、FIGARCH模型和ARFLMA-FIGARCH模型。并运用这些模型对我国上海期货交易所的铜、铝、大连期货交易所的大豆、玉米、豆粕以及郑州期货交易所的小麦的收益率序列进行相关研究和分析,得出它们的收益率序列以及收益率波动序列均存在长记忆性,且ARFLMA(0,d1,0)-FIGARCH(1,d2,0)模型的预测效果较好。     

我国股票市场上艾略特波浪模式存在性初探

上证指数是描述中国股票市场运动状况的重要代表,Fibonacci数列包含了艾略特波浪模式中重要的数量特征。本文验证了在艾略特波浪模式下,上证指数中黄金比率和Fibonacci数字的存在性,给出了我国股票市场上艾略特波浪模式存在的一个重要实例,是对股票价格随机游动假说的一个冲击。     

Capital Markets

The efficiency of security market is necessary for the harmonious growth of capital market, and more particularly in an emerging economy. This paper looks at the case of the Thai stock market, and uses statistical tests based on stratified samples of stocks on weekly data over a four year period. The tests check the normality of the price lag and the correlations over a 6 period lag. As a conclusion, the tests indicate* that only few stocks conform to the weakform efficiency market hypothesis. The authors make specific recommendations to improve the efficiency of the market as a whole.     

Managerial Agency Costs of Socialistic Internal Capital Markets: Empirical Evidence from China

This study provides empirical evidence of managerial agency costs in socialistic internal capital markets. Listed Chinese companies are required to disclose the amount of resources that are reallocated to other firms of the parent company, which provides us with a direct measure of the socialistic subsidization of weak member firms by strong member firms within a business group. We hypothesize that in strong member firms, managerial compensation is less sensitive to firm performance because cross‐subsidization makes it difficult for group CEOs to hold the managers in strong firms accountable for their own firms' performance, and also increases the noise in performance measures. We also hypothesize that socialistic cross‐subsidization results in an increase in managerial agency costs of strong member firms due to the low pay‐performance sensitivity and low incentive to work hard. We document empirical results that are consistent with these two predictions.     

中国大陆与其主要贸易伙伴股市间的极值关联性

本文运用尾部相依系数作为度量极值关联性的工具,首先研究中国加入世界贸易组织后大陆股市与七个主要贸易伙伴股市的极值关联性强弱,即股市同时极端下跌的风险性大小;其次研究中国加入世界贸易组织前后大陆股市与世界股市整体的极值关联性变化情况。结果发现：相比欧美股市,中国大陆股市与亚洲股市联系更紧密,同时发生极端下跌的可能性更大。整体而言,中国大陆股市与世界其他股市配置资产已无法完全分散极值风险。因此,若投资者在中国大陆股市进行投资的同时也寻求其他国家或地区股市,为了降低极值风险发生的概率,应选择欧美国家的股市。     

我国企业债券市场的制度性缺陷分析及建议

一 按传统金融学定义,金融市场是拥有独立财产权的所有者在其中进行借贷的场所或机制.因此,企业债券市场能规范化存在的前提是整个市场参与者必须具有清晰的产权制度,否则,不可能形成有序的债券市场.但从我国企业债券市场的产生和发展过程来看,我国企业债券市场开发是在传统的国有产权制度框架内进行的.而传统国有产权制度一个典型的缺陷是国有企业并不真正拥有独立财产权,因而制约了我国企业债券市场的迅速发展.     

中国B股市场收益波动的非对称性研究

本文运用ARMA—EGARCH及ARMA—TARCH模型，以1993年1月以来沪深两市的B股指数的日收益为研究样本，检验中国B股市场是否存在波动的非对称性，结果表明：收益率波动的非对称性没有表现出明显的阶段性特徵，除了沪市B股市场在2001年以後表现出较弱的杠杆效应外，沪深股市在其它时间段都表现为反向的非对称性或非对称特徵不显着。     

Make Markets Work

In previous issues leading public figures have indicated the desirable con tent of British economic policy. Roger Fox, an economist, and Kenneth Judge, a sociologist, who advise the SDP, argue, first, that more me should be made of the market, even where it disturbs established interests, and, secondly, that private financing should be used for social services.     

Keynes On Markets

A bstract . The heart of modern economics is the study of "the market," eventually ensuing in the General Equilibrium model. J. M. Keynes ignored, this line of inquiry but from 1907, when he was at the India Office, to the 1940s, when he made proposals for the post-war reconstruction of the financial system , he often addressed himself to the functioning of markets. He is critical of many markets for promoting instability , and especially for embodying low values (greed, fears). It is suggested that Keynes' views on markets were shaped by his personal experiences as an investor; by his realistic, non-theoretical approach; by his anti-Benthamite values and by his sensitivity to the unemployment and "chaos" they often caused.     

Intermediation in Search Markets

In markets, in which exchange requires costly search for trading partners, intermediaries can help to reduce the trading frictions. This intuition is modeled in a framework with heterogeneous agents, who have the choice between intermediated exchange and search accompanied by some bargaining procedure. The equilibria of such a game are characterized. In the case of a monopolistic intermediary, the tradeoff between the bid-ask spread and the costs of delay during private search determine the intermediary's clientele. In equilibrium the monopolist charges a positive spread. Traders with large gains from trade prefer to deal with him, whereas traders with relatively low gains from trade engage in search. In case of competition among intermediaries, the classical Bertrand result obtains, and bid and ask prices converge to the (unique) Walrasian equilibrium price. Thus, in the confines of the model, the Walrasian auctioneer of the market under consideration can be replaced by competing intermediaries. In addition a multiplicity of subgame perfect Nash equilibria emphasizes the coordination problems inherent in models of intermediation.