中国A股的动力与阻力

2O14年7月至9月,在内外部环境好转、资金供给增长、技术调整到位、投资者信心恢复、制度改革与创新开始推进等积极因素的推动下,中国A股开始走强。但目前而言,中国A股走向长牛！存在制度障碍严重、股市结构不合理、金融泡沫较严重、投机性交易盛行等阻力。制度因素是关键,中国必须以保护投资者利益和提升股市竞争力为目标不断改进游戏规则。当前,A股制度改革的重心应该落脚在发审制度、交易制度与投资者保护制度上。     

股指期货市场金融加速器效应的实证分析

金融加速器理论认为,由于存在着摩擦成本,金融市场的波动可能是非对称的,体现为相对于扩张金融市场状态,紧缩金融市场状态下冲击的波动更加剧烈,由此产生加速效应。本文采用向量自回归模型系列对次贷危机期间S&P500股指期货市场波动状态进行了计量检验,验证了其非对称波动的金融加速器效应,揭示了股指期货市场与股票现货市场之间的风险衍生机制,旨在为我国沪深300指数期货交易的风险防范提供借鉴。     

An Investigation of Global and Regional Integration of ASEAN Economic Community Stock Market: Dynamic Risk Decomposition Approach

This article investigates the dynamic pattern of stock market relations between the ASEAN Economic Community (AEC) and two major stock markets: China and the United States. A GARCH risk decomposition model is developed to reflect the time-varying market integration. The primary findings of this study are as follows. First, the AEC is more integrated with the regional stock market than with the global stock market. Second, the movement in the AEC stock market is mainly driven by domestic economic situations. Third, external shocks only affect the level of integration of the AEC temporarily. Finally, international investors are able to significantly reduce unsystematic risk by adding an AEC market portfolio into their existing portfolios.     

金融服务一体化和中国金融业的综合经营

狭义的金融服务一体化主要是指综合经营,广义的金融服务一体化不仅指综合经营,还包括金融机构间的契约联结形式:销售协议、战略联盟和合资企业。在世界范围内出现金融服务一体化浪潮的同时,也没有掩盖金融服务业的专业化发展趋势。金融服务一体化可能导致的利益冲突问题,突显防火墙制度与市场声誉机制的重要,基于此,构建高效能的政府监管能力和培育成熟的市场就显得十分关键。中国金融业在分业与混业之间,政策一度摇摆不定,现在终于明确综合经营的发展趋向,这符合世界金融业的发展潮流,必须肯定;不过由此产生的利益冲突问题,又需要我国在推进综合经营时必须谨慎对待。     

US, UK and European Stock Market Integration

Abstract:   This paper examines long‐run convergence between US, UK and seven European stock markets. We report evidence to suggest that while real short‐run diversification gains may occur, in general they tend to be short‐lived. However we also find that US and UK markets are relatively less bound to a common trend, which would imply that increased stock market merger activity, and any transition to the European common currency by the UK, may lead to relatively large stock market adjustments as markets adapt to these institutional changes.     

Financial Integration of Large- and Small-Cap Stocks in Emerging Markets

This study examines the financial integration of large- and small-cap stocks in twenty-three emerging markets to determine their degree of market integration with the world market. The international asset pricing model cannot be rejected for most large-cap stock portfolios, but it is rejected for small-cap stock portfolios. The findings also demonstrate that super-large-cap stocks have the fewest pricing errors and their global financial integration has increased in recent years. In sum, the empirical results indicate that global market integration is primarily associated with the super-large-cap stocks of large emerging markets.     

信息整合发展特征趋势研究

整合已经成为各类组织管理主要矛盾,信息整合是实现各类资沂优化配置的重要手段,本文探讨了信息整合发展特征及其趋势。     

金融危机背景下中国金融衍生品市场的发展

本轮金融危机被冠以衍生品泛滥之名,使得国内对发不发展和如何发展我国金融衍生品市场产生纷争。本文通过分析指出本次危机是系统性危机,金融衍生品是其复杂传导链条中的一个环节,不应担当危机爆发的主要责任。通过中美金融衍生品市场的比较,发现我国金融衍生品市场仍处于初级阶段,与差距逐渐缩小的中美债券市场规模、中美经济总量规模相比,中国金融衍生品市场发展缓慢,市场发展空间巨大。最后指出我们应该深化基础市场建设,逐步建立多层次的金融衍生产品市场结构,并建议商业银行培育自身金融衍生产品的核心竞争力,提升风险管理水平。     

农村金融市场结构与综合绩效关系实证分析

本文通过对驻马市店农村金融市场结构与市场综合绩效关系的实证研究,发现驻马店市农村金融市场竞争程度和该地区的农村金融深化程度存在着长期均衡关系,即农村金融市场竞争愈偏离充分竞争时,农村金融深化水平愈低,反之,农村金融市场竞争愈充分时,农村金融深化水平愈高;驻马店市农村金融市场竞争程度的变化会影响该地农村金融深化水平,反之,不存在必然的因果关系.     

对中国股票市场费雪效应及相关“波动性假说”的检验

本文利用我国1991年1月到2007年12月的月度数据对我国股票市场实际通货膨胀与股票收益的关系进行了实证分析,结果发现:与费雪效应相反,我国通货膨胀率与股票收益呈负相关关系,而且在对解释这种负相关关系的波动性假说(the Variability Hypothesis)的检验中,发现该假说能够解释我国股市股票收益与通货膨胀之间所呈现的这种负相关关系。     

投资者关注与分析师评级漂移——来自中国股票市场的证据

本文使用一个直接源自于投资者行为的新颖变量——财经互动社区的超额发帖量——作为投资者关注的代理变量,发现投资者关注可以用来解释分析师评级的漂移现象,即针对分析师评级变动,股价的立即反应随着投资者关注的增加而增强,股价的漂移随着投资者关注的增加而减弱,同时发现投资者关注对股票交易量具有显著正向的作用。     

我国基金选股选时能力实证分析

本文运用西方基金绩效评价中较为常见的选股选时能力模型及其FF3改进模型对我国证券投资基金进行实证研究,在处理过程中考虑了不同取样频率和不同样本区间的影响.研究结果表明:(1)我国基金只存在很小程度的选股能力,而基本不存在选时能力,更没有基金同时具有选时能力和选股能力;(2)多因素改进模型与原模型相比显著提高了解释能力,说明在可能的情况下应尽可能使用多因素模型;(3)加快取样频率后基金表现出更强一些的选股能力,但在各年度内基金的选股能力有所差异.     

网络金融信息量与沪市A股价格表现的关联性

本文将网络金融信息流信息量及其算术变动量引入到EGARCH模型中,对沪市A股价格ARCH效应进行网络金融信息流角度的再解释.结果显示,引入前期网络金融信息量后,EGARCH模型拟合度得到了显著改善,对价格变动量序列自相关异方差部分的解释力明显增强;实证回归的方程式中信息量的系数准确刻画出了样本序列ARCH效应依赖网络金...     

Monetary and Financial Cooperation Between China and the One Belt One Road Countries

ABSTRACT

Based on the theory of optimal currency area (OCA), we calculate the OCA index between China and the OBOR partners with the expressed objective of identifying which partners exhibit monetary and financial compatibilities, and hence present the best potential in terms of cost and benefits. Our findings suggest that among South East Asia region, Malaysia exhibits the highest compatibility and profit potential, followed by Thailand and Vietnam. For the East European area, Poland and Croatia show the best potential in terms of monetary and financial cooperation; with the Czech Republic as close third. Based on our computation, currently Central Asia and the Middle East do not possess the condition or potential for beneficial financial and monetary collaboration.     

Diversification with American Depository Receipts: The Dynamics and the Pricing Factors

This paper studies the role of American Depository Receipts (ADRs) in international diversification by using a sample of 113 ADRs from eight foreign countries over 1980–1994. We find that investing in ADRs offers significant improvement in the risk-return trade-off. The effectiveness of ADRs as a vehicle for long-term international diversification is further examined by performing cointegration analysis between ADR and the respective market portfolios. Consistent with Webb, Officer and Boyd (1995), we also find that the movements of ADR and the foreign market are highly correlated. Moreover, the pricing factors of ADRs are further investigated in a GARCH framework.     

印度股票市场改革的经验与启示

印度股票市场改革对中国的启示主要在于,作为一个转型经济国家在发展金融市场尤其是股票市场的过程中出现某些消极问题在某种意义上是可以的,关键在于改革者要在既定的约束条件下完善相关的制度和规则,从而引导相关利益主体的行为以实现效率改进,同时在制度移植和模仿方面要注意有关的适用条件,在改革方式上宜快则快。     

基层央行金融管理的资源整合与机制重构:滕州案例

中国人民银行滕州支行通过成立管理检查部,在整合金融管理资源的同时,积极创新金融管理机制,取得了良好效果。滕州支行的实践表明,在现有条件下,部分县支行完全可以履行好金融管理职能,但前提是充分整合各类监管资源,立足人行工作职能进行管理范围拓展和管理成果应用.     

经济一体化与金融区域化--长江三角洲经济发展中的金融联动策略研究

在21世纪的中国经济发展蓝图上,经济一体化与金融区域化将是必然趋势.长江三角洲地区作为目前中国最具经济发展潜力的区域,其金融整体协调联动对于该地区乃至全国经济发展都具有重大意义.本文立足于寻求长三角地区金融联动的有效策略,深入分析了该地区经济发展的现状和金融资本流动的实际,通过对长三角15个城市综合经济实力以及当地工商银行经营质态的翔实比较论证,剖析其优、劣势所在,探索应如何紧紧抓住长三角经济一体化进程中的机遇,主动加强与沪浙两地分行合作、交流的近期和中长期联动策略,共同推进工商银行在本区域的新发展.     

韩国证券市场的发展历程、特征及其启示

本文通过回顾韩国证券市场自20世纪50年代以来的发展历程,认真梳理和总结了韩国证券市场发展过程中的成功经验和失败教训,以期对我国证券市场的发展提供借鉴。     

Sources of Systematic Risk in Futures and Spot Markets: A Study of Market Integration

This article explains the implications of asset market integration for the decision making process of market participants and tests the integration between futures and spot markets. Integration is investigated with respect to the hypothesis that the sources of systematic risk in futures and spot markets command identical risk premia. While the futures and the spot markets for currencies and equities are integrated, we present new evidence that the futures and commodity spot markets are segmented. Such results are of primary importance to investors who use asset pricing models to adjust the risk-return trade-off of their portfolio and evaluate portfolio performance.