股指期货对A股波动性的影响

鉴于GARCH模型适合研究金融时间序列的方差随时间变化的情况,笔者采用该模型研究股指期货的推出能否减少股票市场的波动性。本文选取股指期货推出前后一年的沪深300指数的日收盘价作为原始数据,通过建立GARCH模型就股指期货对股票市场波动性的影响进行了实证研究,结果显示,股指期货的引入在一定程度上降低了我国股票现货市场的波动性,但不显著。     

跨品种期货套利交易最优保证金比率设计——基于Copula函数及极值理论的研究

文章主要研究期货交易中最优风险保证金的比率设定问题,通过考虑变动保证金的设定来弥补目前固定保证金不足的问题。在期货套利交易保证金问题上,文章给出了商品期货套利交易保证金的测定理论。在测定的过程中,引入了收益率的非对称Laplace分布和GARCH-T函数分布,在Gumbel Copula函数的基础上,应用蒙特卡洛模拟算法对两种商品的套利交易的保证金问题给出了测定,并以豆油和豆粕期货为例,选取时间序列进行了实证研究,得出结论:套利交易的保证金水平在理论上小于非套利交易下两单独品种保证金的收取之和。此外再结合极值理论,在改进VAR的基础上,得出在极端情况下的套利交易的最优保证金比率设计。     

基于三期模型框架的噪音交易和有限套利条件下的基金经理投资行为研究

笔者利用三期模型框架,考虑噪音交易和有限套利两个约束条件,构建噪音交易者、基金投资者和长短期套利基金的投资行为模型,分析长、短期套利基金的投资业绩及其差异。研究发现:无论第2期后市场悲观情绪更加恶化或得到改善,短期套利基金的投资行为对基金投资者都是有害的;长期套利基金由于追求长期收益最大化,对基金投资者是有益的;基金投资者可以根据基金经理在第1期的投资行为及其仓位,识别是短期套利基金还是长期套利基金。     

Arbitrage opportunities in frictionless markets with sophisticated investors

An example shows that when preferences change over time and consumers are sophisticated, it is possible that arbitrage opportunities exist in frictionless markets, even in equilibrium. The author would like to thank Han Bleichrodt, P. Jean-Jacques Herings, and Peter P. Wakker for helpful suggestions.     

基于R2的中国股市私有信息套利分析

R2在统计学中是模型对实证数据拟合优度的度量指标,自Roll(1988)R2开创性研究后,R2在金融学研究中得以更为广泛地度量应用。遗憾的是,在对Roll(1988)进一步研究中所进行的大胆理论延伸,造成了R2在金融领域度量标准在经济意义上的混乱。本文通过对现有文献的梳理、解读和评价,采用逻辑演绎的方法推导出R2可作为私有信息套利的度量指标。本文对2005—2007年上证180中的140只股票进行实证研究表明:(1)几乎所有股票都存在着私有信息套利,且60%的股票私有信息套利程度较深。(2)通过面板模型进一步分析了影响私有信息套利的主要变量,发现上市公司第一大股东持股比例、限售股比例与R2存在显著的负相关关系,机构投资者持股比例、股权分置改革完成时间、公司规模与R2存在正相关关系。     

Arbitrage and equilibrium in strategic security markets

Summary. In view of the fundamental price taking hypothesis, arbitrage is never compatible with equilibrium in Walrasian markets because the existence of an arbitrage opportunity in a competitive situation always leads to unbounded arbitrage activity. In strategic markets however, the mere effort of individuals to profit alters market clearing prices and thus distorts arbitrage opportunities as well. This observation suggests a different relationship between arbitrage and equilibrium, than in the competitive model. Indeed, we show that in such markets a spread between the cost of a portfolio and its returns is compatible with equilibrium. We provide an example of an equilibrium where a resourceless individual holds a portfolio with zero cost and positive return in every state. We further demonstrate via an asymptotic result, that no arbitrage is intimately related to price taking behaviour.Received: 8 September 2001, Revised: 6 March 2003, JEL Classification Numbers: G12, D4, D5, D52. Correspondence to: Leonidas C. Koutsougeras     

监管分立与金融综合化冲突下的私募基金横贯规制

金融综合化转型和分业监管体制的冲突导致了我国私募基金规制的监管竞争、监管纵容和监管套利.同质性的私募基金产品适用差异较大的监管规则,直接影响金融市场的公平竞争和投资者利益保护.要尽快打破基于有限理性的分业监管者和金融企业达成的无效率默契僵局,规则层面上的统合立法就成为在规避分业监管体制改革难题的同时还能推进制度供给的必然选择.以基金法修订为契机,建议重点从明确法律属性、市场竞争和投资者利益保护三个方面进行私募基金横贯规制.     

市场非均衡、知识与企业家过程

熊彼特和柯兹纳对企业家作用的不同看法直接导致了他们对企业家过程的不同理解。实际上他们所描绘的是两种不同类型的企业家,即创新型企业家和套利型企业家,这两种不同类型的企业家分别承担了创造性破坏和恢复均衡的职责。这两种企业家在经济增长中的作用是互相补充、互相依存的,两者共同构成了一个完整的、动态的企业家过程。在这个动态循环体系中,企业家知识是环流的介质。它的实质是企业家知识在市场中被创造、扩散、发现和吸收利用的过程。     

Elimination of arbitrage states in asymmetric information models

In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium prices are determined, may still refine their information by eliminating sequentially “arbitrage state(s)”, namely, the state(s) which would grant the agent an arbitrage, if realizable.      

套利型创业、创新型创业与中国经济增长

在探讨套利型创业和创新型创业对经济增长效应机理差别的基础上,运用扩展的柯布-道格拉斯生产函数,结合2002-2014年中国省际面板数据,实证考察市场化进程中创业类型对中国经济增长的影响及其阶段性差异。结果表明,在不考虑协同效应的情况下套利型创业尤其是技术套利型创业对我国经济增长有显著促进作用,创新型创业的影响则不显著。但在市场化协同作用下,创新型创业经济增长效应的显著性和影响系数均大幅提高,套利型创业对经济增长的促进作用则显著下降。同时,门限回归检验发现,创业类型与市场化协同效应对经济增长的影响存在显著阶段性差异。     

To outsource or not to outsource in an integrated world

This paper investigates outsourcing decision under certainty and uncertainty. When the production activity can be fragmented into two or more processes, an integrated firm must be competitive in each of the fragmented processes. There are gains from outsourcing when factor prices differ between countries. When factor prices are not equalized internationally, a firm may outsource the process which uses its scarce source intensively. If the cost of outsourcing is lower in the foreign country, full outsourcing occurs under certainty. However, even if the outside supplier has a cost advantage, uncertainty in outsourcing cost ensures that partial outsourcing is optimal for risk-averse firms.     

Sustained output growth under uncertainty: A simple model with human capital

In a model where agents use their labour/education choice to adjust their consumption profile over time, I show that the impact of uncertainty on growth depends, critically, on agents’ attitudes towards risk, reflected by the coefficient of relative risk aversion. In this respect, the well known result from the literature on ‘saving under uncertainty’ can be extended into a broader context, whereby the intertemporal profile of consumption is determined via human capital accumulation rather than saving and physical capital investment.     

俄罗斯金融市场套利交易的形成、影响及启示

20世纪90年代以来,俄罗斯在高度开放和自由的经济环境下,开展金融自由化改革,由此导致大量资本通过外债形式进入俄罗斯金融市场进行套利交易,套利资本推动俄罗斯经济、金融业的发展。而当套利资本迅速撤离俄罗斯市场时,俄罗斯金融市场就出现了银行业流动性吃紧、大规模抛售卢布现象,俄罗斯经济受到重创,最为典型的是1998年和2008年俄罗斯爆发的金融危机。文章试图通过研究俄罗斯的套利交易形成的影响因素,深刻理解俄罗斯金融危机。近年来,人民币不断升值,人民币跨境清算范围不断扩大,中国也面临着"热钱"监管压力,研究俄罗斯套利交易,对中国具有重要的借鉴意义。     

资产价格泡沫研究述评:实验金融学视角

本文从实验金融学的视角介绍了资产泡沫最新的定义和分类,阐述了投机性泡沫、理性泡沫与非理性泡沫之间的区别和联系,着重从信息对称、信息不对称、有限套利泡沫、异质信念和实验金融五个方面系统评述了资产价格泡沫理论的发展历程和新进展,指出该领域进一步的研究方向和中国开展资产价格泡沫研究的重要意义。研究表明,随着现代金融学的高速发展,学界对资产泡沫的研究日益深入。特别是非理性和实验金融学视角的引入,突破了传统金融框架的束缚,为这一课题研究带来了新的认知和理解。即便如此,目前仍无法根除资产泡沫产生的可能性。很多相关问题,如资产泡沫产生的时间和根本原因,仍然等待着学者们去探索和研究。     

Competitive prices for a stochastic input–output model with infinite time horizon

Consider a one-sector stochastic input–output model with infinite time horizon. The technology in each time period exhibits constant returns to scale on positive linear combinations of a finite number of basic input–output pairs. Furthermore, perfect information is available as a filtration generated by finite partitions of the state space. By definition, competitive prices require expected profit maximization in every time period. The Riesz representation of a sequence of competitive price functionals yields a state-price deflator with a supermartingale property. We show that there exists a competitive price system for some feasible program if and only if there is No Free Production (NFP). Furthermore, there exists a competitive price system for a particular program if and only if if NFP holds and the program is short-run efficient. This model includes a securities market model with or without convex cone trading constraints as a special case. Under these circumstances, NFP reduces to No Arbitrage and we recover a version of the fundamental theorem of asset pricing. The author expresses gratitude for the advice of two anonymous referees, one who pointed out the simple way to prove the key lemma and the other who helped integrate the conclusions into the existent literature.     

The prices of silver and exchange rates in a metallic monetary system—the cases of India and Iran

Using the notion of co-integration theory and a vector error correction modelling approach, this paper examines in retrospect the long-run relationship between the exchange rate of silver-based currencies and the intrinsic value of silver in India and Iran in a bivariate model. The results based on unit root and co-integration tests indicate a reliable long-run relationship between the price of silver and the exchange rate of silver-based currencies. Our findings also suggest a bi-directional relationship between the price of silver and exchange rate of pound per rupee in the case of India and a feedback relationship between the intrinsic value of qiran and the exchange rate of pound per qiran in the case of Iran.