中国股票市场吸引外资的几个问题

中国股票市场吸引外资的几个问题孙健中，吕益民以＇９５年８月发生的日资对＂北旅＂法人股的收购和美资对＂赣江铃＂Ｂ股的收购为标志，首开了我国企业利用国内股市直接吸引外资的先河，意味着中国证券市场正在走向国际化。众多外资看好中国的股市和上市公司，将进一步加...     

中国股票市场中政府定位问题的重新思考——对当前股市寒流的反思

自今年四月以来持续几个月的股市寒流，再次让人们领略到我国股票市场的残酷。在这种情况下，政府在股票市场中应发挥怎样的作用再次成为争论的焦点。反对“政府救市”者，呼吁“政府托市”者，各抒己见，但均缺乏系统的理论分析。对于中国股市中的政府定位问题，国内始终没有从理论层次上给予清晰、明确的定义。研究从此次股市寒流入手，透析中国股市缺陷与政府行为的内在联系，力求从理论上明确定义政府在股市中的职能定位。     

股市财富哪里去了

十几年来中国股市迎接进来了几千万的股民，熙熙攘攘的股民到底拿了多少钱进入了这个结构与制度存在严重缺陷的股市?这是一个无法精确统计的数字。但无法精确并不意味着不可以通过经济学理论测算。因为股民的钱都是通过“股票”这个媒介置换进入这个市场的，并通过“股票”这个媒介使这些钱流向了市场的各个方向。     

如果股市是个国家

两会期间,据一份网上调查显示,中国股市是群众最为关切、点击率最高的一个问题--在4万多位参与调查者中,75％的人认为,解决中国股票市场的问题,"已经迫在眉睫"。如果我们认真分析中国的资本市场,特别是中国的股票市场,那么就可以发现,这里存在很多疑问。有人认为应当"推倒重来",有人认为"股市再跌几百点也没有问题",有人认为"中国股市很像是一个赌场",总之所有的观点均认为,中国股市"一出娘胎就是个残疾儿"。但是,如果让我们换一个角度,问题可能非常简单:如果中国股市是一个国家,它的问题究竟在何处?它的振兴之路究竟在何方?     

保险资金入市买什么

目前保险资金直接投资股票市场的政策绿灯已经开启，技术障碍已经扫清，但这并不意味着保险资金会立刻、大规模、集中地涌入股市，而会采取循序渐进的原则，积极、稳妥、有序地加以推进，不可能一蹴而就。     

中国股票市场中的企业收购与兼并

1993年9～10月间的“宝延风波”,开我国股票市场上企业收购与兼并事件之先河。随后,“万科”收购“申华”、“天报”收购“小飞乐”……一时间,收购题材.沸沸洋洋,撩动人心,成为去年下半年以来中国股市的一大热门话题。标志着我国股市发展已步入一个新的阶段,也给我们提出了许多需要解决的理论和现实问题,本文拟选择其中的几个加以简单的探讨。 一、股票市场上企业收购与兼并的意义及方式问题 “宝延风波”以前,我国的企业收购与兼并都是在有关主管部门控制下协议完成的,而不是直接通过市场自发完成的。股市收购现象的出现,打破了这种不正常的状况,它将使人们更准确地理解股市.理解股份制经济的实质。从这个意义上说,股市收购题材的产生是我国股市走向成熟的重要标志。     

论熔断机制在中国股票市场的适用性

本文通过对熔断机制的概念以及熔断机制在国际上的发展作用分析,肯定了熔断机制在国际资本市场的重要地位;与此同时,通过对中国股市实施熔断机制的政策及相关现象进行分析,通过中国股市和国外股市的区别,确立熔断机制针对于目前的中国股票市场的不完全适用性,引发了对中国股市的思考,我们应该从制度和政策上去不停地完善中国股票市场发展,从而建立一个独立完善健全的资本市场。     

我国股票市场中小投资者投资策略研究

中国股市发展二十多年来,中小投资者也成了股票市场主体的一个重要组成部分,但就中国股票中小投资者投资策略的研究显得非常的欠缺,多数投资策略研究都是为机构投资者服务的。多方面的原因导致我国八成甚至更多的中小投资者在股票市场出现了亏损,为了建立一个健康的股票市场,促进我国中小投资者能够理性的投资我国股票市场,并对我国股市充满信心,迫切需要加快对我国股票市场中小投资者投资策略的研究,从而指导我国中小投资者投资股票市场。     

加快股票市场规范化,国际化建设的思考

加快股票市场规范化、国际化建设的思考孔祥毅股票市场是改革开放的一项巨大成果。股票的发行，１９８０年始见于抚顺；股票的交易，１９８６年始见于沈阳。至今，中国大陆的股市已经走过了十五个年头。股票市场的发展，改变了大陆投资的旧有格局，广泛地动员了国内外资金...     

争夺国际定价权

近年来，“中国买家”、“中国因素”、“国际定价权”等概念越来越成为经济界关注的话题。按理说，大买主或者大卖主有能力在一定程度上按照自己的意愿左右价格走势，但是，一个与国际惯例相悖的事实摆在我们的面前：我国的小麦、玉米、棉花、稀土、大豆等大宗原料在全球的生产均是名列前茅，石油、铁矿石、铜等大宗原料的进口量也是举足轻重，但由于缺乏期货交易手段等原因，“国际定价权”只能拱手相让于他人。     

我国股票资产价格与通货膨胀关系的研究

货币政策是否应该干预股票资产价格的波动,这是一个广受关注且富有争议的问题.这一问题的关键因素在于正确判断通货膨胀与股票资产价格的关联性.目前,股票收益率与通货膨胀之间存在四种相关关系,即正相关、负相关、不确定以及不相关.我国的资本市场成立较晚,研究股票收益率与通胀率之间关系的成果非常少.所以从我国沪深两市股指与通货膨胀走势、沪深两市股指波动区间、波动频率与通货膨胀间的关系,以及我国沪深两市股票市盈率与通货膨胀关系描述等三方面来揭示股票资产定价与通货膨胀间的关系,为全面认识我国证券市场与通胀间的关系提供实事依据.     

对于完善股票发行定价市场化机制的一些探讨

中国证券市场已经发展了二十多年。但是目前我国股票发行的定价制度仍然有不完善的地方,因此需要深入股票发行定价的市场化改革。本文回顾了我国股票发行制度的演变,又在现实基础上对股票发行定价现存的问题提出了自己的观点。最后,提出深入股票发行定价的市场化的一些建议。     

Flight-to-liquidity: Evidence from China's stock market

In an order-driven and strictly regulated stock market, illiquidity risks' effects on asset pricing should be highlighted, particularly in such extreme market conditions as those in China. This paper utilizes panel data from China's stock market in an attempt to answer whether the illiquidity risk in various dimensions—including price impacts, the transaction speed, trading volume, transaction costs, and asymmetric information—can explain stock returns. We find that almost all dimensions of stock illiquidity are positively associated with excess stock returns. More importantly, smaller, less-liquid stocks suffer more liquidity costs, providing a strong evidence for “flight-to-liquidity.” Additionally, the transaction costs and asymmetric information, denoted by bid-ask spreads, robustly account for these illiquidity effects on stock pricing and differ from the findings in the U.S. market. We also find that the “flight-to-liquidity” can partially explain the idiosyncratic volatility puzzle, investors' gambling, and herding psychologies. This study provides substantial policy implications in regulation and portfolio management for emerging markets.     

基于博弈理论的大宗商品定价权联盟构建

目前,我国已经成为国际上许多大宗商品的最大买家。但全球大宗商品的定价权并未因我国成为最大买家而移至我国。在商品与服务的价格方面,我国还没有与自身地位相匹配的话语权。这是因为,我国铁矿石行业间缺乏有效的联盟,存在行业集中度低、竞争无序等问题,结果导致定价权与国内企业离得越来越远。大宗商品联盟缺失是导致我国定价权缺失的重要原因。基于博弈理论构建大宗商品的定价权联盟,是打破目前状况的一条根本途径。我国企业应借鉴国外企业的经验和路径,积极构建产业链联盟、企业联盟、金融联盟、采购联盟和营销联盟,以谋求我国企业在大宗商品上的国际定价权。     

The Just Price: Three Insights from the Salamanca School

In the sixteenth and seventeenth centuries, members of the Salamanca School engaged in a sustained and sophisticated discussion of the issue of just prices. This article uses their contribution as a point of departure for a consideration of justice in pricing which will be relevant to current-day circumstances. The key theses of members of this school were that fairness of exchanges should be assessed objectively, that the fair price of an article is one equal to its ‘value’, and that the best indicator of that value is the price that article commonly fetches in an open market. This article tries to bring to light the attractiveness of those views in order to guide current practice by contrasting them with alternative views, showing their connection with intuitively attractive basic standards, and linking them to commonly shared intuitions.     

The Relevance of XBRL Voluntary Disclosure for Stock Market Valuation: The Role of Corporate Governance

The aim of this paper is to investigate the relevance for stock market pricing of accounting earnings of voluntary disclosures in XBRL files considering the quality of corporate governance. Results are the following. It appears that XBRL extensions attract financial analysts. Good governance is positively associated with voluntary XBRL extensions. We observe that XBRL extensions enhance the positive relationship between accounting earnings and stock price. However, this positive association is reduced for firms with good governance, suggesting a substitution effect between XBRL extensions and corporate governance. Finally, it appears that XBRL extensions would strategically be related to earnings quality. This research highlights the importance to consider governance when assessing the value relevance of XBRL disclosures for stock market pricing.     

非流通股与过度股权融资

In the Chinese stock market, the price of exchangeable stock is determined by the discounted future uncertain cash flow, while the price of non-circulating stock depends on per book value. In general, because investors holding non-circulating equity maintain the control power, corporate finance and investment decisions reflect their interests. The pricing mechanism of non-circulating stock violates the basic pricing principle of the capital market. Therefore, corporate finance decisions deviate from the NPV (net present value). As a result, excessive equity financing problems would occur in the listed companies. Translated from Shijie Jingji Wenyuan 世界经济文源 (World Economic Forum), 2004, (4): 41–50     

Transitory real‐time property rights and exchange intellectual property

American exchanges own the price quotations they generate. Access to real‐time price information is highly valued by most market participants. This enables exchanges to exact royalties from the sale of such market information. In this sense, an exchange's ownership of its price quotations is akin to owning a property right in a perishable commodity (i.e., fresh market price quotations) that is most valuable for only a transitory or limited period of time. The implications of exchange ownership of price data extend beyond financial markets. Recently, Woodard (2000) has noted that some internet auction operators have asserted ownership over the prices they generate. This study reviews the legal origin and nature of the property right to price quotations generated on U.S. futures exchanges and assesses whether exchange ownership should be transitory. The legal basis for transitory real‐time (real and personal) property rights is discussed and the economic implications are considered. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:891–913, 2003     

China's segmented stock market: An application of the conditional international capital asset pricing model

China's segmented stock market provides an opportunity to study conditional international asset pricing from multiple viewpoints—domestic and foreign. We use the multivariate GARCH-M framework of De Santis and Gérard [De Santis, G., and Gérard, B., 1998. How big is the premium for currency risk? Journal of Financial Economics 49, pp. 375–412.], but add conditional local specific risk and find global, local, and currency risk to be priced and time-varying in Chinese markets, suggesting mild segmentation for developing country markets. The time-varying price of currency risk indicates that the strict currency restrictions in China do not sufficiently reduce currency risk to stabilize the price of currency risk. We also find that the price of local risk in the Chinese A stock market is non-time-varying relative to the developed market, but time-varying relative to the emerging market. This finding implies that the Chinese A stock market is more comparable to a developed market than an emerging market. However, results on Chinese B shares show the opposite relationship: from a foreign investor's perspective, Chinese B shares are better categorized as being emerging than developed. This is further supported by an Engle–Granger cointegration test.     

The Chinese warrant bubble: A fundamental analysis

We investigate the information content in Chinese warrant prices based on an option pricing framework that incorporates short‐selling and margin‐trading constraints in the underlying stock market. We show that Chinese warrant prices can be explained under this pricing framework. On the basis of this new model, we develop a price deviation measure to quantify stock market investors' unobserved demand for short selling or margin trading due to market constraints. We find that warrant‐price deviations are driven by underlying stock valuation to a great extent. Chinese warrant prices, save for the time around expiration dates, are better characterized as derivatives than as pure bubbles.