Investment coordinates in the context of housing and stock markets nexus

This study examines the causal relationship between Chinese housing market (HM) and stock market (SM), using the bootstrap Granger full-sample causality test and subsample rolling-window estimation test. The results show that stock price (SP) has both positive and negative impacts on housing price (HP) in several sub-periods, and HP has the same effects on SP. The substitution effect drives their adverse consequences. Meanwhile, the positive effect indicates that SP has a wealth effect on HP, and HP has a credit-price effect on SP. Results provide information to Chinese financial institutions and individual investors for constructing investment portfolios within these asset markets.     

基于R/S分析的上海股市有效性实证研究

以上海股票市场为研究对象,以1995年10月24日至2009年3月16日这一时间段的上证综合指数日收盘价对数收益率序列为研究样本,利用R/S分析方法计算出上证指数的Hurst指数,并对上海股市分形特征加以描述。实证结果表明,上证综合指数日收益率序列的Hurst指数为0.619607,明显偏离0.5,说明上海股票市场具有明显的分形特征,投资者可以通过分析股价的历史数据来获得超额利润,因而市场是无效的。最后,分析了上海股市无效的原因,并提出了政策和建议。     

股指期货限制交易对定价效率影响研究*——基于跨市场信息传递视角的实证

从跨国金融市场信息传递的视角对中国2015年股灾中股指期货限制交易政策实施前后的中美市场实证分析表明：股指期货的限制交易政策极大地增强了美国市场对中国市场的影响，尤其是在下跌行情中的影响更大。分位数回归显示美国市场的交易活动对中国市场开盘价的影响呈“V”型特征，美国市场的微小波动都会引起中国市场的巨大波动，限制交易措施实施后，在下跌行情中来自美国市场的负冲击对中国市场的影响变得更大。这一实证研究的政策含义在于：为了增强股指期货市场的定价效率，金融监管层在市场稳定后应放开股指期货的限制交易，并通过降低准入门槛和合约大小等措施提高市场的开放程度。此外，监管层和国内投资者不能忽视美国股指期货对国内市场的影响。     

What are the effects of fiscal policy on asset markets?

We investigate the link between fiscal policy shocks and asset markets. Our results show that spending shocks have: a positive and persistent effect on GDP in the U.S. and in the U.K., while for Germany and Italy, such impact is temporary; a positive and persistent effect on housing prices; a negative effect on stock prices; and mixed effects on the price level. A VAR counter-factual exercise suggests that fiscal shocks play a minor role in the asset markets of the U.S. and Germany, and substantially increase the variability of housing and stock prices in the U.K., while government revenue shocks have increased volatility in Italy.     

How does leverage in stock market influence the margin of stock index futures?

In this article, we propose a margin-setting model under the assumption of extreme stock price changes. Specifically, extreme stock price changes are caused by the positive feedback effect of leverage and market impact. By introducing these factors into the futures price changes through a cost-of-carry model for setting the margin of stock index futures, we find that leverage and market impact in stock market are positively correlated with the margin.     

THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*

It is shown that the reaction of U.S. real stock returns to an oil price shock differs greatly depending on whether the change in the price of oil is driven by demand or supply shocks in the oil market. The demand and supply shocks driving the global crude oil market jointly account for 22% of the long‐run variation in U.S. real stock returns. The responses of industry‐specific U.S. stock returns to demand and supply shocks in the crude oil market are consistent with accounts of the transmission of oil price shocks that emphasize the reduction in domestic final demand.     

中美白糖期货市场价格发现功能的比较研究——基于2006—2008年的时间序列数据

本文运用协整分析、Granger因果检验、误差修正模型、信息共享模型、方差分解模型和脉冲响应函数,对2006—2008年中美两国白糖期现货市场价格之间的长短期变动关系进行了计量分析与横向对比。研究发现,我国白糖期货市场价格发现功能已初步显现,但我国白糖期货市场中期货价格对现货价格的引导作用与美国的成熟市场还存在较大差距,我国白糖期货市场价格发现功能的发挥水平还有待提高。     

Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?

The speculative nature of both stock and housing markets in China has attracted the attention of observers. However, while stock market data are easily available, the low frequency and low quality of publicly available housing price data hampers the study of the relationship between the two markets. We use original hedonic weekly resale housing prices of a major Chinese housing market and study them in conjunction with Shanghai's stock market index in the second half of the 2000s. The use of the Phillips et al. (2015 a,b) recursive explosive‐root test enables us to detect and date speculative episodes in both markets. We then implement the Greenaway‐McGrevy and Phillips (2016) methodology to detect the presence of migration between the two types of bubbles. We detect significant migration from the stock to the housing market bubble in 2009 and a temporary spillover in 2007.     

美国证券市场兴衰的非理性因素剖析

美国股市泡沫的膨胀和崩溃，无法完全用传统的金融理论和各种定价模型来说明，一些非理性因素对股市泡沫的形成和膨胀也有着重要的甚至决定的作用。从上世纪美国发生的四次股灾说明，非理性预期是股市泡沫形成的基础，其推动机制是庞氏骗局效应。此外，一些社会心理和行为，突发事件和随机因素，都对股市的兴衰起着推波助澜的作用。     

股票转让方式与极端收益风险——兼论新三板市场引入做市转让制度的经济后果

在极端收益风险形成机理的现有研究中,交易环节是其逻辑链条中缺失的一环;对于做市转让制度的实施效果,现有实证研究也普遍忽视了其对极端收益风险的影响.文章从交易环节入手,提出了一个解释极端收益风险形成机理的新假说,并以新三板市场引入做市转让制度为契机,实证考察了股票转让方式和极端收益风险之间的关系.研究发现:(1)与实施协议转让的股票相比,实施做市转让的股票极端收益风险显著较低,但更多的做市商并未带来显著更低的极端收益风险;(2)做市转让方式对股价暴涨风险的抑制作用在熊市中较强,对股价暴跌风险的抑制作用则在牛市中较强;(3)股票转让方式对极端收益风险的影响主要通过股票流动性路径起作用,而信息有效性路径会起作用主要是因为信息有效性和股票流动性之间的高相关性.使用处理效应模型来控制自选择偏差的影响,使用不同的极端收益风险度量指标,延长极端收益风险的计算窗口,均不改变上述实证结果.这表明,交易环节是影响极端收益风险的重要因素,做市转让方式的引入有助于降低新三板挂牌公司的极端收益风险.文章对于深入理解极端收益风险形成机理、改善新三板市场交易机制具有重要的意义.     

上海证券市场与美国、中国香港证券市场的互动特征

在证券市场领域,美国市场对中国香港市场和上海市场均有影响。在上海市场和中国香港市场之间,上海市场的变动影响着中国香港市场,但并未发现中国香港市场影响上海市场的证据。这说明,上海证券市场已经成为中国区域的主导性市场。     

House price,mortgage premium,and business fluctuations

This paper investigates the transmission mechanism of mortgage premium to characterize the relationship between the housing market and business cycle for the U.S. We find that mortgage premium is crucial for the amplification and propagation of the model to match the main properties of U.S. housing market and business cycles. The counterfactual analysis suggests that had the Federal Reserve raised the interest rate in 2003Q1, it would have curbed the housing market boom before the crisis, yet failed to alleviate the precipitous decline in housing market activity after the crisis. Moreover, the pre-emptive monetary policy aimed to contain the housing market boom can effectively lower volatilities of major economic aggregates; however, it also exerts a significantly negative effect on the levels of these economic aggregates. Thus, using monetary policy to stabilize asset price inflation involves a trade-off between the volatility and the level of economic activity.     

The effects of the monetary policy on the U.S. housing boom from 2001 to 2006

This paper presents a DSGE model to test the relative significance of monetary policy and financial market innovations in creating the U.S. housing boom between 2001 and 2006. The model generates a trajectory of house price that mimics the Case–Shiller index well when actual Federal Fund rates are taken as inputs. It fails to do so when the monetary policy follows the Taylor rule even if MBS are introduced. We identify several transmission mechanisms of monetary policy with an emphasis on the financial accelerator. The model predicts that banks’ lending standards will go down with the benchmark interest rate.     

An analysis of accounting measures on the performance of U.S. international corporations

Accounting measures (earnings and cash flow) have been shown to affect market performance (stock price) in U.S. firms operating domestically. In general, earnings have statistically significant explanatory power of stock price movement, albeit superior to cash flow. However, U.S.-based international corporations consolidate earnings from foreign operations. Consolidation can report significant gains (losses) from foreign transactions, as well as from the translation of foreign assets and liabilities, as currency exchange rates flucturate. Researchers are divided over the impact, if any, that such gains (losses) have on stock price. Indeed, gain (loss) is not realized until foreign currency is converted into the parent firm's functional currency. Foreign operations may accumulate assets and foreign currency even while U.S. exchange rates decline. Stock analysts may consider all currencyadjusted data to be unreliable and prefer simple data such as sales. Currency-adjusted accounting measures may or may not influence market performance.     

房地产税、市场结构与房价

本文在住房流量模型的基础上,构建了一个购房者和开发商的住房市场局部均衡模型,考察了完全垄断和完全竞争情形下房地产税与房价之间的关系。结果表明,无论何种市场结构,提高房地产税均导致房价下降;住房市场垄断性越强,房价越高,房地产税对房价影响越大。笔者对1996-2008年中国33个大中城市数据的检验发现,市场结构对房价影响大于房地产税。房地产税增长率每增加1%,房价增长率将减少0.03%;勒纳指数每增加1%,房价增长率将增加0.16%。房地产税与市场结构相互作用将使房价上涨,但影响微不足道。因此,对住宅开征房地产税,将对房价上涨有一定限制作用,但不能有效抑制房价上涨,而增强住宅市场竞争性、降低开发商垄断具有显著效果。     

美国货币政策对中国股票市场溢出效应的实证研究

本文认为:美国货币政策对我国股票市场真实回报具有显著的溢出效应,即扩张性的货币政策使我国股票市场真实回报下降;在短期,美国货币政策冲击对我国股票市场真实回报波动贡献大,而在中长期美国的通胀、产出冲击贡献大;美国货币政策溢出效应经由美国股票市场价格示范效应传递的机制不显著。     

Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers – the multiscale robust quantile regression

This paper investigates the volatility transmission effect between Brent oil futures and stock markets in the major global oil producing and consuming countries – the U.S., Russia, China and Saudi Arabia. In that process, we employ a mixture of novel and elaborate methodologies – wavelet signal decomposing procedure, GARCH model with complex distribution and recently developed robust quantile regression. Our results indicate that the effect is stronger in short-term horizon than in midterm and long-term in most cases. The magnitude is much stronger in turbulent times, whereas in tranquil times, this effect is very weak. We find that Russian RTS index endures the strongest volatility transmission effect from oil market. Surprisingly, Saudi stock market does not suffer heavy spillover effect even in the periods of increased market unrest. In the U.S. and China, the effect is much stronger from stocks to oil than vice-versa, and this particularly applies for the U.S. case.

     

中美股市杠杆效应与波动溢出效应——基于GARCH模型的实证分析

本文基于极大似然函数值准则和赤池信息准则,从众多非对称GARCH模型中选择最优模型来研究中美股市杠杆效应和波动溢出效应。结果表明:沪市和深市都表现出显著的杠杆效应,与美国股市相比沪市和深市杠杆效应较弱;沪市和深市之间存在显著的双向波动溢出效应,且沪市对深市的波动溢出效应更显著;美国股市与中国股市之间不存在显著的波动溢出效应。     

The effectiveness of the sunshine effect in Taiwan's stock market before and after the 1997 financial crisis

This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to 2007). The data include Taiwan Stock Exchange Capitalization Weighted Stock Index, the primary eight stock sector indices, and the U.S. Dow Jones Industrial Average index to proxy the impact of U.S. stock market on Taiwan's stock market performance. The empirical finding of this study could be used to reconfirm the existence of the so-called sunshine effect. In addition, by comparing the long-run impulse multiplier effects of the cloud cover on the stock return in the two sub-sample periods; this study could examine the transition of the sunshine effect in Taiwan's stock market. The empirical results suggest that cloud cover has a significant negative impact on Taiwan's stock market, especially in the low cloud cover periods. Moreover, the pre-determined distribution of the error term plays an important role on the significance of the sunshine effect. The empirical result shows that most long-run multipliers are negative and the multiplier is more effective in the low cloud cover periods than in the high cloud cover periods.     

上市公司、资本虹吸与房价的地区差异

鉴于上市公司与房价地区差异的研究鲜见,文章首次从地区层面寻找上市公司影响房价的微观传导路径.研究发现,上市公司从一级市场上融资、内部人在二级市场上减持均会"虹吸"全国资金,增加当地货币资本,进而正向影响房价,即高融资或高减持地区成为"虹吸方";融资虹吸与减持虹吸对房价的影响存在差异,减持虹吸引起财富集聚,对房价的影响更多地由富裕阶层的购房需求所推动,而融资虹吸带来的财富影响比较分散.地区股票市值与房价呈现螺旋增长关系,在股市上涨期间替代效应占主导地位,两者的增长率负相关;而在下跌期间财富效应占主导地位,两者的增长率正相关.文章从企业层面阐释了房价地区差异的金融成因及路径,并试图厘清股票市场与房价的增长结构,为地区经济的协调发展提供了参考.