Stock market dynamics with rational liquidity traders

In the Kyle (1985) finite horizon model of stock market dynamics with a trader who holds long-lived information, informed trading intensities rise with time, and the slopes of the equilibrium price schedules fall. This paper shows that this result depends crucially on the irrational liquidity trader assumption. We replace the irrational noise traders with a sequence of rational, risk averse, liquidity traders who receive endowment shocks to their holdings of the risky asset. We demonstrate that unless liquidity traders are sufficiently risk averse, the slope of equilibrium price schedule rises over time, while informed trading intensities fall. In particular, Kyle's result holds only when liquidity traders are so risk averse that they ‘over-rebalance’ their portfolio's holdings of the risky asset, so that their final holdings of the risky asset have the opposite sign of their initial position.     

Stock market liberalization and operating performance at the firm level

I use firm-specific measures of openness to foreign investors to study the impact of stock market liberalization on firm-level operating performance. In a sample of over 1,100 firms from 28 countries, firms with stocks that are open to foreign investors experience higher growth, greater investment, greater profitability, greater efficiency, and lower leverage. Strategies to address potential endogeneity suggest that the observed relation reflects, at least in part, a causal effect of openness on operating performance.     

Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market

Modelling the dynamics of (il)liquidity across assets is an important yet complicated task, especially when considering significant deteriorations of liquidity conditions. Here, we propose a peak-over-threshold method to identify abrupt liquidity drops from limit order book data and we model the time-series of these illiquidity events across multiple assets as a multivariate Hawkes process. This allows us to quantify both the self-excitation of extreme changes of liquidity in the same asset (illiquidity spirals) and the cross-excitation across different assets (illiquidity spillovers). Applying the method to the MTS sovereign bond market, we find significant evidence for both illiquidity spillovers and spirals. The proportion of shocks explained by illiquidity spillovers roughly doubles from 2011 to 2015, suggesting an increased synchronization of extreme illiquidity across assets.     

评价股市:视野和方向

对中国股市如何评价?可以说是仁者见仁,智者见智.乐观者有之,悲观者有之.前不久在2006年中国企业高峰会论坛的"资本市场分论坛",来自海内外的专家就中国资本市场的发展发表了各自的看法,其中中国证监会副主席屠光绍和著名学者许小年的发言最为人关注     

Global market integration: An alternative measure and its application

Global markets seem to be increasingly integrated but there is no well-accepted measure of integration. We show that the correlation across markets is a poor measure; perfectly integrated markets can exhibit weak correlation. We derive a new integration measure based on the explanatory power of a multi-factor model and use it empirically to investigate recent trends in global integration. For most countries, there has been a marked increase in measured integration over the past three decades, but this is not indicated by correlations among country indexes.     

Stock market seasonality: International Evidence

This study examines empirically stock market seasonality in major industrialized countries. Evidence is provided that there are strong seasonalities in the stock market return distributions in most of the capital markets around the world. The seasonality, when it exists, appears to be caused by the disproportionately large January returns in most countries and April returns in the U.K. With the exception of australia, these months also coincide with the turn of the tax year.     

近期债券市场基本面分析与展望

该文认为,外需放缓导致国内经济增速放缓,年内通货膨胀将呈前高后低走势,1季度将成为通胀高点,加息概率依然较大,短期内债券市场将维持当前的震荡格局,但仍不失资金配置良机,相对而言,长期国债,短期融资券的投资价值较大。     

Stock market returns and annuitization

I investigate the strong negative relation between recent stock returns and the annuitization of retirement savings using a novel data set with over 100,000 actual payout decisions. After controlling for several standard explanations (e.g., wealth effects), I present evidence supporting naïve beliefs and extrapolation from past returns. The effect of recent returns on annuitization dramatically increases with age, confirming that the elderly rely most heavily on recent information. My results provide insights into how beliefs are formed in old age and have implications for the design of public policies seeking to promote annuitization.     

Stock market liberalization and innovation

We investigate the effect of stock market liberalization on technological innovation. Using a sample of 20 economies that experience stock market liberalization, we find that these economies exhibit a higher level of innovation output after liberalization and that this effect is disproportionately stronger in more innovative industries. The relaxation of financial constraints, enhanced risk sharing between domestic and foreign investors, and improved corporate governance are three plausible channels that allow stock market liberalization to promote innovation. Finally, we show that technological innovation is a mechanism through which stock market liberalization affects productivity growth and therefore economic growth. Our paper provides new insights into the real effects of stock market liberalization on productivity growth and the economy.     

2008年宏观经济及债券市场前景展望

该文分别从经济增长、资金面以及货币政策三个方面分析了宏观经济的前景,认为通货膨胀会见顶回落、债券市场的资金面和宏观货币政策会转为宽松;文章认为2008年宏观经济的增长将趋缓,但利率的由升转降以及资金面的宽松将使得债券市场得以起飞和发展。     

中国债券市场发展回顾与展望

改革开放30年来,中国债券市场已经发展成以银行间市场为主、交易所市场为辅,涵盖各类机构投资者和债券投资品种的多层次债券市场体系。文章介绍了中国债券市场的发展历程与目前的运行结构,并从推进市场创新、完善债券收益率曲线等方面对债券市场的发展前景进行了展望。     

金融债券市场的创新和发展

近年来,我国银行间债券市场一直保持健康的发展势头,已形成具有交易规模较大、交易品种多样化和参与主体多元化等特征的市场体系。金融债券市场作为这一市场体系的重要组成部分,在人民银行等主管部门的积极推动下,通过不断创新金融债券产品类型、逐步完善市场管理制度、不断深化市场功能,见证并有力支持了银行间债券市场的健康发展。     

External currency market data: An application from BIS series

The Bank for International Settlements, in its Annual Report, has provided the most-used data source for statistical work by international financial researchers concerned with the Eurodollar market and with other external currency markets. Unfortunately, the often-confusing and complicated published series have been used indiscriminately. This paper develops an approach for identifying foreign private non-bank ownership of US dollars held in offshore markets. Explicit consideration of the types and strength of assumptions necessary makes evident the care that should be exercised in the use and interpretation of the various BIS data series.     

Stock market liquidity and firm value

This paper investigates the relation between stock liquidity and firm performance. The study shows that firms with liquid stocks have better performance as measured by the firm market-to-book ratio. This result is robust to the inclusion of industry or firm fixed effects, a control for idiosyncratic risk, a control for endogenous liquidity using two-stage least squares, and the use of alternative measures of liquidity. To identify the causal effect of liquidity on firm performance, we study an exogenous shock to liquidity—the decimalization of stock trading—and show that the increase in liquidity around decimalization improves firm performance. The causes of liquidity's beneficial effect are investigated: Liquidity increases the information content of market prices and of performance-sensitive managerial compensation. Finally, momentum trading, analyst coverage, investor overreaction, and the effect of liquidity on discount rates or expected returns do not appear to drive the results.     

Stock market synchronization and monetary integration

This paper focuses on the relationship between stock market comovements and monetary integration. A panel specification is used to explain bilateral stock market return correlations between fifteen developed economies over the period 1975-2006. Time fixed effects are included to capture global shocks and we also examine the role of bilateral trade linkages and international financial integration. Monetary integration leads to stronger stock market synchronization, both through the elimination of exchange rate volatility and through the common monetary policy and the convergence of inflation expectations. Trade and financial integration also contribute to higher stock market return comovements.     

现券市场做市报价点差的微观特征分析

交易机制与价格发现的关系一直是金融市场微观结构的重要研究方向,其目的是为了发现金融市场如何借由微观行为的不均衡实现市场层面的价格均衡过程。事实上,交易机制、交易习惯和市场均衡过程三者之间是相互影响的关系。分析和研究这三者的内在联系可以加深我们对市场的理解,并找到提高市场资源配置效率的途径。文章以做市报价收益率点差作为研究对象,详细分析了其时间分布、相关性、波动性及时间持续性等微观特征,为深入研究做市商报价和交易行为提供各种可能的切入点。     

Investor relations,information asymmetry and market value

Evidence to date on the market value of investor relations (IR) strategies is limited. We test the market relevance of IR activity directly employing a proprietary database measuring IR quality across all firms listed on NYSE, Amex and NASDAQ. Although, in theory, ‘repackaging’ and communicating existing information should have no market impact, we find that firms with higher quality IR strategies are rewarded with significantly higher valuation multiples. In addition, increase in IR quality is associated with increases in analyst following and liquidity. Overall, our findings are generally stronger for small firms which are more likely to be ‘neglected’. Our evidence is consistent with effective IR successfully raising firm visibility leading to enhanced recognition and reduced information asymmetry in line with Merton (1987 Merton, R., 1987. A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42 (3), 483–510. doi: 10.1111/j.1540-6261.1987.tb04565.x[Crossref], [Web of Science ®] , [Google Scholar]) and thus ‘fairer’ firm valuation as argued by IR professionals.     

Monetary policy with signal extraction from the bond market

Monetary policy is conducted in an environment of uncertainty. This paper presents a model where the central bank uses real time data from the bond market together with standard macroeconomic indicators to infer the current state of the economy more efficiently, while taking into account that its own actions influence the bond market and therefore what it observes. That the central bank uses the information in the term structure to set policy creates a link between the bond market and the macroeconomy that is novel to the literature. The estimated model suggests that there is some information in US yields of maturities of less than 1 year that can help the Federal Reserve to identify shocks to the economy on a timely basis.     

香港人民币债券市场发展动态及趋势分析

近来香港人民币债券市场的蓬勃发展吸引了各方广泛关注。香港人民币债券市场的发展对于推动人民币国际化、建设香港离岸金融中心有着重要的意义。文章介绍了香港离岸人民币市场发展现状,分析了近期香港人民币债券市场发展动态以及未来的趋势,并从人民币合成债券和点心债券协调发展、后续政策措施对香港人民币存量及人民币债券市场的影响的角度,探讨了香港人民币债券市场的未来发展。