Are Oil Price News Headlines Statistically and Economically Significant for Investors?

While much has been written about the effects of oil price on stock returns, surprisingly nothing is known about the effect of oil price news on stock returns. This article is a response to this research gap. For a large number of stocks on the New York Stock Exchange, the authors find that while oil price news does predict market returns it only predicts returns of some sectors and not all. They find that sorting stocks based on oil price news generates a significant return differential in the cross-section, which holds consistently across a range of models allowing for the well-known risk factors. Their findings suggest that information contained in oil price news affects stock returns.     

异质性媒体与资本市场信息效率

新闻传媒通过其信息处理和传播功能 ,对资本市场的信息整合产生了重要影响.不同于以往的研究 ,文章深入新闻传媒行业内部 ,探讨了不同类别的媒体(中央媒体与各地方媒体)对中国资本市场信息效率的差异化影响.研究发现:中央媒体既可以直接提升资本市场信息效率 ,又可以通过削弱政治关联对资本市场信息整合的不利影响,间接改善资本市场信息效率;地方媒体虽然能够直接提升资本市场信息效率 ,但是无力削弱政治关联对资本市场信息整合的不利影响 ,其间接渠道并不起作用.这一结果考虑了媒体跟踪上市公司时可能产生的内生性问题 ,在一系列稳健性测试中始终存在.文章认为 ,相对于地方媒体 ,中央媒体在信息透明度较低情况下的信息获取和处理的能力优势 ,以及面对政治关联时保持客观报道的独立性优势,可以解释这一发现.     

终极控股股东的盈余管理影响股价同步性的实证研究

以2008—2012年中国沪深两市A股上市公司为研究样本,通过回归分析研究了在中国资本市场发展不完善、股权集中的条件下终极控股股东的盈余管理对公司股价同步性的影响。研究结果表明:终极控股股东有强烈动机影响公司的盈余信息披露,导致噪音信息增多、公司的股价同步性下降,股价同步性更多体现市场噪音量而非信息效率;非国有控股的上市公司通过操纵盈余来影响股价进而影响股价同步性的能力强于国有控股的上市公司。     

股市暴涨暴跌的界定及比较——以中国、美国、英国、日本股市为例

本文运用经验分布函数对中、美、英、日四国股市的暴涨暴跌进行了界定,并对四国股市暴涨暴跌的表现进行了比较分析。相比其它三国,中国股市在过去15年间成长性最强,暴涨暴跌的幅度最大,表现出较强的"政策驱动型"特征。美、英、日股市的暴涨暴跌呈现出明显的"市场和事件驱动型"特征。英国和美国股市波动呈现出较强的同步性,但日本股市波动较为独特。政策建议上,各国应通力合作,以应对全球系统性风险对股市的影响;中国政府应加强股市的市场化建设,同时谨慎开放资本市场。     

Monetary policy and the transmission of oil shocks

This paper provides evidence on the role played by monetary policy in the transmission of oil shocks to the US economy. We show that for the period since 1986, oil shocks have had a negative effect on stock returns, regardless of whether the oil shock is defined as the percentage change in the price of oil or a nonlinear transformation of that series. We then demonstrate that there is no relationship between the reaction of individual stock prices to oil shocks and to monetary policy shocks. This implies that oil shocks do have effects on the economy beyond their effect on monetary policy. We conclude that systematic monetary policy is not as effective as suggested in some previous studies.     

Oil currencies in the face of oil shocks: what can be learned from time-varying specifications?

While the oil currency property is clearly established from a theoretical viewpoint, its existence is less clear-cut in the empirical literature. We investigate the reasons for this apparent puzzle by studying the time-varying nature of the relationship between real effective exchange rates of five oil exporters and the real price of oil in the aftermath of the oil price shocks of the last two decades. Accordingly, we rely on a time-varying parameter VAR specification, which allows the responses of real exchange rates to different oil price shocks to evolve over time. We find that the reason of the mixed results obtained in the empirical literature is that oil currencies follow different hybrid models in the sense that oil countries’ real exchange rates may be driven by one or several sources of oil price shocks that furthermore can vary over time. In addition to structural changes affecting oil countries, structural changes arising from the oil market itself through the various, time-varying sources of oil price shocks are found to be crucial.     

境外大股东持股与股价同步性研究

以2006-2010年的中国所有上市公司为研究对象,采用多种方法分析境外大股东与股价同步性的关系。结果发现：首先,境外大股东在来源地方面具有显著的地缘特征和经贸关系特征;其次,行业不同股价同步性呈现出较大差异,如采掘业、金融业的股价同步性很高,而制造业、批发零售业相对较小;再次,境外大股东持股与股价同步性呈显著负相关性;最后,来自非港澳台的直接境外大股东对股价同步性有更大的影响,而直接境外大股东是否为金融机构差异不明显。     

Exogenous shocks,dynamic correlations,and portfolio risk management for the Asian emerging and other global developed and emerging stock markets

ABSTRACT

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks, our results highlight the usefulness of including other global stock assets in the traditional portfolio for Asian emerging market investors. However, investors have limited opportunities to diversify their assets during the global financial crisis. Moreover, the shocks from the U.S. stock market have a greater influence on global stock markets compared to that from U.S. economic policy. Fortunately, the model with exogenous shocks improves its accuracy, which plays the same role of controlling structural breaks in the model. More importantly, incorporating exogenous shocks in our model also provides better value-at-risk performance results and hedging effectiveness. These results have several important implications for investors, researchers, and policymakers.     

冲击世界未来的能源问题：油价低迷走势及其对国际关系的影响

本文介绍了非政府机构美国外交关系委员会亚洲能源和安全研究项目组关于世界未来2 0年石油供应将持续保持低价的论点 ,这对世界石油供应短缺的预测提出了挑战。该项研究认为 ,这对美国对外关系政策和国家安全政策也构成了严峻的挑战     

近期汇率体制改革后股价与汇率的联动效应及其检验

在全球外部失衡的宏观背景下，伴随着中国经济体制市场化和金融深化进程的加快，股票价格同汇率波动的相关性日益增强。根据从理论层面阐释二者相互作用的潜在机制和渠道，并采用中国的数据利用协整分析，发现在汇率体制改革（2005年7月21日）之后，二者的波动存在稳定的协整关系和双向的因果关系。因此，应理顺二者的互动机制需要推进各方面的综合改革，理顺这两个核心变量的互动机制，保持经济高效和健康发展。     

Responses of international stock markets to oil price surges: a regime-switching perspective

We propose an enhanced regime-switching model to investigate the relationships between oil price surges and stock market cycles in five oil-dependent countries. Our model accounts for the joint effects of the West Texas Intermediate (WTI) and Brent oil markets and simultaneously captures asymmetry, volatility persistence and regime shifts contained in the underlying financial data. We find that stock market returns strongly exhibit a regime-switching behaviour, but they react differently to the increases in the price of oil. More precisely, the conditional volatility of studied stock markets during the bear market phases is found to be less affected by oil price surges than during the bull market phases. Whether the effects of oil shocks are positive or negative depends greatly on the degree of reliance on imported oil, the share of the cost of oil in the national income and the degree of improvement in energy efficiency of a given country. Finally, the relatively opposite effects of the WTI and Brent oil markets suggest the potential of substitution between them as well as the necessity of a diversification strategy of oil supply sources.     

股票市场能量体系研究

本文借鉴物理学研究物体运动规律的思想,提出以成交量为基础的标的资产交易速度定义。根据近代物理学相对论质速关系及质能方程的数学模型,提出以价格为基础的标的资产惯性价格以及其动量和能量假说。在此基础上,本文推导出股票市场量能方程,并结合金融市场的动量现象以及动量生命周期假说,构建了股票市场的资产动量和能量体系框架。通过对30只不同股本股票的能量谱进行实证研究,发现当股票能量值大于某一常数时,随后的一段时间里股价将会出现较大的变化,用此能量值可以揭示股票价格是处于稳态还是非稳态。研究30只股票的资产动量与能量之间的数量关系,发现要达到同一能级,大盘股需要较大的动量,而小盘股需要较小的动量。     

Stock options and managerial optimal contracts

Summary. In this paper we are concerned with the performance of stock option contracts in the provision of managerial incentives. In our simple framework, we restrict the space of contracts available to the principal to those conformed by a fixed payment and a call option on the firms stock. As compared to the fixed payment and the option grant, we find that the strike price plays an intermediate role in the provision of insurance and incentives. We also develop some methods for the calibration of a standard principal-agent model based upon observed CEO earnings schedules and the volatility of the firms value in the stock market. These methods are useful to address some important issues such as the performance of stock option contracts, the degree of risk aversion compatible with current earnings profiles and the sensitivity of compensation to changes in firms characteristics.Received: 9 April 2003, Revised: 13 September 2004, JEL Classification Numbers: C6, D83. Correspondence to: Manuel S. SantosWe have benefitted from helpful discussions with Marco Celentani, Hector Chade, Alejandro Manelli and Ed Schlee. We are especially grateful to an anonymous referee for very detailed comments.