Striking oil: Another puzzle?

Changes in oil prices predict stock market returns worldwide. We find significant predictability in both developed and emerging markets. These results cannot be explained by time-varying risk premia as oil price changes also significantly predict negative excess returns. Investors seem to underreact to information in the price of oil. A rise in oil prices drastically lowers future stock returns. Consistent with the hypothesis of a delayed reaction by investors, the relation between monthly stock returns and lagged monthly oil price changes strengthens once we introduce lags of several trading days between monthly stock returns and lagged monthly oil price changes.     

基于Copula函数的国际原油价格与股票市场收益的相关性研究

针对国际原油价格与金砖五国股票市场收益之间的相关性问题,使用 AR(p)-GARCH(1,1)-Copula 模型进行检验。运用广义误差分布(GED)获取收益残差序列,对 WTI 原油价格和金砖五国股市收益之间的相关性进行实证分析。研究结果表明,国际原油价格与中国股市收益呈现微弱的相关关系,而与其他四国股市收益的相关关系较为明显。用时变 SJC Copula 模型刻画国际原油价格与金砖五国股票市场收益的相关性最为合适。     

股指期货市场金融加速器效应的实证分析

金融加速器理论认为,由于存在着摩擦成本,金融市场的波动可能是非对称的,体现为相对于扩张金融市场状态,紧缩金融市场状态下冲击的波动更加剧烈,由此产生加速效应。本文采用向量自回归模型系列对次贷危机期间S&P500股指期货市场波动状态进行了计量检验,验证了其非对称波动的金融加速器效应,揭示了股指期货市场与股票现货市场之间的风险衍生机制,旨在为我国沪深300指数期货交易的风险防范提供借鉴。     

论我国多层次股票市场转板制度的构建

我国多层次股票市场发展滞后,长期以来没有建立起完整有效的转板制度。为实现我国各层次股票市场之间的有机衔接,需要构建并完善转板制度。要以建立实质性的多层次股票市场为前提,注重满足企业融资需求与维护市场稳定两大目标的协调。要循序渐进推动升板机制的构建。打通升板通道的时机和力度,应当与市场适应性和可承受度相匹配。同时要以退市制度改革为契机,健全降板机制,扩大企业的自主选择空间,增强市场机制的有效性。     

Information transfer,microstmctures and intraday price return spikes

Previous research has identified overnight public information as the cause of higher opening returns and mean reversion in security markets. This paper tests this hypothesis by using an intervention and transfer function time series model to filter out the dynamic effects of an overnight information set on the opening, and subsequent, intraday AOI stock and SPI futures intraday price returns. A further research objective was to analyse the process by which information is transferred into prices and whether there is a differential impact across stock and futures markets. It was determined that the information contained in the overnight US stock market had: (i) a differential impact on the Australian stock and futures market, and (ii) after filtering out the impact of overnight information, a significant reversal tendency remained in both markets after opening. Further analysis supported the conclusion that price spikes at opening were not wholly related to overnight information. Other possible explanations, such as different trading mechanisms, did not provide a satisfactory explanation. Overall, it appears that the uncertainty participants face at the beginning of a trading session may induce a number of subtle market reactions (both rational and irrational), in markets with different microstmctures and trading clientele.     

Measuring financial stress in a developed country: An application to Canada

This paper develops an index of financial stress for the Canadian financial system. It is a continuous variable with a spectrum of values, where extreme values are called financial crises. An internal Bank of Canada survey is used to condition the choice of variables. The authors show that alternative measures of financial crisis suggested by the literature do not accurately reflect the Canadian experience, while several measures developed in this paper are more representative and are thus likely better suited to a developed financial system. An accurate characterization of stress is a prerequisite for any researcher attempting to forecast financial crises.     

股市与债市波动溢出效应的机理研究——基于金融资源配置效率的视角

股市和债市波动溢出效应是金融市场波动的基本特征,研究其机理能够更清晰认识两个市场的价格传导机制和交互波动关系。针对目前研究缺乏系统性等问题,本文从资金、价格及风险等角度研究股市与债市的关联性,分析两个市场存在波动溢出的理论基础;用行为金融学解释波动溢出的产生机理;最后,阐明波动溢出效应与金融资源配置效率的关系。研究发现,它是引导社会资金在资本市场中实现二次配置、提高金融资源配置效率的重要途径。     

空气质量会影响股票市场吗？

空气质量可能通过情绪、政策和预期等渠道影响股票市场参与者,并最终影响股票市场。本文运用2006年1月4日至2013年1月14日上海空气质量指数和上证沪企指数等相关数据,利用多元递进的实证方法,分析了空气质量能否以及如何影响股票市场这个关键问题。实证研究发现:空气质量对股票市场的收益率、换手率和波动率均有影响,空气质量影响股票市场的情绪渠道及其他渠道是存在的。优等的空气质量使股票市场倾向于获得更高的收益率、更低的换手率和波动率;而空气污染与空气质量优等时产生的影响则具有对称性。基于混频回归的稳健性检验可以排除空气质量与股票市场之间的内生性问题。     

测量中国的金融不确定性——基于大数据的方法

本文基于 Jurado et al.(2015)提出的大数据分析方法,采用280个月度经济金融变量构造了2002-2017的中国金融不确定性指数,并从股票市场波动和金融机构系统性风险两个方面对中国的金融不确定性指数进行了实证分析。本文发现,在控制了滞后波动率后,金融不确定性指数仍然对股票市场的波动率有显著的预测作用;同时,金融不确定性的增加会显著提升金融机构的系统性风险,尤其是规模较大的金融机构。实证结果表明,金融不确定性是金融市场波动的一个重要来源。     

Stochastic dividend yields and derivatives pricing in complete markets

When an underlying yields a stochastic dividend yield, derivatives with linear payoff at their maturities that are written on this underlying have the following properties: (i) they have a unique price only if markets are complete; (ii) the dynamic strategies that replicate these contingent claims contain hedging components against the state variables in the economy; (iii) the prices of these derivatives will depend upon the dynamics of the market prices of risk even when markets are complete. Within an affine framework, we explicitly price forward and futures contracts with stochastic dividends. We also show that the quantitative impact of assuming that dividends are deterministic when they are actually stochastic is significant. JEL Classification G12 · G13     

Crisis transmission: Some evidence from the Asian financial crisis

We used a crisis measure of financial market as defined by Sexena (1998) to study the nature of crisis transmission and the channels through which the 1997 crisis was transmitted among Asian financial markets. Estimated with a vector autoregression (VAR) and an OLS model on Asian financial markets from January 1990 to December 1998, we found that:

1.

During the crisis period, crisis transmission was more significant than during other noncrisis periods;

2.

Comparing the crisis transmission within the industrialized countries (Taiwan, Korea, and Japan), within the emerging countries (Thailand, Malaysia, The Philippines, and Indonesia), and between the industrialized and emerging groups, it is shown that

2.1.

The crisis transmission among the three industrialized countries was not significant.

2.2.

The crises originated from Thailand and Malaysia were transmitted to other emerging countries.

2.3.

The crisis transmission between industrialized and emerging countries was not found to be significant. There was evidence showing that Singapore served as an intermediary transmitting crisis between industrialized and emerging countries during this particular crisis.

3.

The transmission through the wake-up call effect was found to be more significant than other transmission channels. Trade relationship and cash-in effects only existed in Korea, Thailand, and Malaysia.

     

Run length and the predictability of stock price reversals

Survival analysis is used to estimate time‐varying probabilities of price reversals using daily data for the Australian All Ordinaries Price Index. Lagged price changes lead to persistence (shortening) in a price run if they are of the same (opposite) sign as the run. An increase in the number of runs observed in the previous 30 days also increases the probability of price reversal. The predictive accuracy of the models is assessed using a probability scoring rule. Consistent with market efficiency, the estimated models are less accurate than the random walk model in predicting the length of individual price runs out‐of‐sample.     

Do stock prices influence corporate decisions? Evidence from the technology bubble

We study the capital investment, stock issuance, and cash savings behavior of non-tech manufacturers (old economy firms) during the 1990s technology bubble. Our empirical results show that high stock prices affect corporate policies because they relax financing constraints. During the tech bubble, constrained non-tech firms' investment responded strongly to “high stock prices” (specifically, the component of price that is not captured by fundamentals). They also issued stock in response to that overvaluation effect, saving part of the proceeds in their cash accounts. We find no such patterns for unconstrained non-tech firms, nor for tech firms. Our findings are not consistent with the notion that managers systematically issue overvalued stocks and invest in ways that transfer wealth from new to old shareholders. More broadly, they suggest that what appears to be overvaluation in one sector of the economy may have positive externalities for other sectors.     

Earnings volatility,ambiguity, and crisis-period stock returns

Financial crises are marked by substantial increases in ambiguity where prices appear to decouple from fundamentals. Consistent with ambiguity-based asset pricing theories, we find that ambiguity concerns are more severe for firms with higher earnings volatility, causing investors to demand a higher ambiguity premium for such firms. While there is no relation between earnings volatility and stock returns under normal conditions, there is a significant negative relation between crisis-period stock returns and prior earnings volatility. The effect is stronger in firms with low institutional ownership and low analyst following, consistent with ambiguity concerns being greatest amongst firms with unsophisticated investors.