Optimality and Natural Selection in Markets

We ask if natural selection in markets favors profit-maximizing firms and, if so, is there a difference between the predictions of models which assume all firms are profit maximizers and the predictions of models which explicitly take account of population dynamics in the market. We show that market selection favors profit maximizing firms, but we also show that the long-run behavior of evolutionary market models is nonetheless not consistent with equilibrium models based on the profit-maximization hypothesis. Dynamic equilibrium paths with market selection are not Pareto optimal, nor even asymptotically optimal. The discrepancy arises because the dynamics created by firm evolution causes prices to vary over time and the resulting dynamical system need not have stable steady states.     

Does spectrum auctioning harm consumers? Lessons from 3G licensing

Although the auctioning spectrum is generally considered to be highly successful, many countries still rely on beauty contests to assign spectrums. This is often attributed to the negative perceptions about the potential problems that auctions may cause, such as high licensing fees, high consumer prices, a lower incentive to invest in infrastructure, and concerns about market concentration.To address these negative perceptions, this paper estimates the effects of the auctions and the licensing fees for the 3G spectrum on consumer prices, the timing of a new service launch, and the market structure using data from the mobile markets of 21 OECD countries. Although our study uses a relatively small sample and a simple methodology, the results are meaningful since it examines a single service (3G) in OECD countries. Some of these countries have adopted auctions while others have used the traditional beauty contest approach. This combination provides a natural experiment to evaluate the impact of auctions on the mobile telecommunications market.The estimation results show no evidence to support claims of negative effects of spectrum auctions in the mobile communications market. This study calls for more positive action toward spectrum auctions in many countries who seek to improve the efficiency and transparency of spectrum assignment.     

The effects of market organization on conspiracies in restraint of trade

Mindful of the market structure-conduct-performance paradigm fundamental to industrial organization research, this paper uses laboratory experimental techniques to study the impact of conspiratorial opportunities on market performance. We compare ‘posted-offer’ markets where sellers (but not buyers) are all conspiratorial opportunities with observations from three control groups: (1) posted-offer markets without conspiratorial opportunities, (2) ‘double-auction’ markets with conspiratorial opportunities and (3) posted-offer markets with true single-seller monopolists. The basic conclusions generated by our experimental design are: (1) seller conspiracies in posted-offer markets tend to raise prices (but not profits) relative to similarly organized markets without conspiracies, (2) posted-offer conspiracies tend to generate higher prices (but not profits) than double-auction conspiracies, and (3) posted-offer monopolies tend to generate higher profits (but not prices) then posted-offer conspiracies.     

非同步交易下的市场联动——内地市场与香港市场互动关系研究

针对本土和异地共同上市的标的金融资产价格之间联动关系问题,目前海外有"国内偏好"假说和"国际中心"假说.本文将微观结构因素中的非同步交易引入到该类问题的研究当中,以香港市场H股和内地市场A股股价的联动性为研究样本,探讨非同步交易下的市场信息传播特征.研究发现,在非同步交易市场中,"国内偏好"和"国际中心"可以分别解释市场间因非同步交易引起的信息传播特征.     

Beyond the efficient markets hypothesis: Towards a new paradigm

To go beyond the efficient markets hypothesis (EMH) we suppose that the stock market can be in one of three states: (1) a fundamental state, where share prices are determined largely as in the EMH; (2) a bubble or bull market state, where share prices are above their fundamental levels but are expected to continue to rise further, and (3) a bear market state, where shares are held exclusively by irrational agents and rational agents cannot exploit the overvaluation because of short-selling constraints. Also, heterogeneous rational expectations may help explain some features of stock market behaviour.     

Testing for profitability and contestability in banking: evidence from Austria

The paper investigates the determinants of banking profitability and banking market conditions in Austria. We conduct a panel econometric analysis which allows for testing the hypotheses which have become the most prominent in the literature on bank profitability: the structure–conduct–performance hypothesis, the efficient‐structure hypothesis and the relative market‐power hypothesis. Further, we test whether Austrian banking markets are, on average, contestable. A newly compiled dataset covering more than 700 Austrian banks ranging over the period from 1995 to 2002 is used to carry out these econometric analyses. The empirical findings support the view that the Austrian banks do exert, on average, some local market power. However, the gains in terms of excess profits are rather minor as a result of low deterrence powers of the incumbent banks.     

Riding the Bubble: Financial Market Crises in Twenty-Two OECD Countries

In the past decade, financial markets have been hit twice by crisis, followed each time by recession (i.e., Enron and the subprime mortgage crisis). I present three theories to explain the dynamics of share prices: rational expectations, behavioral finance, and an institution-oriented theory. Institutional investors are the dominant actors on financial markets. They hold the majority of the share capital in big companies. They tend to drive financial markets to a higher level of risk (volatility). The greater the percentage of the share capital held by institutional investors in a company, the higher the volatility (variance) of the share price. The results of my multilevel analysis confirm this hypothesis (a sample of 1,369 firms in twenty-two OECD countries). There are also significant differences among the OECD countries. Whereas both financial market crises originated in the United States, the country did not have the highest level of volatility in the period from 2000 to 2013.     

金融危机背景下中国碳交易市场现状和趋势

我国碳交易市场已经兴起,未来的碳减排潜力巨大。但我国碳交易市场的发展还很不完善,存在着交易价格过低、开发项目领域过窄等问题。作为一种战略性的资源,碳排放权的低价出售,可能会给我国带来风险。当前,受金融危机的影响,我国碳交易市场短期内将经历低谷,但长期看前景依然乐观。因此,应加强碳交易方法学研究,尽快培养碳交易专门人才,加快相关中介咨询、金融服务机构的建设,尤其要部署争取碳交易市场的定价权。     

Competition in Retail Petrol Markets

We study the relationship between prices and market structure in geographically isolated markets that are exposed to large demand shocks. The temporal variation in market size allows us to overcome the classical endogeneity bias in standard concentration‐performance regressions. We find evidence of local market power in petrol markets due to product differentiation. Additionally, the high margins that characterise concentrated markets dissipate quickly with the number of competitors. Ignoring market structure endogeneity leads to underestimating the effect of market concentration on prices between 55 and 70%.     

Have food and financial markets integrated?

This article analyses comovements and discusses possibly greater market integration between aggregate food commodity and stock prices in the period 1990 to 2012. Return correlations, price return distributions, cointegration and Granger-causalities are tested in subsamples on monthly FAO Food Price Index and MSCI World Stock Market Index. Empirical results suggest that while there is only weak indication of greater comovements concurrent with structural changes such as changed agricultural policies, new demand due to growth in emerging markets and energy mandates and the financialization of food markets since the early 2000s, they did start to increase substantially in particular during the financial stress of the Lehman crisis and the Great Recession. While structural changes may have amplified price linkages across markets, results do not suggest that they are the key factors for greater price comovements. Instead, the effects of the late-2000s recession as a time of great economic weakness and uncertainty may have changed concurrently the behaviour of both food and financial market participants, such that different market prices exhibit large comovements.     

保险产业市场结构和市场绩效的关系研究

对于市场结构和市场绩效的关系问题,理论界存在两个较为权威的假说,即市场力量假说和效率结构假说。笔者通过实证分析检验这两个假说在我国保险市场中的适用性,认为在我国保险市场存在传统的市场结构—市场行为—市场绩效假说,保险市场可以通过增加有效率企业的数量,引入竞争机制,最终通过市场自然选择的过程,形成少数新的规模大并能够具有市场力量的保险公司,从而提高保险业的绩效水平。     

Monopoly power,barriers to competition and the pattern of price differentials in international trade

Numerous studies have attempted to assess the influence of market structure on performance in domestic markets of industrial countries. With few exceptions, these investigations have shown that prices and profits are higher, and a less efficient allocation of resources prevails, in markets where agressive competition is absent. Using techniques similar to there applied in the industrial market studies, this analysis examines the pattern of iron steel prices in international trade. The findings parallel those for the industrial organization investigations. Typically, international markets which are more concentrated, or which rely on a smaller number of trade contacts, bear higher prices. Also, the magnitudes of these excess price margins are such as to have important policy implications since they constitute a serious drain on the foreign exchange reserves of some developing countries.     

Is the efficient market hypothesis day-of-the-week dependent? Evidence from the banking sector

In this article, we propose a new hypothesis: that the efficient market hypothesis is day-of-the-week-dependent. We apply the test to firms belonging to the banking sector and listed on the NYSE. We find significant evidence that the efficient market hypothesis is day-of-the-week-dependent. Overall, for only 62% of firms, the unit root null hypothesis is rejected on all the five trading days. We also discover that when investors do not account for unit root properties in devising trading strategies, they obtain spurious profits.     

中国沪深股市的自组织临界性——基于沙堆模型的分析

利用沙堆模型,探讨了中国沪深股市的内在动力学机制,对沪深两市上涨和下跌过程中股价波动量和波动持续时间进行了统计分析。结果显示:股价波动量和波动持续时间的分布服从幂次定律,具有时空尺度下的无标度性,从而证明了股市存在分形结构。分形结构的存在表明,各股市投资者之间具有长程相关性,股价具有长期记忆性。由于投资者的风险偏好不同,因此股市的上涨与下跌性质具有差异性,损失的耗散速度比收益要快。     

Policy reforms and asymmetric price transmission in the Zambian and Tanzanian coffee markets

Several governments in sub-Saharan Africa have embarked on various market reforms to improve commodity market performance. However, the success of such market reforms depends partly on the strength of the transmission of price signals between spatially separated markets and between different levels of commodity value chains. This study employs momentum threshold cointegration and error correction models to examine the impact of policy reforms on the transmission of prices between the world coffee market and domestic prices in Zambia and Tanzania. The findings show that in the case of Zambia, where policy reforms liberalized coffee markets, the producer prices respond more swiftly to decreases than increases in world market prices, and this swiftness increased after the policy reforms. For Tanzania, where reforms resulted in increased government intervention, producer prices were found to respond quicker to increases than decreases in world market prices over the period under consideration. However, the period before reforms showed domestic prices responding more swiftly to decreases than increases in world prices, while the post-reform period was characterized by faster responses to increases than decreases in world prices.     

Gains From Price Rigidity

This paper shows that there are substantial gains from price rigidity in an imperfectly competitive economy. Firms can increase their profits by agreeing some markets as markets of long-term contracts, of which prices are determined in advance to other spot market prices. Although they determine prices non-cooperatively in both markets, the mutual commitment making some markets' prices predetermined induces a price–price spiral between firms, which results in substantial gains for both firms. These gains outweigh the cost of inflexibility arising from price rigidity even though demand fluctuation is large and marginal cost is increasing.
JEL Classification Numbers: E30, E32.     

On nonlinear dependencies in African stock markets

Ferreira, Dionisio, and Correia (2018. Physica A: Statistical Mechanics and Its Applications. 505, 680–687) showed that African stock markets at different time frames (before the Lehman Brothers financial crisis, during the crisis, and after the crisis) do not satisfy the efficient market hypothesis. Here, we provide evidence by means of six different nonparametric tests, and the fit of GARCH(1, 1), TGARCH(1, 1) and EGARCH(1, 1) models accounting for day of the week and month of the year effects that the majority of African stock markets do comply with the efficient market hypothesis.     

企业捐赠、市场认知与盈余信息含量

企业的捐赠行为在某种程度上是出于慈善的“社会责任”动机,也可能表现为战略性绩效改善动机。本文研究发现,目前中国的资本市场中,捐赠行为还没有被市场所认可,股东会认为捐献降低了可供股东分配的资源和利润,损害股东利益,因此给予负面评价。市场对于不同的捐赠动机会给出不同的评价。如果企业捐赠更多地表现为战略性绩效改善动机,那么市场会给予积极的正面评价,这种捐赠能够提高盈余的信息含量,可能的原因在于,市场和投资者现阶段更加关注的是企业的短期盈利问题。     

Product regulations and persistence of profits: OECD evidence

In competitive markets, profits deviating from the norm will not persist for extended periods. If unimpeded, entry and exit of firms should restore profits to competitive levels. This dynamic process is influenced by regulations that temporarily or permanently impede competition. We study how product market regulations (PMR)—as measured by the OECD—affect competition by their impact on the profit persistence (Wölfl et al. in Ten years of product market reform in OECD countries-insights from a revised PMR indicator, 2009, Product market regulation: extending the analysis beyond OECD countries, 2010). To examine profit dynamics, we follow the methodology developed by Mueller (Economica 44(176):369–380, 1977), which measures both the short run persistence of profits and the long run permanent rents. The method can be used to measure: (1) short run transitory rents; (2) long run permanent rents. To this end we use firm level data from 30 OECD countries over the period 1998–2013. Results show that PMR increase the permanent rents of firms but we find no significant effect on short run profit persistence. We conclude that PMR negatively influence competition and increase permanent rents, resulting in misallocation of resources.     

期货市场与现货市场之间的价格研究--中国农产品市场的经验

本文借助于信息共享模型与波动溢出效应模型对我国大豆和小麦的期、现货市场之间的价格发现进行了多层次的实证研究,定量描述了期、现货市场在价格发现中作用的大小,深入刻画了我国农产品期、现货市场之间的动态关系.研究结果显示:大豆期、现货价格之间存在双向引导关系,小麦仅存在期货对现货的单向引导关系;期、现货市场均扮演着重要的价格发现角色,且期货市场在价格发现中处于主导地位;期、现货市场之间均存在双向波动溢出关系,但现货市场来自期货市场的波动溢出效应均强于期货市场来自现货市场的波动溢出效应;并且,随着期货市场的发展,期、现货市场之间的波动溢出程度均呈逐渐增强态势.