股指期货:"只许州官放火,不许百姓点灯"

随着股指期货时代的来临,投资者应该全面了解股指期货的功能,正确认识股指期货的风险,灵活地在资产中配置股指期货.本文通过对股指期货投资者的比较,分析了散户在股指期货市场的角色,并对如何保护散户利益提出建议.     

我国股指期货套利交易策略模式初探简

2010年4月16日,中国股指期货正式上市交易,作为股指期货三大交易类别的股指期货套利交易在股指期货交易中起着举足轻重的作用,成为各大机构投资者的关注热点。本文主要研究了我国股指期货市场套利策略的应用和风险分析。结合中国目前的沪深300指数对各种有效的套利交易策略实证分析,得出在中国股指期货市场有效套利交易策略以及相应的风险。     

股指期货市场是一个风险管理市场

目前,市场上对股指期货的认识还比较混乱,时常出现于偏激的观点。有人过分夸大股指期货的作用,认为股指期推出以后,会对标的市场产生很大的冲击。前段时间现货市大盘蓝筹股涨势强劲,人们认为是机构在为股指期货提前集筹码;最近股指下滑,又有人认为这是股指期货惹的祸,当然地认为股指期货将会带来大盘下跌。总之就是涨也股期货,跌也股指期货。     

QFII曲线进场股指期货：机遇?挑战?

QFII与股指期货渐行渐进沪深300股指期货的推出,和QFII能否以及如何参与股指期货,已成为中国金融市场上瞩目的焦点。虽然目前政府对QFII参与股指期货还未有明确规定,但证监会于3月表态,允诺QFII可以参与股指期货,并     

股指期货交易场所选择分析

股指期货是在证券交易所上市还是在期货交易所上市,国际上没有统一的惯例.本文根据我国目前证券市场发展状况,从股指期货全球的发展趋势、风险控制、运行成本、长远发展等几方面,分析我国推出股指期货交易地点的选择问题,认为我国证券交易所推出股指期货要优于期货交易所推出股指期货.     

针对我国股市特点推出股指期货的积极意义

股指期货是一种以股票指数为标的物的金融期货合约。就规避股票市场系统性风险来说,股指期货发挥着独到的作用。本文针对我国目前股票市场系统风险占比大,而市场上有缺少规避系统风险的金融工具,迫切需要推出股指期货以规避市场系统风险的现实,对股指期货的避险功能及原理,和其在我国推出的意义进行研究。文章共分两个部分:上半部分,简要介绍股指期货的基本知识,重点介绍了股指期货的套期保值功能,并针对股指期货规避系统风险的功能,对股指期货的原理进行分析。下半部分,结合我国股市的情况特点分析在我国推出股指期货的积极意义,全面地认识股指期货的发展对我国的影响。     

股指期货推出的两大市场意义

一、股指期货的推出有利于市场的稳定 目前有关股指期货推出对市场影响的争论主要集中在对市场是利多还是利空因素方面,其实这种争论放大了股指期货对市场的影响,股指期货作为一种投资工具,从来不是影响市场走向的决定性因素,决定市场涨跌的是市场的基本面本身而不是股指期货。国外市场统计也表明,股指期货的推出不会改变股票市场的走向。     

针对我国股市特点推出股指期货的积极意义

股指期货是一种以股票指数为标的物的金融期货合约。就规避股票市场系统性风险来说,股指期货发挥着独到的作用。本文针对我国目前股票市场系统风险占比大,而市场上有缺少规避系统风险的金融工具,迫切需要推出股指期货以规避市场系统风险的现实,对股指期货的避险功能及原理,和其在我国推出的意义进行研究。文章共分两个部分:上半部分,简要介绍股指期货的基本知识,重点介绍了股指期货的套期保值功能,并针对股指期货规避系统风险的功能,对股指期货的原理进行分析。下半部分,结合我国股市的情况特点分析在我国推出股指期货的积极意义,全面地认识股指期货的发展对我国的影响。     

股指期货:中国衍生金融市场发展的第一步

《中国金融期货交易所交易细则》等九项股指期货配套实施细则的正式发布实施标志着股指期货规则准备工作基本完毕。业界普遍认为推出股指期货有利于构建多层次的金融市场体系,增强国家的金融实力。经过25年发展,股指期货已成为全球金融衍生品的一个非常成熟的主流品种,但目前在国内股指期货尚属“新生事物”,大多数企业对于股指期货还不甚了了。为此本刊特别组织了这一期专题,希望能够从投资股指期货的知识、策略和技术三个角度与读者展开交流。     

我国发展股指期货的相关问题研究

本文依据我国目前的实际情况和成熟市场发展股指期货的研究结论,对于我国发展股指期货的相关问题进行研究,并提出风险控制的建议,以期对顺利推出股指期货有所裨益。     

Voluntary disclosure practices amongst listed companies in Nigeria

This study examines voluntary disclosure practices amongst listed companies in Nigeria. Results from univariate and multivariate analyses of 52 listed companies suggest an average voluntary disclosure of 44% based on modified Meek, Roberts and Gray (1995) disclosure index comprising 24 disclosure items. The study found significant positive relationship between voluntary disclosure and firm size, measured as the natural logarithm of total asset. The study documents significant positive relationship between market-based definition of firm performance and voluntary disclosure. The study also found significant negative relationship between percentage of block share ownership and percentage of managerial share with firm disclosures. The study has important implication for both individual and institutional investors globally, regulators and policy makers in developing economies.     

Valuation Effects of Greek Stock Dividend Distributions

This study analyses the price reaction to stock dividend distributions by firms listed on the Athens Stock Exchange on both the announcement and the ex‐dividend day. It also analyses earnings per share, dividends per share and trading volume in the pre‐ and post‐announcement periods. The findings show statistically insignificant abnormal returns on both the announcement and the ex‐dividend day. The analysis does not reveal any significant change in earnings per share and dividends per share, but it does reveal a significant decline in the market‐adjusted trading volume in the post dividend period. The findings, based on a different institutional environment, expand the empirical evidence on the value effects of stock dividends.     

Does ETF trading affect the efficiency of the underlying index?

This study finds that both contemporaneous and lagged ETF trading volumes in both absolute and relative terms are significant contributors to the price efficiency of the underlying index. The variation in ETF shares outstanding is also positively associated with the index efficiency but it weakens the effect of ETF trading on the index efficiency. Moreover, the synthetic ETF price dominates the index in information share and the dominance increases in ETF trading. However, the relation between an individual ETF's information share and its trading volume varies, which is significantly positive for the leading ETF but ambiguous for other ETFs.     

The Insurance Is the Lemon: Failing to Index Contracts

We model the widespread failure of contracts to share risk using available indices. A borrower and lender can share risk by conditioning repayments on an index. The lender has private information about the ability of this index to measure the true state that the borrower would like to hedge. The lender is risk-averse and thus requires a premium to insure the borrower. The borrower, however, might be paying something for nothing if the index is a poor measure of the true state. We provide sufficient conditions for this effect to cause the borrower to choose a nonindexed contract instead.     

Do exchange‐traded fund flows increase the volatility of the underlying index? Evidence from the emerging market in China

Studying 70 Chinese equity exchange‐traded funds (ETFs), we show that daily ETF flows significantly increase both the total volatility and the fundamental volatility of the underlying index on the next trading day. More specifically, it is the forward‐looking flow component which captures APs’ share creation/redemption activities beyond their role of market makers that can significantly predict the two types of volatility. Moreover, ETF arbitrage (ETF's information share) enhances the effect of forward‐looking flows on the total volatility (fundamental volatility) of the index. Furthermore, the relationships between forward‐looking flows and the two types of index volatility show a two‐way contagion.     

Dividends and share repurchases in the European Union

We examine cash dividends and share repurchases from 1989 to 2005 in the 15 nations that were members of the European Union before May 2004. As in the United States, the fraction of European firms paying dividends declines, while total real dividends paid increase and share repurchases surge. We also show that financial reporting frequency is associated with higher payout, and that privatized companies account for almost one-quarter of total cash dividends and share repurchases. Our regression analyses indicate that increasing fractions of retained earnings to equity do not increase the likelihood of cash payouts, whereas company age does.     

Controlling shareholder share pledging and the cost of equity capital: Evidence from China

We propose and test the incentive view—that the margin call pressure and ownership-control discrepancy associated with insider share pledging increase investors’ perceived risk, and thus also the cost of equity capital, in an emerging market. Using a controlling shareholder share pledging sample for Chinese listed firms, we find that firms with share pledging have a cost of equity capital that is 23.7 basis points higher than firms without share pledging. Further, share pledging increases the cost of equity capital through the information risks and agency conflicts channels. Cross-sectional analyses show that share pledging has a stronger effect on the cost of equity capital in non-state-owned enterprises, firms without monitoring of multiple large shareholders, firms with controlling shareholders assuming the position of chairperson, and firms with a weak institutional environment. In addition, using the global financial crisis and the outbreak of the coronavirus (COVID-19) as quasi-natural experiments, we disentangle the potential confounding effect of firm fundamentals and show that share pledging is positively associated with the cost of equity capital. Overall, the results are consistent with our incentive view that share pledging increases the cost of equity capital in an emerging market.     

An analysis of trading strategies in eleven European stock markets

Abstract

In recent years, the validity of the weak form efficient market hypothesis (EMH) has been called into question as several studies have uncovered evidence that technical trading rules have predictive ability with respect to both developed and emerging stock market indices. This study analyses the forecasting power of 2 of the most popular trading rules using index data for a selection of 11 European stock markets over the January 1991 to December 2000 period. The findings indicate that the emerging markets included in this paper are informationally inefficient; these markets displayed some degree of predictability in their share returns, although the developed markets did not. Furthermore, the results point to large differences in the performance of the rules examined; while small size filters consistently outperformed the buy-and-hold strategy in the emerging markets examined even after the consideration of transaction costs, the performance of the moving average rules was erratic and varied dramatically from market to market.     

THE ACCURACY OF CAPM PROXIES FOR ESTIMATING A FIRM'S COST OF EQUITY

In estimating a firm's cost of equity with the CAPM the standard procedure is to proxy the market portfolio by a share index. Since this index is not the market portfolio this may give rise to a bias in estimating the firm's cost of equity. This paper investigates this bias and concludes that it will arise if the factor coefficients are not proportional to those of the index. Even moderate departures from this proportionality condition may produce significant bias.     

Excess insider control and corporate social responsibility: Evidence from dual-class firms

We investigate the corporate social responsibility (CSR) performance of firms with a dual-class share structure. Dual-class firms, which represent a fast-growing segment of the U.S. capital market, violate the "one share, one vote" principle by giving corporate insiders control in excess of their economic interest in the firm. We observe a negative association of excess insider control and firms’ CSR performance, primarily with respect to the community- and employee-related dimensions of CSR. Extended analyses reveal that this negative association is mitigated by high financial resource availability. Consistent with a trade-off between corporate spending on CSR or on benefits for insiders, we also observe a negative association between CSR performance and executive pay in dual-class firms. Taken together, these extended analyses are consistent with self-interested behavior of entrenched insiders who, unless resources are abundant, appear to reduce CSR activities to maintain resources available for their personal benefit. While the exposure to risks engendered by a dual-class equity structure may be reflected in the share price, our findings draw attention to an externality: diminished CSR performance affects not just shareholders, but all stakeholders.