开盘集合竞价透明度与市场质量

通过采用个股与市场同步法和价格反转的分析方法研究开盘集合竞价透明度与市场质量之间的关系,发现从日内效应来看,开盘集合竞价透明度提高以后,交易者的执行成本增加,整体来说市场的流动性是降低了;从事件前后市场模型的拟合优度比较结果来看,开盘集合竞价透明度提高以后股票个股与市场反应不一致,价格发现效率降低,市场质量降低。     

期货市场交易结构、价格形成机制及其效率研究

做市商机制和连续竞价机制是现代期货市场主流的两类交易机制，连续竞价机制则成本较低，价格信号反应灵敏；做市商机制透明、公正，市场连续性较好，代表着期货市场交易机制的未来发展方向。通过对期货市场微观交易结构及价格形成机制的模型研究，结合我国的实际情况，比较考察了几种典型的期货交易机制在不同交易结构下的价格形成效率，对我国期货市场转型完善时期具有现实意义。     

期货投资基金与期货市场发展探讨

现代期货市场在套期保值和价格发现功能基础上演绎出丰富的功能类型。在发达国家,期货投资基金规模庞大,具有成熟的交易策略和交易技术,已经成为期货市场所有功能有效发挥的中坚力量。中国要全面提升期货市场功能,确保价格安全和产业安全,应加快探索期货投资基金的具体模式、市场结构和法律框架,将期货投资产业链中的各要素进行重新整合,确立不同品种期货的产业集群式发展模式。为此,政府应主动打破路径依赖,实现以投资者结构多样化为基础的期货市场全面创新。     

Trading Better Versus Making More: Evidence from an Emerging Market

Using transaction data from Egypt, we examined the controversy over which investor—domestic or foreign—has superior trading performance in emerging markets. We account for informational and behavioral differences across investors by classifying them by origin and type and comparing their performance in trade execution versus profitability. Domestic institutions execute trades at the best prices with the greatest advantage against foreign institutions. This advantage is reduced when foreign institutions focus on large firms and trades. Profitability analysis revealed, however, that domestic investors accrue significant losses against foreign investors, suggesting that trading better does not necessarily translate into making more money.     

国际期货市场机构投资者的发展及借鉴

期货市场上的机构投资者主要有期货投资基金和对冲基金，证券公司或投资银行、养老基金、共同基金以及商业银行等机构也是重要参与者。本文介绍了参与国际期货市场的机构投资者的投资特点、在不同市场投资所占的比重和发挥的作用，分析了期货市场机构投资者的类型、发展及与现货市场机构投资者及期货公司之间的关系，并为中国期货市场机构投资者的发展提出了相关建议。     

Risk Transmission from Oil and Natural Gas Futures to Emerging Market Mutual Funds

This study evaluates the impacts of energy markets on emerging market mutual funds (EMMFs). In particular, we investigate the volatility transmission between these funds and the oil and natural gas prices. The findings suggest significant risk spillover from the energy markets to EMMFs. Furthermore, we find a large number of EMMFs’ risk transmitting to oil prices and almost all of the EMMFs’ risk transmitting to natural gas prices. By dividing the sample into two (before and after 2008), we find the EMMFs’ influence on the oil market decreasing after this turbulent period. Our results have important implications for mutual fund managers and investors.     

期货市场的发展与上海国际金融中心建设

国际金融中心都有发达的期货市场,期货市场在国际金融中心变迁中发挥着重要作用,成为现阶段国际金融中心建设的突破口。上海期货市场已具备了加快发展的条件和基础,当前所面临的瓶颈问题是期货品种需要进一步完善,需要采取做深做精现有期货品种、探索开展期货保税交割业务等具体措施进一步发展上海期货市场,从而助力于上海国际金融中心的建设。     

Assessing Selectivity and Market Timing Performance of Mutual Funds for an Emerging Market: The Case of Turkey

This paper derives and analyzes the selectivity and market timing performance of the mutual funds for the Turkish economy for the financial crisis period by employing high-frequency data. The determinants of these derived abilities are investigated within a regression analysis. The results suggest weak evidence about selection ability and some evidence about superior market timing quality. They also indicate that management fees are negatively correlated with the ability measure, which is quite surprising. Experience emerges as an important factor, especially for market timing ability.     

我国农产品期货市场发展现状、问题及对策

近年来,我国农产品期货市场日益规范,交易规模扩大,交易品种增加,但仍然存在交易品种少、体系不完善、法律法规不健全、投资主体结构不合理、合作组织及中介机构发展落后等问题。为推动我国农产品期货市场健康发展,必须不断开发新上市品种,进一步优化市场结构;加强农产品期货市场秩序整顿,加快立法,完善监管;加强对农户的教育和培训,塑造成熟的投资主体;通过建立农户自组型期货合作社、企农联合型期货合作社和信农互动型期货合作社等期货合作模式,帮助农户利用农产品期货市场增加收益。     

Brand Equity and Firm Risk: An Empirical Investigation in an Emerging Market

The aim of this article is to investigate the relationship between brand equity and firm risk in Turkey using a sample of 254 firm-year observations for the period 2009–2014. Our findings suggest that brand equity is an important determinant of equity risk in addition to conventional firm-specific variables. In particular, after controlling for firm-specific variables, the results reveal that firms with high brand equity experience lower volatility in stock returns. We also find that enhancing brand equity is an important tool for firms in reducing unsystematic and downside systematic risk in their stock prices. Our findings are robust to different valuation models of domestic and global investors as well as different methods of estimations. The results are encouraging for both marketing managers and investors, particularly those in emerging markets where stock price volatility is relatively higher than in developed markets.     

The Effect of Futures Market Volume on Spot Market Volatility

There has been considerable interest, both academic and regulatory, in the hypothesis that the higher is the volume in the futures market, the greater is the destabilizing effect on the stock market. We show that conventional approaches, such as adding exogenous variables to GARCH models, may lead to false inferences in tests of this question. Using a stochastic volatility model, we show that, contrary to regulatory concern and the results of other papers, contemporaneous informationless futures market trading has no significant effect on spot market volatility.     

Random Walks and Market Efficiency Tests of Latin American Emerging Equity Markets: A Revisit

The few existing studies on equity price dynamics and market efficiency for Latin American emerging equity markets show conflicting results. This study uses multiple varianceratio and auto-regressive fractionally integrated moving-average tests and new data (U.S. dollar-based national equity indices for the 1987–1997 period) to clarify these results. Documented evidence shows that equity prices in major Latin American emerging equity markets — Argentina, Brazil, Chile and Mexico—follow a random walk, and that they are, generally, weak-form efficient. In sum, therefore, the evidence suggests that international investors in these markets cannot use historical information to design systematically profitable trading schemes because future long-term returns are not dependent on past returns.     

中国期货市场套期保值绩效实证研究

为了研究中国期货市场的套期保值绩效，本文利用确定套期保值比率的OLS、B-VAR、ECHM和EC—GARCH四个模型和套期保值绩效的衡量指标，对中国期货的小麦、大豆、铜和铝的套期保值比率和绩效进行了实证研究，使用1998～2004年中国期货与现货价格的周数据来进行单位根和协整检验等计量分析。研究显示，金属期货品种的套期保值比率和绩效比农产品期货品种的套期保值比率和绩效都要高。考虑了协整关系的ECHM和EC—GARCH模型的套期保值比率和绩效比没有考虑协整关系的OLS和B—VAR模型高，样本区间外的套期保值绩效优于样本区间内的绩效。本文认为采用ECMH和EC—GARCH模型进行套朔保值是最佳的策略。     

The Effect of US Stock Market Uncertainty on Emerging Market Returns

We investigate the effects of US stock market uncertainty (VIX) on the stock returns in Latin America and aggregate emerging markets before, during, and after the financial crisis. We find that increases in VIX lead to significant immediate and delayed declines in emerging market returns in all periods. However, changes in VIX explained a greater percentage of changes in emerging market returns during the financial crisis than in other periods. The higher US stock market uncertainty exerts a much stronger depressing effect on emerging market returns than their own-lagged and regional returns. Our risk transmission model suggests that a heightened US stock market uncertainty lowers emerging market returns by both reducing the mean returns and raising the variance of returns. The VIX fears raise the volatility of emerging market returns through generalized autoregressive conditional heteroskedasticity (GARCH)-type volatility transmission processes.     

证券期货市场人工智能交易的刑法规制

证券期货市场人工智能交易具有强大的预测分析能力、投资策略制定能力以及敏锐的市场反应能力。与之相适应,刑法对证券期货犯罪的规制重点也应当从交易的行为方式向交易技术转移。鉴于利用人工智能交易可以实施滥用技术优势型市场操纵犯罪行为,刑法有必要对人工智能交易予以规制,并且这种规制利大于弊。规制应当明确区分人工智能交易的正当使用和滥用,并进一步完善操纵证券、期货市场罪的规定。     

The Relationship Between Energy Commodity Prices and Electricity and Market Index Performances: Evidence from an Emerging Market

We investigate the effect of energy commodity price movements on market and electricity index returns in Turkey for the periods before, during, and after the year 2008. Although the Turkish economy is highly reliant on oil, we find that oil price does not lead either electricity or market indexes. This might be attributable to sluggish integration of financial markets in Turkey compared to developed markets. Natural gas price leads electricity index in the pre-2008 period. Its significance is reduced following the decline in natural gas usage in electricity production. This suggests that commodity dependence may be driving the link between commodity and asset prices in related sectors.     

Order Imbalance in the FTSE Index Futures Market: Electronic versus Open Outcry Trading

Abstract:  This study examines trading activities before and after the transfer of the FTSE 100 index futures contract from open outcry to electronic trading. Daily order imbalance exhibits strong serial persistence in the electronic limit order market, but not in open-outcry trading. Both excess buying and selling reduce liquidity. In the electronic venue, prior market movements barely affect investors' buying or selling decisions. Excess buy orders do not generate any price impact, but sell orders do. Positive imbalances are more strongly autocorrelated than negative imbalances. No trading elements, such as order imbalance, volume, or open interest, are associated with volatility. Moreover, excess buying decreases volatility. Such evidence suggests that the development and growth of electronic trading has changed the dynamics of trading activities in many important ways.     

危机后期货市场的表现及政策建议

本轮金融危机中,金融衍生品成为众矢之的。对场外衍生品和场内衍生品不加区分,造成了人们对场内衍生品的误解。数据分析表明,以期货为代表的场内衍生品市场在此次金融危机中表现稳定,继续发挥功能作用。危机之后,大力稳步发展以期货为代表的场内衍生品,将有助于提高我国的国际影响力和在国际大宗商品定价中的话语权。     

The Effects of Trading Methods on Volatility and Liquidity: Evidence from the Taiwan Stock Exchange

This study contrasts the call and continuous auction methods using Taiwan Stock Exchange data. Volatility under the call market method is approximately one-half of that under the continuous auction method. The call market method is more effective in reducing the volatility of high-volume stocks than low-volume stocks. This contradicts conventional wisdom which suggests that the call market method is superior for thinly traded stocks, while the continuous auction method is preferred for heavily traded stocks. The call market method does not impair liquidity and price discovery. The call market appears more efficient than in the continuous auction market.     

The Return Performance of Cubic Market Model: An Application to Emerging Markets

This article studies the performance of the high-order moment capital asset pricing model (CAPM) market models in emerging markets. We apply the cubic market model (4-moment CAPM) to 16 emerging market stock indices ranging from January 2010 to September 2015. Performance of the model is evaluated through the Fama and MacBeth’s two-step regression and through different corrections proposed in the literature, as well as generalized method of moments (GMM) estimation. According to Fama–MacBeth’s procedure, CAPM, the quadratic and cubic market models seem to be insignificant for the analyzed sample; however, the GMM estimation shows that quadratic model is valid for Indian, Polish, and Thai country indices, whereas cubic market model is accurate for Indian country index.