The state of the market and the contrarian strategy: evidence from China's stock market

Using the most comprehensive weekly dataset of ‘A’ shares listed on the Chinese stock market, this paper examines short-term contrarian strategies under different market states from 1995–2010. We find statistically significant profits from contrarian strategies, especially during the period after 2007, when China (along with other countries) experienced an economic downturn following the worldwide financial crisis. Our empirical evidence suggests that: (1) no significant profit is generated from either momentum or contrarian strategies in the intermediate horizon; (2) after microstructure effects are adjusted for, contrarian strategies with only four to eight weeks holding periods based on the stocks’ previous four to eight week's performance generate statistically significant profits of around 0.2% per week; (3) the contrarian strategy following a ‘down’ market generates higher profit than those following an ‘up’ market, suggesting that a contrarian strategy could be used as a shelter when the market is in decline. The profits following a ‘down’ market are robust after risk adjustment.     

The impact of opportunity factors on fraudulent behavior in the Vietnamese stock market

This study examines the opportunity factors on fraudulent behavior in Vietnam’s stock market by employing mixed methodology. In this regard, data were obtained from 20 in-depth interviews and 568 questionnaire survey responses of securities companies, fund management companies, stock exchanges and the State Securities Commission in Vietnam. Using the exploratory factor analysis, the study discovered that the following groups of opportunity factors result in fraudulent behavior: (i) influences of the internal person and issuer, which include (person whose internal information has not been published by the company), collusion of the issuer and securities company, abuse of power by influential person in the company, complex organizational structure of the issuer (one person handling multiple positions) and failure of an issuer to properly control internal information; (ii) investors’ factors, which include investors’ trade of securities based on the insider’s suggestion, framework of foreign investors, brokerage company recommendations, and advisory information on securities forums; and (iii) factors associated with market management and supervision, such as use of lenient penalty with no deterrent effect, untimely market management and limited authority of the securities committee. Using regression analysis, the order of the impact of each group of factors was found as follows: factors due to internal person and the issuing organization, the market management and supervision, and investors.     

我国证券市场信息不对称的博弈分析及政策建议

证券市场的公平与效率是建立在市场有效性基础上的,信息不对称严重影响市场的有效性。本文借用信息经济学和博弈论的分析方法,指出我国证券市场存在严重的信息不对称,进而提出相应的政策建议。     

Currency crisis and contagion: evidence from exchange rates and sectoral stock indices of the Philippines and Thailand

This paper analyzes empirically the recent Asian financial crisis by using high-frequency data of exchange rates and stock indices of the Philippines and Thailand. With time-series techniques, this study confirms that benchmark stock indices often fail to provide valuable insights into currency crises, but there is evidence that developments in some sectoral indices—including those of banking and financial sectors—seem to have caused upward pressure on exchange rates. Our evidence therefore confirms the importance of financial markets as a transmission channel during the currency crisis period.     

对长期股权投资成本法会计处理方法改进的思考

我国铁路货车制造行业在经历了改革开放 2 0多年的调整和发展后有了较大水平的提高 ,但是面对入世后更加激烈的国际市场竞争 ,应清醒地认识到自身的劣势和差距。本文结合我国铁路货车制造企业的实际情况 ,着重分析在新的市场环境中 ,作为微观实体的制造企业所存在的差距及应采     

Transmission of Stock Prices and Volatility from the Influential Major Markets on the Emerging Market: A Case Study of the Korean Stock Market

Abstract

This study investigates how the 1997 crisis has changed the Korean market by focusing on price and volatility spillovers from the US, Chinese, and Japanese markets. Using the exponential general autoregressive conditional heteroskedastic (EGARCH) model, new information on stock prices originating in the US market was transmitted to the Korean market for all periods. The price spillover effect from the Japanese market to the Korean market became stronger from the crisis period. Asymmetry in the spillover effect on market volatility was more pronounced in the Korean market after the financial crisis.     

Overreaction effects independent of risk and characteristics: evidence from the Japanese stock market

This paper shows that the firm size (SZ) and the book-to-market ratio (BM) cannot fully explain stock returns on prior-return-based portfolios in Japan. The overreaction effect after controlling for SZ and BM effects is significant and plays an important role in explaining the zero-investment returns on the loser-to-winner strategy. Motivated by this observation, we construct a portfolio whose return serves as a new factor that mimics overreaction. This new factor improves the performances of the three-factor model [Fama, E.F., French, K.R., 1993. Common Risk Factors in The Returns on Stocks and Bonds. Journal of Financial Economics. 33, 3–56] in several prior-return-based and characteristics-based portfolios.     

制度视角的家族治理与企业绩效研究——来自中德上市家族企业的对比证据

家族集中所有权、控制权和家族涉入管理对企业绩效到底有利还是有弊？相对于发达资本主义国家的企业,处于转型经济中的中国企业面临的外部不确定性更高,上述关系在不同经济体之间是否有区别？企业的治理效果取决于内外两种机制,内部的家族治理系统是对外部制度环境的不完善的补充。我们选取处于成熟市场经济的德国上市家族企业与处于转型经济中的中国上市家族企业进行实证对比,从制度的视角来探讨上述问题。研究结果显示两国上市家族企业的家族治理与企业绩效之间的关系是不一样的。结论表明治理结构并不一定对企业绩效产生直接影响,不同的制度环境会导致不同的作用机制产生。     

The effects of exchange rate trends and volatility on export prices: Industry examples from Japan,Germany, and the United States

Review of World Economics - Die Wirkungen von Trends und Schwankungen der Wechselkurse auf die Exportpreise: Beispiele aus der Industrie Japans, der Bundesrepublik und der Vereinigten Staaten. -...     

我国船舶产业市场结构与绩效关系实证研究

文章以哈佛学派SCP范式与传统共谋假说为理论基础,在分析我国船舶产业市场结构与绩效现状的基础上,运用多元线性回归模型,基于2002～2007年时间序列数据,实证分析我国船舶产业市场结构与绩效关系,提出相关船舶产业组织结构调整政策的建议。     

Economic return to political support: Evidence from voting on the representation of China in the United Nations

This study investigates the effect of political support in the United Nations on international trade by taking the votes on the representation of China from 1954 to 1971 as a case study. We document a strongly positive effect of political support toward the People's Republic of China on bilateral trade in the next year. This conclusion is robust when we consider different quantitative methods and sample selections. Two approaches are applied to address the potential endogeneity problem — estimates with the interest similarity with Albania as an instrumental variable and regressions with samples that changed voting attitude. Finally, we find that this positive effect is short-lived. Our empirical results indicate that political relations, reflected by political attitudes in the votes of the United Nations, exert explicit influence on bilateral economic exchange.     

Tracing the regional dual value chains: Measurement on the production position and evidence from China

When there is insufficient internal and external impetus for developing countries’ economy, building a domestic and international dual circulation is conducive to promoting the regional industrial growth. On the basis of regional embedded international input-output tables, this paper extends the measurement framework of production position and proposes the concept of the dual value chain, which measure production position that unifies the national and global value chains from forward and backward industrial linkages. We decompose the national and global value chains into three categories and investigate the production position characteristics of China with a multi-dimensional perspective. Consistent evidence shows that a feasible path of technological progress in optimizing the production in value chains in which technological progress plays a crucial role on the pure national value chain across the high-tech manufacturing sector, the eastern and central regions. Their posterior probabilities are 0.96, 0.21and 0.86, respectively. Moreover, the impact on the dual production is nonnegligible that the posterior probability of technological progress on the eastern and central regions is 0.40 and 0.92. In addition, the impact of the Chinese economic stimulus program and technological progress on the economic crisis has a certain moderating effect. Our proposed evaluation framework sheds new light that national value chain production can boost economic growth,and further promote the coordinated of regional industries for developing countries.     

西方国家社会转型的模式与经验——基于英、法、德三国的比较

西方国家自十九世纪以来相继实现了现代化的转型。通向现代化的转型之路不是一帆风顺的,西方世界内部出现了不同的转型模式,大致上可以分为英国模式、法国模式和德国模式,为什么会出现不同的转型模式,这些转型模式之间是否存在着共性的经验,是我们后发国家应该去总结、借鉴及汲取的,也是我们现代化转型过程中的一个时代课题。     

跨境贸易人民币结算试点:态势与前瞻

跨境贸易人民币结算对中国进出口企业和金融机构都有着积极的作用,也有利于巩固我国和周边国家的经贸利益和推动我国金融市场进一步开放发展,同时人民币走出国境会给我国带来新的风险和问题。应尽快配套完善政策措施,适度扩大试点范围,建立人民币跨境回流机制,调整人民币出入境管理政策,规范民间外汇兑换市场。     

The evolution of value added in assembly operations: the case of China and Mexico

China and Mexico embarked, around the early 1980s, on the process of liberalization of trade and FDI and established some export oriented industries through assembly operations with the help of FDI. Both countries had the same objective of increasing value added in export processing industries. The authors examine the comparative achievements of their common objectives in the light of the export oriented strategy hypothesis. Applying the indicators of Revealed Comparative Advantage to exports and imports, the authors show that while there are some similarities in the performance of the two countries, there are also striking differences. Both have managed to increase manufactured exports, particularly in IT products, significantly during 1990s. Both, but particularly China, have developed comparative advantage in export and production of many industries, which had been initiated through import substitution. However, Mexico has achieved little, compared with China, in increasing value added in exports and in developing comparative advantage in production in assembly operations. Further, unlike China, since the early years of the 2010 decade it has not been able to sustain its rapid export growth.     

Impacts of Ownership Balance and Nonexecutive Directors on Bank Performance and Risk Taking: Evidence from City Commercial Banks in China

This paper investigates the impacts of nongovernmental stake, ownership balance, and nonexecutive directors on bank performance and risk taking in city commercial banks (CCBs) in China. We find that ownership balance can improve CCBs’ financial performance and reduce their bankruptcy risk as well as nonperforming loan level. Nonexecutive directors can help reduce bankruptcy risk, but have no significant effect on performance or nonperforming loans. The impacts of ownership balance and nonexecutive directors become more prominent when the nongovernmental stake is relatively high, suggesting that mixed ownership reform can promote bank performance and risk control via these two avenues.     

制度变迁中的供求错位分析--从农地流转谈起

本文以农地流转的两种类型：自发型和集体推动型流转为例，阐明流转制度中存在供给和需求的双重错位。进而从一般意义上分析制度变迁过程中由于制度本身的外部性、交易费用、供求主体的不一致和利益集团的左右等使参与方对新制度的优劣评价存在差异，造成供给相对于需求过剩和不足同时存在的现象。制度变迁中要兼顾各改革参与方的利益，方能更好实现制度变迁的绩效。