我国股市投资者漠视公司价值的成因探析

理论上,股市的投资者应该本着价值投资的理念进行股票投资,着重分析上市公司的价值,进而做出科学决策,但是由于我国股市存在监管不力、信息披露不规范以及股市投资者不成熟等等问题,价值投资理念难以深入人心,投机气氛十分浓厚,严重影响着我国股市健康稳定发展,并已产生了恶性循环。唯有采取综合治理措施,多头行动,才能有效改善这一状况。     

关于我国股票市场金融功能深化问题浅议

股票市场是一国证券市场的主体,发挥着经济晴雨表和资源配置等的多种功能。我国股票市场20世纪90年代以来发展迅速,但存在着风险特殊性、结构性、功能性等多方面的问题。文章从国有股流通策略、股票市场交易体系的完善、股票市场的监督管理等方面探讨我国股票市场金融功能深化的合理性渠道。     

Short selling and stock prices with regime switching in the absence of market makers: The case of Japan

This paper investigates the relation between short selling and stock price at an aggregated market level. In order to study the differential impact of market microstructure on short selling, the data from Japanese stock markets are used. Both traditional regression and Markov switching models are used to compare Japanese results to those of U.S. and to admit non-stationary relation between short selling and stock price, respectively. Particularly, relatively long period (1978–2002) of analysis including bullish and bearish periods gives a good testable bed for studying the effect of short selling on stock price according to market condition. The empirical findings reveal that percentage change of short interests has a statistically significant positive relation with stock returns. It gives regulators policy implication that short selling is not a destabilizing activity, but an acceptable form of trading even in the absence of market makers. And short selling information cannot be used as an indicator for predicting future stock markets.     

Pricing Shares on a Nascent Market: The Nepal Stock Exchange 1994–96

Stimulated by their ability to facilitate privatization and to attract portfolio inflows, recent literature on less-developed country (LDC) stock exchanges has focused on relatively well-established “emerging markets.” Wide international variations in the ratio of market capitalization to GDP, however, confirm that an important role for equity markets in economic development is not assured. This study of early equity pricing in Nepal therefore addresses the initial difficulties of establishing a viable exchange. It investigates equity pricing in the absence of a trading history, identifies favored equity characteristics and provides tentative evidence on the market valuation of liquidity before discussing policy inferences.     

Is the Chinese stock market really inefficient?

Groenewold et al. (2004) documented that the Chinese stock market is inefficient. In this paper, we revisit the efficiency problem of the Chinese stock market using time-series model based trading rules. Our paper distinguishes itself from previous studies in several aspects. First, while previous studies concentrate on the viability of linear forecasting techniques, we evaluate the profitability of the forecasts of the self-exciting threshold autoregressive model (SETAR), and compare it with the conventional linear AR and MA trading rules. Second, the findings of market inefficiency in earlier studies mainly rest on the statistical significance of the autocorrelation or regression coefficients. In contrast, this paper directly examines the profitability of various trading rules. Third, our sample covers an extensive period of 1991–2010. Sub-sample analysis shows that positive returns mainly concentrate in the pre-SOE reform period, suggesting that China's stock market has become more efficient after the reform.     

我国A股市场中的波动性之谜与市场情绪

本文使用Campbell和Shiller(1988)基于对数线性RVF的VAR非线性Wald检验方法对我国A股1994-2009期间的数据进行实证研究,结果表明样本期间我国A股股价相对其基础价值表现出"过度波动"的迹象,无论是常数超额收益率模型还是V-CAPM模型都无法对此进行解释。通过进一步定义市场情绪指数来分析这种"波动性之谜"现象的原因,结果发现市场情绪和股市"过度波动"之间存在相互作用机制,市场情绪能够对股价波动提供额外的解释。     

Interaction between Foreign and Domestic Investors in the Korean Stock and Futures Markets*

The present paper analyzes the behavioral relations of major investor groups in the stabilized Korean stock and futures markets after the 1997 Asian financial crisis. Investor groups cannot be classified as positive or negative feedback traders on market returns when both stock and futures markets are considered, which is inconsistent with the results in Ghysels and Seon (2005). Foreign investors and domestic institutions tend to take opposite positions in both markets. The impact of foreign investors on the basis change is significantly negative in the futures market, whereas domestic institutions have a negative relation in the stock market. This supports the view that selling activity of foreign investors in the futures market pulls the futures price down compared with the index value and, consequently, induces the reverse cash‐and‐carry trade of domestic institutions. This relationship, which negatively influenced the Korean economy during the crisis, as shown in Ghysels and Seon (2005), still exists in the Korean financial markets.     

股改前后中国A股市场有效性广义谱方法检验

股改是我国资本市场发展过程中的一项重大制度变革,本文对股改前后A股市场的有效性分别进行了检验。我们采用的广义谱方法考虑了高频时间序列的特征事实,可以检测出序列存在的线性和非线性序列依赖,允许存在未知形式的条件异方差,并且可以检验所有的滞后阶数,具有较强的检验效力。检验结果表明,股改前市场是非有效的,股改之后市场达到了弱式有效。本文从股权的全流通效应、股市参与度的提升两个角度给出了实证结果的经济解释。     

Positive Feedback Trading Under Stress: Evidence from the US Treasury Securities Market

Abstract

A vector autoregression (VAR) is estimated on tick-by-tick data for quote-changes and signed trades of 2-year, 5-year and 10-year on-the-run US Treasury notes. Confirming the results found by Hasbrouck and others for the stock market, signed order flow tends to exert a strong effect on prices. More interestingly, however, there is often a strong effect in the opposite direction, particularly at times of volatile trading. Price declines elicit sales and price increases elicit purchases. An examination of tick-by-tick trading on an especially volatile day confirms this finding. At least in the US Treasury market, trades and price movements appear likely to exhibit positive feedback at short horizons, particularly during periods of market stress. This suggests that the standard analytical approach to the microstructure of financial markets, which focuses on the ways in which the information possessed by informed traders becomes incorporated into market prices through order flow, should be complemented by an account of how price changes affect trading decisions.     

中国股票市场流动性价值研究——双重上市A、B股经验证据

本文首先利用流动性综合测度指标,将证券交易数量、证券流动性水平及证券市场流动性水平引入到证券价格函数中,构建了证券价格差异的流动性模型,从流动性角度探讨证券价格溢价问题,在理论上证明了证券流动性价值的存在性。随后,本文利用A、B股股票实证分析证券流动性价值,实证结果表明,股票流动性水平与股票市场流动性水平可以解释A、B股价格差异,中国股票市场存在流动性价值,流动性价值受股票流动性水平、股票市场流动性水平以及股票交易数量影响。     

噪声交易与股票流动性:兼对“正(负)相关”理论的评析及“流动性黑洞”现象的解释

噪声交易与股票流动性都是行为金融研究的重点，但二者的相关性问题学界一直未能达成一致，"正负之争"不休。文章改进Kyle （1985）的假设，构建符合中国实际的流动性数理模型，模型表明：噪声交易与流动性负相关，且相关关系受信息不对称、风险厌恶度等因素的影响。进一步，文章以中国沪深300指数的成分股数据证实了"噪声交易-流动性"关系，发现其存在显著的月历效应和市场行情效应。文章对"正（负）相关"理论进行了梳理和评析，为争论的清晰化、明朗化做出贡献。     

Institutional Investors' Trading in Speculation: Evidence from China

The trading behaviour of institutional investors has attracted much attention. However, many issues related to their trading behaviour cannot be addressed without high‐frequency changes in institutional ownership. Based on a measure of the trading behaviour of institutional investors by using an institutional account dataset from China, we find that (i) active institutions trade speculatively by taking advantage of individual investors; (ii) individuals buying high and selling low offer liquidity only on average; (iii) foreign investors do not show significant patterns in speculation; and (iv) trading of active institutions significantly affects price. This study casts doubt on the conventional wisdom that institutional or sophisticated investors improve market efficiency by correcting mispricing, and provides direct evidence for institutional investors' speculation behaviour and their destabilising effect on the stock market. Results suggest that regulators in emerging markets should monitor institutions' speculation to bring fairness and justice to the stock market.     

证券市场信息反馈理论浅析

本文借助Glosten/Milgrom(1985)的信息模型来分析在证券市场存在非对称信息的情况下,做市商为避免在和知情交易者进行交易时由于信息的不完整性时产生损失,而确立一个股票买卖价格的差额。做市商通过观察交易者的交易委托类型,借助贝叶斯定理来学习信息的反馈,而股票的真正价值会随着交易过程的延续最终体现在股票的价格中。该模型的研究为我国做市商制度的发展和完善提供了必要的理论依据。     

THE CHANGING EFFICIENCY OF AFRICAN STOCK MARKETS

This paper classifies formal African stock markets into four categories and discuses the principal characteristics of the seven markets covered in this study: South Africa, Egypt, Morocco, Nigeria, Zimbabwe, Mauritius and Kenya. Using a GARCH approach with time‐varying parameters, a test of evolving efficiency (TEE) is implemented for periods starting in the early 1990s and ending in June 2001. This test detects changes in weak form efficiency through time. The TEE finds that the Johannesburg stock market is weak form efficient throughout the period, and three stock markets become weak form efficient towards the end of the period: Egypt and Morocco from 1999 and Nigeria from early 2001. These contrast with the Kenya and Zimbabwe stock markets which show no tendency towards weak form efficiency and the Mauritius market which displays a slow tendency to eliminate inefficiency. The paper relates weak form efficiency to stock market turnover, capitalisation and institutional characteristics of markets.     

R平方和噪声交易

本文采用中国证券市场的数据,研究了R平方和噪声交易的关系。采用小单子作为噪声交易的指标,采用未来盈余反应系数来作为价格中信息含量的指标,我们通过行业配对方法实证检验了R平方和噪声的关系。我们发现噪声交易对R平方有负向作用。该结果对于不同的信息指标、不同的样本和对于小单子不同的标准稳健,而R平方和价格中信息含量的关系并不支持Durnev等(2003)的结论。     

基于Fama-French三因素模型的我国A股市场的实证分析

实证检验了Fama-French三因素模型描述我国A股市场期望超额收益率的解释能力。分别针对上证A股和深证A股做了四类模型的回归分析,为了能够从各类模型的对比中准确地捕捉到各因素影响投资组合期望超额收益率动态特征。结果显示,随着公司规模和账面市值比的变化,市场风险因素的系数变化不大,而规模风险因素的系数和账面市值比风险因素的系数呈现巨大差异,模型的拟合效果表明Fama-French三因素模型在我国A股市场表现出相当高的解释能力。     

Experience and Confidence in an Internet‐Based Asset Market Experiment

The experience effect in asset markets is one that was thought to be settled. As subjects gained experience with the interface and each other, they typically exhibit fewer instances of mispricing and at lower magnitudes. But questions regarding trading experience are not easy to address in the lab with the typical subject pool since the kind of experience one can typically generate in the lab is experience with the experimental environment itself—not with external environments. However, in virtual worlds asset markets are highly evolved, providing a subject pool with skilled and experienced traders that can be accessed via the Internet. This study compares experimental asset markets with participants recruited from virtual world trading groups to experimental markets with participants recruited from the virtual world at large. I further examine trader performance and trading behavior within markets. The findings indicate that asset markets with virtual world participants recruited from trading groups are more prone to exhibit bubbles than are markets with virtual world participants recruited at large. Within condition, experienced traders are less likely to follow fundamentals and more likely to engage in strategies that result in loss of earnings. Excess confidence is rejected as an explanation for this pattern, as confidence is found to be related to higher earnings and fundamental value trading strategies.     

International linkages of the Japanese stock market

Using daily open-to-close and close-to-open stock prices, this paper examines whether there are any lead–lag relationships between the Tokyo Stock Exchange and the other G7 stock markets. In particular, this paper analyzes whether the movements of other markets in the preceding trading session can be used to formulate profitable strategies to trade in Nikkei.     

股权投资综合指数体系设计与资本市场相对力度分析的研究

多层次资本市场的财经指数应由股票投资市场的指数和股权投资市场的指数共同组成,以我国股权投资市场为研究对象,提出中国股权投资综合指数体系的编制方法,是对我国财经指数研究领域的一个重要补充。股权投资综合指数计算结果表明股权投资市场的总体活跃程度在2011年呈现上升趋势,在2012年到2013年间呈现下降趋势;可选消费行业的股权投资平均活跃程度最高,医药卫生行业的股权投资平均活跃程度最低。进一步探讨股票投资市场和股权投资市场之间相对力度分析指标,2011年股票投资市场相比股权投资市场的相对力度呈现快速下降趋势,2012年到2013年呈现低位波动调整状态;在医药卫生行业领域,股票投资市场相对于股权投资市场的活跃程度更强势一些,资本市场投资资金在医药卫生行业的投向上更倾向于股票投资市场。     

基于Copula-GARCH模型的原油市场和股票市场相关性研究

由于原油市场和股票市场之间的联动性日益增强,因此研究两个市场之间的关联特征,分析原油价格波动对股市的影响,有助于规避风险,保证经济持续平稳地增长.采用Copula-GARCH模型对WTI原油价格的收益率序列和NASDAQ股指的收益率序列进行实证分析.结果表明,GARCH(1,1)-t模型拟合两个序列的条件边缘分布效果最好,时变SJC Copula模型比常相关Copula模型能更好地刻画两个市场之间的相关关系.两个收益率序列之间存在正的相关关系,且相关关系具有时变性,相关结构具有一定的不对称性,上尾相关系数小于下尾相关系数,即两个市场同时出现价格极端下跌的可能性更大.这为中国金融市场风险管理,规避油价波动对股市的冲击提供一定的参考依据.