论人民币远期外汇市场的发展方向

随着我国人民币汇率机制的逐步完善,汇率波动幅度增大,汇率风险加剧.为了规避风险,人民币远期外汇市场的作用日益重要,但由于商业银行远期汇率定价能力缺乏,风险抵补不畅等原因,现阶段,我国远期外汇市场的发展状况并不尽如人意.针对这些不利因素,我们应采取增加市场流动性、完善风险控制机制等措施来促进其发展和完善.     

会计师事务所受监管部门处罚的因素分析——来自中国资本市场审计监管的经验证据

通过研究中国证监会的审计监管行为,文章发现客户质量和事务所专业性是影响会计师事务所是否受到证监会处罚的重要因素。事务所审计客户的平均盈利水平越高,应收账款的水平越低,事务所被证监会处罚的概率就越小。事务所业务的行业集中度越高,被证监会处罚的概率也越低。上述发现在剔除了四大会计师事务所之后仍然存在,而且不随变量度量方式的变化而改变,也不随证监会监管体制的变化而改变。     

证券市场量价关系研究评述

股票市场量价关系的研究对于深刻理解股票市场价格波动的传导机制有着重要的作用 ,因而一直是金融领域研究的热点问题。本文旨在对国际上关于量价关系的研究理论及方法作一概括性评述 ,并对量价关系的发展前景进行展望。     

论构建我国的碳金融体系

随着能源问题和经济发展、环境的矛盾日益激化,低碳经济已成为人类社会未来寻求环境、能源与经济可持续发展的必然选择。而低碳经济的发展离不开碳金融体系的大力支持。构建我国碳金融体系是一个复杂的系统工程。文章力图通过分析我国碳金融体系构建中存在的主要问题,提出有针对性的对策及建议。     

基于进化博弈链结构的股票市场非理性泡沫测算问题研究

本文针对股市噪声不断累积,强化和排除的循环过程,基于股票市场对称进化博弈链结构模型,讨论了上海证券交易所正常情况下和极端情况下采用噪声交易策略比例的博弈进化过程和进化稳定策略,并将这个动态比例过程扩展到改进的DSSW模型中,据此测算出上证股市非理性泡沫大小.研究发现,在一定条件下,市场中的噪声交易者越多,风险资产价格非理性泡沫成分越大,波动越剧烈.本文的工作为股市泡沫的分析和测度提供了新的思路和工具.     

Regulatory disclosure via the internet: does it make financial markets more efficient?

In line with the regulatory framework of the majority of the European capital markets, the Portuguese Securities Market Commission imposes to security issuers the disclosure of any event that could influence share prices in a material way. These events are classified as “Price Sensitive Events”. Through the analysis of market reaction to this kind of event, this study attempts to assess the appropriateness of this disclosure rule. Additionally, since the regulator defines its website as the appropriate manner to disseminate this publishable information through the market, we will also be providing evidence about the efficiency of this system.      

Real and financial effects of insider trading with correlated signals

Summary. In this paper we study the real and financial effects of insider trading in a Static, Kyle-type model. In our model the insider is also the manager of the firm. Hence the insider chooses both the amount of the real output to be produced and the amount of the stock of the firm to trade. The aim of the paper is to study the relationship between financial decisions and real decisions. In particular, we examine how insider trading on the stock market affects the real output and price and how the real decision making affects the financial variables, such as the extent of insider trading, stock prices, and the stock pricing rule of the market maker. In the model, the market maker observes two correlated signals: the total order flow and the market price of the real good. We study the informativeness of the stock price and the effects on insider's profits. We also construct a compensation scheme that aligns the interests of the insider and the firm. Finally, we generalize the pricing rule set up by a competitive market maker and analyze the comparative statics of the model. Received: October 3, 1999: revised version: December 1, 1999     

构建新的财务报表审计委托制度的思考

本文分析了我国现行上市公司审计委托制度存在的固有缺陷是审计的独立性严重受损.由公司管理层代行所有者的审计委托权,使审计人与被审计人的利益相关联,造成了财务造假屡屡发生,解决这一问题的根本途径是建立新的审计委托制度.笔者提出了构建在证监会下设立\"审计监督管理委员会\",由其代表企业所有者行使审计委托权,并就该制度的基本框架进行了初步探讨,如:建立注册会计师委派制;上市公司审计付费标准的制定;建立注册会计师审计责任赔偿制度;大力推行注册会计师审计责任保险制度等.     

Market Efficiency Reloaded: Why Insider Trades do not Reveal Exploitable Information

Abstract. Several studies have emphasized a slow price adjustment to reported insider trades for Germany. The results presented in this paper, though, show that this is mainly caused by a subset of high arbitrage risk stocks. In fact, the abnormal return difference between the quintiles of stocks with highest and lowest idiosyncratic risk is in the range of 2.99–4.90% over a 20‐day interval. These results are robust even in the context of a joint generalized least squares approach. By developing a simple zero‐investment arbitrage trading strategy mimicking insider trades, it turns out that such a trading strategy, in most cases, generates significant positive returns as long as transaction costs are neglected. However, the outperformance disappears in all risk quintiles, if bid/ask spreads are taken into account. We conclude that the market's under‐reaction to reported insider trades can mainly be explained by the cost of risky arbitrage and is therefore not exploitable.     

公司财务控制机理:一个基于制度博弈的分析

财务控制的目标是对出资者和经营者之间形成的代理契约的冲突进行管理和协调.以出资者与经营者的制度博弈模型为分析基础,可以清楚表明财务控制机理特征:首先,财务控制本身具有的制度成本(控制成本)是制约控制成效的关键因素;其次,财务控制作为一种制度安排,应具备使经营者违背代理契约的外部成本内部化的功能;最后,财务控制本质是一种契约安排,是出资者和经营者之间多次动态博弈的结果,因此需要不断进行修正完善.     

市场秩序的博弈论分析--兼论规范市场秩序的制度安排

我国目前市场秩序混乱的问题基本上是体制转型中产生的问题。由于现代博弈论涉及秩序和制度安排,因此可以依据博弈论的认识论和方法论,寻找市场秩序混乱的根源,由此找到规范市场秩序的有效制度。     

Import Contents of Final Expenditures in the United States

This paper applies the Kennedy and Thirlwall method of input-output formulation to study the differential import effect of final expenditures in the U.S. Import contents of consumption, investment, and government expenditures as calculated for 1958, 1963, 1967, 1972, 1977, 1981, and 1984. It also separates import effects of trade expansion, changes in the competitive position, shifts in the level of final demands and changes in the structure of final demands. It is found that the import fractions of the four final expenditures differ substantially, resulting in different income multipliers. [410]     

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。     

#br# 融资融券加大了沪深股市波动吗*

融资融券设计初衷是通过融资加强市场流动性和通过融券提供投资者规避价格下跌风险的金融工具,改善由供求关系严重失衡导致市场巨幅震荡的局面,实现资本市场长期稳定的目标。实际操作中,融资融券疏通货币市场和资本市场间的资金流动,撬动巨额资金涌入股市;融资规模扩张过快而融券做空力量薄弱,业务结构发展严重失衡,导致两融业务具有“小冲击、大波动”的金融加速效应,放大了外部冲击引起股价上涨和下跌的幅度。协整回归分析表明,两融业务规模的扩张和收缩对上证指数涨跌具有显著的同向影响。TGARCH事件模型结果进一步证实融资融券从稳定股价到加剧波动的功能变化。随着标的股票扩容和业务常规化,两融业务导致股市投机过度,加剧了沪深两市的资产价格异动,没有达到平抑波动的设计预期。     

An Iterative Process for International Negotiations on Acid Rain in Northern Europe Using a General Convex Formulation

This paper proposes a game theoretical approach of internationalnegotiations on transboundary pollution. This approach is distinguished bya discrete time formulation and by a suitable formulation of the localinformation assumption on cost and damage functions: at each stage of thenegotiation, the parties assign the best possible cooperative state, giventhe available information, as an objective for the next stage. It is shownthat the resulting sequences of states converges from a non-cooperativesituation to an international optimum in a finite number of stages.Furthermore, a financial transfer structure is also presented that makesthe desired sequence of states individually rational and stategically stable.The concepts are applied in a numerical simulation of the SO₂transboundary pollution problem related to acid rain in Northern Europe.     

期货市场价格操纵行为与监管——基于演化博弈理论

从演化博弈理论的视角,基于微分方程的稳定性理论,通过分析中间参数的变化对博弈系统的最终演化均衡的影响,论证了期货市场联合操纵行为演化的方向和路径,并结合"有限理性"个体的假设进行模拟。最后,对期货市场价格操纵行为的监管提出了相关建议。     

多元化金融集团监管的模式研究

多元化金融集团复杂的内部结构和持股关系 ,以及其特殊的风险特征使得传统的分业监管体制面临挑战。从集团的层次上对金融集团进行合并监管是近年来各国监管当局及国际金融组织不断探索的监管模式 ,这一趋势的发展为我国对多元化金融集团的监管提供了重要的参考依据。     

基于泡沫理论的中国股市风险研究

基于泡沫理论,完善了原有的泡沫系数模型,用实际股市指数的变化率与理论股市指数的变化率之比作为新的泡沫系数,实现了对我国股市风险的更精准测度。