金融发展对环境规制提升工业绿色全要素生产率的创新补偿效应

以金融发展为切入点,探讨环境规制对工业绿色全要素生产率的影响。研究结果显示,不同融资模式的金融发展对环境规制提升工业绿色全要素生产率均存在创新补偿效应,且股票市场的创新补偿效应最大,银行部门次之,民间金融最小。分区域的估计结果显示,东部地区银行部门不存在创新补偿效应,其余地区的估计结果与整体一致。进一步的门槛检验结果显示,银行部门和民间金融均存在单一门槛,且呈现正向边际效率递增的非线性规律。     

Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model

This study employs a new GARCH copula quantile regression model to estimate the conditional value at risk for systemic risk spillover analysis. To be specific, thirteen copula quantile regression models are derived to capture the asymmetry and nonlinearity of the tail dependence between financial returns. Using Chinese stock market data over the period from January 2007 to October 2020, this paper investigates the risk spillovers from the banking, securities, and insurance sectors to the entire financial system. The empirical results indicate that (i) three financial sectors contribute significantly to the financial system, and the insurance sector displays the largest risk spillover effects on the financial system, followed by the banking sector and subsequently the securities sector; (ii) the time-varying risk spillovers are much larger during the global financial crisis than during the periods of the banking liquidity crisis, the stock market crash and the COVID-19 pandemic. Our results provide important implications for supervisory authorities and portfolio managers who want to maintain the stability of China’s financial system and optimize investment portfolios.     

A STRATEGIC PERSPECTIVE OF BANK FINANCIAL CONGLOMERATES IN LONDON AFTER THE CRASH

The deregulation of financial markets has led to severe challenges for bank management and banking strategy. Investment banking is a sector that has experienced important and well-publicized changes. London's celebrated ‘Big Bang’ helped to stimulate new banking strategies that were characterized by the formation of so-called ‘bank financial conglomerates’. The October 1987 stock market crash, however, has precipitated strategic and organizational crises for many of these banks active in securities business and capital market products. This article re-examines investment banking strategies in London and some of the lessons associated with the crash experiences.     

The synergistic effect of insurance and banking sector activities on economic growth in Africa

It is widely understood that the insurance and banking sectors of every economy perform some functions in driving economic growth. What is not yet well documented is whether their roles are complimentary or substitutive. With the aid of the dynamic panel generalized method of moments (GMM) estimation technique, this paper evaluates the synergistic effect of both sectors on economic growth in a panel of 10 African countries that are responsible for most of the activities in the continent’s financial sector. The insurance-banking-growth nexus was also examined through bootstrap panel causality tests. The results show that the life insurance market and the banking sector, as well as the non-life insurance market and the banking sector, are complimentary. We find that, overall, the relationship between the insurance and banking sectors in Africa is a complimentary one and that their synergistic impact on economic growth is positive. The feedback hypothesis was also confirmed in the relationship between the insurance sector and economic growth and between the banking sector and economic growth.     

金融政策与资本配置效率——1992～2005年中国的实证

本文运用一个综合的金融自由化指标以及上市公司层面的数据,检验了1992~2005年中国金融政策从金融压抑向金融自由化的转变,对以托宾Q作为衡量指标的资本配置效率的影响。结果表明,中国金融自由化政策,对提高资本配置效率有积极的影响,并促进了金融深化。然而,就整体而言,中国金融体系对资本配置效率的贡献仍极为有限;相对于银行部门,股票市场能更好地发挥优化资源配置的功能。因此,未来的金融发展政策应考虑扩大资本市场在中国金融体系中的作用。     

Financial intermediation costs in low income countries: The role of regulatory,institutional, and macroeconomic factors

We analyze factors driving persistently higher financial intermediation costs in low-income countries (LICs) relative to emerging market (EM) country comparators. Using the net interest margin as a proxy for financial intermediation costs at the bank level, we find that within LICs a substantial part of the variation in interest margins can be explained by bank-specific factors: margins tend to increase with higher riskiness of credit portfolio, lower bank capitalization (or lower risk aversion), and smaller bank size. Overall, we find that concentrated market structures and lack of competition in LICs banking systems and institutional weaknesses constitute the key impediments preventing financial intermediation costs from declining. Our results provide strong evidence that policies aimed at fostering banking competition and strengthening institutional frameworks can reduce intermediation costs in LICs.     

中国现代金融体系的结构、影响及前景

在经济快速增长的背景下,中国已逐步形成一个以中央银行为核心、商业银行为主体,各种银行和非银行金融机构分工协作的现代国家金融体系。运用计量分析方法和典型相关分析,研究中国现代金融体系的社会融资结构、证券市场结构以及影子银行结构,测度国家现代金融体系对实体经济各行业的影响程度。研究表明:金融机构贷款与债券市场对相关行业的促进具有一定协同作用,股票市场对第一、二产业的发展影响较小,金融业对第三产业的促进作用最大。根据目前金融体系的结构、影响,可以预见未来中国现代金融体系的发展前景将主要体现在市场化、网络化以及国际化三个方面。     

The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market

Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses. It focuses on individual stocks' sensitivity to the market crash and can affect stock pricing significantly. Although the crash sensitivity of China's stock market is very high as a whole (Weigert, 2016), different individual stocks show varying degrees of crash sensitivity. This paper, adopting the perspective of institutional investors, explores the reasons for the difference in crash sensitivity in China's stock market, and finds that: First, institutional investors' shareholdings is positively related to firms' stock price crash sensitivity. However, after dividing institutional investors into professional (represented by financial institutions) and non-professional institutional investors (represented by general legal persons), we find that only professional institutional investors' shareholdings is negatively related to firms' stock price crash sensitivity. Second, the impact of professional institutional investors on the crash sensitivity is influenced by stock liquidity and media sentiment: when the stock liquidity of listed companies is good or the media sentiment is strong, the negative impact of professional institutional investors on the crash sensitivity is accordingly high. This paper, by highlighting the investor structure, attempts a pioneering exploration of the influencing factors of the difference in stock price crash sensitivity in China. Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of institutional investors. They can also serve to guide regulatory authorities' development of institutional investors and efforts to maintain market stability.     

银行业:收益、股价及投资价值的比较分析

近年来,我国股票市场出现了一个奇异现象,即银行板块业绩优异,但其股价却严重偏离其价值。研究表明,出现这一奇特现象,不是因为该行业的股票盘子大,也不是因为政府融资平台和房地产泡沫等问题的存在导致该行业风险大,而是因为银行股波动性小,同时,也是因为相对来说我国上市公司中银行业经营管理规范、稳健,没有太多可炒作的题材,因此不受市场的投机性资金追捧。     

Structural changes,competition and bank stability in Malaysia’s dual banking system

This paper assesses Malaysia’s competition landscape and its risk implications subsequent to conventional banking consolidation and Islamic banking penetration in the aftermath of the 1997/1998 Asian financial crisis. Employing a panel sample of conventional and Islamic commercial banks, it arrives at the following conclusions. First, the consolidation exercise, which has led to a significant reduction in the number of domestic commercial banks, has not stifled banking competition. Second, the paper provides empirical support for the competition-stability relationship, particularly for the conventional banking sector. Islamic banking sector risk appears to be neutral to market competition or market power, although there is limited evidence that it increases with overall market concentration. Finally, the analysis uncovers the risk-increasing effect of the Islamic banking market structure on the conventional banking sector. By contrast, conventional banking market concentration tends to reduce the credit risk of Islamic banks.     

Property rights and the stock market-growth nexus

Using threshold estimation techniques, this study examines whether the growth effect of stock market development differs according to the different levels of property rights and minority shareholders protection in a cross-section of 85 jurisdictions during the post-crisis period. The results demonstrate that the impact of stock market liquidity on growth is positive and significant only in jurisdictions where there is high level of property rights protection. Similar effect is discerned in the case of strong minority shareholders protection. Using the market size as a measure of stock market development, the paper also documents a positive growth effect of market size when property rights and minority shareholders protection are strong. However, there is mixed evidence in the low to medium degrees of protection. Further analyses using other broader governance indicators as threshold variables and instrumental variable threshold regressions reaffirm the main findings. The study upholds the “better finance, more growth” proposition and contributes to the identification of thresholds above which institutional quality can positively shape the impact of stock market on economic growth.     

Systemic risk of Chinese financial institutions and asset price bubbles

Although there has not been a large-scale systemic crisis in China, high-risk financial events have occurred continuously in recent years. This research thus creatively analyzes the determinants of systemic risk for Chinese financial institutions from the view of asset price bubbles. First, we identify bubbles in the China stock and real estate markets on the basis of the generalized sup Augmented Dickey-Fuller (GSADF) model and explain the reasons for bubble formations according to the stage of China's economic development and policies implementation. At this stage, considering the differences in economic development levels of different cities, the real estate bubbles in the first, second and third tier cities and the whole country were innovatively identified. Second, on the basis of the DCG-GARCH-CoVaR model to measure the systemic risk of listed financial institutions in China and to classify institutions, the results show that the main source of such risk is the banking sector. Furthermore, by constructing regression models, stock market bubbles and real estate bubbles both positively correlate with systemic risk throughout the sample period. Meanwhile, the impact of bubbles on the systemic risk of different types of financial institutions was taken into account so that regulators prioritized different types of institutions with different characteristics when faced with decisions. Finally, we provide macro-prudential policy advice to regulators in order to weaken the impact of bubbles on financial stability to avoid systemic crises.     

The role of banking regulation in an economy under credit risk and liquidity shock

This paper develops a Dynamic Stochastic General Equilibrium model which includes a financial sector to analyze the effects of liquidity shock and credit risk in the Brazilian economy. Banks use equity capital and deposits from agents to finance investments of the productive sector. The sources of financial frictions are default rate and liquidity shock, due to deposits withdrawn in advance. The banking supervisor injects liquidity in the deposit market. Using data for the Brazilian economy in the period from 1995 to 2009, the structural parameters are estimated by Bayesian methods. Impulse response functions are computed to describe the dynamic effects of exogenous shocks. The major results show that credit risk is pro-cyclical and default risk depends on structural features. The banking regulator is able to set up a policy to promote financial stability and efficiently reduce fluctuations in the output.     

Why Do African Banks Lend So Little?

We put forward a plausible explanation of African banking sector under‐development in the form of a bad credit market equilibrium. Using an appropriately modified Industrial Organization model of banking, we show that the root of the problem could be unchecked moral hazard (strategic loan defaults) or adverse selection (a lack of good projects). Applying a dynamic panel estimator to a large sample of African banks, we show that loan defaults are a major factor inhibiting bank lending when institutional quality is low. We also find that once a threshold level of institutional quality has been reached, improvements in the default rate or institutional quality do not matter. This provides support for our theoretical predictions.     

Institutional perspective of financial sector development: A multidimensional assessment

Financial sector development is a multidimensional process that plays a vital role in the economic growth and development of a country. This study investigates the effect of institutional quality on multidimensional financial sector development, and its dimensions, such as, depth, access, and efficiency. We used a panel dataset of 85 emerging and developing economies from 1996 to 2018 for analysis. Our findings based on 2SLS estimation demonstrate that institutional quality has a significant positive effect on the progress of the financial sector, especially its depth, access, and efficiency. The breakdown analysis shows that most of the key components (control of corruption, government effectiveness, regulatory quality, rule of law, and voice and accountability) of institutional quality enhance the financial sector development. Our empirical results are robust across alternative measures of institutional quality, split-sample analysis, alternative instrument, and estimator. This paper also offers useful policy implications to the stakeholders in emerging and developing economies.     

Bank valuation in new EU member countries

This paper studies the role of institutional reforms in affecting bank valuation in new European Union (EU) member countries. It takes advantage of the dynamic nature of institutional reforms in transition economies and explores the causal effects of those reforms on banks’ Tobin's Q over the period of 1997–2008. Using a difference-in-difference approach, the paper shows that Tobin's Q increases substantially after these countries reform their legal institutions and liberalize banking. However, it decreases after stock market reforms. After further examination of the interactive relationships between different reforms and bank valuation, it is observed that when the banking reform is well implemented, legal reform can have a stronger impact on banks’ Tobin's Q. On the other hand, banking reform and security market reform has a substitutive relationship. The analysis also suggests that foreign ownership, market power, and asset diversification significantly affect Tobin's Q. These results are robust even after simultaneously controlling for equity risk.     

BANKING SECTOR POLICIES AND FINANCIAL DEVELOPMENT IN NEPAL

ABSTRACT This paper examines the interactions between banking sector policies, financial development and economic growth in Nepal employing recently developed time series techniques. Policies such as interest rate controls, directed credit programmes, reserve and liquidity requirements are identified and measured. A summary measure of repressive policies is constructed by the method of principal components. This measure is found to have a statistically significant influence deepening, independently of the real interest rate. We argue that our findings are consistent with the hypothesis of market failure. Exogeneity tests suggest that financial deepening and economic growth are jointly determined. Thus, policies which affect financial deepening may also have an influence on economic growth.     

The productivity and performance of Australia’s major banks since deregulation

The aim of this study is to present some measures of the performance of banks operating in Australia since the deregulation of the Australian financial system in early 1980s; including the periods of financial market instability (the early 1990s and mid to late 2000s). In undertaking this measurement two approaches will be used. The first simply applies standard financial indicators. The second approach applies data envelopment analysis (DEA), to determine Malmquist indices of the levels of and the changes in the efficiency and productivity of Australian banks. The empirical results demonstrate the effect of deregulation and periodic financial crisis’s on the performance of individual banks, and the major part of the Australian banking sector. Overall the productivity performance of the Australian banks tended to improve considerably in those periods of strongest economic growth (i.e. the mid 1980s and 2000s).     

Analysis of the impact of Sino-US trade friction on China’s stock market based on complex networks

This paper analyzes the impact of the Sino-US trade friction incident in 2018 on China's stock market by using the complex network methods. Firstly, we divide the Sino-US trade friction incident in 2018 into four research periods. Based on the GARCH-BEKK model and the Planar Maximum Filter Graph (PMFG) algorithm, the volatility spillover network between China's stock market sectors and the stock price correlation network of China's stock market corresponding to the above four research periods are constructed. Next, from the perspective of sectors in stock market, we use various network centrality indicators to build a systematic importance comprehensive evaluation index of industry sectors in the stock market through the principal component analysis method, to explore the impact of the Sino-US trade friction incident on the risk spillover effects of sectors in China's stock market. From the perspective of the overall stock market, we analyze the impact of Sino-US trade friction incident on the overall stability of the stock market through calculating the network topology indicators and conducting simulation experiments. Finally, the main factors affecting the stability mechanism of China's stock market are studied through the probit model. The results show that: (1) The risk spillover effect of various sectors in China's stock market changes significantly in different periods of Sino-US trade friction, and there are obvious cyclical rotation effects among various sectors (2) When some weighted stocks in the stock market abnormally fluctuate or suffer targeted shocks, the China's stock market's ability to maintain stability is weak, and the Sino-US trade friction will reduce the stability of China's stock market, and the higher the intensity of trade friction incident is, the more obvious the impact of the incident is. (3) The important factors that affect the abnormal fluctuations in China's stock market include four types of indicators: the stock market network structure, the fluctuation of important international stock indexes, the fluctuation of commodity prices in the international market, and the domestic macroeconomic indicators. This study provides a reference for China's financial regulatory authorities to conduct macro-prudential management, control systemic risks, and maintain the stability of financial market.     

模糊聚类分析在股票分析中的应用

在进行股票投资的时候,需要分析和选择那些获利能力强,财务状况良好的股票,以减少投资风险。但是股票评价指标又有许多种,他们的含义各有不同,如何把各种指标综合在一起是非常重要的。应用模糊聚类分析方法对股票市场上商业贸易板块样本股票进行了分类,综合多项财务指标来反映上市公司的盈利能力和发展水平,为分类和评估上市公司的优劣提供了很好的依据。