股市财富效应及其传导机制

由于股票价格上涨导致股票持有人财富增加,进而产生消费增加的效应就是股票市场的财富效应。美国股市和中国股市运行过程中的经验证明,财富效应是一个客观存在。由于我国股市规模较小,流通市值较少,投资者结构和收益分配结构不合理,股市波动频率过快、波幅过大以及股市噪声等诸多不利因素的影响,导致财富效应还不显著。我们应借鉴美国等发达国家的经验,实行积极稳健的股市政策,不断完善我国股票市场运作机制,做强做大股市,促进股市充分发挥财富效应。     

我国货币政策的财富效应传导机制分析

文章简介了货币政策的财富效应传导机制理论 ,并着重说明了它在资产市场的传导途径 ,指出资产价格的重要性和它对实体经济的影响 ,进一步在此基础上分析了我国资产价格与实体经济间的关系及原因 ,最后提出了一些改进思路     

近年来中国股市财富效应的实证分析

本文以1992-2002年的经济数据为样本，对中国股市财富效应进行理论和实证分析。研究表明：中国股市存在微弱的财富效应。金融资产的MPC=0．0486，股市财富效应对总消费的影响较小。一是因为股市财富效应对消费的影响占总消费变动的平均比例仅为1．33％，1995年、2001年和2002年的股市财富效应甚至对消费起到了减少的反作用；二是因为股票等资产的财富效应相对于收入对消费的影响来说，显得很微小；三是因为总消费中存在的自主性消费减弱了股市财富效应对总消费的影响。为扩大股市财富效应对消费的作用，应扩大股票市场价值占GDP的比例，提高股票类金融资产占居民家庭的比重，维持股市稳定的预期。     

中国股市财富效应现状及制约因素分析

随着资本市场对我国经济影响日渐增强,研究股市财富效应并创造有利条件让其发挥对促进我国经济增长方式转变意义重大。先从消费函数角度解释股市财富效应,再对2001年至今的股市财富与消费的关系进行了实证研究。最后分析了制约我国股市财富效应的因素,并总结了相应改善对策。     

我国货币政策的传导机制及其效应

一、我国货币政策传导机制的现状要保持货币政策传导渠道的畅通,需要货币政策传导主体(中央银行)、中介(金融机构和金融市场)和客体(企业和个人)都能够充分发挥自身的职能,积极引导货币政策影响总产出和宏观经济运行。然而我国货币政策的实践表明,我国货币政策效应的传导机制存在一些问题,其具体表现在以下几个方面。第一,利率传导机制受阻。近几年来,央行通过公开市场操作逐步推进利率市场化的进程。利率在央行与商业银行及非银行金融机构之间、在货币市场各交易主体之间的传导作用在不断加强。特别在同业拆借市场和银行间债券市场上,同业…     

我国股市财富效应的影响因素分析

股市不仅是一国经济的晴雨表,它还在影响着宏观经济的运行.其中,股市的财富效应是人们近来关注的焦点.我国股市不具财富效应,本文就详细分析了制约我国股市财富效应发挥的各种因素.并认为股市制度的完善是解决问题之本.     

对房地产财富效应传导机制及影响因素的再思考

房地产市场财富效应问题一直是近年来学术界和社会各界关注的焦点,本文在已有理论和文献研究的基础上,对于我国房地产财富效应传导机制的具体路径进行了明晰与再思考,并对财富效应影响因素进行了分析。认为金融市场发展程度、消费者收入水平及年龄层次、房地产的财富属性、区域属性和产权类型都能对财富效应的传导路径和结果产生影响。进一步地,本文对影响效应的正负进行了区分与说明。     

股市财富效应重构研究——基于转变经济发展方式视角

中国股市正经历一次激烈的震荡,市场信心遭遇了前所未有的打击.重塑股市的财富效应,刺激消费需求的增长,将带来中国经济发展方式转变的重要契机.文章分析了我国股市财富效应的制约因素,并提出了重塑股市财富效应的政策建议.     

我国股市的财富效应分析

本文通过虚拟变量模型的回归,经实证研究证实,只有通过制度上的完善,让广大百姓积极参与到股市中来,才能使股市产生明显的财富效应。政府需要重视资本市场,加强监管,保护中小股民利益,努力使股市起到一种藏富于民的作用,这样可以有效的使股市财富效应显现出来,在某种程度上也是解决我国内需不足的一种途径。     

我国货币政策资产价格传导的实证研究

货币政策的传导机制与货币政策的有效性息息相关，灵敏有铲的货币政策传导机制是货币政策成功实施的基础。货币政策的传导渠道通常有利率渠道，信贷渠道，汇率渠道和资产价值渠道四种。本首先阐述货币政策资产价格传导机制的一般原理，然后对近年来我国货币政策是否通过资产价格是到有效传导进行实证分析，最后剖析了我国目前资产价格不能有效传导货币政策的原因。     

Evidence of a stock market wealth effect using household level data

Using the household level data of urban households in Korea, this paper presents evidence for a statistically significant stock market wealth effect for the highest income bracket households who typically hold a large share of corporate stock.     

股票市场系统动力学分析：以上海股票市场为例

本文突破了传统经济理论研究的线性框架,视股票为一非线性系统,运用分形、混沌等复杂性理论对上海股票市场的系统动力学特征进行实证研究,得出了上海股票市场系统的分形特征、复杂性程度、系统演化类型及稳定性,最后,探讨了这些结论对股票市场的理论与实践意义。     

Improving market timing of time series momentum in the Chinese stock market

ABSTRACT

This paper is the first study to present firm-level evidence that the time-series momentum (TSMOM) strategies with look-back-period k of 10 to 200 days outperform the buy-and-hold strategy (BH) on individual stocks in the Chinese stock market. We document that the optimal k* generating the best performance is different across assets and varies over time. We hence propose a model to predict the asset-specific and time-dependent k*, and examine the performance of the TSMOM strategies with the predicted k*. Our analysis shows that using the time-varying predicted k* substantially improves the predictability of the TSMOM strategies. Our new model and findings shed the light on trading strategy for both academia and applied investment practitioners.     

The stock market effect of air pollution: evidence from China

In financial studies, environmental stimuli such as sunshine, temperature, and daylight are often used as proxies for people’s collective mood swings to test their effects on the stock market. China has experienced serious air pollution problems in recent years, and Chinese public awareness of air pollution has soared. In this paper, we use China as a natural experiment to investigate the effect on stock returns of depressed moods induced by air pollution. Daily air-pollution data from 2005 to 2014 are analysed and the results obtained from the empirical research show that a contemporaneous negative and a two-day lagged positive relationship exists between air pollution levels and stock returns over this time period. The relationship is mediated by the influence of air pollution on investment decisions. The results also indicate that the effect is weakened for companies that protect air quality, but no stronger effect is detected for polluting companies. The findings imply that air pollution is a behavioural factor with some connection to stock returns in China.     

我国股票市场存在的主要问题及对策分析

股票市场作为中国证券市场的重要组成部分,在促进我国经济发展方面发挥重要作用。但是,中国股市在不断完善和发展的同时,还存在诸多问题,需要及时解决。因此,将揭示股票市场存在内幕交易、退市规则的执行力度不足及"圈钱"行为未得到有效遏制等问题,并提出相应的对策建议。     

The effect of the liberalization of the Chinese stock market on returns

We examine the short-term effects of the liberalization of the Chinese stock market on returns. We find a positive and significant abnormal return associated with the announcement of the liberalization of the Shanghai Stock Exchange. Exploiting features of the reform, we are able to compare stocks directly and indirectly affected by the liberalization. We find that all stock prices reflect this announcement premium equally, suggesting that the premium does not reflect an increase in expected liquidity. We further find that observed liquidity, as measured by volume and price impact, did not increase following the liberalization. We conclude that the observed premium reflects a diversification benefit for Chinese investors.     

Currency exposures of the oil and natural gas stock prices in the Hushen-300 stock market： A nonlinear model approach

The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model （CAPM） and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated.     

A lottery-preference-based explanation of realized kurtosis puzzle in Chinese stock market

High kurtosis corresponds to fat tails on both sides and under risk-aversion assumption investors’ dislike of left-tail loss outweighs their preference for right-tail gain. Therefore, high kurtosis characteristic of stock should predict high expected returns. However, the high-frequency-data-based empirical results on Chinese stock market are just the opposite, which we refer to as the ‘realized kurtosis puzzle’. Using the double sorts and firm-level cross-sectional regression methods, we further demonstrate investors’ preference for lottery-like stocks or lottery preference is key to solve the puzzle. Our further empirical research verifies stocks with higher retail investors’ shareholding proportion and unavailable for short show stronger ‘realized kurtosis puzzle’. In addition, the puzzle is particularly significant in high lottery preference periods while less apparent in low lottery preference times.     

The dynamic impact of bilateral trade linkages on stock market correlations of Australia and China

This article aims to examine the long-run equilibrium relationship between bilateral trade linkages and stock market correlations of Australia and China using quarterly data from 1993 to 2015. Further, this study explores the impact of trade intensity on stock market correlations using OLS, Dynamic OLS (DOLS) and Fully Modified OLS (FMOLS) models. The empirical results confirm that there is a significant long-run relationship among the variables. In addition, our results, based on OLS, DOLS and FMOLS, show that increasing trade intensity between Australia and China has a significant and positive impact on their stock market correlations. The Global Financial Crisis also contributed for their stock market interdependence. Our results therefore suggest that the bilateral trade relations between Australia and China have brought their stock markets together over time. The findings of this study offer significant policy and practical implications. The policymakers need to be aware of the economic changes in those countries as they will immediately reflect on their stock market performance and relationship. Similarly, the global investors need to be aware of the fact that the diversification opportunities between Australia and China have considerably declined over time as their markets became more interdependent in the recent past.     

Understanding the recent performance of China's stock market

Employing time-series extrapolation and an out-of-sample forecast based on a bivariate VAR (vector auto-regression), we argue that the current boom of China's stock market represents a recovery that corrects the previous divergence of the stock market from the aggregate economic performance. Nevertheless, we caution that the speed of the recent rise in stock prices is alarming. If the current speed continues, then the stock market will soon become overheated in the sense that the level of stock prices will exceed the level justified by economic fundamentals.