通货膨胀与股票价格波动

股票收益和通货膨胀之间的关系不仅依赖于供给冲击和需求冲击,而且还受到货币政策制度的影响。需求冲击使得两者是正相关的,供给冲击对两者关系的作用还和货币政策制度有关。顺周期的货币政策使得供给冲击对两者关系是正相关的,而逆周期的货币政策使得供给冲击对两者关系是负相关的。对中国1991年1月—2009年7月实践的经验分析表明,股票收益和通货膨胀的相关性发生了两次结构性突变。进一步分析表明,1997年6月股票收益和通货膨胀的结构性突变主要是由货币政策制度引起的;2005年8月股票收益和通货膨胀的结构性突变主要是供给冲击和需求冲击的相对重要性发生了改变而导致的。     

Stock and Industry Return Characteristics Around Price Shocks

The author investigates positive and negative price shocks in individual securities and the degree to which they affect related firms in the same industry. This price contagion effect is significant with initial price shocks leading to substantial long-term abnormal returns across firms in the same industry over time. Price shocks also have predictive value regarding future earnings and revenues for the firm in question and its industry overall. Positive (negative) price shocks that are continued over time are associated with higher (lower) Sharpe ratios suggesting that abnormal returns are not simply a form of compensation for greater expected future volatility.     

汇率与股价波动研究——基于中国与日本高频数据的ARCH检验

次贷危机发生前,汇率与股指存在ARCH效应,且均有不对称信息的冲击,波动存在持续性的影响;次贷危机发生后,汇率与股价都不存在ARCH效应,系统性风险和非系统性风险暴露出来使得汇率对股市的波动影响降低,从而促进投资者风险得到有效对坤。     

Psychological Oil Price Barrier and Firm Returns

In this paper, we investigate the psychological barrier effect induced by the oil price on firm returns when the oil price reaches US$100 or more per barrel. We find evidence of the negative effect of the US$100 oil price barrier for: (a) the entire sample of 1559 firms listed on the American stock exchanges; (b) both foreign and domestic firms, with domestic firms significantly more affected; (c) the 10 different sizes of firms, with the smaller firms less affected compared to the larger firms; and (d) 17 sectors of firms, with firms in the utilities, mining, and administration sectors being the least affected.     

Australian Banking Efficiency and Its Relation to Stock Returns

We used Data Envelopment Analysis to evaluate cost efficiency of Australian banks in producing banking services and profit between 1995 and 2002. Empirical results indicate the major banks have improved their efficiency in producing banking services and profit, while the regional banks have experienced little change in the efficiency of producing banking services, and a decline in the efficiency of producing profit. An attempt is made to relate the changes in efficiency to stock returns. Results indicate that for our sample, changes in firm efficiency are reflected in stock returns.     

媒体报道、投资者情绪与股价波动

媒体报道是有倾向、有选择的,而投资者决策是有偏且关注是有限的。因此,媒体报道的倾向性成为影响投资者情绪的一个指标,进而影响股票市场的整体走势。基于此,本文通过构建媒体报道综合指标,运用中介效应分析方法,基于投资者情绪视角研究媒体报道对股价波动的影响。研究结果表明:由于大多数投资者通过媒体报道的新闻事件获取和构建自己的信息框架,因此,媒体报道的议程设置这一特点使得投资者情绪发生积极或消极的变化,而投资者情绪对投资者的决策产生直接影响,进而表现为媒体报道倾向性引发股价波动。     

浅析美国股市与国际石油价格对中国股市收益与波动性的影响

文章利用2003年1月至2009年1月期间上证价格指数、S&P500股价指数和WTI石油价格资料和t分布的GARCH模型研究了美国股价指数和石油价格指数在金融危机发生前后对中国股价收益率和波动率的影响。实证结果表明,金融危机发生前,美国股价收益对中国股价收益和波动的影响尚不明显,金融危机发生后,美国股价收益对中国股市的收益和波动的影响都是显著正向的;虽然石油价格在金融危机发生前后对中国股票价格收益均有负向的影响,但是这种影响并不显著。     

Stock Returns and Volatility: an empirical study of Chinese stock markets

This paper uses GARCH models to analyse the relationship between returns and volatility on the Shanghai and Shenzhen Stock Exchanges in China. Empirical estimates using the sample data from 21 May 1992 to 2 February 1996 suggest that the variances of the returns in the two markets are best modeled by the GARCH-M (1,1) specification. Volatility transmission between the two markets (the volatility spill-over effect) is also found to exist. The results of one month ahead ex ante forecasts show that the conditional variances of the returns of the two stock markets exhibit a similar pattern.     

货币冲击、房地产收益波动与最优货币政策选择

与传统资产定价模型中风险收益权衡关系相悖,我国房地产市场存在投资异象和波动长记忆性特征。文章利用泰勒规则(Taylor Rule)的利率缺口,在剔除市场预期之后测度了中国市场的货币政策冲击,并基于房地产投资回报的时序数据波动聚集性和时变性特征构建GARCH(1,1)-M模型,以此度量我国房地产市场投资收益的波动演变路径,解释了央行实施加息的货币政策后当期房价反而上涨的投资现象。文章还立足于房地产市场参与人的投资特征,从行为金融学的全新研究视角出发,建立包含行为资产定价的动态模型经济系统,研究资产价格波动与最优货币政策选择问题,求得相应闭型解,为实施关注资产价格波动的最优货币政策提供理论基础。     

中国股市收益、收益波动与投资者情绪

本文从我国股市的现实情况出发 ,构造理论模型证明 :投资者接受价格信号时表现出来的情绪是影响均衡价格的系统性因子。这一结论得到实际数据的支持 ,实证发现投资者情绪的变化不仅显著地影响沪深两市收益 ,而且显著地反向修正沪深两市收益波动 ,并通过风险奖励影响收益。研究结果表明 ,沪深两市不仅具有相同的投资者行为和风险收益特征 ,而且均未达到弱式有效 ,机构投资者是可能的噪声交易者风险源。     

Inflation and Stock Market Returns:Some Australian Evidence*

This paper analyzes the relationship between Australian stock returns and inflation over the period 1965-79. The effects of inflation in a ‘rational investor’ valuation framework are discussed. Empirical tests suggest that nominal stock returns and inflation are related in a significantly negative fashion, implying that stocks have been extremely poor inflationary hedges for the investor over the period. In addition, Granger-Sims tests of causality indicate a mainly unidirectional relationship between inflation and stock returns, with price level charges leading the equity index in time.     

中国封闭式基金价格报酬过度波动的经验分析

本文研究了中国封闭式基金价格报酬与净资产报酬的数据特征及其影响关系 ,主要的结果是 :( 1 )中国封闭式基金的价格报酬相对于基金的净资产报酬一方面存在过度波动 ,另一方面又存在反映不足 ;( 2 )通过检验表明 ,投资者情绪风险对价格报酬过度波动具有显著的影响 ,而Fama的三因素风险因子对价格报酬的过度波动几乎没有解释力 ;( 3 )封闭基金价格报酬的过度波动表明 :由于投资者行为使基金股票价格相对于基金净值存在额外的系统风险 ,封闭式基金折价正是对这种系统风险的一种补偿。     

股市谣言与股价波动:来自行为实验的证据

信息是引起股票价格波动的核心因素,谣言作为一种特殊的信息如何影响投资者的风险决策至今仍然是一个谜。由于利用真实股票市场数据来检验谣言与股价的关系无法控制预期等因素的影响,本文采用了行为实验方法,首先建立一个包括情绪因子的行为风险决策模型,然后设计了一个2×3×3的风险决策实验,考察仅包括虚假信息的谣言对股票市场买卖双方风险决策的影响。我们利用双重差分计量模型检验发现,与有效市场理论不同,买卖双方面对负面谣言冲击时会显著降低风险资产比例,面对正面谣言冲击时卖方显著提高风险资产比例,但买方不显著。除买方负面谣言组外,谣言影响风险资产比例不具有持续性或外部性。本文首次证实了谣言会直接影响人们的风险投资行为进而导致股价过度波动,为监管部门打击造谣、传谣提供了有力的经验证据。     

Macroeconomic Structure and Oil Price Shocks at the Industrial Level

This paper analyses the role of the macroeconomic structure in the response of industrial output to an oil price shock in six OECD countries. The modelling of the macroeconomic structure is important in examining the effect of an oil price shock on the industry-level output, since the analysis of the transmission mechanisms helps us to better understand the response of industrial output to such a shock. Thus, cross-country differences found in the responses of industrial output to oil price shocks within the European Monetary Union can be partially explained by differences in the transmission mechanisms of such shocks.     

Australian Stock Market Volatility: 1875–1987*

This paper investigates the volatility of monthly Australian stock returns over the period 1875–1987. There has been extensive work on this question in the United States, but little with data outside that country. Our analysis centres upon whether the 'stylized facts' regarding returns in the US also hold true for Australia. We find that there are both similarities and differences. There is little evidence for asymmetry in Australian returns but strong persistence of shocks into volatility. What is particularly interesting in the Australian series is the large volatility of the last two decades, an experience not matched in the US data     

Stock Returns and Inflation

In this paper the relationship between inflation and stock returns in Australia is examined. It is found that increases in the price level reduce the real level of the stock price index. However, it is also found that the question of whether persistent increases in inflation affect real returns cannot be addressed using the Australian data.     

非完全竞争市场假设在CGE模型中的引入及应用

通过对部门生产函数及相关参数、系数的改造,将非完全竞争市场条件引入CGE模型,并模拟在完全竞争与不完全竞争两个不同市场结构下国际油价上升对我国经济的影响.结果表明,当油品市场设定为不完全竞争时,面对国际油价上升的冲击,GDP下降的程度大于完全竞争的情况.因此随着油品市场逐渐开放,油品市场的产出增加,可以增强我国石油产业和总体经济应对国际油价上升冲击的能力,应继续推动我国石油产业市场自由化的进程.     

国际原油价格波动对中国宏观经济影响的重新考察

本文对国际原油价格波动对中国宏观经济的影响进行了重新考察。研究发现:国际原油价格通过影响采购经理人指数进而影响中国主要宏观经济变量,采购经理人指数的引入,完善了国际原油价格波动对中国宏观经济影响的时序传导机制,从而提高了实证结果的显著性。实证结果显示:国际原油价格上涨对中国消费者价格指数有正向影响,但这一结果并不显著;同时国际原油价格上涨并未改变中国经济增长的总体态势。VEC实证模型的估计结果表明:国际原油价格与中国宏观经济变量之间存在显著的协整关系,而且国际原油价格波动对中国宏观经济的影响存在滞后效应。     

Effect of Macro Factor Volatility on the Returns of Financial Sector in Southeast Asian Stock Markets

The emphasis of this study is on the practice of the Pooled Mean Group （PMG） estimators to investigate the magnitude of macroeconomic performances： Real Gross Domestic Product （RGDP）, Foreign Exchange Rate （EX）, and Deposit Interest Rate （DINT） affecting on the rate of financial sector returns in Southeast Asian Stock Markets including Stock Exchange Of Thailand （SET） index （Thailand）, the Kuala Lumpur Composite Index （KLSE） index （Malaysia）, Financial Times Share Index （FTSI） （Singapore）, Philippine Stock Exchange （PSE）, and the Jakarta Composite Index （JKSE） （Indonesia）. The Panel Autoregressive Distributed Lag （Panel ARDL） is applied to model the relations. The study applies the Levin, Lin, and Chu （LLC） test （2002） and Im, Pesaran, and Shin （IPS） test （2003） to investigates a set of time series data to examine whether the determinants and the rate of financial sector returns contain a unit root, the next step is investigated the cointegration and causality relationship of the determinants of financial sector influencing on long-run rate of returns of financial sector in Southeast Asian Stock Markets.