The capital gain lock-in effect and perfect substitutes

This paper analyses the effect of investors' accrued capital gains on optimal portfolio composition and equilibrium returns under the assumption that investors are able to re-balance with perfect substitute securities. No-dominance arguments are used to show that pricing differences because of accrued capital gains do not arise among securities which are perfect substitutes. These arguments are insufficient, however, to prevent pricing differences because of accrued capital gains among securities which are not perfect substitutes. Trading rules are developed which outline the conditions necessary for the realisation of accrued capital gains and the deferral of capital losses. These trading rules also provide guidance on which securities investors should sell, given their tax basis, when re-balancing their portfolios.     

A theoretical analysis of institutional investors' trading costs in auction and dealer markets

This paper compares trading costs for institutional investors subject to liquidity shocks, in auction and dealer markets. The batch auction restricts the institutions' ability to exploit informational advantages because of competition between institutions when they simultaneously submit orders. This competition lowers aggregate trading costs. In the dealership market, competition between traders is absent but private information is revealed by observing the flow of successive orders and so reduces aggregate trading costs. We analyse the relative effects on trading costs of competition and information revelation in the two systems and derive a parameter inequality which determines which system has lower costs.     

Optimal and investable portfolios: An empirical analysis with scenario optimization algorithms under crisis market prospects

This paper develops scenario optimization algorithms for the assessment of investable financial portfolios under crisis market outlooks. To this end, this research study examines from portfolio managers' standpoint the performance of optimum and investable portfolios subject to applying meaningful financial and operational constraints as a result of a financial turmoil. Specifically, the paper tests a number of alternative scenarios considering both long-only and long and short-sales positions subject to minimizing the Liquidity-Adjusted Value-at-Risk (LVaR) and various financial and operational constraints such as target expected return, portfolio trading volume, close-out periods and portfolio weights. Robust optimization algorithms to set coherent asset allocations for investment management industries in emerging markets and particularly in Gulf Cooperation Council (GCC) financial markets are developed. The results show that the obtained investable portfolios lie off the efficient frontier, but that long-only portfolios appear to lie much closer to the frontier than portfolios including both long and short-sales positions. The proposed optimization algorithms can be useful in developing enterprise-wide portfolio management models in light of the aftermaths of the most-recent financial crisis. The developed methodology and risk optimization algorithms can aid in advancing portfolio management practices in emerging markets and predominantly in the wake of the latest credit crunch.     

中国证券商的业务竞争与创新发展势态

本文分析了开放条件下我国证券业经营竞争环境的变化，并从6个方面分析了中国证券商业务创新的发展势态。（1）证券业分类管理制度使证券商的经营规模发生变化；（2）证券发行与承销方式的改革深化了证券业内的服务竞争；（3）证券网络化交易的快速发展完善了交易清算的服务管理模式；（4）交易佣金制度的改革将使证券业的结构调整得到不断优化；（5）投资基金业务与投资组合的多样化对基金经理行为的监管提出了新的要求；（6）中国放宽市场准入条件的同时必须完善制度创新与管理创新。     

艺术品的金融属性：投资收益与资产配置*

本文基于2000—2014年中国艺术品拍卖市场近现代国画的微观数据,在资产配置中引入市场交易机制中的佣金变量,加入艺术品市场规模约束,采用重复交易法实证计量嵌入艺术品市场的投资收益特征并量化其资产配置效应,以测度其市场功能。优质的艺术精品具备金融资产风险和收益的基本特征,本文对艺术品资产与资本资产定价模型的适应性进行讨论。研究表明：在样本期内,剔除通胀和佣金成本因素后收益率更加贴近现实,中国艺术品投资的实际收益率水平为1308%,表现出高于欧美市场的投资溢价;艺术品投资与传统的股票、债券等金融资产之间表现出相对独立性,并能有效改善投资者资产组合的风险边界,可以成为资产配置优化和多样化的重要选择。中国艺术品市场的长期稳健发展将为投资者提供更多的资产优化产品和工具。     

香港和内地证券市场的动态竞争关系研究——基于A+H交叉上市公司的实证分析

交叉上市引起不同证券市场对有限投资者和资金资源的竞争。文章在阐述证券市场竞争的Lotka-Volterra模型基础上,通过2006-2010年38家A+H交叉上市企业的日交易数据实证分析了香港和内地证券市场之间的动态竞争过程。结果表明,两市场之间的动态竞争关系从交叉上市初期的捕食—诱饵关系逐步演化为目前的竞争互惠关系,且这种动态演化过程与企业交叉上市顺序没有显著的相关性。这说明内地证券市场正在不断完善,鼓励企业境外上市和A股回归将有利于内地证券市场的发展,而且互惠合作应是未来证券市场竞争的发展趋势。     

The possibility of informationally efficient markets

A rational expectations equilibrium with positive demand for financial information does exist under fully revealing asset price—contrary to a wide-held conjecture. Whereas a continuum of investors is inconsistent with fully revealing equilibrium, finitely many investors with average portfolios demand information in equilibrium if they can adjust portfolio size in an additive signal-return model. More information diminishes the expected excess return of a risky asset so that investors who only have a choice of portfolio composition or whose asset endowments strongly differ from the average portfolio are worse off. Under fully revealing price, information market equilibria both with and without information acquisition are Pareto efficient.     

Dynamic causality between the U.S. stock market,the Chinese stock market and the global gold market: implications for individual investors’ diversification strategies

This paper proposes a generalization of the prior VAR and EGARCH model to explore the linkage between returns and volatility transmissions in the U.S. stock market, the Chinese stock market, and the global gold market from 10 July 1996 to 20 July 2018. We found that past returns of the U.S. stock market can predict the current returns of the other two markets, and that significant reciprocal volatility transmission existed within and across all three markets. We further implemented average out-of-sample (OOS) forecasting to show that a risk-adjusted portfolio, such as mean-variance with sample estimator, does not outperform an equal-weighted portfolio. This provides insights for individual investors and helps to explain the ongoing disagreement in the portfolio literature concerning the effectiveness of risk-adjusted portfolios and equal-weighted portfolios when the number of assets is small.     

Futures markets and commodity options: Hedging and optimality in incomplete markets

This paper examines the allocational roles of futures markets and commodity options in multi-good and multi-period economies. In a continuous-time model with time-additive utilities and homogeneous beliefs, trading in “unconditional” futures contracts, the market portfolio and a riskless asset gives any Pareto-optimal allocation. Individuals' optimal holdings of futures contracts in the continuous-time model are related to their consumption bundles and to their risk tolerances. It is shown that both hedging and “reverse hedging” behavior are possible. In the general model with discrete trading, options on portfolios of commodity options are shown to permit any unconstrained Pareto-optimal allocation.     

The relationship between the Vietnam stock market and its major trading partners – TECM with bivariate asymmetric GARCH model

This study employs threshold error-correction model with bivariate Glosten–Jagannathan–Runkle-generalized autoregressive conditional heteroscedasticity model to examine the relationship between the Vietnam stock market and its major trading partners, the United States, Japan, Singapore and China. The results indicate that the Vietnam stock market and return risks are influenced by Japan and Singapore stock markets. We also find that the volatility of stock market in Vietnam and its trading countries have an asymmetrical effect. These findings could be valuable to individual investors and financial institutions holding long-run investment portfolios in the Vietnam stock market.     

The risk-return relations: evidence from the Korean and Taiwan stock markets

This article examines the risk-return relations conditional on up and down market periods in the Korean and Taiwan stock markets. Based on statistical tests adjusted for the effects of heteroskedasticity and autocorrelation of the residuals, beta is found positively (negatively) related to realized returns in up (down) markets. However, the results are sensitive to portfolio aggregation methods. Its role as a risk measure vanishes in down markets for the two-way (beta-size and size-beta) sorted portfolios. Unsystematic risk is significantly and positively priced only in up markets and mainly for beta-sorted portfolios while total risk is correctly priced except in Taiwan during down markets. Moreover, the impact of skewness and kurtosis on realized returns is not only sensitive to portfolio aggregation methods but also different across stock markets. They are found to be more relevant risk characteristics in the Korean than in the Taiwan stock market.     

Big Data Algorithmic Trading Systems Based on Investors’ Mood

Traditional automated trading systems use rules and filters based on Chartism to send orders to the market, aiming to beat the market and obtain positive returns in bullish or bearish contexts. However, these systems do not consider the investors’ mood that many studies have demonstrated its effects over the evolution of financial markets. The authors describe 2 "big data" algorithmic trading systems over Ibex 35 future. These systems send orders to the market to open long or short positions, based on an artificial intelligence model that uses investors’ mood. To measure the investors' mood, the authors use semantic analysis algorithms that qualify as good, bad, or neutral any communication related to Ibex 35 made on social media (Twitter) or news media. After 1.5 years of research, conclusions are: First, the authors observe positive returns, demonstrating that investors’ mood has predictive capacity on the evolution of the Ibex 35. Second, these systems have beaten the Ibex 35 index, showing the imperfect efficiency of the financial markets. Third, big data algorithmic trading systems numbers are better in Sharpe ratio, success rate, and profit factor than traditional trading systems on the Ibex 35, listed in the Trading Motion platform.     

On the post-financial crisis performance of Islamic mutual funds: the case of Riyad funds

Using Riyad Capital mutual funds as a proxy for Saudi Arabian mutual funds, this paper empirically compares the risk-adjusted performance and investment style of Islamic mutual funds with that of conventional funds in the wake of the recent global financial crisis of 2009–2014. Absolute and relative risk-adjusted measures with single factor (Jensen) and multifactor (Carhart) models are applied. Our findings suggest that Islamic funds outperformed conventional funds domestically, given similar risk exposure, and produced comparable results under lower market risk globally. The results show that Islamic funds are a relatively big cap from the strong statistical significance registered on the global side as evidenced by the difference portfolio outcomes. In addition, the difference portfolios provide statistical evidence that Islamic funds are more value-oriented compared to conventional funds on both fronts. Furthermore, Islamic funds tend to slightly favour a contrarian trading investment strategy as suggested by statistically significant local portfolio value and global difference portfolios results. The results of home bias test show stronger ties by local Islamic funds to local market relative to the global proxy suggesting that domestic investors and managers favour Islamic funds over conventional funds, thus confirming a local preference for Shari’ah-compliant investments.     

Evaluation of Selected Methods of Classification for the Warsaw Stock Exchange

The portfolio analysis allows a complex analysis of all the securities and it is connected with diversification of the portfolios risk. The problem that arises before the portfolios will be constructed and is connected with database of securities—what generally simplifies selection securities to portfolios. In a way of building database can be useful a taxonomic methods. The main aim of the paper is researching stability classifications for proposing methods and verification how different or similar they are. Such an approach in analysis of classification stability gives more information about researching companies and their financial or economic stability. It also gives information about the Polish capital market. In addition, such analyses are useful in making investment decisions, particularly in selection companies to portfolio. Presented at the Fifty-Seventh International Atlantic Economic Conference, March 10–14, 2004, Lisbon, Portugal.     

Home Bias and High Turnover in an Overlapping-generations Model with Learning

This paper develops a two‐country overlapping‐generations (OLG) model under the assumption that investors are on a learning path. While investors from both countries receive identical information flows, domestic investors start off with less precise prior beliefs concerning foreign fundamentals. On a learning path, differences in beliefs and estimation risk generate portfolio biases that match the empirical evidence: home bias in equity portfolios and trend‐chasing in international flows. In addition, due to the higher volatility of the estimates of foreign state variables, our model produces excessive turnover in foreign securities. We calibrate the model on the historical path of quarterly real GDP data for the US and Europe. Under the assumption of a financial liberalization in the 1970s, the model produces preference for domestic securities and turnover.     

Implementing Arrow-Debreu equilibria by trading infinitely-lived securities

Summary. We show that Arrow-Debreu equilibria with countably additive prices in infinite-time economy under uncertainty can be implemented by trading infinitely-lived securities in complete sequential markets under two different portfolio feasibility constraints: wealth constraint, and essentially bounded portfolios. Sequential equilibria with no price bubbles implement Arrow-Debreu equilibria, while those with price bubbles implement Arrow-Debreu equilibria with transfers. Transfers are equal to price bubbles on initial portfolio holdings. Price bubbles arise in sequential equilibrium under the wealth constraint if some securities are in zero supply or negative prices are permitted, but cannot arise with essentially bounded portfolios.Received: 19 November 2003, Revised: 24 February 2004, JEL Classification Numbers: D50, G12, E44.Correspondence to: Jan WernerWe acknowledge helpful discussions with Roko Aliprantis, Subir Chattopaydhyay, Steve LeRoy, Manuel Santos, and seminar participants at Brown University, University of Pennsylvania, NBER Workshop in General Equilibrium Theory, SITE 2000, the 2000 World Congress of the Econometric Society, and Federal Reserve Bank of Kansas City. The views expressed herein are those of the authors and do not necessarily reflect the views of Federal Reserve Bank of Kansas City or the Federal Reserve System.     

融资融券对我国期指市场影响的实证研究

以融资融券对我国期指市场的影响为对象进行实证研究,发现融资融券对期指市场当日成交金额产生负向影响,对期指市场当日持仓量产生正向作用;融资融券交易与期指市场波动性之间不存在长期稳定的协整关系,也不存在确定的线性关系;融资融券交易对期指市场当日成交金额并不存在统计意义上的因果引致关系,当日融券余额与期指市场当日持仓量存在双向因果引致关系,期指市场波动性是融券余额的单向因果引致关系。因此,扩大融资融券标的范围与可供借贷证券池,发展有利于中小投资者参与的、与融资融券交易有关的风险对冲套利金融产品是我国证券市场转型的重要举措。     

Analysis of long-run benefits from international equity diversification between Taiwan and its major European trading partners: an empirical note

This paper employs four cointegration test approaches, PO, HI, JJ and KSS, to test for pairwise long-run equilibrium relationships between Taiwan's stock price index and each of the stock price indexes of four European markets – French, German, Dutch, and British stock markets. The results from these four tests are robust and clearly consistent in suggesting that the Taiwan stock market is not pairwise cointegrated with the four European stock markets. This provides strong evidence that there exist long-run benefits for Taiwan investors diversifying in the equity markets of Taiwan's major European trading partners, France, Germany, Holland, and the UK, over the sample period considered from 6 January 1998 to 30 May 2002. These findings could be valuable to Taiwan individual investors and financial institutions holding long-run investment portfolios in the equity markets of France, Germany, Holland, and the UK.     

Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis

This paper examines the short term and long term dependencies between stock market returns for the Gulf Cooperation Council (GCC) Countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia, and the United Arab Emirates) during the period 2005–2010. Our empirical investigation is based on the wavelet squared coherence which allows us to assess the co-movement in both time-frequency spaces. Our results reveal frequent changes in the pattern of the co-movements especially after 2007 for all the selected GCC markets at relatively higher frequencies. We further note an increasing strength of dependence among the GCC stock markets during the last financial crisis signifying enhanced portfolio benefits for investors in the short term relative to the long term. On the financial side, we uncover that the strength of co-movement between GCC markets may impact the multi-country portfolio's value at risk (VaR) levels. These findings provide potential implications for portfolio managers operating in the GCC region who are invited to consider co-movement through both frequencies and time when designing their portfolios.     

The impact of market trading mechanism on A-H share price premium

After the Shanghai-Hong Kong Stock Connect policy was launched, markets become integrated, while A-H premium rises. This phenomenon is contrary to the existing market segmentation hypotheses. We provide a supplementary explanation for the A-H share price premium based on stock market trading mechanism. As margin trading and securities lending mechanism in Chinese mainland stock market is still immature and incomplete, limited arbitrage and asymmetric margin buying power amplifies the A-H premium even after markets are integrated. Our findings complement the financial microstructure researches on how trading mechanism may influence the dynamic price discovery process, especially those related to issues of short constraints and levered investing.