Systemic risk in market microstructure of crude oil and gasoline futures prices: A Hawkes flocking model approach

We propose the Hawkes flocking model that assesses systemic risk in high-frequency processes at the two perspectives—endogeneity and interactivity. We examine the futures markets of West Texas Intermediate (WTI) crude oil and gasoline for the past decade, and perform a comparative analysis with conditional value-at-risk as a benchmark measure. In terms of high-frequency structure, we derive the empirical findings. The endogenous systemic risk in WTI was significantly higher than that in gasoline, and the level at which gasoline affects WTI was constantly higher than that in the opposite case. Moreover, although the relative influence's degree was asymmetric, its difference has gradually reduced.     

The role of financial investors in determining the commodity futures risk premium

I develop and test a model to study the interaction between the commodity and stock markets. This study attempts to clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is determined by hedging pressure, stock market returns, and the commodity–equity correlation. Empirically, the effect of the stock market on the energy market became significantly greater for the futures risk premium in the period following the 2008 crisis. Furthermore, hedging pressure is a strong explanatory variable for the futures risk premium in various circumstances.     

Time‐varying market price of risk in the crude oil futures market

In this study, a three‐factor model of crude oil prices is estimated, which incorporates a time‐varying market price of risk. The model is able to accurately capture the term structure of futures prices with evidence suggesting that risk premiums in the crude oil market are time‐varying. Using the cross‐section of futures prices, we estimate a time‐series of the market price of risk in the crude oil market implied by the model. We find that the risk premiums in the crude oil market are driven by the same risk factors as equity and bond markets. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 31:779–807, 2011     

When trading options is not the only option: The effects of single-stock futures trading on options market quality

We use the 2008 short-selling ban to examine the impact of single-stock futures (SSFs) trading on options market quality. We show that there is a substitution effect between options trading and SSFs trading during the ban period. In addition, our results show that SSFs trading had a significant effect in narrowing the bid-ask spreads of options contracts. Moreover, compared to stocks without SSFs, stocks with SSFs were less likely to violate put-call parity during the ban period. Our results suggest that SSFs trading helps mitigate the negative effect of the short-selling ban on options market quality documented in the literature.     

浅析金融创新理论与金融体系创新

金融创新的主要目的是为了提高金融机构竞争能力,提高金融效率、优化资源配置等。我国的金融创新应从宏观和微观两个方面同时进行,重点在于强化产权制度创新、经营体制创新、组织体系创新、金融监管创新,为金融业务和金融市场营造更广阔的发展空间。     

The interest group theory of financial development in China: Openness and the role of interest groups

The interest group theory of financial development predicts that the incumbents' opposition to financial development will be weaker when an economy is open to both trade and capital flows. Based on regressions of financial development on trade and financial openness, existing studies only provide indirect tests of the hypothesis and deliver mixed findings. This paper proposes models for direct tests of interest group theory for China. Using Chinese cross-province data, we define and measure interest groups based on the close tie between state-owned enterprises and local government in China. The empirical results show that the opposition from interest groups to financial development cannot be weakened in provinces with high trade or financial openness alone. However, the opposition is indeed weakened in provinces with high levels of both trade and financial openness. These results provide robust support for interest group theory in accounting for cross-province differences and time-series variation in financial development in China.     

浅谈原油储罐腐蚀与防护

本文介绍原油储罐腐蚀的基本情况.根据储罐腐蚀情况调查,简单分析了储罐腐蚀的原因、腐蚀机理,同时介绍了原油储罐的防护方法及储罐防护施工时的注意事项.     

The impact of soft intervention on the Chinese financial futures market

During the 2015 financial crisis in China, participants faced the criticism that manipulators and shorts had destabilized the market. As a result, the Chinese Securities Regulatory Commission intervened sequentially in the spot market and then in the futures market. Trading volume dropped precipitously. Using the cost-of-carry model, we find that these actions significantly impacted equilibrium pricing. Following intervention in the spot market, mispricing was attenuated but remained significant after further intervention in the futures market. We use the Hong Kong market and a difference-in-differences statistic to address the role of the China Securities Regulatory Commission soft intervention versus intervention by hard rules.     

“一带一路”背景下人民币国际化的原油计价研究

在"一带一路"倡议下,人民币国际化的原油计价面临着重大机遇:中国与"一带一路"沿线能源出口国利益互补、亚洲缺少原油定价中心、全球出现"去美元化"的趋势以及人民币国际化具备强有力支撑等条件,但同时也面临着资本管制与原油期货市场流动性的冲突、较低开放度的中国金融市场无法为人民币提供畅通的回流路径以及"新特里芬难题"等挑战。借鉴相关发展经验,应积极推进人民币原油期货市场建设、推进金融市场开放构建人民币环流、扩大与"一带一路"沿线国家(地区)的贸易往来、借助基础设施建设强化人民币计价功能等,努力实现人民币国际化的原油计价。     

The impact of the US stock market opening on price discovery of government bond futures

We examine price discovery in sequential markets for the 10-year US Treasury note, German bund, and UK gilt futures over the period 2010–2017. We find that price discovery increases after the opening of the US stock market. Order flows in the bond futures markets are more informative for permanent price changes in the 30-min period after the US stock market opens. A placebo test using US statutory holidays confirms our findings. A cross-market analysis suggests that the increased price discovery in the bond futures is related to returns and net order flows of the US stock market.     

如何发挥财务部门在内控中的作用

内部控制是企业为了提高会计信息质量,保证资产的安全、完整,确保有关法律法规和规章制度的贯彻执行等而制定和实施的一系列控制方法、措施和程序。是保证企业的平稳发展的重要手段。而财务管理作为内部管理的核心环节,在内部控制中所起到的作用是举足轻重的。那么财务部门一定要提高人员素质,加强财务制度建设和夯实基础工作,这样才能为企业真正把好资金关口,促进企业良好健康发展。     

Forecasting equity returns: The role of commodity futures along the supply chain

This paper examines equity return predictability using the returns of commodity futures along the supply chain in China's financial market. We find that a considerable number of commodities exhibit significant in‐sample forecasting ability at the daily horizon, especially for supplier‐side equity returns. The macroeconomic risk premium effect, captured by the aggregate commodity prices, is an important source for this predictability. The out‐of‐sample results show that for most commodities, the predictability remains both statistically and economically significant, and the forecasting performance improves substantially during recessions or with economic constraints.     

Thresholds of financial development in the Euro area

We analyse the dynamics of financial development and economic growth in the Euro area as these countries went through considerably higher levels of financial development. Using a balanced panel data of 38 years from 1980 to 2018, we offer new evidence on the finance–growth nexus. We show the presence of non-linearity as there is an inverted U-shaped relationship between finance and growth in the long run. Estimating the thresholds in the finance–growth nexus, we notice a threshold effect at 74%–86% of GDP for domestic credit; 51% of GDP for stock turnover ratio; and 65% of GDP for stock market capitalisation. We notice that exceeding the threshold causes deceleration in economic growth as too much finance results in crowding out effect for productive economic activities. The panel Granger causality test results show that financial development should be associated with optimal growth performance. These findings in the Euro area provide some useful policy implications to the emerging and developing economies in designing their financial development strategies.     

The diffusion of innovation theory and the effects of IFRS adoption by multinational corporations on capital market performance: a cross-countryanalysis

This article seeks to contribute to International Financial Reporting Standards (IFRS) literature by examining the effects of adopting IFRS on stock market performance worldwide from the diffusion of innovation theory perspective. Our study revealed several interesting findings after using combinations of unique panel data sets from 110 countries worldwide and conducting a robust empirical analysis from 1995 to 2014. First, we found a positive association between late mandatory IFRS adoption and stock market integration in Europe. Second, our findings indicate a significant negative association between early IFRS adoption and the following financial indicators: stock market trading volumes, stock market capitalization, market turnover, and market return. Third, our study reveals an insignificant association between early IFRS adoption and stock price volatility alongside stock market development. Our findings are robust and have significant practical and policy implications for regulators and policymakers of multinational corporations.     

The role of national culture in financial literacy: Cross-country evidence

This paper examines the effect of national culture on adult financial literacy levels in 12 countries. Contrary to earlier financial literacy studies, our results are directly comparable across countries given that we use the standardized OECD/INFE financial literacy survey data and Hofstede's, 2001, cultural dimensions to capture financial literacy and national culture. In line with the financial socialization theory, we find that uncertainty avoidance positively influences financial literacy, while individualism negatively influences financial literacy. We conclude that national culture affects financial literacy and that it is important to account for cultural dimensions in future international financial literacy research.     

Healthy financial habits in young adults: An exploratory study of the relationship between subjective financial literacy,engagement with finances,and financial decision-making

This paper provides insights into young adults' financial habits and decision-making considerations as they enter the workforce. We use 28 semi-structured interviews with Australian university graduates to explore how their motivation to engage with personal finances and their subjective financial literacy, i.e., self-reported, support healthy financial habits. Our findings show that a young adult's social context and exposure to financial hardship rather than their financial confidence determine the health of their financial habits. We observed research participants in a romantic partnership as more focused on their future. This future focus motivates them to engage more with their finances and manifests as explicit goal setting, formal budgeting, or adherence to strict bucket systems. These insights might be useful for policymakers and educators: social context matters when designing financial health interventions, while financial education programs predominately should aim at demystifying complex long-term financial decision-making such as investments and retirement.     

期货公司重组与证券公司收购的政策分析——以参与金融期货经纪业务为视角

在中国金融期货经纪业务将由期货公司专营的政策安排下,创新类券商在金融期货市场发展初期,将通过收购期货公司,以期货介绍经纪商(IB)身份参与金融期货经纪业务。本文介绍了中国发展金融期货的背景,分析了期货公司获得金融期货经纪业务专营资格与开展这一业务进行重组的情况,并分析了券商收购期货公司的资格与多项的政策支持与实施。