High-Frequency Trading,Liquidity Withdrawal,and the Breakdown of Conventions in Foreign Exchange Markets

Conventions, or “that the existing state of affairs will continue indefinitely, except in so far as we have specific reasons to expect a change” (Keynes 1936), play a central role in over-the-counter markets. For instance, by allowing expectations about the future to become more harmonized and orderly, they act as stabilizers for the provision of liquidity. Conventions might, of course, change at any time. Nonetheless, by being attached to the daily trading routine and/or integrated within the institutional structure, the confidence in their relevance and validity can be long-lasting. In the foreign exchange market, in particular, where prices are quoted to end-users on demand, market-making banks rely on a convention to quote prices to each other to maintain liquidity. However, the rise of algorithmic and high-frequency trading poses a practical as well as a theoretical challenge to such conventions. By reacting ultra-fast to new information, including to new limit orders submitted by others, markets largely populated with algorithmic traders have become susceptible to a withdrawal of liquidity at an unprecedented speed and scale. Using a high-frequency dataset provided by Electronic Broking Services (EBS), we investigate the process of liquidity withdrawal from the foreign exchange spot market. By doing so, we consider the crowding out of conventions associated with liquidity provision, traditionally upheld through mutual understanding among financial institutions – in other words, reciprocity and trust among humans.     

量化宽松、流动性溢出与新兴市场通货膨胀

全球金融危机愈演愈烈,各国政府使出浑身解数以刺激经济回暖,随着短期利率接近于零,常规货币政策几近失效之时,美、英等发达国家试图通过量化宽松货币政策的实施刺激国内私人部门消费和投资的增长。当国内实体经济无法容纳这部分过剩的流动性时,必然导致流动性溢出,大量国际资本涌入大宗商品市场和新兴市场,催生资产泡沫,给新兴市场国家造成通胀的压力。本文通过新近发展的面板VAR模型分析了量化宽松政策的流动性溢出效应及其对金砖国家物价的影响。     

Laboratory Behavior in Spot and Forward Auction Markets

Auctions that require advance production increase seller costs because inventories must be held. This cost does not exist in production-to-demand markets for which production follows trading, and sales exactly match quantities produced. Data from laboratory computerized double auction markets show that advance-production prices are significantly higher and quantities traded are significantly lower than they are in production-to-demand auctions. Price convergence patterns show advance-production sellers moving toward 9% higher prices and 22% greater earnings.     

流动性、股票定价及时变性：来自我国沪深股市的经验证据

本文在经流动性风险调整的资产定价模型的基础上,通过引进四个工具变量,构建了一个检验模型,于时间序列上对中国股票市场进行了实证分析。实证结果显示：我国的股市流动性单位风险溢价于时间序列上存在显著的时变性。从而证实了投资者之内生流动性风险对股票收益率之影响效应,进而揭示了一个货币供给量影响股市的一个作用机制,即股票价格的涨跌由于流动性水平的不同和由前者导致的流动性风险溢价要求的不同而受到影响。     

Overreactions,Momentum, Liquidity,and Price Bubbles in Laboratory and Field Asset Markets

Laboratory asset markets provide an experimental setting in which to observe investor behavior. Over more than a decade, numerous studies have found that participants in laboratory experiments frequently drive asset prices far above fundamental value, after which the prices crash. This bubble-and-crash behavior is robust to variations in a number of variables, including liquidity (the amount of cash available relative to the value of the assets being traded), short-selling, certainty or uncertainty of dividend payments, brokerage fees, capital gains taxes, buying on margin, and others.

This paper attempts to model the behavior of asset prices in experimental settings by proposing a "momentum model" of asset price changes. The model assumes that investors follow a combination of two factors when setting prices: fundamental value, and the recent price trend. The predictions of the model, while still far from perfect, are superior to those of a rational expectations model, in which traders consider only fundamental value. In particular, the momentum model predicts that higher levels of liquidity lead to larger price bubbles, a result that is confirmed in the experiments. The similarity between laboratory results and data from field (real-world) markets suggests that the momentum model may be applicable there as well.     

流动性、流动性资产和流动性过剩

本文厘正了若干流动性过剩认识误区,阐释了流动性、流动性资产和流动性过剩的本质与定义,测算了近年来中国流动性过剩的规模和程度.得出了近年来中国流动性过剩并不严重、流动性过剩与经济过热之间不存在因果关系,以及2007年和2008年上半年中国宏观经济调控政策取向值得反思等若干结论.     

噪声交易与市场质量

本文通过行业、规模、负债和成长能力的配对,建立起32家上证50成份股上市公司的控制样本,然后运用合理的计量方法,首次估计出符合我国股市微观结构的噪声交易高频时间序列,在此基础上深入分析噪声交易与信息不对称、流动性、波动性和有效性等市场质量指标之间的经验关系,发现:我国股市私人信息具有较高的相关性和持久性;噪声交易提高了交投活跃程度,同时却扩大了执行成本和价格波动幅度;噪声交易与信息不对称的关系不大;噪声交易使实际价差缩小,进而削弱了市场有效性。由此可见,噪声交易是一把"双刃剑",只有继续改革价格形成机制、增强价值投资力量、引导长期资金入市、完善信息披露制度并强化交易监控,才能进一步提高我国股市的质量。     

知情交易与中国股市博彩溢价

本文发现中国股市存在博彩（投机）溢价,且无法为Fama—French三因子模型解释。尽管在组合构造期内,博彩型股票存在显著溢价,但组合的超额收益会迅速消失,并未给投资者（或投机者）带来持续的财富效应。基于知情交易概率测度,我们进一步发现中国股市的知情交易者驱动（或引发）了博彩型股票溢价;在组合构造后的月份,并没有明显的知情交易者存在,这意味着知情交易者在基于私人信息获利之后,那些随后进入市场的投资者（动量交易者）无法获得超额收益。     

Equilibrium in Auction and Bargaining Markets When Agents Can Wait and Search

The paper studies two market structures and two modes of trade. The agents, buyers and sellers, can choose whether to stay or search. The meetings take place randomly, and trades are consummated by auction or by bargaining. There are altogether four possible markets but in equilibrium at most two markets are active simultaneously. There is almost always a unique evolutionary stable equilibrium which consists of an auction market when the numbers of buyers and sellers differ greatly, and two simultaneous auction markets when the numbers are relatively close.     

Liquidity Creation through Banks and Markets: A Theoretical Perspective on Securitization

Securitization is a process that transforms some traditional non-traded banking assets into marketable securities. To evaluate this process, this paper surveys theories of the intertemporal allocation of funds through demand deposits and anonymous markets, first separately and then in an integrated model. It reviews some work on the role of market frictions and asset characteristics, and concludes that the interplay between these two is crucial in explaining the observed co-existence of demand deposits and anonymous markets. This suggests that securitization is an opportunity, rather than a threat, to banks.
(J.E.L.: D50, G21)     

中国股票市场与债券市场间流动性溢出效应的非线性动态特征

利用中国股票市场和债券市场的数据,研究了两市间流动性溢出效应的非线性动态特征、两市流动性的相关关系以及宏观变量的冲击对两市流动性的影响。结果表明:股市与债市的流动性之间存在双向的非线性Granger因果关系,两市场间的流动性溢出效应具有非线性动态特征;宏观变量的变化显著影响两市的流动性且在市场低迷、流动性不足时期影响程度更大;不同状态下的宏观变量冲击会导致不同程度的跨市场投资转移。     

Evaluation of a Truthful Revelation Auction in the Context of Energy Markets with Nonconcave Benefits

We describe a Vickrey-Clarke-Groves auction for supply and demand bidding in the face of market power and nonconcave benefits in which bidders are motivated to bid truthfully, and evaluate its use for power and gas pipeline capacity auctions. The auction efficiently allocate resources if firms maximize profit. Simulations, including an application to the PJM power market, illustrate the procedure. However, the auction has several undesirable properties. It risks being revenue deficient, can be gamed by cooperating suppliers and consumers, and is subject to the information revelation and bid-taker cheating concerns that make single item Vickrey auctions rare.     

流动性补偿、信息不对称与市场预期:央票发行对央票交易成本的影响分析

基于对经济正常波动时期与金融危机时期央票发行对央票交易成本的影响分析,结论表明央票交易成本中流动性成本显著高于信息不对称成本。在经济正常波动时期,央票发行顺应市场预期,央票发行并未引起流动性成本和信息不对称成本的显著变化;在金融危机时期,央票发行出乎市场预期,央票发行引起信息不对称成本显著增加,指令流自相关系数显著降低。而央票市场的信息不对称成本,主要来源于机构投资者对公开信息的解读不同。     

The Favourite‐Longshot Bias, Bookmaker Margins and Insider Trading in a Variety of Betting Markets

This paper verifies the existence of the favourite‐longshot bias in a variety of sports betting markets where odds are set by bookmakers, but the precise pattern of the bias is not identical. Evidence is found to support a central prediction of the Shin (1993) model, which asserts that bookmakers are impelled to create a bias in their odds because of the presence of insider traders: that margins increase with the number of competitors.     

On the Co-existence of Conventions

Recent stochastic evolutionary models have shown that the most likely outcome when the probability of a mutation is sufficiently small is coordination on the risk-dominant strategy rather than on the payoff-dominant one. This paper looks at the consequences of player movement between locations when there are constraints which limit the number of agents who can reside at each location. If the constraints are tight then the risk-dominance result continues to hold. However, we show that when sufficient movement is possible, the most likely outcome involves a mixed state in which agents at different locations coordinate on different strategies. In the asymmetric case, it is the location with the tighter constraint that coordinates on the payoff-dominant strategy. Journal of Economic Literature Classification Numbers: C72, C73, D83.     

流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究

流动性与资产定价是目前金融研究的热点之一 (O’Hara,2 0 0 3 )。本文通过检验交易频率零假设和交易成本备择假设 ,深入分析我国股市流动性与资产定价的理论与经验关系 ,发现 :我国股市存在显著的流动性溢价 ,换手率低、交易成本高且流动性小的资产具有较高的预期收益 ;产生流动性溢价的原因是交易成本而不是交易频率 ;与国外股市相似 ,小企业收益率高于大企业 ,价值股收益率高于成长股。因此 ,我国股市并非令人无法捉摸 ,流动性、规模和价值效应都是资产定价的因素     

文化自觉与文明共存

我们要以当今的需要为基础对我国极其丰富的文化遗产进行清理。我们要通过现代诠释使我们的文化宝库为现代所用,并得到发展,更要对世界文化发展有清醒的评估和理解,让沉睡多年的中国智慧在解决迫在眉睫的文化冲突所带来的人类灾难中焕发出无与伦比的灿烂光辉。     

中国股市上交易活动与股票预期收益关系的实证研究

用交易金额和换手率来度量股票的交易活动,并用它们的标准差、变异系数反映交易活动的变化,本文通过构造投资组合与进行Fama-Macbeth多元回归等方法对中国股市所有A股股票的预期月收益率与交易活动及其波动性之间的关系进行实证研究.研究结果表明,无论控制影响股票收益率的其它因子与否,A股股票交易活动的水平与波动性均与股票的预期收益负相关.