我国部门货币流通速度分析

本文基于拓展的交易方程式提出总体货币流通速度的概念,总货币流通速度的变化可以从两个方面进行分析:各部门货币流通速度的变化以及各部门交易货币持有量占总交易货币量比重的变化.本文根据我国资金流量表的分部门结构,分析了企业、居民、政府三个主要经济部门货币流通速度的特征,并对三部门交易货币持有量占总交易货币量比重的变化对总体货币流通速度的影响做了分析.总体货币流通速度的分部门考察为我们揭示狭义货币流通速度(GNP/M1)的变动规律提供了新的视角.     

我国货币流通速度研究述评

本文回顾了我国货币流通速度的研究成果,认为我国货币流通速度理论研究的深入性和实证研究的精确性存在不足,指出了今后进一步研究的方向.     

我国货币流通速度趋势下降原因分析

货币流通速度,是货币经济学中重要且复杂的议题。货币流通速度本身的变化,一方面是宏观经济、金融环境变化的结果,另一方面也反映出经济、金融中的诸多问题。因此,系统、深入研究我国货币流通速度问题具有重要的理论和现实意义。本文在分析货币流通速度内涵的基础上,分析了我国货币流通速度的变化趋势,重点分析了产生这种下降趋势的原因。     

资产替代、金融市场交易和货币流通速度的稳定性

文章以2001至2005年为样本区间，考察了我国公众的资产替代行为是否构成了股票市场交易影响货币流通速度稳定性的内在机制。研究表明，当股票市场交易规模扩大时。公众出于交易的需要，会将企业存款、储蓄存款和现金替代为股票交易客户保证金，并导致M1流通速度增加，这就说明公众的资产替代行为确实影响到货币流通速度的稳定性。这就意味着，人民银行在考察股票市场交易对货币流通速度稳定性的影响效应时，其切入点应集中于对资产替代行为的分析。     

我国货币流通速度的实证分析

本文旨在研究货币流通速度与几个因素之间的关系,运用1978年-2010年共33个年度数据进行了计量实证分析。研究发现,我国的收入分配不均会导致货币流通速度下降,金融发展不平衡、通货膨胀率对货币流通速度有负向作用。要解决货币流通速度逐渐变慢这一问题,在"十二五"期间,应该缩小贫富差距,扩大国内消费。     

我国货币流通速度的实证分析

本文旨在研究货币流通速度与几个因素之间的关系,运用1978年-2010年共33个年度数据进行了计量实证分析。研究发现,我国的收入分配不均会导致货币流通速度下降,金融发展不平衡、通货膨胀率对货币流通速度有负向作用。要解决货币流通速度逐渐变慢这一问题,在"十二五"期间,应该缩小贫富差距,扩大国内消费。     

电子货币:对货币流通速度的影响

本文从电子货币角度解释货币流通速度变化,利用货币流通速度、现金比率、金融电子化程度、机会成本等指标相关数据进行建立VAR模型,研究两者间动态影响机制,论证了电子货币的替代效应与转化效应共同导致货币流通速度下降,分析电子货币对货币政策目标、工具、传导机制的影响。     

International money and stock market contingent claims

We develop a unified approach with closed-form solutions for pricing bonds, stocks, currencies and their derivatives. The specification assumes a fundamental risk factor represented by a stochastic positive definite matrix following a Wishart autoregressive (WAR) process. By assuming a volatility-in-mean specification for the domestic stock returns and the relative changes of exchange rates, and a domestic stochastic discount factor exponential affine with respect to the fundamental risk, it is possible to derive closed form solutions for the term structures of interest rates and for the risk-neutral probabilities while keeping the flexibility of the model. In particular:

i) The domestic and foreign term structures are jointly affine and correspond to Wishart quadratic term structures, which can ensure the positivity of interest rates;

ii) In this framework where the stock price follows a model with stochastic volatility, we obtain explicit or quasi-explicit formulas for futures and forward contracts, swaps and options. This extends results by

Heston (1993)

and

Ball and Roma (1994)

.

The impact of industrial incidents on stock market volatility

We examine stock market volatility attributed to industrial incidents involving publicly traded US companies, with contributing factors identified as company violations and safety errors, equipment failure, human error and vandalism. Incidents identified as safety violations elicited the highest costs in terms of equity price reductions, but the volatility effects of these incidents tend to mitigate within two weeks. Incidents caused by vandalism experience the sharpest volatility increases, but reduce within two days. Volatility associated with incidents caused by equipment failure tends to persist for almost four weeks. Injuries cost publicly traded companies $14 million each while fatalities lead to equity market capitalisation reductions of between $465 and $720 million. These results shed light on the equity market's role as a driver for enhanced compliance with health and safety regulation and with industry good practice.     

传闻消息对我国上市公司股价影响的实证分析

本文通过有关我国上市公司的传闻消息对上市公司股价影响的实证分析,得出在消息公布日前2天以及后3天的时间段里,传闻消息对股价有正影响,从而给投机者带来了非正常收益,但是从长期来看,传闻消息不会给投资者带来任何非正常收益。另外,通过对各类传闻消息对股价影响的进一步分析,发现在诸类传闻消息中,主力类传闻对上市公司股价的影响最为显著,能给投机者带来很大的非正常收益。     

The impact of regulation FD on the information environment: evidence from the stock market response to stock split announcements

This paper examines the information environment effects of regulation fair disclosure (Reg FD). We investigate the stock market response to stock splits in the pre- and post-regulation periods. We find that abnormal returns around split announcement are positive in both periods, but the magnitude of the returns is smaller in the post-FD period relative to the pre-FD period. The difference between the pre- and post-FD period abnormal returns persists even after we control for factors that may affect split announcement returns. We also find that the magnitude of the association between announcement returns and the unexpected portion of the split factor has increased post-regulation. Our analysis of performance trends for split firms reveals that patterns of profitability and changes in profitability in the years around stock splits are similar in the pre- and post-FD periods. However, we find that announcement returns are associated with lagged profitability changes in the pre-FD period, but with future profitability changes in the post-FD period. Collectively, our results imply that Reg FD has reduced information asymmetry and improved price efficiency.     

The impact of the Japanese market on the intraday Hong Kong stock returns

This paper examines the impact of the price movement of the Japanese market on the Hong Kong market. We find that the Hong Kong stock prices react rapidly to the return information of the Japanese market. The evidence also indicates that the large price movement of the Japanese market can be used as an indicator for the Hong Kong market. The price reaction of the Hong Kong market is instantaneous and takes place in the opening minutes of the afternoon session. However, there is no excess profits when the transactions costs are included. Finally, the Hong Kong market has a significantly higher turnover when the Japanese market is open.     

The real impact of stock market mispricing — Evidence from Australia

Using a large panel of Australian firms, we investigate if mispricing in the stock market has an impact on firm-level investment. A significantly positive relation is documented between investment and the proxies for mispricing, suggesting that overpriced (underpriced) firms tend to overinvest (underinvest). Furthermore, we find that equity-dependent firms display a more pronounced sensitivity of investment to stock misvaluation than do nonequity-dependent firms. Taken together, our findings evidence that mispricing in Australian capital markets may have significant influence on the real economy, and the influence works though an equity-financing channel.     

Automation, speed, and stock market quality: The NYSE's Hybrid

Automation and trading speed are increasingly important aspects of competition among financial markets. Yet we know little about how changing a market's automation and speed affects the cost of immediacy and price discovery, two key dimensions of market quality. At the end of 2006 the New York Stock Exchange introduced its Hybrid Market, increasing automation and reducing the execution time for market orders from 10 seconds to less than one second. We find that the change raises the cost of immediacy (bid-ask spreads) because of increased adverse selection and reduces the noise in prices, making prices more efficient.     

Spectral analysis of stock market prices

The purpose of this article is to apply spectral analysis to six European Stock markets (Germany, France, Italy, The Netherlands, Belgium and the United Kingdom) and the New York Stock Exchange, over the period 1969–1976. For neither series do the estimates suggest deviations from randomness. However, a simple filter rule shows that substantial profits could have been made by a trader in the six European markets. This demonstrates that for testing market efficiency, spectral analysis is far from the best and the conclusion tends to support the hypothesis of ‘white-noise’ in imperfect markets. Cospectral analysis shows the lead and lag relations between the various stock markets under study.     

The short-run volatility of money stock targeting

The altered allocations of money market volatility obtained by alternative monetary policy procedures are illustrated by stochastic simulations of a staff monthly model. The results indicate the nature of the tradeoff between short-run volatility in the money stock and in the funds rate that is available to money stock targeting procedures.     

The impact of COVID-19 on the stock market crash risk in China

This study investigates the impact of the COVID-19 pandemic on the stock market crash risk in China. For this purpose, we first estimated the conditional skewness of the return distribution from a GARCH with skewness (GARCH-S) model as the proxy for the equity market crash risk of the Shanghai Stock Exchange. We then constructed a fear index for COVID-19 using data from the Baidu Index. Based on the findings, conditional skewness reacts negatively to daily growth in total confirmed cases, indicating that the pandemic increases stock market crash risk. Moreover, the fear sentiment exacerbates such risk, especially with regard to the impact of COVID-19. In other words, when the fear sentiment is high, the stock market crash risk is more strongly affected by the pandemic. Our evidence is robust for the number of daily deaths and global cases.