CHANGE IN VOLATILITY REGIMES AND DIVERSIFICATION IN EMERGING STOCK MARKETS

A multivariate Markov-switching ARCH (MVSWARCH) model in which variance/correlations for stock returns is controlled by a state-varying mechanism is introduced and used to design a state-varying US-EM (emerging market) portfolio establishment strategy. Additionally, a conventional random-variance framework, the MVGARCH (multivariate GARCH) model, in which a time-varying technique is involved is employed and subjected to comparative analysis. The empirical results are consistent with the following notions: First, as being consistent with a study conducted by Ramchand and Susmel , the US-EM market correlations are higher when the US market is more volatile. However, this study further indicates that the US-EM market correlations increase relatively more when both the US and EM markets simultaneously experience a high variance condition. Moreover, the situation of both the US and EM stock markets at a high volatility state is associated with a minimum risk reduction benefit and a maximum cross-market correlation. Second, the state-varying portfolio loadings established by the MVSWARCH model could effectively enhance asset allocation effectiveness; however, this benefit arises more as a result of risk reduction than an increase in mean returns.     

2002年沪深股市前景展望

一、基本面分析 1.2002年有利因素分析 (1) 由于中国广大的市场容量,以及实行改革开放的正确政策,特别是在WTO的推动下,中国经济将继续保持7％左右的增长速度,为股市稳定奠定了坚实的基础。 (2) 2001年末召开的中央经济工作会议强调以坚持扩大内需为主,继续实施积极的财政政策和稳健的货币政策,使得今后几年的经济增长有保障,而且也将使内资企业迎来大的发展机遇。 (3) 随着中国加入WTO,证券市场正与国     

2001年沪深股市行情回顾

一、2001年市场行情分析 2001年年初沪深股市在冲高缺乏新动力的情况下主动向下调整,春节后在1900点左右的颈线位逐步企稳。2月下旬B股向国内投资者开放后两市展开飙升行情,沪B指由开放前的80点涨至6月初的240点;B股的强劲行情给A股注入新的动力,两市大盘持续上涨直到4月中旬,沪指达到2180点,深成指达到5090点。     

BUDGETARY POLICIES, FOREIGN INDEBTEDNESS, THE STOCK MARKET, AND ECONOMIC GROWTH

This paper analyses a small open economy with overlapping generations,endogenous growth, and a risk premium on foreign debt. A balanced-budgetincrease in public consumption or a rise in government debtraises the ratio of foreign debt to domestic income and theinterest rate, but depresses economic growth. Supply-side policiesaimed at internalising production externalities boost foreignindebtedness, the interest rate, and economic growth. A higherglobal interest rate leads, if initial foreign indebtednessis not too large, to a lower foreign debt and, if a countryis dragged down by large levels of foreign debt, lower economicgrowth.     

STOCK MARKET VALUATIONS OF R&D AND ELECTRONICS FIRMS DURING TAIWAN'S RECENT ECONOMIC TRANSITION

The objective of the present study is to investigate the market valuation of Research and Development (R&D) investments in the Taiwanese stock market from July 1988 to June 2002. The motivation stems from Taiwan's recent economic transition from a labor‐intensive, then to a capital‐intensive, and currently to a technology‐based economy. The results support not only the existence, but also the persistence of R&D‐associated mispricing. More importantly, it has become stronger as the electronics industry gradually dominates the economy. First, R&D‐intensive stocks tend to outperform stocks with little or no R&D. Second, the R&D‐intensity effect cannot fully be attributed to firm size. Third, the R&D‐intensity effect is more pronounced for firms in the electronics industry after 1996.     

合肥技术产权交易所

合肥技术产权交易所是经合肥市人民政府批准依法设立的股份制企业．以促进合肥高新技术成果商品化产业化为己任．是“技术与资本专业化对接．高科技产业资源配置”的场所渠道和纽带。     

2015年你又“入市”了？

周围的朋友最近都很开心,股票赚钱了。A君投入金额较大,据说赚了几百万。B君以百万入市,年前年后几个月赚了60多万,以技术专家自称的B君准备辞去让人羡慕的工作,专事炒股,目标是通过股市赚的钱在近郊买一幢别墅,这举动把B君妻吓得半死。我抽空上网看了一眼手中休眠、抱定长期投资的股票,不理不问几个月,涨幅居然超过50％。难道说全民畅享股市红利的时代来临了？