The role of liquidity in futures market innovations

I characterize the optimal design of a new futures market (aninnovation) by an exchange in the presence of market frictions.Futures markets are characterized by both the contract and thelevel of trader participation; both can be determined by anexchange. A game in which exchanges simultaneously design marketsis considered, and a particular equilibrium (not necessarilyunique) is constructed. A game in which exchanges sequentiallydesign markets (and incur design costs) is also considered andthe (generically unique) equilibrium is constructed. The natureof equilibrium with multiple exchanges is discussed in thesesimultaneous and sequential settings, illustrating the roleplayedby liquidity considerations both in market design and in thenature of competition between exchanges.     

The profitability of regression-based trading rules for the Shanghai stock market

This paper uses daily Shanghai A share data to evaluate the profitability of trading rules based on the predictability found in the return series. We find that the value of the trading-rule-based portfolio at the end of our sample is between 2 and 11 times that of an equity-buy-and-hold portfolio. We assess the robustness of the results in various ways: by carrying out various statistical tests, by varying the period over which the evaluation is carried out, by using a recursive estimation procedure for the forecasting equation, by incorporating transactions costs, and by considering weekly and monthly data.     

The new new financial thing: The origins of financial innovations

The origins of financial innovations have attracted little empirical scrutiny. Using Wall Street Journal articles as an indicator, this paper examines which institutions were the key financial innovators between 1990 and 2002. The evidence suggests that smaller firms account for a disproportionate share of the innovations. Less profitable firms innovate more, though in the years subsequent to the introduction of the innovation, the profitability of the innovators increases significantly. Finally, older, less leveraged firms located in regions with more financial innovations innovate more. While several of the determinants of patenting are similar, small and unprofitable firms do not patent disproportionately.     

The market speed of adjustment to new information

A definition of market adjustment is proposed in terms of the time it takes market attributes to reflect new information. Properties of the proposed definition are discussed. In order to operationalize the concept, a statistical method is introduced to estimate the adjustment times. Empirical examples are used to illustrate the proposed method. Some possible economic interpretations are given. The properties of the estimator are also investigated by simulation and analytical methods.     

期待中国版“国民收入倍增计划”

社会各界关注的收入分配调整问题，目前已完成了政策拟定过程，开始进入到政策审议的阶段。据中央政策研究室副主任郑新立透露，由国家发改委就业和收入分配司撰写的调整国民收入分配的意见，已经提交到国务院审议。     

Exchange trading rules and stock market liquidity

We examine stock exchange trading rules for market manipulation, insider trading, and broker–agency conflict, across countries and over time, in 42 stock exchanges around the world. Some stock exchanges have extremely detailed rules that explicitly prohibit specific manipulative practices, but others use less precise and broadly framed rules. We create new indices for market manipulation, insider trading, and broker–agency conflict based on the specific provisions in the trading rules of each stock exchange. We show that differences in exchange trading rules, over time and across markets, significantly affect liquidity.     

Inflation,tax rules and the stock market

This paper shows how the interaction of tax rules and expected inflation can decrease substantially the share price per dollar of pretax earnings. The current analysis extends my earlier study [Feldstein (1978)] by recognizing corporate debt, retained earnings, and the role of diverse shareholder investments. As before, the analysis separates household and institutional investors.     

我国银行问债券市场进一步创新的路径探讨

近年来我国银行间债券市场发展成效显著,其中,在防范风险前提下对创新的鼓励为市场发展提供了重要动力。该文从宏观和微观两个层面归纳了我国银行间债券市场的创新原则,并从基础产品创新、金融衍生品创新、做市商及其配套制度创新、发行与结算方式创新等多个角度提出银行间债券市场进一步创新的潜在方向。     

Diffusion of off-balance-sheet financial innovations: Information complementarity and market competition

By studying the Hong Kong banking industry, the objective of this study is to examine the role of information complementarity and market competition in governing the diffusion of off-balance-sheet (OBS) financial innovations. Specifically, two OBS financial innovations are information complementary if the adoption of one lowers the uncertainty of adopting another. In addition, market competition may speed up the diffusion of OBS financial innovations because competitive firms are able to capture the full profit potential from successful innovations. A simultaneous equation model is devised to estimate the impacts of information complementarity, market competition, and a number of other factors on the diffusion of OBS financial innovations. Results of estimation suggest that information complementarity and market competition are the primary driving forces behind the diffusion process.     

Educational interventions for teaching the new auditor independence rules

The Sarbanes-Oxley Act of 2002 brought sweeping changes to the accounting profession. One important mandate was for the US Securities and Exchange Commission (SEC) to strengthen the rules of auditor independence. To meet its legal responsibility, the SEC issued Final Rule No. 68 [United States Securities and Exchange Commission (USSEC) (2003). Final Rule 68: Strengthening the commission’s requirements regarding auditor independence. Washington, DC: Government Printing Office [Issue Date: January 28, 2003 (www.sec.gov/rules/final/33-8183.htm and Retrieval Date: January 25, 2004)]], thereby adopting new independence rules for auditors of public companies.     

开拓创新 迎接企业网银新时代

伴随国内企业财资管理的电子化、集中化,各商业银行纷纷加大了对网上银行和现金管理市场的关注度和投入力度,该领域内的竞争渐呈火热态势。招商银行是较早认识到品牌对于金融服务的重要性的国内商业银行之一。在公司银行业务领域,招商银行于2003年推出了“点金公司金融”品牌体系,并提出了“善用金融,进步有道”的和谐金融服务理念。     

莱切框架“撑”起监管体系

6月13日，为期两天的G8财长会议在意大利南部古城莱切闭幕。会议公报显示，G8财长一致同意创建“莱切框架”（Lecce Framework），以完善全球市场体系，发现并填补了监管漏洞。     

新框架、新规则、新发展

作为同业拆借交易的主要交易平台提供者,全国银行间同业拆借中心肩负着执行《同业拆借管理办法》、服务交易成员的重要职责。《管理办法》颁布后,同业拆借中心根据该办法对同业拆借市场的政策调整,结合市场现行需要并考虑到今后的发展空间,及时完善了信用拆借交易系统的相应功能,起草并发布了《同业拆借交易操作规则》,积极推进落实《管理办法》关于准入管理、交易清算、期限管理、限额管理、透明度管理等各方面的规定。     

The market for new issues of municipal bonds: The roles of transparency and limited access to retail investors

I examine how transparency and interdealer trading affects prices investors pay in municipal bond offerings. Real-time trade reporting for municipal bonds started January 31, 2005. The dispersion of purchase prices fell sharply at that time. There was little impact on average markups for most trades, but they increased for purchases of more than $100,000. Bonds often pass through a series of dealers before being placed with a buy-and-hold investor. As the interdealer trades progress, trade sizes decline and trade prices rise. Markups on investor purchases increase with the amount of interdealer trading before the trade.     

The implications of the new capital adequacy rules for portfolio management of credit assets

Over the past several years, there has been an extensive discussion among practitioners and academics about whether and how a portfolio management approach could help banks to better manage risk capital and create shareholder value. In this article, the authors argue that there are four key drivers which require banks to move from a transactional to a more portfolio management like approach when managing credit assets. These are: structural changes in the credit markets, inefficiencies of risk transfer in lending markets, ballooning debt levels in the US, and the proposed changes for capital adequacy. The authors see the latter not as a one-time change in capital adequacy rules, but more as a first step towards full convergence between risk capital and regulatory capital for credit risk. These changes require banks to accelerate their efforts to build first class portfolio management skills and capabilities. Achieving best practice credit portfolio management is rewarded with attractive opportunities for shareholder value creation and enables bank to successfully compete going forward.     

初探公司债券市场发展的新契机

股权分置改革完成后,我国的资本市场得到极大的发展。公司债券’市场也面临着全新的发展环境,2007年中国证监会正式发布《实施公司债券发行试点办法》。本文基于新的经济发展形势,探讨公司债券市场发展的必要性、可行性,进而提出发展公司债券市场的建议。     

The effect of the new risk-based capital requirements on the market for swaps

The new risk-based capital requirements for banks cover swap agreements as well as the normal on-balancesheet items. The capital calculation is based on a fixed small percentage plus the current market value of the swap, if it is positive. Using option valuation methodology, anticipated capital requirements over the life of a swap are calculated. These requirements are compared to cushions that banks might want to hold against the risks of above average loss rates. For interest rate swaps, the cost of the capital requirements is small, amounting to about 1 bp/year on a swap; in a matched pair, this would amount to 2 bp in the bid-offer spread. On currency swaps, the cost of the capital requirements appears to be much more substantial, closer to 4 bp per year on a swap. In a matched pair, the excess of the capital requirements over desired cushion could amount to 7 bp in the bid offer spread.     

Sharing rules and equilibrium in an international capital market under uncertainty

International capital market equilibrium is characterized for a world economy in which consumption preferences are defined multiplicatively over many commodities. It is shown that the set of relative asset prices under pure exchange in international capital markets depends on the real purchasing power of nominal payoffs under uncertainty and does not depend on the currency in which the nominal payoffs are denominated. A Sharpe-Lintner type international capital asset pricing model is derived as a special case. Proportional ad valorem commodity taxes and transportation costs are incorporated in the valuation model, interest rate parity and purchasing power parity are reinterpreted under uncertainty, and international differences in borrowing and lending are shown to reflect, in part, differences in risk aversion across countries.