The effect of index futures trading on volatility: Three markets for Chinese stocks

This paper examines whether the introduction of Chinese stock index futures had an impact on the volatility of the underlying spot market. To this end, we estimate several Generalized Auto-regressive Conditional Heteroscedasticity (GARCH) models and compare our findings for mainland China with Chinese index futures traded in Singapore and Hong Kong. Our results indicate that Chinese index futures decrease spot market volatility in all three spot markets considered. In contrast, we do not obtain the same results for the companion index futures markets in Hong Kong and Singapore. China's stock market is relatively young and largely dominated by private retail investors. Nevertheless, our evidence is favorable to the stabilization hypothesis usually confirmed in mature markets.     

上海期货交易所期货价格有效性的实证检验

本文在风险溢价理论框架下,借助协整分析法对上海期货交易所铜、铝期货价格的有效性进行了规范的实证检验。结果显示:距最后交易日前7、14、28天的铝期货市场支持风险溢价假说,在风险溢价条件下具有长期效率;而距最后交易日前7、14天的铜期货市场亦在风险溢价条件下呈有效状态,当距最后交易日28天时,铜期货市场不支持风险溢价假说,但并不能就此得出此时的铜期货市场没有效率的结论。     

The futures premium and rice market efficiency in prewar Japan

This article studies the interrelation between spot and futures prices in the two major rice markets in prewar Japan from the perspective of market efficiency. Applying a non‐Bayesian time‐varying model approach to the fundamental equation for spot returns and the futures premium, we detect when efficiency reductions in the two major rice markets occurred. We also examine how government interventions affected the rice markets in Japan, which colonized Taiwan and Korea before the Second World War, and argue that the function of rice futures markets crucially depended on the differences in the structure of rice spot markets. Initially the increased volume of imported rice of a different variety from domestic rice disrupted the rice futures markets. Then, government intervention in the rice futures markets failed to improve the disruption. Changes in colonial rice cropping successfully mitigated the disruption, and colonial rice was promoted in order to unify the different varieties of inland and colonial rice.     

The integration of Eurodollar and U. S. money market interest rates in the futures market

Zusammenfassung Die Integration der Eurodollar-und US-Geldmarkts?tze auf dem Terminmarkt. —In diesem Aufsatz wird die Beziehung zwischen den Termins?tzen für Eurodollars, amerikanische Schatzwechsel und amerikanische verbriefte Termineinlagen untersucht. Dabei wird die Granger-Kausalit?t unter Verwendung der t?glichen Preis?nderungen für Kontrakte zum Juni, September und Dezember {dy1982} getestet. Im Ergebnis zeigt sich, da\ sich die Preise auf den Terminm?rkten für Eurodollars und für amerikanische Geldmarktinstrumente gleichzeitig anpassen, ganz im Gegensatz zum Kassamarkt. Dieses unterschiedliche Verhalten beider M?rkte kann durch institutionelle Hindernisse (z. B. Restriktionen bei der Zulassung von Banken und hinsichtlich der Kapitalstr?me), strukturelle Besonderheiten der M?rkte (Mindestbetr?ge für Transaktionen und die Marktmacht einiger Banken) und/oder Transaktionskosten erkl?rt werden. Die Bildung von Terminm?rkten in den Vereinigten Staaten und in Gro\britannien k?nnte dazu beitragen, die Zahl der Marktteilnehmer auf den internationalen Geldm?rkten zu vergr?\ern und bisher bestehende Marktunvollkommenheiten zu verringern.

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Résumé L’intégration des taux d’intérêt du marché monétaire des E.U. et d’Eurodollar sur les marchés à terme. —Cet article analyse la relation entre les opérations à terme d’Eurodollar, des bons du Trésor des E.U. et des certificats de dép?t sur des contrats à terme des banques locales des E.U. Les auteurs appliquent les procédures de causalité de Granger et utilisent les données sur les changements des prix quotidiens pour les opérations en Juin, Septembre et Décembre 1982. Ils conclurent que les prix des opérations à terme d’Eurodollar et d’instrument financier du marché monétaire des E.U. changent simultanément. Sur le marché au comptant, cependant, il y a une évidence répétée que des ajustements de prix ne sont pas simultanés. La conduite dissimilaire sur les deux marchés peut être expliquée par la présence des barrières institutionelles (par exemple des restrictions sur l’entrée des banques et sur les flux des capitaux), par des caractéristiques de la structure de marché (le volume minimum des transactions et le pouvoir de marché de quelques banques), et/ou des frais de transaction. L’établissement des marchés à terme dans les E.U. aussi bien que dans le R.U. peut contribuer à augmenter le nombre des participants sur les marchés monétaires internationaux et peut reduire des imperfections quelconques qui peut-être avaient existé dans le passé.

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Resumen Integración de las tasas de interés de los mercados eurodólar y monetario de los EEUU a los mercados de futuro. —En este artículo se analiza la relación entre los contratos a futuro del eurodólar, valores del Tesoro de los EEUU y los C.D. de la banca doméstica norteamericana. Se utilizan los procedimientos de causalidad de Granger y los datos son los cambios diarios de precios para los contratos de junio, septiembre y diciembre de 1982. Este articulo concluye que la relación de los cambios de precios de los instrumentos financieros de contratos a futuro entre el eurodólar y el mercado monetario de los EEUU es contemporánea. En los mercados en efectivo, sin embargo, hay evidencia repetida que se producen ajustes de precios no-contemporáneos. El comportamiento disímil de ambos mercados se puede explicar por la presencia de barreras institucionales (p.ej. restricciones en la entrada de bancos y flujos de capitales), caracteres estructurales de mercado (tama?o mínimo de las transacciones y poder de mercado de algunos bancos), y/o costos de transacción. El establecimiento de mercados de futuro tanto en EEUU como en el Reino Unido podría servir para incrementar el número de participantes en los mercados monetarios internacionales y puede conducir a una reducción de cualquier imperfección de mercado que pueda haber existido en el pasado.

     

Dynamic price discovery in Chinese agricultural futures markets

Research has not fully explored how Chinese agricultural futures markets perform their price discovery function over time. Our paper examines the role of Chinese agricultural futures markets in the price discovery process based on three well-established measurements of average price discovery contribution, and more importantly, the dynamic price discovery measurement. Using daily futures and spot prices from fourteen agricultural commodities, we find eleven contracts are efficient in price discovery. Besides, market-oriented changes in policies strengthen the price discovery performance of most futures markets, except for commodities that rely heavily on imports from other countries. Our results also suggest that trading activity is particularly important in determining whether thinly traded contracts are efficient in price discovery. Our paper provides a comprehensive judgment involving both average and dynamic price discovery contribution measurements on assessing the efficiency of Chinese agricultural futures markets. Our results might also serve as a reminder that market-oriented reforms in the spot markets of commodities might be useful to intensify the pricing power of the futures markets.     

休闲餐饮业的现状分析及营销对策

我国期货市场在试点过程中 ,暴露出一些问题 ,但不能由此推断期货市场不适应中国。当前 ,我国期货市场发展的必备条件已基本成熟。我们要积极培育期货市场主体 ,发展期权交易 ,加强期货交易的法规建设和期货市场的有效化、规范化管理     

The trading behavior and price impact of foreign, institutional, individual investors and government: Evidence from Korean equity market

We examine the dynamic relation between stock returns and four types of investment flows using Korean daily data for the period 1998–2010, focusing on the investment/trading behavior of four types of investors – individual, institutional, government, and foreign – and the effect of cross-border investment flows on the Korean equity market. We find that, first, foreigners and institutional investors tend to drive the Korean equity market, and their trades seem to be information-driven, whereas individual investors do not drive the Korean equity market and their trades do not seem to be information-driven. Second, as a result, both foreigners and institutional investors performed well in the sample period, whereas individual investors performed poorly. Third, the four types of investors differ in their trading behavior. In response to U.S. market returns, foreigners and institutional investors tend to take a momentum strategy whereas individual investors and government tend to take a contrarian strategy.     

原油期货牵动市场神经

一个成功期货市场背后一定有一套成功的法律及市场监控体系,二者的发展是相辅相成的国际原油价格扶摇直上,近期,更是逼近了每桶80美元的天价。原油价格牵动着世界经济的每一根神经,对相关产业影响巨大。目前,我国还没有推出原油期货品种,在石油定价上缺     

A Hedonic price index for the Dutch car market

Summary A hedonic, or constant-quality, price index is constructed for the Dutch car market over the period 1950–72. Quality changes are evaluated by relating car prices to various characteristics in two cross-section analyses, and both the choice of variables - horsepower and weight - and the form of the relation confirm Griliches' analysis of American data. A price index is then constructed by linking a series of year-to-year indices, and it is found that relative car prices have been reduced by about half over the twenty-two year period. Both in the cross-section study and in the price index the analysis is confined to a limited number of car models with major shares of the market.We gratefully acknowledge the help ofR.A.I. andMinisterie van Financieën in providing the data, and ofF. den Butter, J. Broekhuis andMiss J. Meijering in the preparation of this report.     

试论市场价格基因理论

市场价格基因理论的基本观点1：任一商品的价格（表示为P），都是由它的所有基因（假设为N个）同步作用的结果，所谓基因，是指在商品价格的形式或者变化过程中起作用的市场因素（或者因素），表示为R，任一基因R对价格P的作用程度，定义为基因权值，表示为Rx，由X个基因组成的基因组（表示为M）对价格的作用程度，定义为市场以值，表示为Mx，后有基因的作用总和，构成了决定价格的全部力量，商品的价格可以分为市场价格和理论价格两大类，本文的市场价格是指在商品交换过程中真实地存在或存在过的价格（包括了平均价格，计划价格等），进行以上定义和界定的目的在于：（1）企图彻底的揭示价格现象与其基因的数理关系，得到一种新型的商品价格范式－基因范式，（2）通过对基因范式进行动态的具体数学分析，然后向现有的经济理论和经济现实延伸和回归，企图形成和得到一个完整的基因理论体系。     

产权,市场交易的基础——关于产权的理论综述

随着经济实践的发展变化,在经济学理论中,对“产权”的理解也在不断地深化。在不存在交换或者交易费用为零的世界里,产权的存在毫无作用,当然也没有分析产权的必要。当在市场中进行着商品和劳务的交易时,附着在这些有形物品上的产权也就同时被交换了。研究这些产权的出现、交换等所提出的问题,成为产权经济学的一个重要内容。一、产权的起源对于产权的出现,一般从以下3方面来理解:第一,人类社会最初出现的产权;第二,当有了新的财产关系出现时,需要建立新的产权制度;第三,旧的产权关系不适应经济发展需要时,被新的产权所替代或者改变。对于人…     

中国证券市场分割的VAR模型检验

中国证券市场作为我国经济体制改革探索时期建立并迅速成长的新兴产物,以其特有的复杂股权结构、市场结构和投资者结构,形成了A、B、H股等多个子市场并存的市场分割体制。由于证券市场分割直接影响到中国资本市场的长期可持续发展,对这一问题的研究将为未来我国资本市场战略管     

The effect of oil price on China's exports

The increase in oil prices in recent years has occurred concurrently with a rapid expansion of Chinese exports in the world markets, despite China being an oil importing country. In this paper we develop a theoretical model that explains the positive correlation between Chinese exports and the oil price. The model shows that Chinese growth can lead to an increase in oil prices that has a stronger impact on its export competitors. This is due to the large labor force surplus of China. We then examine this hypothesis by estimating a reduced form equation for Chinese exports using Rodrik [Rodrik, Dani, 2006. What's so special about China's exports? China and World Economy 14, 1–19.]'s measure of export competitiveness, together with the oil price, productivity, real exchange rate, and foreign industrial production over the monthly 1992–2005 period. The results suggest a stable relationship and yields slightly positive values for the price of oil and elastic coefficients for export competitiveness, along with the expected negative elasticity for the real exchange rate.     

试论社会主义市场经济条件下交易关系的道德支撑

1.交易--市场经济运行的基本单位 市场表示交易关系的集结,当市场把所有的个体经济连接在一起时便获得了经济的意义.故经济学把市场定义为:市场是商品交易关系的总和.在市场里通过交易关系把所有的个体经济连接在一起而形成的市场经济,自然以交易关系为最显著的特征.在市场经济条件下,人们的生产离不开交易,商品的流通离不开交易,信息流通离不开交易,技术的流通离不开交易,交易是市场经济的核心.在经济活动中,人们想通过交易的途径互通有无,相互获取各自的经济利益,实现经济良性循环.     

Inflation and relative price variability: Evidence for India

This study decomposes relative price variability into a component due to inflation and a component due to real factors. The empirical results for India suggest that real factors account for 55% and inflation accounts for 45% of the variability in relative price changes. The proportion of inflation induced relative price variability increases with the rise in inflation, implying that inflation has distortionary effects on the structure of relative prices. Further, larger part of variability in the relative price changes seems to have been generated by fluctuations in the relative prices of a few commodities. The sector wise analysis shows that the major share of total relative price variability is contributed by fluctuations in the prices of manufactured products. The more crucial inference that emerges from the empirical analysis is that the inflation rate at which variability of relative price changes is minimum is found to be 4.5%, which is consistent with the official threshold rate often claimed by the Reserve Bank of India.     

Daily price adjustments in the U.S. market for natural gas

A daily model of cash market for natural gas in the U.S. is presented and estimated over 1997. The model develops the notion that the expected rather than the actual amount of gas in storage (along with weather) and storage changes impact the current daily cash price. These notions are supported by the estimations presented. At the daily observation level, reported changes in storage levels are signals that actual consumption or production are either as expected and result in no price pressure or are not as expected and do result in price pressures.     

上市公司财务状况与其股票二级市场价格演变的关系

公司的财务状况是影响股价走势的重要内因之一 ,它由盈利能力、偿债能力和资金营运能力三个基本部分组成。本文根据实际情况 ,选择反映盈利能力和偿债能力的部分财务指标 ,分析研究其与股票二级市场价格演变的关系 ,以此为投资者的投资决策提供一些建议和帮助。     

Measuring price inflation in the physician sector of the health care market

Summary The purpose of this study was to indicate the need for the development of an adequate measure of the inflation in prices of medical care services. Although the CPI provides a medical care component, the index has a number of serious shortcomings. These shortcomings hinder its usefulness for policy purposes. The main thrust of this analysis was to suggest an alternative measure of prices of medical care services. This suggested hedonic approach will produce a more realistic measure of medical care prices for policy purposes.