Looking for a safe haven against American stocks during COVID-19 pandemic

This article aims to find the best safe-haven for stock investors in the American market since the COVID-19 pandemic outbreak. The research period covers March 2020–May 2022. Among the possible alternatives, we analyse the traditional ones: US bonds, gold, and silver, as well as the new ones: stable DeFi and CeFi coins, and most popular cryptocurrencies: Bitcoin and Ether. We study quantile coherency between S&P 500 and each asset and the respective conditional correlation. We show that the safe-haven properties of the assets varied over time and that centralized stablecoins could have been used as safe-haven against American stocks during the pandemics.     

Determining hedges and safe havens for stocks using interval analysis

We examine whether hedging and safe haven assets exist against stocks when market high and low prices evaluate asset prices. Using interval-based estimations, this paper finds that 10-year government bonds, the U.S. dollar, and gold served as weak hedging and/or safe haven assets for the stock market losses over the 2002–2019 period. We also provide evidence of the USD’s and gold’s hedging ability against the stock market volatility and of volatility transmission between assets, and highlight the importance of considering volatility.     

FINANCIAL REGULATION,THE STATE AND THE MARKET: IS THE FINANCIAL SERVICES AUTHORITY AN UNNECESSARY EVIL?

The most successful stock exchanges developed without detailed regulation by the state. This article examines the role of the FSA in regulating stock market activity and finds that the justification for a statutory regulator is very weak. Indeed, one of the functions of a stock exchange is the development of a safe (private) regulatory environment for those using the exchange. Stock exchanges should be allowed to compete on the basis of the regulatory services they provide as it is only through a process of competition that regulation can be improved.     

中小企业板市场效率实证研究

以2005至2007年中小企业板样本为游程检验对象,对中小企业板运用游程检验、因子分析和聚类分析等统计学和计量学方法进行分析。研究结果表明,中小企业板股市已经达到弱势有效,但是同时存在市场反常行为。     

The migration response to local labour market shocks: Evidence from EU regions during the global economic crisis

The global economic crisis has strongly affected Europe's economic geography. This study investigates the role of local labour market disparities in determining regional net in‐migration rates. While only a weak link is detected in the precrisis period, the local labour market context of migration grows significantly stronger during the crisis. Decompositions of the estimation results show that changes in migration rates are firstly a result of widened disparities across European regions throughout the crisis. However, also behavioural adjustment processes occur, e.g. an orientation of migrants towards urban areas and away from regions with persistently high long‐run unemployment rates.     

Dependence structures between Chinese stock markets and the international financial market: Evidence from a wavelet-based quantile regression approach

In this study, we investigate the dependence structures between six Chinese stock markets and the international financial market including possible safe haven assets and global economic factors under different market conditions and investment horizons. The research is conducted by combining a quantile regression approach with a wavelet decomposition analysis. Although we find little or insignificant dependence under short investment horizons, we detect the strong asymmetric dependence of oil prices and the US dollar index on the six Chinese stock markets in the medium and long terms. Moreover, not only is crude oil not a safe haven, it may damage Chinese stock markets as it increases over the long term, even in bull markets. Meanwhile, appreciation of the US dollar (depreciation of RMB) damages (boosts) Chinese stock markets during bull (bear) market conditions under long investment horizons. Moreover, we find that VIX (volatility index)-related derivatives may serve as good risk management tools under any market condition, while gold is a safe haven asset only during crisis periods.     

社会信用体系的缺失及对策

市场经济的本质是信用经济,健全的社会信用体系是现代市场经济的重要基础制度之一。信用观念的淡薄以及信用法律、法规的不健全,严重制约了我国市场经济的健康发展。构建适应社会主义市场经济的信用体系,已成为当前我国经济生活中一项亟待解决的问题。     

模具市场结构及企业间组织模式

基于对国内外模具市场和我国过去模具企业体制问题的分析,探讨了模具企业间及模具企业与其上下游企业之间组织模式的选择问题。为适应快速开发新产品的市场需要,鉴于模具企业规模小、研发能力弱的特点,提出我国的模具企业应该建立的横向联盟。本文从逆向选择和模具产品的特性两个角度分析了模具行业的长期纵向联盟成因。     

Modeling common volatility characteristics and dynamic risk premia in European equity markets

The paper applies a Factor-GARCH model to evaluate the impact of the market portfolio, as a single common dynamic risk factor, on conditional volatility and risk premia for the returns on size-based equity portfolios of three major European markets; France, Germany and the United Kingdom. The results show that for the size-based portfolios the factor loading for the dynamic market factor is significant and positive but the association between the risk premia and the conditional market volatility is weak. However, the dynamic market factor is shown to explain common characteristics in the conditional variance such as asymmetry and persistence. This finding is consistent across markets and portfolio sizes.     

弱周期性行业盈利稳定性和企业成长性的实证分析——基于医药和食品行业的数据研究

受金融危机影响,世界经济仍在谷底徘徊。弱经济形势下的投资成为一个有讨论价值的问题。国外成熟市场普遍观点认为,相比强周期性行业,弱周期性行业需求弹性小,盈利稳定,发展缓慢,在经济衰弱期应该多投资弱周期性行业。但是这个观点在我国非成熟市场是否成立仍需要数据分析与支持。本文以典型的弱周期性行业食品和医药行业为例,以强周期行业的化工行业进行实证对比分析,选取了2005—2012年三个行业上市公司的财务数据作为样本,就盈利稳定性和企业发展性进行对比分析。对于盈利稳定性,作者认为稳定的现金流、每股收益和权益回报率对于企业盈利稳定性的作用至关重要,还利用标准离差率来体现企业数据的波动程度,建立了相应的评价体系;对于企业成长性,利用资产周转率、销售毛利率等比例,在前人研究的基础上进行了评价模型改进,对各行业企业进行打分,最后得出与成熟市场不同的结论：与强周期性行业相比,食品行业并没有较强的盈利稳定性,医药行业也不是发展缓慢,竞表现出较强的企业成长性。对于研究结果的原因分析,作者认为在我国食品安全问题是食品行业盈利稳定性较差的根本原因,而我国医药行业成长性较强是受基本国情、政府支持和投入等因素的影响。     

金融期货市场风险管理研究

风险并不等于危险。金融期货市场充满了风险,但金融期货市场又可以是安全的。关键在于我们能否将风险控制住、管理好。风险性与安全性的统一,是现代规范化金融期货市场的特性,同时也是金融期货市场发挥其特有功能的基础和保障。     

THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE

Abstract This paper provides a systematic review of the weak‐form market efficiency literature that examines return predictability from past price changes, with an exclusive focus on the stock markets. Our survey shows that the bulk of the empirical studies examine whether the stock market under study is or is not weak‐form efficient in the absolute sense, assuming that the level of market efficiency remains unchanged throughout the estimation period. However, the possibility of time‐varying weak‐form market efficiency has received increasing attention in recent years. We categorize these emerging studies based on the research framework adopted, namely non‐overlapping sub‐period analysis, time‐varying parameter model and rolling estimation window. An encouraging development is that the documented empirical evidence of evolving stock return predictability can be rationalized within the framework of the adaptive markets hypothesis.     

基于安全投资转移视角的风险相关性研究

投资者根据市场状态变化进行安全投资转移,引起资产间的资金流动和风险相关性变化。利用Markov状态转移模型识别市场状态,订单流差异衡量安全投资转移,基于CAPM的标准化协方差矩阵衡量风险相关性。研究发现:我国股市存在熊市、横盘和牛市三种状态,横盘状态下安全投资转移水平急剧提升。在时间维度上,横盘状态下安全投资转移对行业间风险相关性的影响最大;在截面维度上,同一状态下安全投资转移对安全型行业-风险型行业所组成行业对的风险相关性影响程度最大。结果表明,安全投资转移引起行业间风险相关性负向变化,使得行业间风险相关性减少。投资者同时配置受安全投资转移显著影响的安全型和风险型资产,可以降低投资组合系统性风险。     

Disclosure, Corporate Governance and Foreign Share Ownership on the Zimbabwe Stock Exchange

We investigate the association of foreign share ownership with firm‐level disclosure and corporate governance structures in Zimbabwe, a developing country in Southern Africa. Our motivation for the study derives from the literature, which suggests that foreign investors: (1) generally have a preference for companies in which they are well informed and where their investments are more likely to be protected, and (2) avoid companies in developing countries because of weak corporate governance structures and low disclosure. Using data drawn from companies listed on the Zimbabwe Stock Exchange, we examine the effect of disclosure and corporate governance on foreign share ownership. We find that disclosure, proportion of non‐executive directors, institutional share ownership and audit committee independence are all positively and significantly associated with foreign share ownership. Our results also demonstrate that market capitalization, return on equity and liquidity ratios are significantly associated with foreign share ownership. These results are consistent with the notion that foreign investors have a preference for companies with effective corporate governance structures, companies with less information asymmetry, as well as companies with healthy cash positions. The results have implications for policy‐makers in developing countries in their endeavour to improve liquidity on stock markets through the participation of foreign investors. The results are also useful to managers in developing countries who are keen to increase the market value of their company, thereby reducing their cost of capital.     

我国主要城市房地产发展潜力评价

综合考虑宏观经济、人口、房地产市场等相关因素,利用因子分析法,评价分析主要城市群内187个地级以上城市的房地产发展潜力。结果表明,发展潜力前30名,以直辖市、中东部省会城市及沿海发达城市等一二线城市为主。三线城市中东营、淄博、日照、盘锦、扬州等城市,经济支撑强,房地产市场较为活跃,供给相对不足,房地产市场发展潜力相对较大。有些城市如营口、贵阳、铁岭、北海、邯郸、保定等,房地产供给严重过剩,经济支撑能力又较弱,房地产市场风险较大。中央政府不应再采取“一刀切”的房地产调控政策,应根据城市实际情况分类调控。     

Customer perception and competitive quality strategy

The objective of this paper is to determine the optimum level of quality a firm should choose in a product/service, given the customers‘ perceptions of quality and the reference standard in a competitive market. Our work on this quality selection problem differs from those of past researchers in that we model explicitly customer's perceptions and the reference standard. We develop a game-theoretic model to obtain insights into the firms’ quality selection problem. The model results suggest that the market differentially provides rewards or penalties to firms depending upon customers' perceptions as well as other market and product-specific parameters. We contrast our findings for an oligopolist with that for a monopolist and observe that although an oligopolist often provides a better quality product, he does not do so always; especially when perceptions are sufficiently weak and the reference standard is endogenous.     

A note on the foreign exchange market efficiency hypothesis

This paper examines the weak and strong forms of the foreign exchange market efficiency hypothesis (MEH) (as defined in the paper) using the recently available Harris-Inder null of cointegration procedure, which is powerful enough to distinguish between cointegration and near cointegration, and thus provide more robust results than conventional cointegration tests. Our results indicate that both forms of the MEH are rejected for all the major currencies of the European Economic Community (EEC). (JEL F310).     

Helping hand or grabbing hand?: Politicians, supervision regime, financial structure and market view

Almost all the literature on the evolution of the financial supervision architecture stresses the importance of financial market characteristics in determining the recent trend toward more unification. But in the real world it is not always clear to what extent market features matter. We present two complementary approaches to gain insights in the above relationship, focusing on the political cost and benefit analysis. First, a cross-country study tests two alternative theories—the helping hand and the grabbing hand view of government—to determine the impact of the market structure on the supervisory setting. Our evidence seems more consistent with the grabbing hand view, considering the degree of banking concentration a proxy of the capture risk and presuming the market demonstrates a preference for consolidation of supervisory powers. Second, the results of a survey among financial CEOs in Italy confirm a market preference for a more consolidated supervisory regime but reveal only weak consistency between the views of the policymakers and those of the market operators.     

Competition,Outside Directors and Executive Turnover: Implications for Corporate Governance in the EU

This study examines the relevance of non‐executive outside directors with multiple directorships for corporate governance building on a large panel of European listed firms in the period 2003 to 2011. Focusing on executive turnover as an indicator for effective monitoring, the findings reveal that multiple directorships and product market competition are substitutes. Outsiders increase executive turnover in underperforming firms exclusively if competition in the industry is weak. In environments with effective competition, outsiders do not significantly influence the decision to replace underperforming managers. In fiercely competitive industries, the market pressure seems to effectively limit managerial discretion for opportunistic behavior. Copyright © 2016 John Wiley & Sons, Ltd.     

Commonality in liquidity among Middle East and North Africa emerging stock markets: Does it really matter?

This study investigates commonality in daily liquidity among 11 emerging stock markets from the Middle East and North Africa from January 2005 to June 2017. First, we test long memory in liquidity in these markets. Second, we select a number of factors eligible to affect liquidity commonality among local, regional and global factors. We find that regional and US factors do not explain liquidity variations in all the markets that exhibit low sensitivity to external factors. Our results are robust to the use of alternative proxies. The analysis in sub-periods confirms our results showing that most markets are not very sensitive to fluctuations and external shocks of liquidity. For international investors, stock markets in the Middle East and North Africa present an opportunity for further diversification, as these markets exhibit weak correlations between them and with the global market with regard to liquidity.