股票市场发展与经济增长——从流动性的视角

基于前人的重要结论,从流动性的角度,将流动性分为成交量、换手率两个方面。通过向量自回归（VAR）建立模型进行进一步的研究,得出股票交易成交量与经济增长的长期均衡关系,并通过VECM模型与Granger因果关系检验对所建立的模型进行进一步验证。研究结果显示,股票市场的流动性与经济增长存在显著的关系。进一步研究换手率对股票流动性的影响可得出的结论是,股票市场的流动性与经济增长存在长期的均衡关系,并且流动性中,成交额与经济增长存在正向关系,而换手率与经济增长存在负向关系,两者都是通过影响股票市场的总市值来进一步影响经济增长的。     

Expectation,volatility and liquidity in the housing market

Measuring housing price volatility is fundamental to understanding the dynamics of housing price risk. This article aims to explore whether a liquidity factor plays a role in explaining the second moment (i.e. the volatility) of housing prices. Housing price volatility is measured as the conditional variance of a Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) model under the Adaptive Expectations framework. The empirical evidence reveals that volatility transmits from smaller housing units to larger housing units, which indirectly supports the trade-up effect discussed in the literature. In addition, less liquid housing classes are more sensitive to unexpected liquidity shocks, and the starter housing class is extraordinarily sensitive to negative liquidity shocks. Consistent with friction search theory, pricing errors are alleviated as the trading volume increases, because the valuation price tends to be more accurate as more information is available.     

Environmental disclosure and stock market liquidity: evidence from Arab MENA emerging markets

The objective of this study is to examine the impact of environmental disclosure levels on the stock market liquidity of Arab Middle Eastern and North African (MENA) companies. For that, a self-constructed disclosure index was applied to the annual reports for the years 2010, 2011 and 2012 and the bid-ask spread was used as a proxy for stock market liquidity. Results indicate that levels of environmental disclosure in MENA companies are quite low. In addition, using a sample of 276 firm-year observations, multivariate analysis shows that the higher the level of environmental disclosure provided in the annual reports, the lower the spread between the market bid and ask prices, thereby indicating an increase in stock market liquidity.     

Bank liquidity risk: From John Law (1705) to Walter Bagehot (1873)

Abstract

By granting credit and issuing money, banks take a liquidity risk - that is, the risk of being unable to reimburse its notes in coins. Five different explanations of a bank liquidity crisis have been provided by different authors, since John Law and up to Walter Bagehot. First, according to Law (1703) and Steuart ([1767] [1998]), the distinction between money of account (the pound sterling) and money of payment (the guinea) may induce a bank run. Second, according to Cantillon (1730), Hume ([1752 Goschen, G. J., 1861. The Theory of the Foreign Exchanges. London; Effingham Wilson, Royal, 1861. French edition, Théorie des changes étrangers, Librairie Guillaumin et C^ie Paris, 1892. 1861. [Google Scholar]] 1972), Ricardo (1810-1823) and the Currency School (1837-1858), the bank reserve becomes insufficient as a consequence of a diminishing value of money allied with over issues. Third, according to Thornton ([1802 Skaggs, N. T., 2010b. "For the love of truth: Henry Thornton's stance in the bullion committee debates. 2010 meeting of the History of Economics Society, Syracuse". 2010b. [Google Scholar]] 1939, 1991 Skaggs, N. T., 2010b. "For the love of truth: Henry Thornton's stance in the bullion committee debates. 2010 meeting of the History of Economics Society, Syracuse". 2010b. [Google Scholar]) and the Banking School (1840-1857), it can occur as a consequence of a falling exchange rate that is not linked with over issues. Fourth, according to Smith (1776) and the Banking School, discounting of fictitious bills, by decreasing the shareholders' funds, leads to bank illiquidity. Lastly, according to Thornton ([1802 Skaggs, N. T., 2010b. "For the love of truth: Henry Thornton's stance in the bullion committee debates. 2010 meeting of the History of Economics Society, Syracuse". 2010b. [Google Scholar]] 1939, 1991 Skaggs, N. T., 2010b. "For the love of truth: Henry Thornton's stance in the bullion committee debates. 2010 meeting of the History of Economics Society, Syracuse". 2010b. [Google Scholar]) and Bagehot (1873), the liquidity crisis is a consequence of bank panics: a "flight" to money for Thornton, a "flight" to credit for Bagehot. The analysis of these five different explanations sheds new light on classical monetary controversies.     

经济体制改革、科技体制改革与战略性新兴产业协同发展机制研究

战略性新兴产业已成为十二五期间产业经济发展的重点,但现阶段战略性新兴产业所处的经济体制和科技体制还存在来自内部管理机制和外部创新机制等方面的诸多问题。从战略性新兴产业发展所需的经济体制及科技体制切入,分析当前经济体制及科技体制存在问题的主要成因,给出经济体制及科技体制改革的目标和主要措施建议。     

我国城市商业银行与地方政府关系

我国的城市商业银行与地方政府关系演变带有经济转型时期的特征。通过政府干预,城市商业银行获得了较快发展,地方政府也因为控制了一定的金融资源而促进了地方经济的发展。但是,现有的制度格局却带来了城市商业银行股权结构不合理、治理结构不完善等问题。由于各方利益的博弈,城市商业银行所推行的股权改革必然是一个渐进的过程,而在这一过程中,形成城市商业银行与地方政府良好的互动关系仍然是必要的。     

Uncertainty and liquidity in corporate bond market

We examine the uncertainty–liquidity connection in the corporate bond market. Using monthly corporate bond data from 2005 to 2010, we construct proxies for parameter uncertainty by using firm-level parameters generated from a structural model of corporate debt. We find that uncertainty about firm parameters decreases trading volume but increases bid-ask spreads and price bouncing in the cross-section and across time. In addition, the panel VAR results show that parameter uncertainty has negative forecasting power for future bond liquidity, with greater uncertainty in the current month leading to lower trading volume, higher bid-ask spreads and higher price fluctuations on subsequent months. We conclude that parameter uncertainty is one of the underlying factors giving rise to the high level of illiquidity in the corporate bond market.     

结构改革与中国工业增长

1978年以来,中国工业在持续的结构改革中经历了强劲的增长和生产率水平的不断提高。本文估算了工业分行业随机前沿生产函数,发现1992年后,TFP增长超过了要素投入增长,但是TFP对工业增长的贡献在2001年后出现了下降。进一步对TFP增长分解后发现,由工业结构改革引致的行业间要素重置显然对改革开放期间中国工业生产率的提高乃至工业增长起到了实际推动作用,即结构红利是显著存在的,而2001年后要素配置效率的下降也成为同期TFP增长贡献份额下降的主要原因。因素回归分析显示,中国要素市场的改革和工业行业的结构调整主导了要素配置效率变化的总体走势,并造成了不同行业要素配置效率的显著差异。     

Investor recognition and liquidity: evidence from dual listing on the NYSE and NASDAQ

This article examines the impact of the NYSE firms’ decision to dual list on NASDAQ and the resultant trading liquidity, after controlling for the endogeneity of the decision. Using a simultaneous system of equations approach, we find evidence that dual listing lowers transaction costs, but does not lead to any significant improvement in investor recognition. Further, the improvement in market quality due to dual listing on NASDAQ does generate, albeit somewhat weak, positive cumulative abnormal returns surrounding the dual listing.     

Bank liquidity risk and monetary policy. Empirical evidence on the impact of Basel III liquidity standards

We extend the literature on the bank lending channel in two aspects. First, rather than following the literature by analyzing the impact of banks’ liquidity (measured via their asset portfolio) on monetary policy transmission, we study the role of banks’ actual liquidity risk, as measured by the Basel III liquidity regulations. Second, we investigate the effect of complying with the Basel III liquidity standards on monetary policy transmission. We use highly detailed bank-level data from Luxembourg for the period 2003q1--2010q4. Our findings are that monetary policy transmission works its way through small banks that also have a large maturity mismatch, as measured by the Net Stable Funding Ratio. In contrast, large banks with a small maturity mismatch increase their lending following a monetary policy shock, which confirms existing results that Luxembourg’s banks are liquidity providers to the European market. Based upon in-sample predictions and upon simulated data from an optimization model that takes the banks’ business models into account, we conclude that the bank lending channel will no longer be effective once banks adhere to the new Basel III liquidity regulations.     

银证混业经营中的利益冲突问题

金融业银证混业经营的利益冲突问题突出。从微观角度分析 ,其原因在于金融机构公司治理结构不完善。解决利益冲突问题 ,核心工作就是完善实行混业经营的金融机构的公司治理结构。     

Public credit and liquidity in James Steuart's Principles

Abstract

The aim of this article is to shed new light on the monetary and financial theory of James Steuart (1767) through his examination of the speculative bubbles of 1720: that is, the John Law System in France and the South Sea Bubble in England. In contrast to most contemporary writers – particularly David Hume and Adam Smith – Steuart had a balanced opinion about these two financial experiments. On the one hand, Steuart considered them worthwhile, since they were attempts at public debt restructuring by reducing its expense and increasing its liquidity. Moreover, according to Steuart, a well-managed public debt favours the liquidity of both banks and the financial market. These worked together for the growth of wealth. However, on the other hand, Steuart claimed that the failure of these experiments was due to: (i) a poor management of money; (ii) a violation of credit rules and its corollary, the weakness of banks; (iii) the adoption of contestable dividend and financial information policy. This article presents Steuart's proposals for creating the liquidity of both banks and the financial market via a well-managed public debt.     

Firm growth and liquidity constraints: evidence from the manufacturing and service sectors in Italy

We use a large firm-level panel data set to analyse the relevance of liquidity constraints on firm growth in Italy. In most European countries, mainstream financial institutions are scantly able to provide affordable credit facilities to small firms. Thus, these firms are forced to finance their growth almost exclusively through retained earnings. We estimate a dynamic version of Gibrat-law, incorporating cash flow as a measure of financial constraints, for two different size classes within small and medium size enterprises and for several industries in manufacturing and service sectors. The findings show that, in general, small manufacturing firms have higher growth-cash flow sensitivities with respect to medium firms. Conversely, our results highlight, for the services, a significant heterogeneity in the impact of liquidity constraints on firm growth. In particular, the sensitivity of growth rates to the cash flow appears relatively high for small firms belonging to Knowledge Intensive Business Services. Validation of Gibrat-law in the services suggests that an important group of industries, with a superior capacity of encouraging firm’s competitiveness, need more financial resources to promote their growth and that of the manufacturing sectors with whom they are connected.     

Impact of government policy responses of COVID-19 pandemic on stock market liquidity for Australian companies

This study investigates the impact of government policy responses of COVID-19 pandemic on stock market liquidity for listed Australian companies and for 11 different industries separately. A quantitative deductive approach is used for a sample of 1,452 companies with a total of 292,164 firm-day observations over a period from January 25, 2020 to December 31, 2020 during the outbreak of COVID-19. Univariate and multivariate (two-way cluster-robust panel regression) analysis were conducted. Data were collected from the Oxford COVID-19 Government Response Tracker, Worldmeter, Refinitiv Workspace and Datastream. Our findings indicate that the influences of the six out of seven stringency policy responses reduced Australian equity market liquidity. However, public information campaigns enhanced market liquidity and hence trading activity. Among the 11 industries, our analysis shows that the non-pharmaceutical interventions by the Australian government have significant and positive effects on four industries: Consumer non-cyclicals, healthcare, financial and technology. However, the worse effects were depicted in the industrial (transportation) and energy industries. This study is important for investors, policymakers and regulators to understand the diverse effects of government policy responses of COVID-19 on stock market liquidity to enhance financial stability. Moreover, understanding this effect is particularly important to decision-makers such as portfolio and fund managers to manage their portfolios and trading activities during extreme turbulence times, such as COVID-19. Unlike previous studies that focus on country analysis, this study examines on firm basis the impact of government interventions on stock market liquidity in a well developed Australian stock market.     

Firm age and liquidity ratio as predictors of firm growth: evidence from Indian firms

The result of the study shows that liquidity ratio and firm age increases the probability of firm becoming high growth or low growth. However, the result indicates that the chances of being high-growth firm are higher for young firms. Quantile results show that the coefficient of liquidity ratio switches from negative in lower quantiles to become positive in upper quantile with the strong positive effect and firm age coefficients are largest in the lower quantiles. These results also confirm the probit result as per which firm age is negatively significant with the growth of the firm. The present study considers an innovative approach that considers balance sheet issued the year prior to the observation of rapid growth as predictors of firm growth (similar to the credit scoring models, i.e. the Z-score model, to measure the probability of default).     

Price discovery and the effects of fragmentation on market quality: evidence from Cypriot cross-listed stocks

Using a novel high-frequency data set, we examine the contribution of Greek trading to the price discovery process of a pair of Cypriot blue-chip, cross-listed stocks during overlapping trading hours. Additionally, we investigate the effects of market fragmentation on the home market’s quality, as measured by microstructure-based liquidity measures. Contrary to earlier studies from other markets, our findings show that foreign stock exchanges can act as the leading contributors to price discovery and can concentrate the majority of trading activity and produce the lowest transaction costs. Our results also show that market fragmentation can lead to negative effects on market liquidity.     

中国渐进改革成本与国有银行财务重组

中国渐进改革的平稳推进得益于新增改革成本能很快地被财政支付或通过国有银行转移,对渐进改革走势影响更大的是被转移至银行的存量成本。实证数据显示,国有银行财务重组中的不良资产处置过程客观上形成了对这一成本的发现机制,但现行的财务重组方案并没有对所有成本进行最终支付,而大量采取了“后摊”与“隐性负债”的处置方式,这是中国渐进式改革的特征体现,其结果是改革成本向国家财政与中央银行的再次转移。中央银行作为“政府的银行”承担改革成本有其现实的必要性和理论的可行性,但由此造成的估值损失应该及时进行确认和记录的会计操作,中央财政预算要反映央行因参与财务重组而导致的实际资本下降。     

Structural stability and model design

The paper introduces the concept of structural stability and proposes that it should be considered a necessary property of scientifically valid models. Formalization of the concept is considered in both linear and non-linear models. A strong preference in favour of the wider use of non-linear models is supported by consideration of the dangers of linearization in dynamic models. The importance of structural stability is demonstrated with reference to dynamic rational expectations models which exhibit the saddle-point property. In such cases convergence to equilibrium is shown to be a structurally unstable property which can be forced by restrictive auxillary assumptions, which are highlighted.     

Exchange traded funds: leverage and liquidity

This paper examines the differences between leveraged and unleveraged Exchange Traded Funds (ETFs), particularly for liquidity and volatility characteristics. The impact of leverage on intraday liquidity (spread and depth) is analysed in two periods – one of normal volatility and the other of abnormal/high volatility. There is a significant difference in spread and depth of leveraged and unleveraged ETFs in periods of both normal volatility and high volatility; however, this difference is more pronounced in higher volatility periods. In high volatility periods, liquidity typically diminishes in all ETFs, and this is even more so for the leveraged ETFs. When leveraged ETFs are segregated into multiples based on their power to replicate the underlying benchmark (i.e. multiples of ?3, ?2, ?1, 2, 3), the difference in spreads between normal and high volatility periods is typically larger. The double-leveraged ETF has the most significant difference between the positive and negative counter parts. However, the relationship in the progression of the multiples does not change linearly to correspond with the level of volatility. This may be due to the nonlinear relation between volume and volatility. We shed light on the magnification effect of financial leverage on microstructure of the ETFs.