融资融券交易对中国股市波动性的影响研究

融资融券交易制度是现代金融市场中常见的交易手段之一,该制度的引入正式开启了我国证券市场双边市时代。以2014—2018年的交易数据为样本,采用带有哑变量的GARCH模型以及Hsiao et al.政策面板评估模型,通过研究两融交易对中国股票市场和两融标的股波动性的影响发现,第一,当政府连续三次以上以相悖的政策干预市场时,两融制度更倾向于增大股票市场的波动性,且融资交易和融券交易对股市波动性的影响具有非对称性;第二,两融制度有效平抑了标的股的波动性,但却增加了标的股的异常涨跌频率。     

基于ECM对股票市场与货币供给量之间关系的研究

我国宏观经济的波动会影响股票市场的波动,货币供给量是宏观经济中影响股票市场波动的一个重要变量。通过对上证综合指数与货币供应量之间关系的研究,证明上证综合指数与宏观经济货币供应量之间存在着长期稳定的均衡关系。同时,误差修正模型可以看出,上证综合指数不仅受到货币供应量的影响,还受到前一期市场自身因素的影响,即因变量本身滞后性的影响。     

Price and its Relation to Objective and Subjective Product Quality: Evidence from the Austrian Market

The correlation between price and product quality is usually found to be low, but still, consumers use a rule of thumb that higher prices indicate higher quality. In the present study, data from the Austrian consumer magazine Konsument from 2004 to 2007 were analysed, and price–quality correlations were computed. Results confirm former studies as the overall price–quality relation was positive and statistically significant but small (r = .30). It was especially small in the food and beverages sector as well as for cosmetics and for inexpensive products generally. Consumers' subjective beliefs about a price–quality link and product complexity were also analysed. Results show that consumers believe that a high price signals high quality, but that these beliefs are not well calibrated, i.e., not corresponding to the product categories where actually higher price–quality correlations can be found. In sum, the results confirm for the Austrian market that price is a poor signal of quality, and that consumers are hardly aware of the particular product sectors where this signal is more valid.     

机构投资者的交易行为研究:来自中国台湾股市的证据

文章以中国台湾股市为研究对象,主要研究机构投资者的交易行为。文章构建了机构投资者交易不平衡性指标——净交易,在此基础上研究机构投资者的交易行为。研究结果表明:台湾股票市场中以外资和投信基金为代表的金融机构投资者表现为正反馈的交易策略,并且交易的信息含量较高;一般法人的交易表现为负反馈的交易策略,并且交易的信息含量不足;而自营商由于交易动机复杂,交易的信息含量不明确。可见不同的机构投资者的交易行为并不相同。     

环境信息披露质量与银行信贷决策--来自我国沪深两市A股重污染行业上市公司经验证据

本文以沪深两市A股重污染行业2012－2013年上市公司为样本,实证考察我国重污染行业上市公司环境信息披露质量与银行信贷决策两者之间的相互关系。研究发现：重污染行业上市公司环境信息披露质量越高,可获得的银行借款越多。进一步研究发现,环境信息披露质量对重污染行业上市公司短期银行借款的影响更为显著,对长期银行借款的影响则较弱。研究证实,重污染行业上市公司提高环境信息披露质量有助于企业获取更多的银行借款,尤其是短期银行借款。     

中央银行沟通对金融资产价格的影响——以股票市场为例

本文运用经典的宏观经济模型,发现中央银行沟通可以降低股票价格的波动,有利于金融资产价格的稳定.本文利用2003年1月至2012年12月的月度数据,运用SVAR模型研究中央银行沟通对股票市场的影响,以此判断中央银行沟通能否有利于金融资产价格的稳定.研究结果表明:中央银行沟通对股票市场产生一定的影响,但是效果并不明显.相对书面沟通,口头沟通对股票市场产生的影响效应更大一些.实际干预变量对股票市场的影响有限.为了能够更好地发挥中央银行沟通在货币政策操作中的作用,本文建议从提高中央银行沟通信息的准确性、提高货币政策决策的透明度和提高公众的金融素养等方面加强中央银行沟通行为.     

Margin Requirements in the Security Market and Public Policy

The paper examines the problem of losses beyond margin in the stock market and Us probable solution assuming that the present regime of margin regulations continues. In Canada, the severity of losses in the stock market has been enhanced by inadequate legislation in the margin-related area, ambiguous rules and regulations of the stock exchanges in this regard, and conflicting court decisions in establishing liabilities for losses due to violations of margin regulations. This paper will focus on the nature of the problems in the above three areas and suggest measures, largely legislative in nature, to reduce the losses incurred by the public through trading in margin accounts. The analysis of losses in margin accounts is supported by two court cases arising out of the 1980–82 recession and high interest rates during this period. Résumé Cette étude examine le problème des pertes boursières engagées au-delà de la marge et sa solution probable en supposant que le présent régime de réglementation des marges se poursuive. Au Canada, l'importance des pertes boursières est accentuée par une législation relative aux marges inadéquate, une réglementation boursière ambiguë et des décisions judiciaires contradictoires quant à la responsabilité des pertes causées par des transgressions des règles sur les marges. La présente étude vise à éclaircir la nature des problèmes dans les trois secteurs précédement mentionnés et à suggérer des mesures de nature principalement législative afin de réduire les penes engagées par le public dans les comptes de marge. L'analyse de ces pertes est appuyée ici par deux causes judiciaires survenues pendant la période de la récession en 1980–82 et caractérisée par taux d'intérět élevés.     

Federal Reserve and private forecasts of growth in investment

This study examines the Federal Reserve and private forecasts of growth in both business and residential investment for 1983-2004 and reaches four main conclusions: First, in support of the asymmetric information hypothesis, the shorter (longer) horizon Federal Reserve forecasts of growth in business (residential) investment contain useful predictive information beyond that included in private forecasts. Second, the Federal Reserve forecasts are all biased. The same is true for the private forecasts of growth in residential (but not entirely for the forecasts of growth in business) investment. Third, the private forecasts overall do better than those of the Federal Reserve in outperforming the univariate forecasts. Fourth, the Federal Reserve and private forecasts of growth in business (residential) investment, while directionally accurate, imply symmetric (asymmetric) loss. We conclude this study by discussing the usefulness of these forecasts.     

Corporate Governance,Commitment to Business Ethics,and Firm Valuation: Evidence from the Korean Stock Market

A variety of stakeholders have long been interested in the factors that are related to firm valuation. This article investigates why companies with more comprehensive corporate governance (CG) have a value premium over companies with less comprehensive CG. We posit and find that the cost of equity capital (COC) decreases with the strength of CG, suggesting that the value premium stems from the lower COC for more comprehensive CG. We also find that the COC is lower for companies with strong commitment to business ethics (BE) than for those with weak commitment to BE and that the beneficial effect of CG on the COC is more pronounced for companies with weak commitment to BE than for those with strong commitment to BE. Companies with more comprehensive CG tend to exhibit strong commitment to BE, but the beneficial effect of corporate ethical commitment is not completely subsumed by CG. Our results suggest that companies could lower their cost of equity capital and increase firm value by adopting more comprehensive CG practices and committing to higher standards of BE.     

股票市场发展与国家资源配置效率:基于股市信息效率视角的研究

中国股票市场发展已经经历20年的历程,很多方面都取得了巨大的发展成就,然而对于股票市场发展对中国经济增长是否产生了显著的正向促进作用,现有研究文献并没有达到一致结论.文章基于股价波动非同步性测度方法,从股票市场信息效率这一新的视角入手,实证检验股票市场发展与国家资源配置效率的因果影响关系,为这一领域研究提供了新的实证证据.实证结果表明:中国股票市场信息效率与国家资源配置效率显著正相关,且这种正相关关系在效益上升行业与下降行业没有显著差别,即高信息效率股票市场能引导社会在高资本回报率的行业内继续追加投资,在低资本回报率的行业内及时削减资本投入,从而提高资源配置效率.因此中国股票市场发展具有较好的经济效应,它对经济增长产生了显著正向促进作用.     

International Stock Market Linkages and Spillovers: Evidence from Three Latin American Countries

ABSTRACT

Using a multivariate exponential generalized autoregressive conditionally heteroscedastic (M-EGARCH) model, this study examines price and volatility spillovers and response asymmetries between the equity markets of the United States and Brazil, Chile and Mexico. Our results vary depending on the openness of the country in terms of international trade. Evidence indicates that there are price and volatility spillovers from the United States to Mexico and Chile and but not to Brazil. In addition, our results indicate response asymmetries for Mexico and Chile, suggesting that the Mexican and Chilean markets are more sensitive to negative innovations originating from other markets than to positive innovations.

RESUMEN. Este estudio examina contagios de precio y volatilidad, y respuestas asimétricas entre los mercados de capital de Estados Unidos y Brasil, Chile y México, fundándose en un modelo exponencial generalizado multivariado, con un condicionante autoregresivo heteroscedástico (M-EGARCH). Los resultados obtenidos varían, dependiente del nivel de apertura de un país en lo que concierne al comercio internacional. Las pruebas indican que existen contagios de precio y volatilidades desde los Estados Unidos hacia México y Chile, pero no hacia Brasil. Además, los resultados también indican asimetrías de respuesta para México y Chile, sugiriendo que estos dos mercados son más sensibles a las innovaciones negativas que se originan en otros mercados, que a las innovaciones positivas.

RESUMO. Usando um modelo condicionalmente heterocedástico, autoregressivo, generalizado, exponencial e multivariado (M-EGARCH), este estudo examina contágios de preços e volatilidade, e assimetrias de resposta entre mercados de ações dos EUA e Brasil, Chile e México. Nossos resultados variam, dependendo da abertura do país em termos de comércio internacional. Os dados indicam que existem contágiosde preço e volatilidade dos EUA para o México e Chile, mas não para o Brasil. Além disso, nossos resultados indicam assimetrias de resposta para o México e Chile, sugerindo que estes mercados são mais sensíveis a inovações negativas originárias de outros mercados do que a inovações positivas.     

中国股市政策市研究述评

文章对政策市的有关研究进行了归纳和梳理,将主要的研究概括为股市政策与政策市,政策市产生原因,不同属性政策的定性分析,政策市运行机制,政策市影响减弱分析,政策市退出市场等方面,揭示出政策市的最大问题是股市政策的行政化,政策市退出股市必须以增强投资者选择权为基础,而这需要经历一个漫长的过程。     

Mitchel Y. Abolafia: Stewards of the Market: How the Federal Reserve Made Sense of the Financial Crisis

Business Economics -     

我国证券市场佣金制度亟待改革

一、我国证券市场佣金制度改革的客观必要性1.市场规范的需要.在固定佣金制度下,券商为竞争到更多客户,往往采用各种不规范的方法将部分固定佣金返还给客户.与其让返佣在地下秘而不宣地进行,不如放开佣金,让其登上大雅之堂,将暗箱操作的返佣制度透明化、制度化、规范化,促进券商的公平竞争.     

论市值

市值大小影响本国货币的币值,币值变化也要影响到市值.在成熟的股票市场,市值的表现应是相对稳定的.在市值能够稳定的基础上,市值才能够逐渐增升.正常的市值跌落是由于货币升值,不正常的市值跌落会进一步地推动货币贬值.当股票市场出现了不正常的市值跌落.可以迅速地膨胀某些人的财富.中国股市的市值终将要强劲增升,因为中国经济进入工业化腾飞阶段后的高速发展,会引起价格随之上涨,货币随之贬值,于是市值相应必然增升.     

密切相关--美联储加息节奏与人民币升值预期的思考

近期外汇市场伴随对人民币升：值预期的猜测,出现日元价格变化扩大趋势,进而使美元和欧元汇率也有波折。同时国内外金融市场对于人民币升值的预期再掀高潮,尽管我国央行以及决策官员明确表述了人民币汇率形成机制的进程与问题,但是市场炒作人民币的势头仍难以抑制。仔细分析这些现象的背景,似乎与美国官员近期对人民币问题的言论有关,     

世贸组织呼吁美国进一步开放市场

世界贸易组织3月22日在对美国过去两年的贸易政策进行审议时，呼吁美国进一步开放市场，同时遏制国内日益抬头的贸易保护主义。     

股权质押比例限制与股票市场稳定——基于“质押新规”的自然实验

股权质押给股票市场带来较大风险,那么限制股权质押比例能否起到稳定股票市场的作用呢?本文基于"质押新规"这一自然实验,采用倾向得分匹配法和双重差分模型,从股票收益率、波动率、停牌交易日占比和非流动性四个方面研究股权质押比例限制对股票市场的影响,从公司治理和股东持股角度进行了机制分析,并进一步考察了质押比例限制对低质押比例企业造成的溢出影响。研究发现,短期看,设定质押比例上限对个股的收益率和流动性存在负向冲击,对个股的波动率存在正向冲击,股权质押比例限制总体上降低了股票市场稳定性。"质押新规"对控制权转移风险较大的企业的个股收益率产生了负向冲击,对控制权转移风险较小的企业的个股非流动性存在正向冲击;尽管"质押新规"针对的是高质押比例企业,但对低质押比例企业也产生了冲击。"质押新规"的负向冲击主要通过盈余管理和股东持股比例变动向市场传递。因此,应对股权质押风险,需要关注企业的盈余管理等经营状况和股东持股比例的变动,并防范溢出效应造成的风险传染。     

Further Evidence on the Role of Gender in Financial Performance

Using a sample of 160 sole proprietors and controlling for other determinants of performance, we hypothesize and find support for the view that gender is not a significant direct explanation of financial performance differences among small accounting practices. The control variables we employ are practice characteristics, motivations, and individual owner characteristics. Our results indicate that although financial performance appears to be significantly different for females' and males' sole proprietorships, these performance differences are explained by several variables other than gender directly. At the same time we find that gender moderates the effects of other practice and personal characteristics on financial performance. One of the more interesting results is that women with a stronger motivation to establish a public practice to balance work and family experienced more positive financial outcomes, while for men the same motivation reduced financial performance.