股票资金流强弱指数的结构突变研究

以股票资金流强弱指数为研究对象,根据时间序列分析方法,运用修正的ICSS算法,基于上证A股2010年5月4日至2015年5月22日的日交易数据,得到上证A股的结构突变点,并对所得到的变点进行了实证分析和应用研究。结果表明：上证A股资金流强弱指数是平稳的非正态时间序列;上海股票市场具有波动聚集性,而且是政策市场;构建了股票资金流强弱指数判别法,用以便捷的对资金流强弱指数结构突变点进行分类。     

中国的机构投资者的预测能力研究

从2001年4月20日开始,中央电视台<中国证券>栏目每天早晨报道我国70家大券商关于当天股票市场涨跌情况的预测.通过对这些预测的研究,本文发现中国机构投资者的预测能力不强.他们的预测大都基于市场前一天的盈亏,近乎于正反馈反应.此外,本文还发现股市下跌对机构投资者的预测的影响比股市上涨大.本文认为,中国机构投资者预测能力不强的主要原因可能是缺乏经验.     

国际长期资本流动对发展中经济体的冲击

本文描述了国际长期资本流动的特征,分析了它对发展中经济体的冲击行为,概括了国际长期资本流动对发展中经济体的三类冲击。上述三类冲击分别为流向不合理对短期资本市场的冲击、流速不合理对产业资本形成的冲击、流量不合理对产业资本效益的冲击。     

New Borders and Trade Flows: A Gravity Model Analysis of the Baltic States

The objective of this paper is to provide evidence on the effects of an economic and political union by studying the trade flows of the three Baltic countries of Estonia, Latvia and Lithuania after the breakup of the Soviet Union. We specify and estimate a gravity model of exports for the Nordic countries which enables us to determine the size and direction of trade flows in the Baltic states had they not been affected by the political institutions of the Soviet Union. Our results suggest that Baltic foreign trade was not only reduced significantly but also diverted to the members of the former Soviet Union. Consistent with our estimates, we also find that these consequences of the former political union are quickly dissipating, and the Baltic countries are increasing their share of exports to the European Union and the U.S.     

Do contagion effects exist in capital flow volatility?

The cross-border transmission of a financial shock has been a subject of rich literature. While a large number of studies have focused on the phenomenon of strong co-movements of asset prices and capital flows in the event of financial stress, very few discussed the contagion or spillover effects in terms of capital flow volatility. This paper is one of the first attempts to assess, empirically, whether or not there is a global and regional spillover effect in the volatility of capital flows to emerging and developing countries. Based on the sample of 49 emerging and developing countries for the period 1980–2009, the empirical results suggest strong and significant contagion effects in the volatility of capital flows to individual economies. The magnitudes of contagion vary depending on the type of capital flows, whether it is foreign direct investment (FDI) or portfolio and other investment (mostly bank lending). The findings also suggest the volatility dynamics of gross flows is different from that of net flows. The volatility of net inflows is more exposed to intra-regional contagion compared to that of gross inflows.     

论电子商务中的物流方案

以电子商务技术来优化提升中国传统物流业,使它能够较好地突破目前制约中国物流业发展的最大弊端———条块分割,但如何将传统的物流业与电子商务联在一起还是个难题。文章从电子商务对流通业的影响出发,分析了电子物流方案中碰到的问题,提出了解决的方案。     

Islamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis

This paper investigates the portfolio optimization under investor’s sentiment states of Hidden Markov model and over a different time horizon during the period 2004–2016. To compare the efficient portfolios of the Islamic and the conventional stock indexes, we have employed two approaches: the Bayesian and Markowitz mean-variance. Our findings reveal that the Bayesian efficient frontier of Islamic and conventional stock portfolios is affected by the investor’s sentiment state and the time horizon. Our findings also indicate that the investor’s sentiment regimes change the Islamic and the conventional optimal diversified portfolios.Moreover, the results show that the potential diversification benefits seem to be more important when using the Bayesian approach than when applying the Markowitz approach. This finding is valid for the bearish, depressed, bullish and calm states in Islamic stock markets. However, the diversification of potential portfolios is significant only for the bullish and the bubble states in the conventional financial markets.The findings of the study provided additional evidence for investors to exploit googling investor sentiment states to evaluate the portfolio performance and make an optimal portfolio allocation.