基于交易量持续期的流动性研究

本文充分利用我国限价指令驱动市场分笔数据所包含的信息。在交易量持续期的基础上,提出一个符合限价指令驱动市场特征的流动性指标,并从市场微观结构理论出发．选取了非对称信息的若干代理变量,分析非对称信息对市场流动性的影响程度。对万科A、B股的实证结果发现：（1）交易量持续期拥有信息含量,看涨行情会导致交易强度增大,看跌行情则导致较长的持续期。这反映了卖空限制的作用和投资者的追涨行为。（2）非对称信息是影响流动性水平的重要因素,投资者看法差异严重、价格剧烈波动以及长的交易量持续期导致市场流动性降低。     

The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE)

Several empirical studies reveal that holidays generally create positive sentiment in the stock market, whereas negative events, such as wars or disasters, are accompanied by negative sentiment. However, what happens if a negative event occurs on a holiday? In such a case, we expect two conflicting sentiment effects, which may cancel one another out or, alternatively, one effect may dominate the other. The stock market in Israel provides a unique laboratory in which to test these two conflicting effects, as Israel faced a horrible war on the Yom Kippur holiday in 1973—a war whose influence is still strongly felt today. Indeed, we find two robust effects: A strong and significant positive holiday sentiment effect; and a negative war sentiment effect, which dominates the positive holiday effect. These results, which show how sentiment effects are created, are general and can easily be applied to other events and other markets when conflicting sentiment effects occur.     

投资者适当性制度构建:国际经验与本土选择

投资者适当性制度对投资者保护、完善券商内部治理、减少系统性金融风险、促进金融创新等方面都有重要作用。然而,实践中还存在着投资者分类保护与现实脱节、投资者权利救济难以实现等现实问题,投资者适当性制度仍具有讨论价值。投资者适当性制度起源于美国,美国证监会以"买者有责"为核心,形成了以代理理论、特殊情况理论和信义义务理论为内容的适当性理论基础,而我国投资者适当性的理论基础应当是在信赖利益理论的基础上对美国理论基础的延伸与发展。国外的投资者适当性制度在客户适当性、投资者教育、投资者权利救济方面形成了较为完整的规则体系。我国投资者适当性制度在上述方面虽有一定发展,但在实践层面仍存在一定的问题。我国投资者适当性制度今后的发展重点应更多放在立法模式选择、投资者分类制度、投资者教育机制、投资者权利救济方面。     

Maintaining market principles: Government auditors,PPP equity sales and hegemony

The UK's government auditors, the National Audit Office (NAO), play a central role in the accountability relations surrounding government expenditure. Commonly portrayed as being independent, they carry out performance audits assessing value for money. To date, the emerging market for PPP equity transactions has attracted little attention. This paper explores that emerging market through a Gramscian framework utilising the concepts of ‘common sense’ and ‘good sense’, focusing on a dialogical analysis of a NAO report on the topic.In the process, the paper contributes to the debate about the nature and role of government auditors.     

Structural changes in covenants through the adoption of IFRS in Brazil

This study examines changes in the structure of covenants in debt agreements of companies issuing debentures during the adoption of International Financial Reporting Standards (IFRS) in Brazil. We investigate debt contracts of public and private companies that issued debentures before and after IFRS adoption in Brazil, between the years 2006–2008 and 2011–2014. We develop a database with all covenants from 126 contracts via hand-collected data, with 78 contracts from before IFRS adoption and 48 contracts afterward. We find high increases in covenants after adoption. However, this growth is observed only for restrictive security and non-accounting covenants, excluding clauses with accounting multiples. Our results show that IFRS adoption in Brazil shifted incentives and, as a result, shaped a new structure of debt contracts. Our findings complement and expand previous studies and can be useful to academics, regulators and practitioners by showing that the incentives to use accounting figures and ratios shifted in the credit market after IFRS adoption.     

Feedback trading in stock index futures: Evidence from South Africa

This study tests whether investors and speculators in stock index futures contracts on the South African stock market use feedback trading strategies. Feedback trading can be destabilizing and impede on the risk mitigation and price discovery functions of futures contracts. Using the Sentana and Wadhwani (1992) model, and accounting for the global financial crisis, we find no evidence of feedback trading in the Top40 futures index or the Top40 mini futures index contracts. Our findings have important implications for investors who wish to use index futures to mitigate risk or exploit arbitrage opportunities and regulators concerned about the destabilizing effects of futures trading.     

Market procyclicality and systemic risk

We develop a model that captures, at the same time, the temporal dynamics of single-firm credit risk and the contagion across banks via a network of obligations and common assets. In particular, we enrich the continuous-time modelling approach of default by accounting explicitly for the procyclical loop between asset prices and leverage. Contagion can spread well before any default occurs, through the value of the obligations held by counterparties. Moreover, the extent of procyclicality effects depends explicitly on the structure of both the interbank network and the asset bank network. We analyse the model in a simplified scenario of a densely connected core of banks and we carry out a systematic investigation of how procyclicality emerges from the multiplicative interplay of market illiquidity and tightness of capital requirements.     

对完善工商行政管理职能的思考

我国工商行政管理工作的缺陷主要是管理的覆盖面狭窄、管理的职能模糊，缺乏实现职能的有效手段等。完善工商行政管理职能，应从加速培育市场主体，完善市场体系，强化市场准入，明确主管职能，促进公平竞争秩序等方面入手。     

论流通的市场创新

市场创新是企业组织创新的基础.市场创新主要有四个途径交易集中化、交易方式多样化、交易规范化和交易分工深化.     

Technical and Scale Efficiencies for Chinese Rural Credit Cooperatives: A Bootstrapping Approach in Data Envelopment Analysis

This paper uses Markov-switching techniques to examine the presence of different market conditions on the Shanghai A-share market since the start of active trading in the mid-1990s. The originality of the paper lies in the identification of three contrasting regimes: a speculative market, a bull market and a bear market. Overall, the ‘Casino’ character of the Chinese stock market is the main feature that is substantiated by the present paper. However, the bull market regime is always a buffer zone between the other two regimes. After early 1997, an investor with a weekly horizon most of the time finds herself in the bear market and makes capital losses. Only during very short periods of ‘luck’ does she make substantial capital gains, which on average will compensate her for the losses.