证券交易机制影响股价吗?——对中国股票市场的再检验

本文在对分别按照开盘价和收盘价计算的两种收益率的比较中发现了极值聚集现象 ,文中将形成这一现象的原因归结于市场中涨跌幅限制的存在 ,并建立了一个简单模型对此进行了说明。其后 ,利用市场中不存在涨跌幅限制时期的数据对该模型进行了验证。在结论部分 ,本文分析了除交易机制外造成两种收益率差异的其他因素 ,并认为有关交易机制对股价行为影响的研究有待深入。     

证券经纪法律探析

证券纪经作为一个商事代理活动 ,在证券交易中发挥着极其重要的作用。本文对证券经纪的法律性质、涉及的法律关系及证券经纪人的权利、义务进行了详细的分析 ,希对该种商事代理活动有个较为全面的了解     

智能信息处理方法在股市研究中的应用

本主要介绍了智能信息处理方法在股市研究中的应用，着重介绍了基于模糊数学方法的政策因素综合评价研究、神经网络模型在股票价格分析中的应用和小波包在股票价格预测中的应用。     

Risk Aversion,Uncertain Information,and Market Efficiency

Abstract. We reexamine and extend tests of the uncertain information hypothesis (UIH) proposed by Brown, Harlow, and Tinic (1988, 1993). We find that their empirical results are sensitive to the sampling procedure employed and that their particular methodology does not sufficiently distinguish between event and nonevent periods. When the sampling procedure is modified to identify only relatively large, isolated events, the test results generally do not support the UIH. Instead, significant price shocks are consistently followed by short-lived price reversals. We observe this behavior following positive and negative events regardless of whether the event is classified as risk increasing or risk decreasing.     

股权结构影响下的上市公司融资倾向研究

本文选取深沪两市的900家上市公司为样本,以2001-2004年的财务及相关数据为基础,从我国上市公司特殊的股权结构出发,运用一般描述性统计分析、偏相关分析、独立样本T检验等方法,分析我国上市公司股权结构与融资倾向之间的关系,以探究在相同市场环境中,不同的股权结构安排是否会导致其融资倾向的差异性。研究结果表明,股权结构对上市公司融资倾向具有显著的影响,不同股权结构安排下的公司有不同的融资倾向,特殊的股权结构是造成我国上市公司融资结构不合理的主要因素。     

我国股市与货币需求的相互影响分析及政策涵义

运用协整、弱外生性和因果关系检验对我国股票市场与货币需求的关系进行的实证研究发现,股市不影响M2的总量但影响其结构;M1对股市不产生直接影响,而M2对股市的直接影响处于有与无的临界状态;M1、M2均通过GDP对股市产生间接影响,但没有形成利率传导机制,我国股市是关于协整向量的弱外生变量.基于以上结论提出了相应的政策建议.     

R&D Progress, stock price volatility, and post-announcement drift: An empirical investigation into biotech firms

I investigate the effects of R&D progress on the dynamics of stock price volatility and the post announcement drift to provide insights into whether or not and how capital markets react to corporate R&D progress in the context of the biotech industry. I find both stock price volatility and the post announcement drift decrease in R&D progress. More importantly, the decrease is proportional to the increase in the drug development success rate driven by R&D progress. Findings suggest that R&D progress conveys useful risk-relevant information, and plays an important role in explaining stock price volatility change and market anomalies.     

Do the Forward Sales of Real Estate Stabilize Spot Prices?

We examine the effect of forward sale (pre-sale) activities on the volatility of spot prices in the real estate market. The abundance of pre-sales data and major changes in regulatory control on the pre-sale market during the 90's in Hong Kong allow us to undertake empirical tests using Hong Kong's real estate data. Our results show that the volatility of spot prices increased significantly after forward sales were severely dampened by regulatory control measures introduced in 1994, but decreased again when the measures were partly relaxed in 1998. The results contribute to the long lasting debate on whether the introduction of a futures market reduces the volatility of spot prices. Previous studies were mainly conducted in markets with low transaction costs, notably financial markets. By utilizing the unique regulatory changes in the pre-sale market of Hong Kong, we are able to conduct an experiment on the conditional volatility of spot prices in a high information-cost environment, thereby shedding light on the important role of forward housing contracts in providing price expectation information for spot trading.     

Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange

This paper analyses the impact of exogenous national security related shocks on the time-varying volatility structure of the Greek stock market. Alternative autoregressive conditional heteroscedastic models are estimated, in order to identify the best fit that adequately describes return volatility behavior, testing symmetric as well as asymmetric innovation responses. An external national security related shock factor is included as well as a military crisis dummy, in order to depict possible implications for the conditional variance. The empirical findings appear to support a statistically significant impact of both national security related factors on the Athens stock market returns.     

What can we learn from past price stabilization policies and market reform in Mexico?

This paper reviews experience with policy reforms in the maize sector in Mexico, beginning in the 1980s with particular reference to impacts on price variability. It analyses Mexico’s transition from past price stabilization policies under a state-trading enterprise to market reforms implemented during the 1990s. The nature, extent, and costs to producers and consumers of maize policies is discussed for both the pre-reform and the reform periods. Although wide ranging reforms have been introduced, impacts on efficiency and fiscal outlays have been less than expected.