“汶川地震”的证券市场板块效应研究

本文采用事件研究法分别研究了汶川地震对我国金融板块和四川板块的影响。本文根据汶川地震的特点确定了估计窗和事件窗,选择市场模型作为正常收益的估计模型,得到了各个板块在事件窗内的累积非正常收益并对其进行了显著性检验。本文研究结果表明:汶川地震对我国金融板块没有显著性影响;汶川地震对我国四川板块的影响是四川板块组合的累积非正常收益由显著为正到显著为负的变化过程。     

基于半参数LM-ARMAX模型的股价波动成因分析

对股票价格波动的建模分析,一直是经济与金融研究的核心领域,是什么导致了股票价格的波动,也一直是投资主体共同关注的话题。有鉴于此,本文选择沪市1991-2010年所有上市公司的数据,建立了LM-ARMAX模型来实证股票价格波动的决定因素,最后根据模型半参数估计的结果,进行了基于半参数估计的非线性检验和基于Wild Bootstrap的Smirnov检验,结果表明:市账率和成交量是股票价格波动的主要因素,而净资产收益率对股票价格波动的影响不显著。     

国际商品市场与股票市场的溢出效应——基于中美数据的VAR-MGARCH分析

基于VAR-MGARCH-BEKK模型,对国际商品市场与中美股票市场之间的均值与波动溢出效应进行了经验分析。结果表明,国际商品市场与中美股票市场之间存在着相互的均值溢出效应,国际商品市场对中美股票市场存在波动溢出效应,同时,美国股票市场对国际商品市场存在波动溢出效应;另外,中国应该尽快编制科学合理并适合自身国情的商品指数。     

股指期货对市场波动性影响的比较——基于非对称GARCH模型的探讨及成因分析

在理论上,股指期货为投资者提供了不同于传统证券的投资工具及避险工具,为控制市场风险提供了可能。但在实践中,股指期货的推出并不必然地降低证券市场的波动性。为此,本文选取处于不同发展阶段的八个国家和地区的市场予以考察,试图比较在理论和实践层面,波动性产生差异的成因。其结果显示:一、股指期货推出对市场波动性的影响,除日本显著增大,印度显著减小外,其余市场均无显著变化;二、有6个市场存在非对称效应,即利空消息对市场的冲击显著强于利好消息;三、将股指期货推出的影响从总信息冲击中抽离后发现,其推出对于比利时、中国香港、中国台湾和中国大陆是利好消息,对日本是利空消息,其余市场没有显著变动;四、上述变动的差异是宏观经济、市场结构和交易者行为共同作用的结果;五、对于中国市场而言,应当着重改善市场结构,引导交易者理性投资。     

The environmental and macroeconomic effects of socially responsible investment

We analyze the effects of socially responsible investment and public abatement on environmental quality and the economy in a continuous-time dynamic growth model featuring optimizing households and firms. Environmental quality is modeled as a renewable resource. Consumers can invest in government bonds or firm equity. Since investors feel partly responsible for environmental pollution when holding firm equity, they require a premium on the return to equity. We show that socially responsible investment behavior by households partially offsets the positive effects on environmental quality of public abatement policies.     

The Economic Impact of Marena’s Investments on Sustainable Agricultural Systems in Honduras

This study examines the economic impact of sustainable agricultural production systems in Central America. In particular, we investigate the impact of investments promoted by the MARENA Programme in Honduras on the total value of agricultural production (TVAP) of its beneficiaries. Propensity Score Matching techniques along with the Difference‐in‐Differences framework are used to mitigate biases stemming from differences in observed as well as unobserved (time‐invariant) characteristics between beneficiaries and a control group. The econometric estimates suggest that MARENA has had a positive and significant effect on the TVAP of beneficiaries. In addition, the analysis shows that, under alternative scenarios, MARENA yielded higher than expected internal rates of return. The results of this study shed light on the response of small‐scale hillside farmers to economic incentives and lend support to the role of natural resource management projects in Central America as a tool to increase household income while also promoting the conservation of natural resources.     

考虑放弃现金折扣成本和短期投资收益的订货策略

文章针对供应商为及时收回货款,提供给零售商现金折扣的情况,基于传统EOQ模型,引入财务管理上有关＂放弃现金折扣成本＂和贷款利率、短期投资收益率之间的判断依据,研究了不同情况下,零售商可能的订货策略,为零售商确定订货时间提供理论依据。     

Volatility spillovers across daytime and overnight information between China and world equity markets

This article explores the transmission of daytime and overnight information in terms of returns and volatility between Chinese and Asian, European and North American main stock markets. We propose a bivariate analysis with China as benchmark. By testing the constancy of the conditional correlations, we use an extended constant or dynamic conditional correlation GARCH model. The empirical findings show that across the daytime information transmissions, the relationships between China and Asian markets are closer than China and non-Asian markets, whereas through the overnight information transmissions these relationships are inverse. The analysis provides, before the crisis, that the overnight volatility spillover effects are from China to the United States and the United Kingdom. During the crisis, China affects the United Kingdom in terms of daytime volatility spillovers, whereas in terms of overnight volatility spillovers China affects the United States and is influenced by Japan. After the crisis, daytime volatility spillovers are from Taiwan to China, whereas the overnight volatility spillover effects are from China to the United States and the United Kingdom.     

Service quality aspects and sports scientific conventions: An experience from Iran

This study investigates the role of service quality aspects in a Sport Scientific Convention held in Mashhad, Iran in 2015. A sample of 175 conference attendees were targeted to investigate the quality of services offered, their satisfaction, and intention to return. However, the findings show that the quality of access to destination and venue affect service accessibility quality. The hotel value and hotel staff interaction affect accommodation quality, but the atmosphere of the hotel does not. The internal environment of the venue and its staff interaction affect venue quality in a direct and meaningful way, but venue value does not. In addition, convention process and product affect convention quality in a direct and meaningful way. There is also a direct and meaningful relationship between accommodation quality, venue, and convention quality, and service quality in the sports scientific convention. Access quality, however, is not a part of this relationship. On the other hand, there is a relationship between access quality and satisfaction, and satisfaction affects participants' intent to return to the convention.     

退耕还林区域后续可持续发展能力评价指标应用研究——以云南省元阳县为例

在建立退耕还林区域的后续可持续发展能力评价指标体系的基础上,运用指标体系对云南省元阳县退耕还林区域的后续发展状况进行了评价与分析:从退耕还林工程实施的经济贡献率、林业产值率2方面进行社会经济发展指标分析,从剩余劳动力转移率、产业结构变化率、基本建设投资额、恩格尔系数、土地利用率5个方面进行社会系统支持能力指标分析,从科技人员比率、义务教育普及率、人均基本农田占用面积3方面进行智力系统支持能力指标分析,从新增林地面积、水土保持能力2方面进行环境系统支持能力指标分析。