中国股市上交易活动与股票预期收益关系的实证研究

用交易金额和换手率来度量股票的交易活动,并用它们的标准差、变异系数反映交易活动的变化,本文通过构造投资组合与进行Fama-Macbeth多元回归等方法对中国股市所有A股股票的预期月收益率与交易活动及其波动性之间的关系进行实证研究.研究结果表明,无论控制影响股票收益率的其它因子与否,A股股票交易活动的水平与波动性均与股票的预期收益负相关.     

On the Stability of the Cross‐Section of Expected Stock Returns in the Cross‐Section: Understanding the Curious Role of Share Turnover

In this paper, we shed further light on cross‐sectional predictors of stock return performance. Specifically, we explore whether the cross‐section of expected stock returns is robust within stock groups sorted by past monthly return. We find that the book/market and momentum effects are remarkably robust to sorting on past returns. However, share turnover is negatively related to future returns for stocks with abnormally low stock price performance in the recent past, but postively related to returns for well‐performing stocks. This casts doubt on the use of turnover as a liquidity proxy, but is consistent with turnover being a proxy for momentum trading which pushes prices in the direction of past price movements. Our results are robust to both NYSE/AMEX and Nasdaq stocks, and also robust to stratifying the sample by time period.     

The volume–volatility relationship and the opening of the Korean stock market to foreign investors after the financial turmoil in 1997

This paper investigates the stock volatility–volume relation in the Korean market for the period 1995–2001. Previous research examined the impact of liberalization on the Korean stock market up to the period before the financial turmoil in 1997 although the crucial measures of the liberalization were introduced after the crisis under the International Monetary Fund program. One of the major features of the reformation was the financial opening to foreign investors. In this study the ‘total’ trading volume is separated into the domestic investors’ and the foreign investors’ volume. By doing this the information used by two different groups of traders can be separated. Further, in addition to the absolute value of the returns and their squares we use the conditional volatility from a GARCH-type model as an alternative measure of stock volatility. The following observations, among other things, are noted about the volume–volatility causal relationship. First, for the entire period there is a strong bidirectional feedback between volume and volatility. In most cases this causal relationship is robust to the measures of volume and volatility used. Second, volatility is related only to ‘domestic’ volume before the crisis whereas after the crisis a bidirectional feedback relation between ‘foreign’ volume and volatility begins to exist. In other words, ‘foreign’ volume tends to have more information about volatility in recent years, which suggests the increased importance of ‘foreign’ volume as an information variable.      

中国铁路货运市场占有率发展趋势分析

分析中国铁路货运的发展形势,建立关于铁路、公路货运量在全社会货运量中所占市场份额的差分方程组模型,运算后得出铁路货运在整个货运市场中的占有率趋向。通过利用历史统计数据计算,得到铁路货运市场占有率的一个数值解。     

基于灰色马尔柯夫过程的铁路客运量预测方法研究

将铁路客运量预测分为运量趋势预测和运量波动预测,分别采用灰色GM(1,1)模型和马尔柯夫过程进行预测,并将两者结合形成灰色马尔柯夫铁路客运量预测方法。根据1990年—2002年的铁路客运量数据,预测2003年的客运量以检验模型预测效果,并对我国“十一五”期间铁路客运量进行预测,分析证明基于灰色马尔柯夫过程预测方法的预测可信度。     

工程量清单计价模式与操作方法

工程量清单计价法是国际上在建筑工程招投标工作中通行的做法。通过工程量清单计价法与预算定额单价法的对比,说明工程量清单计价法的优越性和基本特点,并对工程量清单计价法在招投标中的应用方法、程序和操作过程进行了详细论述。     

铁路货运量组合预测模型的研究

铁路货运量预测作为铁路运输生产的基础工作之一,是铁路运输企业制定正确市场营销战略的前提条件。传统的预测方法已经不能适应日益复杂的运量预测需要,因此借鉴国内各种运输方式的运量预测方法,并与铁路的特点相结合,提出适应我国铁路情况的多种预测方法相结合的组合预测模型体系和方法,并通过实例计算,得出2003年—2005年铁路货运量的预测结果。     

建立铁路货运量季节性预测模型的研究

铁路货运量预测是编制运输方案的依据,目前采用的预测方法,难以全面、科学地反映数据的内在结构和复杂性,以年度为单位预测时,误差不大,但按月度预测时,则误差较大。为此利用三角函数周期性的特点,辅以线性趋势变动,建立适合不同预测期限、不同预测精度的季节性预测模型,经实例检测能够较为准确地预测月计划运输量。     

"十一五"是我国铁路重要的发展时期

根据铁路发展明显滞后于公路和航空发展的现状,分析铁路在承担全社会客货运输量方面的作用,提出综合运输网络骨干运输方式的衡量标准,说明我国铁路在综合运输网络中的骨干作用。通过论述铁路在主要运输通道中的作用;铁路在提高交通运输可持续发展方面的作用;铁路在降低物流成本,提高产品竞争力方面的作用,指出我国铁路还处于大发展过程中,今后应进一步加快发展。     

云南省物流需求预测

基于价值量和实物量对云南省物流需求进行预测,根据云南省2010年和2020年GDP预测总量,对物流成本占GDP比重进行粗略估计,得到云南省社会物流总成本的估算。选用一元线性回归分析方法对云南省综合货运量的预测,说明云南省社会物流总成本呈增长趋势,综合货运量也以较快的速度增长。