An empirical analysis on the law of purchasing power parity and international economic deepening

This article empirically investigates the effect of international trade on the deviation of Purchasing Power Parity (PPP) law and on the international economic deepening in four developed countries (Japan, USA, UK and France), and three Asian developing ones (South Korea, Singapore and Malaysia), using International Financial Statistics (IFS) data issued by International Monetary Fund (IMF). Our results show that in some developed countries the imbalance effect of balance of payments is significant for both international deepening and deviation from PPP, and in some developing countries the volume effect of balance of payments is significant for international deepening.     

Isolating the systematic and unsystematic components of a single stock’s (or portfolio’s) standard deviation: a comment

In an article that recently appeared in this journal, Marshall (2015) argued that the systematic component of the SD of a stock or of a portfolio of stocks is its beta scaled by the SD of the market returns. She also contended that the beta mispredicts the actual systematic risk of a stock or of a portfolio of stocks. In this article, I dispute this conclusion, showing that it has been induced by an imperfection in the construction of the empirical application and by some misinterpretations of the results. A corrected replication of the empirical study of Marshall (2015) is provided, along with some comments. I conclude that both the beta and the systematic component in Marshall (2015) are effective measures of systematic risk.     

An alternative approach for testing for linear association for two independent stationary AR(1) processes

Spurious correlations occur when two independent time series are found to be correlated according to the typical statistical procedure for testing the null hypothesis of zero correlation in the population. Using a Monte Carlo analysis, this study examines the spurious correlation phenomenon for two independent stationary AR(1) processes and it finds that if an alternative testing procedure is applied, spurious behaviour is eliminated using the variance of the sample correlation coefficient of these two series, suggested by Bartlett (1935).     

区域金融发展收敛性的空间经济计量研究

本文以中国31个省份1978-2009年数据为样本,以金融相关比率作为衡量指标,采用空间计量经济方法对中国金融发展的收敛性进行了实证研究。Moran’s指数的测算表明,中国金融发展在大部分年份存在显著的全局空间相关性;Moran散点图表明中国金融发展空间辐射作用呈现下降趋势,且存在空间异质性。     

股票风险警示对同城企业掏空行为的影响研究

采用2008—2019年中国沪深A股被实施风险警示企业的同城企业样本,考察城市新增风险警示信息对同城非警示企业大股东掏空的影响效应及作用机理。结果发现,风险警示信息对于同城企业的大股东掏空行为具有治理效应,即城市新增风险警示公告会显著抑制同城非警示企业的大股东掏空程度。这一结论经过稳健性检验、工具变量检验、安慰剂检验和倾向得分匹配检验后依然成立。作用渠道分析表明,风险警示信息一方面通过城市内企业之间的基本面关联产生传染效应,另一方面,本地散户投资者群体内部的消极情绪进一步增加了其对同城非警示企业的风险预期,从而对非警示企业大股东掏空形成威慑作用。异质性检验表明,风险警示信息对同城非警示企业的大股东掏空行为的抑制作用在非警示企业基本面状况较差和本地偏好程度较高时更显著。     

Asset correlations and bank capital adequacy

This paper addresses the estimation of confidence sets for asset correlations used in credit risk portfolio models. Research on the estimation of asset correlations using endogenous probabilities of default estimations has focused on the impact of concentration risk factors, such as firm size and industry. The empirical evidence from Italian small- and medium-size companies show that the assumptions underlying the Basel Committee regulatory capital risk weight function are not substantiated. The regulatory impact is that the capital adequacy is significantly compromised, driving an adverse selection, which favors the worst companies, and transferring the procyclical effects from firms to banks.     

Equity portfolio diversification with high frequency data

Investors wishing to achieve a particular level of diversification may be misled on how many stocks to hold in a portfolio by assessing the portfolio risk at different data frequencies. High frequency intradaily data provide better estimates of volatility, which translate to more accurate assessment of portfolio risk. Using 5-min, daily and weekly data on S&P500 constituents for the period from 2003 to 2011, we find that for an average investor wishing to diversify away 85% (90%) of the risk, equally weighted portfolios of 7 (10) stocks will suffice, irrespective of the data frequency used or the time period considered. However, to assure investors of a desired level of diversification 90% of the time (in contrast to on average), using low frequency data results in an exaggerated number of stocks in a portfolio when compared with the recommendation based on 5-min data. This difference is magnified during periods when financial markets are in distress, as much as doubling during the 2007–2009 financial crisis.     

品牌内部关联的信用度研究

品牌是与目标顾客达成长期利益均衡,降低消费者选择成本的排他性品类符号。品牌与其覆盖下的产品之间存在关联关系,研究品牌内部关联问题是品牌建设的关键。文章基于品牌内部关联视角,从品牌信用与产品信用的相互关系入手,构筑了品牌内部关联信用度研究的一般分析框架,从理论上探讨了产品信用度、产品市场份额、产品(品类)需求强度、产品—品牌定位相关性四个因素对品牌内部关联的影响,建立了基本的品牌内部关联函数模型并得出了推论,分品牌策略对内部关联问题进行了解释说明,并应用案例对模型进行了检验分析。     

文化因素影响寿险消费吗？——来自中国大陆地区的证据

由于寿险产品具有复杂性和关注未来的不确定性利益,消费者在购买寿险产品时不仅考虑自身的经济状况,还可能依据其信仰和偏好来决策,即在研究寿险消费时需要放松消费者是经济人这一假定。文章首先从文化的定义和内涵证明了文化对寿险消费的影响,随后以Hofstede的文化维度并结合民族和宗教因素作为文化变量,采用1999--2010年的相关调查数据进行了实证研究。结果发现,当把经济变量和人口统计变量作为控制变量来分析文化对寿险消费的影响时,民族和宗教因素、权力距离和不确定性规避对寿险消费存在显著的负影响,男性／女性主义对寿险需求有显著的正影响,而现阶段个体主义这一变量对寿险需求的影响并不显著。     

中美股市价格收益波动关联性的研究

随着经济和资本市场的全球化,各国股市之间的相互影响变得越来越大。为了研究中美股市自金融危机爆发后价格收益波动的关联性,可以选取上证综指和标准普尔500作为研究样本,绘出中美股市的走势图,研究两者的联动性,运用协整检验对上证综指和标准普尔500进行实证检验和分析。结果表明,中美股市价格收益波动存在一定程度的关联性。