Demand for international telephone services between US and Africa

This paper uses a two-equation dynamic simultaneous equation model that accounts for call externality and arbitrage, and a dynamic panel estimator to investigate the demand for international telephone calls between the US and African countries. Using panel data from 45 African countries over the 1992–1996 period, we find that the demand for telephone calls from African countries to the US is price elastic while the demand for telephone calls from the US to African countries is price inelastic. We find telephone calls originating from African countries to the US are complementary to calls from the US to African countries while calls originating in the US to African countries are substitutes for calls to the US that originate in African countries, and calls between the two sets of countries exhibit reciprocal and arbitrage effects. We also find that the demand for telephone calls between the US and African countries show strong dynamic effects. Finally, we find that telephone demand between African countries and the US responds positively to income and trade. Our results have interesting research and policy implications.     

Put-call parity revisited: intradaily tests in the foreign currency options market

We test exchange-traded (PHLX) German mark options for conformance to put-call parity (PCP). Puts and calls are matched to the nearest minute, and the relative impact of competing spot exchange rate sources (Reuters vs. Telerate) is assessed. We find that PCP usually holds (roughly 96% of put-call pairs), with the exception of a notable incident in the European options pits. In those instances in which PCP is violated, we find sharp intradaily and intraweekly seasonalities for American options, with disproportionate PCP violations occurring during the relatively light trading periods in early evening and on Fridays. We also conclude that the Telerate prices as recorded by the PHLX are not as accurate as the Reuters exchange rates provided by Olsen and Associates, probably because of time lags in the Telerate data.     

公允价值会计与市场投资异象研究——来自中国上市公司的经验证据

以2007～2010年我国A股公司为样本,研究了上市公司在采用公允价值计量方式后是否会产生新的投资异象以及造成这种投资异象的影响因素。运用均值T检验和Wilcoxon符号等级检验,并采用Fama-French三因素模型对样本公司进行回归。研究发现,在控制了市场风险、规模风险和账面市值比风险之后,投资策略仍然可获得超常回报率,并且公允价值变动损益占净利润比重大(小)的组,超常回报率低(高)。套利风险、交易成本是公允价值变动损益对净利润的波动性风险造成的投资异象的影响因素。交易成本越大,套利风险越高,错误定价越不容易被消除,其超常回报率也越高。     

The prices of silver and exchange rates in a metallic monetary system—the cases of India and Iran

Using the notion of co-integration theory and a vector error correction modelling approach, this paper examines in retrospect the long-run relationship between the exchange rate of silver-based currencies and the intrinsic value of silver in India and Iran in a bivariate model. The results based on unit root and co-integration tests indicate a reliable long-run relationship between the price of silver and the exchange rate of silver-based currencies. Our findings also suggest a bi-directional relationship between the price of silver and exchange rate of pound per rupee in the case of India and a feedback relationship between the intrinsic value of qiran and the exchange rate of pound per qiran in the case of Iran.

Inconsequential arbitrage

We introduce the concept of inconsequential arbitrage and, in the context of a model allowing short-sales and half-lines in indifference surfaces, prove that inconsequential arbitrage is sufficient for existence of equilibrium. Moreover, with a slightly stronger condition of nonsatiation than that required for existence of equilibrium and with a mild uniformity condition on arbitrage opportunities, we show that inconsequential arbitrage, the existence of a Pareto optimal allocation, and compactness of the set of utility possibilities are equivalent. Thus, when all equilibria are Pareto optimal — for example, when local nonsatiation holds — inconsequential arbitrage is necessary and sufficient for existence of an equilibrium. By further strengthening our nonsatiation condition, we obtain a second welfare theorem for exchange economies allowing short sales.Finally, we compare inconsequential arbitrage to the conditions limiting arbitrage of Hart [Hart, O.D., 1974. J. Econ. Theory 9, 293–311], Werner [Werner, J., 1987. Econometrica 55, abs1403–1418], Dana et al. [Dana, R.A., Le Van, C., Magnien, F., 1999. J. Econ. Theory 87, 169–193] and Allouch [Allouch, N., 1999. Equilibrium and no market arbitrage. CERMSEM, Universite de Paris I]. For example, we show that the condition of Hart (translated to a general equilibrium setting) and the condition of werner are equivalent. We then show that the Hart/Werner conditions imply inconsequential arbitrage. To highlight the extent to which we extend Hart and Werner, we construct an example of an exchange economy in which inconsequential arbitrage holds (and is necessary and sufficient for existence), while the Hart/Werner conditions do not hold.     

跨业创新对金融稳定冲突的两类解释——结构套利与“竞次”博弈

为应对全球化和多元化竞争趋势,跨业经营逐渐成为国际银行业的主流发展模式。但是。这种模式可能从跨期风险分担机制的瓦解、反馈效应的强化、跨业风险传染三个方面冲击金融体系稳定性。冲突源于两个方面,一是金融机构对结构性套利的追逐,主要体现在杠杆率、信息披露与消费者保护等方面;二是监管机构之间的博弈。通过对比分析国际上主要监管体制的审慎性效果以及银行、证券和保险业监管差异。本文考察了利益冲突诱发的监管“竞次”博弈。国际金融审慎监管改革在一定程度上有助于推动商业银行回归传统业务。提升银行体系稳定性,但是,对于监管体系与市场经营模式配置错位的改革却远未完成。     

Consistency among trading desks

We consider a bank having several trading desks, each of which trades a different class of contingent claims with each desk using a different model. We assume that the models are arbitrage-free. A practical question is whether a bank using several models can be arbitraged. Surprisingly it can happen that in some cases there must be an arbitrage. We discuss conditions under which the bank trades without offering arbitrage.The second-named author is grateful for support from NSERC Discovery grant 504316. An earlier version has been presented in the seminars at Fields Institute (2003), Cambridge University (2003) and IMA (2004); the authors thank for fruitful discussions. The authors also thank the referee for helpful comments.     

价值性投资还是博彩性投机？——中国A股市场的MAX异象研究

本文利用1995—2017年中国A股上市公司公开数据实证检验了A股市场中的MAX异象,并从博彩性投机和有限套利视角深入探讨了异象的形成持续机制。结果显示:中国A股市场存在显著的MAX异象,个股当月MAX越小下月收益率就越高,构造多空组合可实现年化15.72%的收益。在投资者博彩性投机心理作用下,短期内MAX有惯性传递特征,投机性特征越强、内在价值越低的股票异象越显著。进一步实证分析发现:套利限制对MAX异象具有正向强化作用,套利限制越强异象越显著,多空策略组合获得的收益越高。本文的研究不仅有助于更好地理解中国股市中MAX异象,也对提升市场有效性、减小异象的影响有实践意义。     

监管分立与金融综合化冲突下的私募基金横贯规制

金融综合化转型和分业监管体制的冲突导致了我国私募基金规制的监管竞争、监管纵容和监管套利。同质性的私募基金产品适用差异较大的监管规则,直接影响金融市场的公平竞争和投资者利益保护。要尽快打破基于有限理性的分业监管者和金融企业达成的无效率默契僵局,规则层面上的统合立法就成为在规避分业监管体制改革难题的同时还能推进制度供给的必然选择。以基金法修订为契机,建议重点从明确法律属性、市场竞争和投资者利益保护三个方面进行私募基金横贯规制。     

A contingent claim analysis of closed-end fund premia

We estimate contingent claims that replicate monthly net asset value (NAV) payoffs from closed-end funds. A claim's theoretical value is obtained by martingale pricing methods. The resulting net present value (NPVS) sequence is the theoretical premia sequence that is compared to the actual market premia sequence. The theoretical premia, like actual premia, are uncorrelated with NAV returns and are positively autocorrelated due to autocorrelation in the pricing information. However, there is poor correspondence between the theoretical and actual premia that seems due to the market's systematic errors in estimating a fund's management value. Risky arbitrage may be available to insiders.