Factor pricing in commodity futures and the role of liquidity

This paper empirically investigates the pricing factors and their associated risk premiums of commodity futures. Existing pricing factors in equity and bond markets, including market premium and term structure, are tested in commodity futures markets. Hedging pressure in commodity futures markets and momentum effects is also considered. This study combines these factors to discuss their importance in explaining commodity future returns, while the literature has studied these factors separately. One of the important pricing factors in equity and bond markets is liquidity, but its role as a pricing factor in commodity futures markets has not yet been studied. To our knowledge, this research is the first to study liquidity as a pricing factor in commodity futures. The risk premiums of two momentum factors and speculators’ hedging pressure range from 2% to 3% per month and are greater than the risk premiums of roll yield (0.8%) and liquidity (0.5%). The result of a significant liquidity premium suggests that liquidity is priced in commodity futures.     

战略性新兴产业系统自组织条件:耗散结构研究

战略性新兴产业系统是一个具备开放性、非平衡性、非线性和随机涨落的动态体系。依据普利高津的耗散结构理论,对战略性新兴产业系统的演化发展条件、运行机制进行定性研究,得出系统演化状态随着系统总熵变化而变化的结论。总熵越低,体系的演变成长状况越有序;总熵越高,体系的有序度越低。此外,通过构建战略性新兴产业系统的布鲁塞尔器(Brusselator)模型,对该系统自组织演化发展条件,即耗散结构产生的条件进行了量化研究。     

Detecting self-organisational change in economic processes exhibiting logistic growth

This paper offers an econometric methodology for the detection of self-organisational change (defined in terms of the presence of time irreversibility, structural change and fundamental uncertainty) in economic processes that follow logistic diffusion growth paths in historical time. The approach we adopted is built upon recent developments in `moving window' spectral methods which are applied to the scaled residuals generated by estimated logistic diffusion models. We illustrate the use of such methods by examining the case of a financial instrument, namely, the Australian Building Society Deposit, which experienced logistic growth in its market share until bank deregulation was enacted in the 1980s. We show that there is clear evidence that self-organisational change is present over the historical period considered.     

Interaction of size,book‐to‐market and momentum effects in Australia

This study seeks to disentangle the effects of size, book‐to‐market and momentum on returns. Initial results show that each characteristic has a role in explaining returns, but that there is interaction between size and momentum, as well as between size and book‐to‐market. Three key findings emerge. First, the size premium is the strongest, particularly in the loser portfolios. Second, the value premium is generally limited to the smallest portfolios. Third, the momentum premium is evident for the large‐ and middle‐sized portfolios, but loser stocks significantly outperform winner stocks in the smallest size portfolio. When these interactions are controlled with multivariate regression, we find a significant negative average relation between size and returns, a significant positive average relation between book‐to‐market and returns, and a significant positive average relation between momentum and returns.     

NVC龙企功能升级模式演进及机理纵向案例研究——技术自主性视角

国内龙头企业核心技术自主可控成为制约NVC（国内价值链）功能升级的关键问题。通过文献归纳,以能力自主与产权自主解构技术自主性内涵,并根据产品平台与技术轨道双维度划分NVC龙企功能升级模式。基于“能力—战略—行为—绩效（RSCP）”分析框架,选取华为海思公司作为纵向案例研究对象,探索技术自主性视角下NVC龙企功能升级模式及演进机理。结果发现,模块创新与知识产权创造能力通过产品渐进升级模式提升供应链;架构创新与知识产权布局能力可以调整技术轨道,通过产品突破升级模式I打通创新链;架构创新、模块创新和知识产权运营能力可以变革技术轨道,通过产品突破升级模式II主导价值链。     

中国商业银行资本监管:制度变迁和效果评价

资本监管是审慎银行监管的核心。上个世纪90年代以来,我国监管当局开始建立并逐步改进资本监管制度。本文分银行体制商业化转型初期、市场化银行体制形成时期、银行体系日益国际化时期三个阶段,对我国商业银行资本监管制度变迁过程进行系统性考察,全面评估不同时期资本监管的效果。本文认为,国有银行改革、银行体系开放、增强银行体系稳健性和资本监管制度与国际标准接轨四个方面因素的相互作用,为资本监管制度变迁注入的动力,决定了资本监管制度演进的方向;资本监管制度的变革既反映监管当局风险监管理念的进步,也体现了监管当局为增强银行体系稳健性、推动银行业改革和促进经济增长等多目标同时实现所做的持续努力和必要妥协。     

创新能力、空间依赖与长三角城市群增长核心演化

城市群经济系统发展过程中,核心城市的增长极化与扩散作用是推动城市群协同发展的关键机制。创新能力、要素集聚与扩散形成的区际空间外部性使得城市群增长核心不断演化,并形成系统协同发展的内在动力。长三角城市群核心城市的极化效应呈现出下降趋势,对其主要影响因素的实证分析结果表明：创新分工过程中创新要素集聚与创新溢出、空间依赖都对城市极化效应具有显著影响。因此,政策导向应从强化城市间创新分工、充分利用创新过程的空间外部性、推进城市群协同发展的制度创新等方面着手。     

长江经济带制造业服务化梯度推进路径研究

作为我国承东启西极其重要的经济纽带,长江经济带汇聚了一大批优秀的制造业企业,是中国的“制造工厂”,作为国家战略发展重点,长江经济带的制造业亟需转型升级。利用核密度分布和马尔可夫转移矩阵对长江经济带制造业服务化水平的分布和动态演进进行了分析,发现11省市制造业服务化水平整体较低,有向低水平收敛的趋势,两极分化严重,从稳态分布看,短期内将保持较大差异,难以实现均衡。再从服务化中间投入和服务化水平两个维度对11个省市的3大类制造业进行了分类,发现沿长江经济带从下游至上游呈现逐渐降低的梯度分布格局,提出了“三步走”的梯度推进路径,并结合上、中、下游的产业、资源和交通等特点,提出了制造业服务化梯度推进的合理建议。     

知识势差、知识隐匿与知识进化：组织惰性的调节作用

知识经济时代,企业能否发现并利用知识演进规律对提升自身知识质量和知识创造能力尤为重要。引入知识隐匿和组织惰性,构建知识势差对知识进化影响路径的概念模型。结合高新技术企业调研数据进行实证分析,并试图诠释企业知识进化实现过程的逻辑原理。实证结果表明,知识势差对知识适应进化和变异进化具有正向影响,对知识遗传进化具有负向影响。知识隐匿在知识势差与知识进化之间起着部分负向中介作用,组织惰性对知识势差及知识进化间关系具有调节作用。     

天使众筹联合投资网络结构及动态演变的探索性研究

天使众筹通过开放的互联网平台连接投资人与创业者,使得天使众筹联合投资网络的形成情境不同于风险投资联合投资网络。基于2015—2018年蚂蚁天使众筹平台联合投资数据,分析天使众筹联合投资网络结构特征与演变趋势,结果表明,天使众筹联合投资网络与风险投资联合投资网络具有显著差异,前者是强凝聚性和高开放性并存的网络,后者则是弱凝聚性和低开放性并存的网络。结论可丰富联合投资网络和众筹领域的理论研究,有助于深入分析天使众筹联合投资网络及其在数字经济时代的作用。