Market share instability and stock price volatility during the industry life-cycle: the US automobile industry

Market share instability, during certain stages of the industry life-cycle, has become a stylized fact in the industrial organization literature. In the finance literature, volatility in the form of excess volatility, i.e. the much larger volatility of stock prices than dividends (although stock prices should in theory trace the present value of future dividends), has given rise to controversies regarding stock price determination (Campbell and Shiller, 1988; Shiller, 1989). Recent evolutionary models, both theoretical and empirical, have tied the presence of market share instability to industry specific variables, such as specific periods in the industry life-cycle and specific “technological regimes”. The object of the paper is to explore whether there is a relationship between market share instability and stock price volatility and to what degree this relationship is connected to the concept of the industry life-cycle, and hence to industry specific factors. To do so, we explore the relationship in one particular industry, the US automobile industry. Since neither life-cycle nor finance theories attack this problem directly, we use insights from both approaches to build hypotheses which guide the data analysis. The empirical results confirm many of these hypotheses, suggesting that the degree of excess volatility is indeed partly affected by industry specific factors.     

The multiple unit auction with variable supply

Summary. The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply as a function of the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an incentive to misreport their true demand in both auction formats, but they do that in different ways and for different reasons. Furthermore, both auction formats are inefficient, but there is no unambiguous ordering among them. Finally, the more competitive the bidders are, the more likely the seller is to prefer uniform pricing over price discrimination, yet increased competition among bidders may or may not enhance efficiency. Received: June 18, 1998; revised version: January 13, 1999     

中国期货价格的时变跳跃性及对现货价格影响的研究

期货价格受到异常消息的影响会发生跳跃行为,本文通过构建ARMAJI-GARCH模型刻画了我国金属期货的自相关性、条件异方差性以及动态跳跃性,并分析其跳跃行为对现货市场的影响。经研究表明,期货价格具有时变跳跃特征,铜期货的跳跃强度受到滞后一期跳跃强度的显著影响,铝期货的跳跃强度不仅受到自身滞后的影响,还受到跳跃强度残差的影响;当期和滞后一期的期货跳跃强度均对现货的收益率和波动性形成影响,期货价格的跳跃行为起到价格发现的作用。     

推动房价上涨的货币因素研究——基于美国、日本、中国泡沫积聚时期的实证比较分析

本文从理论上探究了货币量与房价之间的双向联系,分析了不同渠道下两者之间的动态加速器机制。从货币结构的视角选用了准货币作为考察货币与房价关系的主要变量进行论证。在此基础上,采用协整VAR模型的框架在货币、资产价格、宏观经济之间建立多变量关系,同时针对美国、日本、中国三个国家的典型房价泡沫积聚时期的数据进行实证比较分析。结果表明三个国家中货币量与房价之间都存在长期均衡关系,巨额货币存量推动房价上涨的力量比较强大而且明显。在资产泡沫积聚时期,推动房价上涨的实体因素不足,最重要的还是货币因素推动。因此,要控制房价过快增长,需要中央银行调整货币政策框架及通胀目标,关注资产价格变化并有效控制货币量。     

Reconsidering the Relationship between Inflation and Relative Price Variability

It has long been popularly believed that the relationship between inflation and relative price variability (RPV) is positive and stable. Using disaggregated CPI data for the United States and Japan, however, this study finds that the relationship is neither linear nor stable over time. The overall relationship is approximately U‐shaped around a nonzero threshold inflation rate. RPV therefore changes not with the inflation rate per se, but with the deviation of inflation from the threshold inflation rate. More importantly, the relationship is by no means stable over time but instead varies significantly in a way that coincides with regime changes of inflation or monetary policy. The relationship was positive during the period of high inflation of the 1970s and the early 1980s, as has been documented by a number of previous studies, whereas it takes a U‐shape profile during the Great Moderation. The results are robust to the use of core inflation, which excludes the traditionally volatile prices of food and energy. This paper then presents a modified version of the Calvo‐type sticky price model to describe the observed empirical regularities. Simulation experiments show that the modified Calvo model fits the data well, and that the underlying relationship hinges upon the degree of price rigidity, which is systematically related to inflation regime. For countries and periods with low inflation rates, the relationship takes a U‐shape as price adjustment is more sticky. In a high‐inflation environment, when price setting becomes more flexible, the U‐shaped profile vanishes.     

Anonymity,Stealth Trading,and the Information Content of Broker Identity

This paper examines whether the identity of a broker involved in transactions contains information. Using a sample of transactions from the Australian Stock Exchange—where broker identity is transparent—we provide evidence that consecutive buyer‐/seller‐initiated transactions by the same broker have a relatively high permanent price impact. This implies that broker identity conveys information to market participants, and that markets in which broker identity is disclosed are likely to be more efficient. We also find that medium‐sized trades by the same broker convey greater information than large and small trades, which is consistent with stealth trading by informed investors.     

上市公司财务参数与其股价波动性关系探究

本文探究了上市公司年度股价波动性与其上一年公开财务指标的相关关系。公开财务指标主要包括六项,从不同维度反映了公司规模、资本结构、偿债能力、盈利状况、管理状况和股东情况。通过分析结果发现,若干财务指标与上市公司的股价波动性都有显著的相关关系,大部分符合预期及常识。有一些财务指标与上市公司的股价波动性长时期内表现出稳定、显著的关系。文中尝试探讨了造成这种相关性的因素。     

涨跌停限制磁性效应加速特征研究——基于中国A股市场高频交易数据挖掘

本文选取中国A股市场1003只股票作为研究对象,运用二次函数模型,通过对考察期内高频数据的挖掘,从收益率和交易量两个层面,分析股票涨跌停前30分钟磁性效应的加速度、加速拐点和加速持续期三个特征。研究发现,收益率和交易量涨跌停前的磁性加速现象显著存在;犬盘股涨停前收益率的加速度与跌停前加速度对称,小盘股收益率涨停前加速度大于跌停前加速度,并且两加速度均大于大盘股;上午涨跌停收益率磁性加速度大于下午涨跌停;上涨过程交易量磁性加速度大于下跌过程;收益率的拐点和加速持续期在同一过程中与交易量的拐点和加速持续期基本一致。     

货币政策应该关注资产价格和汇率吗?

在Rudebusch and Svensson(1999)模型中引入了房地产价格、股票价格和汇率因素,以此为基础推导出最优货币政策反应函数。该反应函数显示,中央银行既要应对产出和通货膨胀变化,还应该考虑资产价格和汇率波动。基于GMM方法的实证分析表明,该反应函数能够较好刻画过去10多年间中国中央银行的货币政策。总体而言,该反应函数可以作为中国货币政策制定和执行的参考框架,货币政策应该对资产价格和汇率波动给予一定程度的关注。     

伦敦黄金市场的运行与监管模式

伦敦黄金市场不仅是地理意义上的概念,其主要指以电话或路透等电子交易系统联接起来的、向全球提供黄金和白银基准价格以及清算服务的全球交易网络。该文从伦敦黄金市场发展历程、交易与清算机制、会员管理、交易产品、英格兰银行在伦敦黄金市场中的作用,以及黄金市场的监管模式等方面,对其运行和监管情况进行了系统性介绍。