Price discovery in the round-the-clock U.S. Treasury market

We evaluate the efficacy of price discovery in the round-the-clock U.S. Treasury market. Using a comprehensive intraday database, we explore informational role of trades over the 24-hour day. We find that information asymmetry is generally highest in the preopen period and lowest in the postclose period. Information asymmetry in the overnight period is comparable to that in the regular trading period. However, on days with macroeconomic announcements, information asymmetry peaks shortly after the news release at 8:30. Moreover, information asymmetry is higher on Monday morning and higher immediately before than after the open of U.S. Treasury futures trading. Although volume is low after hours and trading cost is relatively high, overnight trading generates significant price discovery. Results suggest that overnight trading activity is an important part of the Treasury price discovery process.     

论建立我国自然资源的市场化运作模式

我国长期以来实行的都是计划经济,改革开放以后,我国逐步建立了市场经济体制,而自然资源的配置方式仍停留在公共产权阶段,严重影响了自然资源的使用效率。本文分析了我国自然资源配置方式的现状,提出了自然资源所有权和使用权分离的市场化运作模式。     

重庆市地票交易中置换耕地折算方法研究

地票交易涉及到所占耕地和复垦耕地之间的数量质量关系,要保证耕地数量、质量不下降就必须开展等级折算。在利用重庆市农用地分等定级成果的基础上,对地票交易中置换耕地数量质量折算方法进行了探讨,并有针对性地提出保障此方法实施的措施建议,对于重庆市耕地保护、耕地生产力的提高以及粮食安全的保证具有重要的现实意义。     

对加快推进国内黄金市场发展的思考

本文在回顾部分国家黄金市场管理经验及我国黄金管理体制历史沿革的基础上,以产金大省山东为例,从制度建设、监管协调、产业发展规划与管理及黄金投资产品开发与投资者教育等方面,系统地分析讨论了目前存在的一些问题,并对推进国内黄金市场发展提出了建议。     

Fair trade in tourism

Tourism as an industry is increasing rapidly in developing countries. Due to historical inequality in global trading relationships on the basis of ‘core–periphery’ dependency, globalisation and liberalised free trade, mainstream mass tourism reinforces the social and economic disadvantages of southern destinations. The ‘Fair Trade Movement’ has sought to redress unequal trading by promoting fair trade in commodities with small producers in the South, enabling them to take control over the production and marketing process and challenging the power of transnational corporations. This paper examines the feasibility of fair trade in tourism. It explores the obstacles and opportunities that might lead to establishing a definition of fair trade in tourism, incorporating criteria that would be workable and practical for both partners in the South and North. Copyright © 2000 John Wiley & Sons, Ltd.     

中国房地产交易真的是卖方市场吗？——基于双边随机边界模型的实证研究

科学测算房地产交易市场买卖双方议价能力对市场价格形成的影响作用，是当前政府制定“因地施策”宏观调控机制的重要前提。采用双边随机边界模型，考察房地产交易环节中买卖双方议价能力的差异,结果表明：（1）买卖双方讨价还价因素对商品房销售价格的最终形成存在显著影响；（2）从全国平均水平看，对于整体市场以及住宅、写字楼和商铺等细分市场，卖房者议价能力在双方讨价还价过程中占主导地位，但买方议价能力的影响作用也不容忽视；（3）从一线、新一线、二线和三线城市角度看，除了一线城市商铺市场以及三线城市总体城市、住宅市场和写字楼市场外，其他均处于卖方市场阶段。     

Preferential trading arrangements as strategic positioning

We analyze a three-country model of trade negotiations in which countries can form bilateral free trade areas, bilateral customs unions or a trilateral preferential trading arrangement, and can continue negotiating after reaching an agreement. In contrast to the literature on multilateral bargaining, the set of agreements can form a (nonpartitional) network, while in contrast to the network literature, players can reach multilateral agreements. Patient enough countries only reach bilateral agreements if insiders gain more than outsiders, which allows them to manipulate the status quo in subsequent negotiations. However, a hub and spoke pattern may then emerge, and insiders then dissipate the advantages of strategic positioning. We also use variants on the model to explain why a US commitment not to bargain bilaterally sustained progress at GATT negotiations, and the rarity of open access preferential trading arrangements.     

基于非理性交易行为的证券收益分布特征研究

笔者使用一个异质交易者并存的市场收益模型,证明非理性的反馈交易导致证券收益的长程相关,收益序列的长程相关性引起了异常扩散,由于扩散的方差大于标准布朗运动的方差,造成收益概率密度函数的厚尾现象.在模型的基础上.利用蒙特卡罗仿真方法生成了股市收益时间序列样本,计算了仿真数据的蜂度、尾指数和自相关系数,并与我国上证指数真实收益序列的相应指标进行了对比分析.模型的仿真结果显示了证券收益的尖峰厚尾特征以及收益序列的自相关性.     

中国股市风格动量实证研究

本文实证检验了中国股市风格动量.结果表明,以规模、益本比率及净市值比率进行风格划分,国内股市存在显著的中期风格动量,风格动量策略对于大型机构投资者具备实际可操作性.传统风险因子对风格动量缺乏解释力,风格动量反映了股价的可预测性.结果与Barberis和Shleifer(2003)风格水平正反馈交易模型预测基本一致.     

内生交易费用、分工演进与中美汇率博弈——一个新兴古典经济学视角

笔者认为,中美当前这场人民币汇率博弈将是一个混合战略均衡,即双方以某一概率值选择博弈策略,而该概率值又是一个多变量的函数.