投资者情绪与沪深300股指期货定价偏差关系研究

股指期货已发展成为全球金融衍生品主流品种,股指期货定价问题事关市场套利行为,一直备受投资者关注。本文基于投资者情绪视角,运用VAR模型、脉冲响应、方差分解等方法,深入探讨沪深300股指期货定价偏差与投资者情绪的关系。研究发现:投资者情绪与沪深300股指期货定价偏差之间构成因果关系,且呈现正向影响;股指期货定价偏差受投资者情绪影响而长期存在,其对投资者情绪的影响短期效果显著。     

Risk sentiment and firms’ liquidity in the French market

This paper investigates the impact of risk sentiment on market liquidity by using panel data. We use six risk word lists; uncertain, weak model, negative, legal, opportunity, and environmental & social responsibility word lists to measure the risk sentiment. Concerning the liquidity proxies, we use three measures, quoted spread, effective spread, and adverse selection component. The results indicate that an intensive risk tone and uncertain information in annual reports lead to decreased liquidity. In addition we find that risk sentiment variable impacts the liquidity but not vice versa.     

Financial crisis,GDP variation and earnings management in Europe

The purpose of this study is to examine the consequences of the financial crisis on the European companies’ in conjunction with earnings management practice. It focuses on financially distressed companies that audited by a big 4 auditor during recession years. The study makes use of discretionary accruals as a proxy for earnings management and studies the influence of big 4 auditor, in order to shed more light on possible causes for shifting earnings. The findings of the study provide evidence that financially distressed companies that audited by a big 4 auditor exhibit lower discretionary accruals. The results reveal that Greek and Spanish companies reduce earnings management manipulation during recession. In contrast, Portuguese, Irish and Italian companies show mixed results. They tend to reduce earnings management practices, but there are reasons that influence managers’ behavior to increase earnings management. The findings of this study can be useful for both investors and standard setting authorities.     

Individual stock sentiment beta and stock returns

Using the data in Chinese stock market, we measure the individual stock sentiment beta, which is defined as the sensitivity of individual stock returns to the individual stock sentiment changes. We demonstrate that stocks in the highest individual stock sentiment beta portfolio have significantly higher excess returns, CAPM alpha, Fama-French three-factor alpha and Fama-French five-factor alpha. Besides, we find that the high individual stock sentiment beta stocks are smaller, younger, more volatile stocks with higher price and higher market beta. After controlling for firm characteristic, the returns of High-Low individual stock sentiment beta portfolios are still significantly positive. Moreover, we show the effect of the individual stock sentiment beta on stock returns is positive and significant in different stock markets, in different sample periods, and in bull and bear market. Besides, the results of the Bayes-Stein individual stock sentiment beta are still stable.     

基于VAR模型的M2与GDP关系实证研究

近年来,随着我国经济不断的增长,广义货币供应量也在逐年的攀上新的高峰,今年的三月份更是突破了100万亿的大关,那么研究广义货币供应量与经济发展之间的相互关系也就变得很重要。选取1998年1月份至2012年3月份中国广义货币供应量和GDP的月度数据作为样本数据,通过建立VAR模型,运用协整检验、脉冲响应函数和方差分解等分析方法,对M2对于GDP发展的影响进行分析。     

The effects of economic growth on income inequality in the US

The paper analyzes the relation between growth and income inequality in the US during the post-war years (1953–2008). We show that the income of the top income groups is more sensitive to growth, defined broadly as current growth and changes in expectations of future growth, compared to the income of the lower income groups. We provide evidence that this increased sensitivity arises for two reasons: (a) the top income groups receive a large portion of their income from wealth, which is more sensitive to growth than labor income and (b) the top income groups receive a large portion of their labor income in the form of pay-for-performance (equity compensation), which is also sensitive to growth. Consequently, we conclude that growth and income inequality are positively associated.     

基于协整方法对贵州信息产业与GDP关系分析

协整概念是20世纪80年代由恩格尔—格兰杰(Engle—Grange)提出的,后来被众多计量经济学家发展成为协整理论。协整理论认为,尽管就单个时间序列而言是非平稳的,但是两个或多个非平稳时间序列一起漂移,这种共同漂移使得这些变量之间存在着长期的线性关系,因此说它们的某种线性组合可能是平稳的,说明这些经济变量存在长期均衡关系。协整的意义就在于它揭示了一种长期稳定的均衡关系,从理论上说,满足协整的经济变量之间不会分离太远,如果发生外在冲击,也只能使它们短时间内偏离均衡位置,在长期中他们会自动回复到均衡位置。协整理论克服了传统经济计量模型依靠差分后的数据来满足平稳性,导致长期变化趋势信息丧失的弊端,使模型同时综合了系统的短期动态波动和长期稳定均衡,为经济分析和预测提供了一种强有力的工具。     

Wealth effect and investor sentiment

This paper investigated the relationship between the U.S. stock and housing markets as well as their influence on the wealth effect of consumption and found that the stock market sentiment index can explain changes in the wealth effect. The empirical results indicate that these two markets exert a wealth effect on consumption. The estimation results of the Markov-switching model indicate two states: a state in which the stock market influences its coexistence with the housing market and a state in which the housing and stock markets are unrelated. Public optimism regarding stock market investments affects the probability of transitioning between these states.     

基于协整方法对贵州信息产业与GDP关系分析

协整概念是20世纪80年代由恩格尔—格兰杰(Engle—Grange)提出的,后来被众多计量经济学家发展成为协整理论。协整理论认为,尽管就单个时间序列而言是非平稳的,但是两个或多个非平稳时间序列一起漂移,这种共同漂移使得这些变量之间存在着长期的线性关系,因此说它们的某种线性组合可能是平稳的,说明这些经济变量存在长期均衡关系。协整的意义就在于它揭示了一种长期稳定的均衡关系,从理论上说,满足协整的经济变量之间不会分离太远,如果发生外在冲击,也只能使它们短时间内偏离均衡位置,在长期中他们会自动回复到均衡位置。协整理论克服了传统经济计量模型依靠差分后的数据来满足平稳性,导致长期变化趋势信息丧失的弊端,使模型同时综合了系统的短期动态波动和长期稳定均衡,为经济分析和预测提供了一种强有力的工具。     

GDP nowcasting: application and constraints in a small open developing economy

Despite data limitations, an attempt is made to find out if a GDP nowcasting model can provide reliable forecasts for a small open economy. Two competing Bayesian vector autoregressive models are tested rigorously to obtain the optimal model by minimizing in-sample forecasting errors. The main finding of this study is that GDP nowcasting can produce reliable results for a small open economy despite the unavailability of sufficient data sets and the lack of high frequency indicators.