比较优势与西部开发

落后地区在实现“追赶战略”中有着潜在“比较优势”;西部欠发达地区“比较优势”难以发挥的原因是市场机制不足;西部地区走出困境、重新赢得“比较优势”的内生要求是市场充分运行。     

Testing for weak-form efficiency of crude palm oil spot and future markets: new evidence from a GARCH unit root test with multiple structural breaks

There is a sizeable literature that tests for weak-form efficiency in commodity and energy spot and future prices. While many studies now allow for multiple structural breaks to address the criticism that conventional unit root tests have low power to reject the unit root null in the presence of structural change, the extant literature overlooks the fact that conventional unit root tests are biased in the presence of conditional heteroscedasticity. We apply a recently developed generalized autoregressive conditional heteroscedasticity (GARCH) unit root test with multiple structural breaks to crude palm oil spot and future prices and find much more evidence against weak-form efficiency than that found using tests that fail to allow for conditional heteroscedasticity. Our results point to the importance of allowing for heteroscedasticity when testing for efficiency in commodity and energy spot and future prices.     

The effects of domestic rice market interventions outside business-as-usual conditions for imported rice prices

The Philippine government intervenes in the domestic rice market through the imposition of import tariffs and the provision of producer and consumer subsidies. While policymakers are aware that these programmes come with allocative efficiency costs, they justify the programmes on the grounds that they insulate the domestic economy from unexpected price spikes in the international rice market. An interesting matter for policy evaluation is to quantify the insulation benefit that the programmes provide in circumstances of sudden severe import price spikes. To examine this question, we undertake a dynamic computable general equilibrium (CGE) simulation in which the Philippines is subject to an external rice price shock. We find that the insulation benefit of the support programmes under a 2008-like event is worth approximately 0.10% of real consumption. However, the cost of insuring against these price spikes is significant. We estimate the annual cost of the rice market interventions at approximately 0.40% of real consumption.     

Technological forecasting at the Korean stock market: A dynamic competition analysis using Lotka–Volterra model

The purpose of this paper is to attempt to analyze the dynamic relationship between the Korean Stock Exchange (KSE) and Korean Securities Dealers Automated Quotation (KOSDAQ), two competing markets at the Korean stock market, in the viewpoint of technological forecasting of competition. The Lotka–Volterra system of equations, one well-known competitive diffusion models, is adopted to represent the competitive situations of the Korean stock market and it is estimated using daily empirical index data of KSE and KOSDAQ during 1997–2001. The results show that there existed a predator–prey relationships between two markets in which KSE acted as a prey for the time being after the emergence of KOSDAQ. This interaction was altered to symbiotic relationship and finally to pure competition relationship. We also perform an equilibrium analysis of the estimated Lotka–Volterra equations. As a result, we find that there is an equilibrium point in a dynamic sense. However, the equilibrium point could be unstable in the latest pure competition relationship.     

Cross-sectional and time-series momentum returns and market dynamics: evidence from Japan

We test the behavioural theories of overconfidence and underreaction on cross-sectional (CS) and time-series (TS) momentum returns in the Japanese stock markets. Both CS and TS momentum returns are large and significant when the market continues in the same state and turns into losses when the market transitions to another state, consistent with the overconfidence but not the underreaction model. We find that TS conditional momentum returns exceed conditional CS momentum returns because of its active position since TS takes a net long (short) position following UP (DN) markets while CS is a zero-cost strategy irrespective of the market state. Finally, we find no relation between idiosyncratic volatility (IV) and momentum returns which is not supportive of either the overconfidence or underreaction model but implies that IV is not a significant limit to arbitrage in Japan.     

The effect of mergers and acquisitions on environmental,social and governance performance and market value: Evidence from EU acquirers

This study explores the effect of environmental, social, and governance (ESG) performance on market value and performance in the context of mergers and acquisitions. We examine whether acquisition of targets with better ESG performance can help acquirers to increase their own ESG performance and whether the market values the increased ESG performance positively. Moreover, we explore whether the acquisition of targets with better ESG performance affects the market value of acquirers. For this study, we utilize a sample of 100 European mergers and acquisitions between 2003 and 2017, for which matching data on the ESG performance of both the target and acquiring firms are available. Our results show that the postmerger ESG performance of the acquirer increases following the acquisition of a target that has higher ESG performance than that of the acquirer in the premerger stage, whereas the postmerger market value of the acquirer increases following an increase in the acquirer's postmerger ESG performance in relation to its premerger ESG performance. Finally, we provide partial evidence of a positive relationship between the postmerger market value of the acquirer and the acquisition of a target with higher ESG performance than itself in the premerger stage.     

基于中国股市微观结构的流动性与执行成本分析

运用市场微观结构理论来分析中国股市的交易制度、流动性和执行成本后发现:(1)在佣金和交易税相等的条件下,B股的知情交易者执行成本普遍大于A股,导致B股的流动性小于A股,买卖价差显著大于A股,表明投资者对B股交易要求较高的风险报酬;(2)一旦控制住执行成本中普通交易者对知情交易者所要求的风险补偿,A、B股买卖价差的区别就消失了。因此,证券管理部门应在B股市场引入做市商制度并在微观结构理论的指导下,加强交易监管系统,从而提高B股的流动性并降低其执行成本。     

Mankind at the Starting Point

The most striking feature of the current economic situation in Spain is the huge unemployment rate, above 25 percent. From an orthodox perspective, we suggest that this unemployment is the result of a highly inflexible labor market, which needs to be reformed by introducing flexibility measures. The paper argues, however, that labor market reforms introduced since the early 1980s, allowing an excessive use of temporary employment contracts, have had perverse effects on the Spanish economy. They have affected negatively not only aggregate demand and supply, but also income distribution. The emergence of these market reforms helps explain the current rate of unemployment as well as the deep impact of the global financial crisis on overall Spanish economic activity.     

The 2007-2009 Financial Crisis on Emerging Markets： Quantitative Identification of Crisis in Continent-based Regions

This paper focuses on a direct quantitative identification of crisis periods in selected emerging stock markets from four continent-based regions of Europe, Latin America, East Asia, and Middle East and North Africa （MENA）, in the context of an influence of the 2007 U.S. subprime financial crisis. The 17 emerging stock markets and, for comparison, the U.S. stock market are investigated. A statistical method of dividing market states into bullish and bearish markets, based on monthly logarithmic returns of major stock market indexes, is employed. The analyzed sample period begins in January 2003 and ends in December 2013. As there is no unanimity in the literature about the crisis periods in the continent-based regions, a formal statistical identification of crises is worthwhile to conduct. Furthermore, the effect of increasing cross-market correlations in the crisis compared to the pre-crisis period in the context of contagion is examining. To address this issue, both standard contemporaneous cross-correlations and volatility-adjusted cross-correlations are applied. The results are consistent with the literature and confn＇m that tests for contagion based on cross-market correlations are problematic due to the bias introduced by changing volatility in market returns. As contagion can be confused with globalization, the globalization tests in the group of international investigated markets are employed. The results generally do not confirm a global world market integration effect, i.e. there is no reason to reject the research hypothesis of no globalization during the 2007-2009 financial crisis.     

江苏省物联网产业培育机制研究

物联网产业培育机制的设计是物联网产业化发展的关键,对物联网产业培育机制进行研究具有重要的现实意义。文章从物联网产业市场培育、技术培育、政策支撑的角度对江苏省物联网产业的培育机制设计进行了系统的研究。从产业属性、产业培育原则、产业培育内容三个维度构设计了江苏省物联网产业的整体培育思路,并提出了建立江苏省物联网产业市场培育机制、技术培育机制、政策支撑体系的对策,将为江苏省物联网产业的培育提供参考。