The spillover effects of infill developments on local housing prices

This paper examines the spillover effects of infill developments, which involve developing vacant or under-used parcels within existing urban areas that are largely developed, on local housing prices. Employing a difference-in-difference specification on a sample of 275 new developments and 55,887 sale transactions of houses in Singapore, we find that infill developments have a positive and persistent impact on local housing prices. The contagion effect is larger for infill developments that are built on teardown sites. The spillover effect can also be traced to the overpricing of new homes by developers. Overall, the evidence indicates that developers act as price leaders and contribute significantly to price discovery in the local housing market.     

Jump dynamics,spillover effect and option valuation

In this paper, we propose an affine discrete-time model that incorporates the jump process and spillover effect for valuing the 50 ETF options in China. Based on the proposed model, a closed-form solution is also derived for the new dynamics of underlying asset, which facilitates option pricing. The empirical results show that the proposed model offers greater economic benefit with reduced pricing errors than the traditional benchmark models, including the popular HNGARCH model of Heston and Nandi (2000), GARV model of Christoffersen et al. (2014), and BPJVM model of Christoffersen et al. (2015). Our finding is important for financial risk management and investment in Chinese derivatives market.     

中国股票市场风险和收益风格效应的非参数检验

本文利用Kendall协同系数检验考察我国股票市场风险和收益的风格效应。通过实证研究首次发现各风格指数的收益率、总风险及指数特有风险均具有明显的分层结构,风格效应显著。对影响风险和收益的风格因素进行的分析表明:股票风险受规模因素的影响十分明显;而股票回报率受价值因素的影响比较显著,受规模因素的影响不明显。并进一步用Spearman相关系数考察了风险与收益之间的秩相关性。本文研究结果对资产配置和风险监管等问题具有参考价值。     

封闭式基金的市场流动性研究

本文在给出一个改进流动性指标的基础上 ,利用该指标对封闭式基金的市场流动性进行了分析。研究发现 :封闭式基金市场流动性不存在周内效应 ,周内也无显著的变动模式 ;封闭式基金流通股本规模对市场流动性有显著影响 ,市场偏好次小盘基金 ;封闭式基金市场流动性总体上对基金折价没有显著影响。     

Empirical Analysis of the Market Effects of China＇s Listed—— Company＇s Dividend Policy ——Empirical Evidences from Shanghai Stock Exchange from 2004 to 2005

Dividend policy is one of the three core contents of financial management in listed companies. On one hand, it is the extension of financial and investment activities; on the other hand, appropriate dividend policy can not only set up a good company reputation, but also arouse enthusiasm of many investors to continue invest in this company, consequently acquire long and stable development opportunities and conditions. In this paper, the author has put forward some suggestions in order to solve the problems which existing in Chinese listed companies＇ dividend policies based on the result of positive test. Firstly, optimize the structure of equity title and perfect the corporate governance. Secondly, to establish wholesome shareholder protection mechanism, and also it is important measure for investors, especially medium and small investors to protect their rights and interests. According to the present situation of Chinese stock market, the authors consider we can protect the shareholder＇s benefits by carrying out cumulative vote system, establishing hortative derive lawsuit system, perfecting civil compensation system and establishing shareholder voting removing system and so on. Thirdly, the establishment of listed companies＇ dividend policy and the release of message should be standardized for the sake of good relationship of melon-cutting and corporation＇s refinancing plan. Finally, listed companies＇ dividend policy can be optimized by modifying and perfecting stock dividend distribution mode of accounting management, perfecting exit mechanism of listed companies.     

Estimation methods for stochastic volatility models: a survey

Abstract.  Although stochastic volatility (SV) models have an intuitive appeal, their empirical application has been limited mainly due to difficulties involved in their estimation. The main problem is that the likelihood function is hard to evaluate. However, recently, several new estimation methods have been introduced and the literature on SV models has grown substantially. In this article, we review this literature. We describe the main estimators of the parameters and the underlying volatilities focusing on their advantages and limitations both from the theoretical and empirical point of view. We complete the survey with an application of the most important procedures to the S&P 500 stock price index.     

淤泥固化技术的研究综述

随着环境整治工作的不断深入,淤泥的大量产生已经成为不可避免的事实。面对我国人口增长与耕地减少的矛盾,淤泥的开发是解决矛盾的有效途径。因此淤泥的开发利用是最有价值的潜在资源,淤泥的固化技术有很大的发展前景。     

欠发达地区旅游政策演变及趋势展望———以贵州省为例

旅游政策是欠发达地区加快旅游产业发展、调控旅游产业运行的主要手段。虽有不少学者分别从不同角度对旅游政策进行研究,但对于经济欠发达地区的旅游产业政策研究缺乏动态性、针对性和代表性。本文以欠发达、欠开发的贵州省为例,在制度变迁理论的指导下,以旅游地生命周期理论发展阶段为线索,从旅游政策发展演变与旅游地发展演变具有相互影响、相互作用的关系入手,对贵州旅游政策外事接待、经济优先、协调发展演变过程进行分析,在对各阶段政策效用评价的基础上,总结了旅游发展大会、“多彩贵州”形象推广、“两赛一会”模式、乡村旅游和四位一体等成功经验、分析主要存在旅游政策缺乏动态性、持续性、方向性、操作性和灵活性、缺乏监督考核评价机制和旅游业研发政策力度支持较弱等问题,探讨了贵州旅游政策目标、机制体制、市场、产品、空间布局政策体系以及不同生命周期阶段的旅游产业政策实施重点等演变方向与趋势。     

Was there a Portfolio Effect of the Micro-economic Leverage ？ Some Empirical Evidence from the Chinese Stock Market

The study is on a linear model of the relationship between the systematic risk and the micro-economic leverage and analyzed the data from the steel, energy source and chemical fibre industry listed companies in the Chinese stock market in 2002 and 2001. Using the linear regression method, empirical equations were found. The portfolio effect was shown so that some empirical evidence had been found to support the micro-economic leverage portfolio effect theory, which was that the listed companies balanced the operating and financial leverage to minimize the systematic risk.     

中国城市中的三种贫困类型

我们课题组在 1 999年进行了一次覆盖六省市的住户调查。本文利用这次调查数据对中国城市贫困的性质和特点进行了考察。通过综合考虑收入标准和消费标准 ,我们把中国城镇贫困分为三种类型 ,即持久性贫困、暂时性性贫困和选择性贫困。在贫困人口中 ,有一大部分是属于选择性贫困 ,即他们的收入高于贫困线而消费低于贫困线。我们对贫困户的消费函数进行了估计 ,其结果显示以下几个因素对贫困状况产生重要的影响 :修匀收入的效应 ;人们防备外部环境不确定性的心理 ;人们为将来投资而进行储蓄的行为 ;家庭对子女教育和医疗服务的特别需要。我们还对三种贫困类型进行了比较分析 ,从中发现预测的金融资产和预测的收入 ,以及教育和医疗的特殊需要都对不同类型的贫困户的消费行为起到重要的影响作用