金融期货价格波动限制机制探讨

金融期货价格稳定机制延缓了价格发现过程，并造成了流动性干扰，但从降低期货、现货交易总成本来讲，它还是利大于弊，因此设置价格波动限制是一种可行的政策，而且在期货、现货市场同时设定的效果最好。此外，从不同价格波动限制方式的影响来看，选择弹性涨跌幅限制可较好地发挥价格限制的好处，减小价格限制的不利影响。     

R&D Progress, stock price volatility, and post-announcement drift: An empirical investigation into biotech firms

I investigate the effects of R&D progress on the dynamics of stock price volatility and the post announcement drift to provide insights into whether or not and how capital markets react to corporate R&D progress in the context of the biotech industry. I find both stock price volatility and the post announcement drift decrease in R&D progress. More importantly, the decrease is proportional to the increase in the drug development success rate driven by R&D progress. Findings suggest that R&D progress conveys useful risk-relevant information, and plays an important role in explaining stock price volatility change and market anomalies.     

Modelling return and conditional volatility exposures in global stock markets

This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It provides evidence that conditional stock market return volatilities have a contemporaneous association with global return volatilities. While all the countries included in the study exhibited a significant and positive relationship to global volatility, emerging market volatility exposures were considerably higher than developed market exposures. JEL Classification G12     

Do the Forward Sales of Real Estate Stabilize Spot Prices?

We examine the effect of forward sale (pre-sale) activities on the volatility of spot prices in the real estate market. The abundance of pre-sales data and major changes in regulatory control on the pre-sale market during the 90's in Hong Kong allow us to undertake empirical tests using Hong Kong's real estate data. Our results show that the volatility of spot prices increased significantly after forward sales were severely dampened by regulatory control measures introduced in 1994, but decreased again when the measures were partly relaxed in 1998. The results contribute to the long lasting debate on whether the introduction of a futures market reduces the volatility of spot prices. Previous studies were mainly conducted in markets with low transaction costs, notably financial markets. By utilizing the unique regulatory changes in the pre-sale market of Hong Kong, we are able to conduct an experiment on the conditional volatility of spot prices in a high information-cost environment, thereby shedding light on the important role of forward housing contracts in providing price expectation information for spot trading.     

电网企业优化购电成本方法研究与实证分析

通过购电成本结构分析,指出了当前发电计划编制及执行中存在的问题和当前发电计划编制对电网购电费的影响。重点研究了有关降低电网购电成本的方法及实证,并为政府价格相关部门提出创建节能型社会的政策建议。     

Dynamic volatility and external security related shocks: The case of the Athens Stock Exchange

This paper analyses the impact of exogenous national security related shocks on the time-varying volatility structure of the Greek stock market. Alternative autoregressive conditional heteroscedastic models are estimated, in order to identify the best fit that adequately describes return volatility behavior, testing symmetric as well as asymmetric innovation responses. An external national security related shock factor is included as well as a military crisis dummy, in order to depict possible implications for the conditional variance. The empirical findings appear to support a statistically significant impact of both national security related factors on the Athens stock market returns.     

A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets

Valuing high-dimensional options has many important applications in finance but when the true distributions are unknown or complex, numerical approximations must be used. Approximation methods based on Monte-Carlo simulation show a steep trade-off between estimation accuracy and computational efficiency. This article presents an alternative semi-analytic approximation method for pricing options on the maximum or minimum of multiple assets with unknown distributions. Computational efficiency is shown to improve significantly without sacrificing estimation accuracy. The method is illustrated with applications to options on underlying assets with mean-reverting prices, time-dependent correlations, and stochastic volatility The authors would like to thank the two anonymous referees, the associate editor, and Dr. Jess H. Chua at the University of Calgary for valuable comments and insights on this research. This research was partly supported by NUS grant R-146-000-059-112     

Board Members and Company Value

This essay surveys research about the value of individual members of boards of directors. When directors join or exit corporate boards, company stock prices respond, often in magnitudes of 1% of firm value or more. Related research shows that when a significant event impacts the stock price of one company, the effects are transmitted to other companies that share board members in common with the primary company. Share price reactions are sensitive to variables such as a director’s occupation, independence, and professional qualifications. Together, this evidence suggests that a well-functioning market for directors might already exist, making direct regulation unnecessary and possibly counter-productive.     

印花税调整对股票价格影响的实证研究

印花税下调在短期内对大盘股指产生显著影响,但这种影响随时间的推移而逐渐减弱;税率下调对沪市和深市单只股票具有冲击效应,个股产生正的超额收益;税率下调对两市的大盘波动性产生显著影响,刺激了"噪声交易者",在短期内产生了噪声效应。目前印花税仍然存在一些不足,建议:拓宽税基,改双向征税为单向征税,尽快开征股票交易税。     

Two Views of Accounting Measurement

The two views to be addressed here are the Chambers/Sydney view that accepts only one measurement method—current net realizable price—and the Staubus/mainstream view that accepts several measurement methods in the same financial report. These two views became well-established in the literature of accounting in the 1960s and their proponents have clung tenaciously to their oft-criticized positions for some forty years. However commendable their original expositions may have been, their continuing existence does no credit to the small coterie of accountants now interested in theory.
This article is aimed at 'narrowing the areas of difference' between adherents to the two views by isolating fundamental bases for them and exposing the reasoning supporting their structures. In a nutshell, they differ in their objectives and they can be expected to survive unless their adherents agree on the objectives of financial reporting.