基于高频数据的深圳基金市场日内周期性研究

本文利用深市基金指数高频数据,采用Anderson和Bollerslev(1997)提出的弹性傅立叶回归(FlexibleFourierFormregression,即FFF回归)方法首次对深市基金市场进行了日内周期性的研究。通过对高频收益的定性分析,发现基金市场具有同股票市场相似的周期性,并对这一周期性进行了初步的理论解释。通过FFF方法,将该周期因子进行滤波处理以后,基金指数高频绝对收益不再具有明显周期性。FFF回归能较好地确定日内周期因子。     

Intraday return and volatility spillover mechanism from Chinese to Japanese stock market

We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index more strongly than does the TOPIX (the market index of the Tokyo Stock Exchange). This result suggests that China has a large impact on Japanese stocks via China-related firms in Japan. Furthermore, we find evidence that this response has become stronger as the Chinese economy has gained importance in recent years.     

Long-memory and heterogeneous components in high frequency Pacific-Basin exchange rate volatility

Recent research examining high-frequency financial data has suggested that volatility dynamics may be confounded by the existence of an intra-day periodic pattern and multiple sources of volatility. This paper examines whether these dynamics are present in the US Dollar exchange rates of five Pacific Basin economies. Using 30-min sampled returns, evidence of a ‘U’-shape intra-day pattern in volatility for regional markets is reported and controlled for using a Flexible Fourier transform. Supportive evidence for the existence of multiple volatility components is offered by semi-parametric fractional difference estimates of the long-memory properties of absolute exchange rate returns at various intra-day data sampling frequencies. Further parametric evidence of an explicit component structure in such high frequency exchange rate volatility is offered by the estimates of a component-GARCH model which comprises both a long-run volatility component exhibiting slow shock decay and a short-run volatility component exhibiting far more rapid decay, and provides a generally superior fit to the data. Further application of these C-GARCH models in the analysis of high frequency volatility spillovers between the currencies considered also reveals that such spillovers are predominantly transitory rather than highly persistent in nature, but that where volatility spillovers do impact on the long-run component of exchange rate volatility the Australian Dollar plays a pivotal role in the localised causality transmission mechanism.      

公允价值会计顺周期性及其改进——基于金融危机的视角

近两年的金融市场动荡显示了会计信息的不确定性,公允价值会计（FVA）方法被引入到银行的资产负债表中,是金融机构首选的核算框架。FVA方法的缺陷可能会带来波动性和顺周期性,因此需要一些改进。资本缓冲、前瞻性的拨备和更完善的信息披露有助于减轻FVA方法的顺周期性。会计估值方法、审慎监管措施和风险管理之间需要相互协调,并根据各方要求作出调整。     

论服装的流行

从服装流行的定义着手，论述了人与服装的关系，人的心理因素对服装的制约是内在的，潜在的。不管流行毁多情又无情的特点，服装流行总有一定的周期和规律，流行随时间而循环，再现，但我们要活用流行。     

A New Econometric Model of Index Arbitrage

This paper introduces a new econometric model of the mispricing associated with (contemporaneous) differences between spot and futures prices. Like existing models, this model assumes that the level of arbitrage activity is positively related to the magnitude of absolute mispricing. However, unlike existing models, the new model assumes that a parameter governing a key feature of this relationship varies over time. Specifically, several versions of a smooth transition model of mispricing are introduced that each allow the shape of the transition function to be determined by a set of explanatory variables. Using high frequency data from the S&P 500 spot and futures market, the results show that the nature of the non‐linearity in mispricing corresponds to arbitrageur behaviour that varies (in a periodic fashion) over the trading day. This is evinced by the superior fit of the new model of mispricing, in comparison to the results based on existing econometric models of mispricing. Finally, the observed periodicity in arbitrageur behaviour indicates that arbitrageurs prefer to trade during certain periods within the trading day – a result that contradicts the findings obtained when using existing econometric models of mispricing.     

基于抗周期性角度的我国旅游产业政策效用评估研究——以四次旅游产业政策为例

旅游产业政策的效用评估是保证旅游产业政策科学性的有效手段.根据旅游产业政策效用评估的过程和目标,构建了旅游产业政策评估体系.对比国民经济和国内旅游的波动变化方向,得出国内旅游具有抗周期性结论.以1997年为界,国内旅游相对于国民经济而言,其从前期的滞后增长向后期的领先增长转变,从前期是国民经济增长的结果向后期是国民经济增长的动力转变.据此,1985年旅游产业政策,其对国民经济和旅游产业发展作用有限,且带来旅游产业结构高级化的下降;1991年和1993年旅游产业政策,其对国民经济发展意义不大,但对旅游产业发展起到了保健作用;1999年旅游产业政策,其对国民经济恢复起到了一定作用,对旅游经济发展也起到了一定激励作用;2009年旅游产业政策,即促进了国民经济发展,又激励了旅游产业发展,但也加深了旅游经济的脆弱性.     

财政投入教育的周期与经济增长因应:一个文献综述

教育财政投入与经济发展的关系成为学界关注的焦点。在相关研究中,学者们认为:政府对教育财政投入的增长,促进了经济的发展,经济的发展也促进了教育的发展,但教育投入与经济发展不是线性关系,教育投入的收益预期具有长期性,应处理好教育投入与直接经济投入的关系;教育具有公益性,政府应加大财政投入力度,注意教育公平;政府加大教育投资对人文环境和城市形象的改善具有重要影响,这对于促进经济转型也具有重要的意义。     

Bid-ask Spreads, Trading Volume and Volatility: Intra-day Evidence from the London Stock Exchange

This paper examines intra-day variations in the bid-ask spread, volatility and volume for stocks traded on the London Stock Exchange. The data set used consists of quote and transactions data for a large sample of 835 stocks traded during the first quarter of 1991. The focus of the study is twofold; first, is to document a number of stylized facts regarding the intra-day behaviour of spread, trading volume, volatility etc. Second, the paper tests some predictions of two theoretical models of intra-day behaviour: the Admati and Pfleiderer and the Brock and Kleidon models. In addition, the paper also studies qualitatively the intra-day behaviour of several variables of interest including volume per transaction, transactions per fifteen-minute interval and spreads/trading volume for stocks of differing liquidity. The results suggest that the bid-ask spread is wide at the open, constant through the day and rises slightly at the close. Trading volume, in contrast is not highest at the open and the close. Volatility, based on the mid-point of the inside spread, shows a U-shaped pattern. Volume per transaction, in contrast, is fairly constant throughout the day. Further, the intra-day trading volume pattern differs for liquid and illiquid stocks. The results provide mixed support for current theoretical models of intra-day behaviour of spread, volume and volatility on the London Stock Exchange     

Forecasting value at risk with intra-day return curves

Methods for incorporating high resolution intra-day asset price data into risk forecasts are being developed at an increasing pace. Existing methods such as those based on realized volatility depend primarily on reducing the observed intra-day price fluctuations to simple scalar summaries. In this study, we propose several methods that incorporate full intra-day price information as functional data objects in order to forecast value at risk (VaR). Our methods are based on the recently proposed functional generalized autoregressive conditionally heteroscedastic (GARCH) models and a new functional linear quantile regression model. In addition to providing daily VaR forecasts, these methods can be used to forecast intra-day VaR curves, which we considered and studied with companion backtests to evaluate the quality of these intra-day risk measures. Using high-frequency trading data from equity and foreign exchange markets, we forecast the one-day-ahead daily and intra-day VaR with the proposed methods and various benchmark models. The empirical results suggested that the functional GARCH models estimated based on the overnight cumulative intra-day return curves exhibited competitive performance with benchmark models for daily risk management, and they produced valid intra-day VaR curves.