本文从LJM经济理论的观点出发，给出了经济通胀模型，阐述了经济通胀、经济滞涨及经济通缩的相互关系，阐述了经济通胀产生的原因，描述了在完全市场经济条件下，通胀经济的自然演化过程和后果，并给出治理经济通胀的量化办法。

本文采用四种方法来测度中国公司债的非流动性, 考察了公司债层面、市场层面影响中国公司债非 流动性的因素, 最后讨论了公司债非流动性、权益波动率、印花税调整等因素对公司债风险溢价的影响. 研究 发现, Amihud (2002)是衡量中国公司债非流动性较有效的方法. 在截面上只有Amihud (2002)非流动性测度 对公司债风险溢价有正的显著影响. 此外, 公司权益波动率和2008年的两次印花税调整对公司债风险溢价有正 的稳健显著影响. 在控制了信用风险后, 公司年化权益波动率提高10个百分点, 公司债风险溢价大约提高45个 基点; 2008年的两次印花税调整对公司债风险溢价有正的显著影响, 2008年4月24日、2008年9月19日印花税 调整后, 债券投资者比调整之前多要求大约50、60个基点的额外风险补偿.

This is a contribution to a conference volume for the 2010 National University of Singapore Symposium on ―Law and Development in China - The Legal Dimension of China’s Development Model.‖ The paper aims to shed some light on the way forward for the Chinese securities markets. It examines the desirability of financial markets for broader economic development, and presents the national market system implemented by the US and the norms in the EU’s MiFID that promote competition among and integration of securities markets and alternative trading venues. The paper assesses the current state of the Chinese securities markets, where according to law trading is concentrated on traditional exchanges, against the backdrop of the rapidly evolving (disintegrating) US and EU markets. Clearly, China will be able to learn much from the experiences of the US and EU, but the route that China will take for further evolution of its national market for securities can at this point be neither predicted nor projected.

Using the introduction of margin trading in China, this study examines the effects of margin trading on the informativeness of trades and stock market liquidity. Using the methodology of Hasbrouck (1991 and 1993), I find that allowing investors to trade on margin leads to more informed trading. This increase in informed trading is mirrored by an increase in the adverse selection component of the bid-ask spread and a decrease in the relative weight placed on public information in trading decision. The discussed findings are more pronounced for stocks with relatively high levels of margin trading. Overall, the findings in the paper suggest that margin trading may lead to more information-based trading and lower levels of stock market liquidity.

China?s recent removal of short selling and margin trading bans on selected stocks enables testing of the relative effect of margin trading and short selling. We find the prices of the shortable stocks decrease, on average, relative to peer A-shares and cross-listed H-shares, suggesting that short selling dominates margin trading effects. However, there is negligible short sales activity and contrary to the regulators? intention, and recent empirical evidence, liquidity declines and bid-ask spreads increase in these shortable stocks. Consistent with Ausubel (1990), together these results imply uninformed-investors avoid these stocks to reduce the risk of trading with informed-investors.

The 2005 split-share reform in China mandated the conversion of previously non-tradable shares into tradable status. The reform was swift and changed investors?ability to trade corporate equities in a US$400 billion market. This paper examines the e¤ects of the 2005 stock market reform on ?rms? real and ?nancial outcomes. It does so exploiting multiple institutional features of the conversion program. We ?rst examine a small pilot trial conducted at the beginning of the reform, which we are able to replicate using the same data and selection criteria that was used by regulators. We also take advantage of the staggered nature of the larger conversion schedule, whereby over a thousand ?rms converted their outstanding shares at di¤erent times within a pre-speci?ed window. These various wrinkles produce counterfactuals against which to gauge the economic e¤ects of secondary equity trading. Using a time-varying treatment estimation approach, we identify increases in corporate pro?tability, investment, value, and productivity as pre-existing shares were allowed to trade in or- ganized exchanges. We also identify changes in ?rms?propensity to issue new shares, pay dividends, and engage in merger deals. Our ?ndings provide new insights on the role of stock markets in shaping corporate behavior and on the impact of regulation on economic growth.

Statistics reporting litigated cases of fraud on an exchange-by-exchange basis are not readily available to investors. This paper introduces data from three countries with multiple exchanges with different listing standards, – Canada, the United Kingdom and the United States – to show litigated cases of fraud significantly vary by country, and the different exchanges within the country. Comparisons are also made to Brazil, China and Germany to assess out-ofsample inferences. The data examined suggest listing standards have a strong influence over the nature of observed fraud by securities commissions within the United States; by contrast, outside the United States there appears to be a comparative lack of enforcement. The data also suggest policy implications for the ways in which fraud ought to be reported to improve investor knowledge, market transparency and market quality.

This paper documents different timeliness in disseminating sanction and enforcement information (SEI) by two types of regulatory agencies in China and the different consequences that flow from them. The China Securities Regulatory Commission (CSRC) does not make timely public disclosures of SEI and, instead, leave it up to the firms to make a public announcement under their general obligation to disclose price-sensitive information. The firms therefore have considerable discretion in deciding whether and when to disclose SEI. In contrast, the stock exchanges in Shenzhen and Shanghai make SEI public promptly through the media and the exchanges’ official websites. Using Chinese SEI data during the period 1999 to 2005, we find that the CSRC approach is associated with significantly lagged corporate disclosure (compared with the timely stock exchange approach) and a significantly negative (but delayed) stock price reaction. We also show that the sanctioned firm may take advantage of the less timely CSRC approach to delay its disclosure of SEI for opportunistic reasons such as completing material transactions. We conclude that the CSRC should make immediate public announcements of SEI as these contain price-sensitive information. Furthermore, the immediate dissemination of SEI will bring the CSRC into line with the disclosure practices of China’s stock exchanges and international market regulators.

Different from developed markets, Chinese government imposes strict control over the IPO market. Using a sample of 156 monthly returns over the period of 1996 to 2008, we find a positive relationship between the monthly issuing size and prior market return, suggesting that government decides the timing and size of issuance based on prior market condition. Different from previous findings, we find no evidence of decline in subsequent market return after IPO. However, IPO issuance has a significantly negative impact on the return momentum effect, while the degree of impact is indifferent to issuing size. We conjecture that the overall mild impact on subsequent market results from the government control over the IPO market.

Using a unique database over local Chinese securities firm’s earnings forecasts and stock recommendations, it is shown that the average forecast error has decreased over time reflecting the maturing of the Chinese securities firms. Affiliated securities firms, defined as securities firms acting as investment banker/underwriter services, provide better earnings forecasts than un‐affiliated firms which is contrary to findings from other countries. Also, forecast errors produced by local securities firms and star analysts are smaller. Finally single authored reports have larger forecasts errors than reports with several authors. In general financial markets react to stock recommendations from securities firms, but markets du not react differently to stock recommendations from affiliated and un‐affiliated and local and non‐local firms despite their superior earnings forecasts. As for affiliated firms, local securities firms provide better forecasts but these are not recognized by the financial markets in their reactions to stock recommendations. On the other hand financial markets react stronger to recommendations from highly ranked securities firms compared to lower ranked firms even though there is no difference in their ability to forecast earnings. Finally financial markets react stronger to stock recommendations by star analysts.