We develop a nonparametric specification test for continuous-time models using the transition density. Using a data transform and correcting for boundary bias of kernel estimators, our test is robust to serial dependence in data and provides excellent finite sample performance. Besides univariate diffusion models, our test is applicable to a wide variety of continuous-time and discretetime dynamic models, including time-inhomogeneous diffusion, GARCH, stochastic volatility, regimeswitching,jump-diffusion, and multivariate diffusion models. A class of separate inference procedures is also proposed to help gauge possible sources of model misspecification. We strongly reject a variety of univariate diffusion models for daily Eurodollar spot rates and some popular multivariate affine term structure models for monthly U.S. Treasury yields.

近几十年来，随着全球各行业国际化趋势的加剧，境外上市日益形成一种重要的趋势。各国证券交易所及市场为在全球证券交易中扮演更吃重的角色，纷纷利用提高技术水平及放松资本流动限制等手段吸引国际企业在各自市场发行股票。本文主要内容有： 1.异国上市的动机分析 2.美国市场上市的主要裨益 3.美国公开上市的形式及其选择，ADR 和GRS; 主要银行在各类形式上的分布 4.建议

Price and quantity are the two fundamental variables in the analysis of market interactions. Yet the study of financial markets has focused primarily on the behavior of asset prices and their relation to economic fundamentals. Much less attention has been devoted to the understanding of quantities such as trading volume. Only recently, there has been a growing body of work to link price {\it and} volume to economic fundamentals. In this paper, I review some of these work within a unified framework. I start by describing an intertemporal asset pricing model that explicitly models investors' trading motives, their optimal portfolio choices and the resulting equilibrium asset prices. I then examine the price-volume implications within the framework of the model. Finally, I discuss the results from the empirical analysis of volume and stock returns based on the data of the U.S. stock market. The theoretical analysis together with its empirical support clearly demonstrate that volume and prices are jointly linked to the economic fundamentals, e.g., the risks of the assets and the investors' attitude toward them. Moreover, the behavior of volume is closely related to the behavior of prices and from which we can learn a great deal about the prices as well as the economic fundamentals.

在二级银行体系信用货币制度下，银行存款大于贷款是很正常的现象。由于我国长期实行的“大一统”银行制度及中国人民银行在正式履行中央银行职责后很长一段时间内实行的特殊的信贷管理体制，导致大量基础货币被金融机构直接用来发放贷款，这是造成我国长久以来出现“贷差”的原因。本文在总结目前国内有关“存差”的主要观点后指出，当前理论界认识上的混乱根源就是没有认清二级银行体系和信用货币创造过程与存贷差额形成的关系，为此本文从信用货币创造的原理出发，证明了基础货币运行途径的不同，尽管不会影响货币创造，但确是造成出现“存贷”或“贷差”现象的原因。本文还对我国1952年以来的实际情况进行了经验分析，并结合1985年以来的数据进行了实证检验。

中国资本项目开放是人民币外汇体制改革的最终目标，而开放进程中的排序是决定资本项目开放能否成功的关键因素之一。本文以排序问题作为研究主题，试图为中国的资本项目开放提供一个理论思路。笔者先对资本项目开放的概念作了界定，并指出了几点需受到注意的地方。然后对于资本项目开放产生的影响从五个方面作了比较深刻的分析。在阐述完这些分析基础之后，笔者对世界范围内资本项目开放国家采取的排序作了一个比较研究，为中国的资本项目开放排序研究作进一步铺垫。本文重点就是在总结上述分析的基础上，提出了我国资本项目开放的顺序安排，并对照现在的开放历程，指出我国实践与理论并未完全符合这一事实，并分析了这一事实的产生原因。

Based on prospect theory and individual investors’ biases such as representativeness heuristic and conservatism, we establish a behavioral model to explain the contrarian effect in China’s financial market. We find that contrarian effect is mainly attributed to trend chasing instead of disposition effect. Our model also suggests that small-cap stocks show stronger contrarian effect, phenomena confirmed by empirical research.

【摘要】本文通过对上海证券市场所选样本股票52个月的周收益率进行计算，得到了样本股的β系数，并在此基础上对β系数在行业分布上的特征、稳定性以及在熊市牛市中的表现进行了研究。 Abstract Using the data of stock’s weekly return within the past 52 months in Shanghai Stock Market, this paper calculated the beta coefficient of sampled stocks, and based on these, analyzed its characteristic in different industries, stability, and manifestation in both bearish market and bullish market.

本文对金融一体化与国际资本流动趋向之间的相关关系进行了理论和实证研究，认为随各国之间金融一体化趋势的增强，资本在国际间流动的波动性和易变性会逐渐减弱，国际资本流动的稳定性将逐步上升。发展中国家推动一体化进程并不必然会吸引大量国际资本内流，其根本利益在于建立和完善开放的市场经济体制。

保险产品的市场价值评估是保险公司战略管理研究的重要内容，本文主要介绍利用效用函数、概率转移矩阵两种方法对客户资源价值进行评估。

关于房价和地价的关系，一直是理论和实业界争论不清的问题。本文运用1998年以来我国房屋价格和土地交易价格指数的季度数据，根据格兰杰因果检验的方法，表明近年来房价是推动土地价格上涨的原因，而土地价格则始终不是房价上涨的原因。故此，当前流行于业界的地价推动房价的观点是站不住脚的。当前，政府应当继续稳定有关房地产的各项宏观调控政策，进一步做好规范土地管理、加强市场竞争等深层次市场化改革，而不能由于现有利益集团的各种寻租行为而干扰决策的制定与执行，也只有这样，才能够从根本上确保我国房地产市场取得长远、健康的发展。