ARCH类模型是刻画序列波动集束（volatility clustering）和异方差（heteroskedasticity）的有力工具，本文以沪深股市中248支个股作为样本，借助GARCH－M和TARCH－M模型对股票收益率的波动进行实证分析，并对实证结果作了一些初步的探讨。

日本银行机构在20世纪80年代迅速扩张，同时产生了高比例不良贷款，使日本银行体系变得更加脆弱，如何解释脆弱的日本银行体系？如何预测展望日本银行体系的脆弱度的变化？这是本文试图回答的，首先看银行脆弱度的测定，其次回顾脆弱的日本银行体系和分析其生成机制，再次做出展望。

本文采用连续时间的多重复合期权Geske及其扩展模型来解决多阶段投资决策问题，在基本Geske公式基础上，给出了具有时变参数的连续时间N重复合期权的扩展Geske公式，并对采用Geske公式和离散期权模型得出的数值结果进行了比较。实例结果分析比较表明，利用已发表的算法和目前的普通PC计算机和数学工具软件，如DATAPLOT、MATHEMATICA等，对连续时间的N重复合期权模型(N ≤ 10)的数值解求解不再具有困难，并且可以得到较其他方法更高精度的计算结果。 Abstract: This paper make uses of N-fold continuous compound option formula to resolve multi-stages investment decision problem, and give an expansion of basic Geske formula to N-fold continuous time option with variable parameters, and then make a comparison of the results of adoption expanded Geske formula with other discrete option formulas such as binomial and trinomial formula. The results show, by means of the popular home PC with mathematic software, such as DATAPLOT, MATHEMATICA etc., the solution procedure if n ≤ 10 is quite easy with a no difficult, and can get the results with higher accuracy than other solution method.

The current paper is concerned with exploring information contained in a series of undisclosed orders that are submitted by the same broker, using this information to estimate the volume contained in the current undisclosed order, and further investigating the trading patterns followed by stockbrokers in the use of undisclosed orders. In an ARMA framework, the estimation results suggest that the information revealed in past-executed undisclosed orders of a stockbroker is explanatory to the volume of the current undisclosed order submitted by the same broker. As a supplement to the current literature relating to the package-trading patterns detected in large disclosed orders, the current study finds that stockbrokers follow the same pattern in the use of undisclosed orders. A practical application of this method is to use it for the prediction of the volume enclosed in a given undisclosed order.

: 养老基金进入资本市场进行保值增值是发展趋势。养老基金入市要面临许多问题，本文仅就养老基金入市管理、投资运作、风险防范等问题进行分析。

研究内幕交易对证券市场及对不同经济人的影响，了解内幕交易在市场上的表现。由于内幕交易的实质是基于重要的非公开信息而在交易中占优的一种行为，人们直觉上认为应能够取得超常收益，因此，内幕交易能否取得异常收益成为实证研究中必须首先回答的问题，也是金融经济学研究内幕交易的起点，以此推断内幕交易的信息含量就成为必然的研究主线。本文概述了国外的研究现状以及存在的问题。

本文通过不流通和流通股的本质分析，提出了以建立相对流通市场来实现全流通的方案，所谓相对流通就是国有股、法人股交易以后，冻结一个时期然后流通。由于资金的时间价值和股票的流通性决定了非流通股在交易时，价格会低于流通时的价格，因此，非流通股东和流通股东可以共同分享全流通带来的溢价收益。这种方案可以最大限度地维持市场的稳定，平衡非流通股和流通股股东的利益，产生良好的社会效益。和现行的方案相比具有可操作性强的特点，而且在全流通过程中，让市场规律发挥最大的作用，减少了人为偏差因素造成的再次分配不均。

In August 2000 the Singapore Stock Exchange introduced a pre-trading routine that allowed brokers to place orders into the Exchange’s computerized order matching system for a period of 30 minutes prior to market opening. A post-market trading routine was also introduced allowing for a final order matching and trade execution to occur five minutes after market close. This study investigates the impact of these changes on volatility and the price discovery process. The pre-trading session significantly reduced opening stock market volatility while the post-trading session increased volatility prior to close. A GARCH (1,1) model remains the most appropriate model for capturing the characteristics of the intra-day stock price movements in both before and after periods.

对我国目前票据利率体系失衡的原因进行了分析，现行过低的承兑费率完全不能覆盖正常的风险损失，对快速增长中的银行承兑业务形成了巨大隐患；现行贴现利率必须在再贴现利率之上的利率管制与市场机制形成了悖论关系。对此提出，提高银行承兑费率，实行下限管理；对贴现利率实行市场化，以此逐步提高商业银行利率定价与利率风险管理的水平。

This paper examines the optimal path of dividend policy adjustments for a growth company facing the likely threat of takeover. Departing from the common framework of inefficient managers resisting takeover attempts, the formal analysis here focuses on defensive payout strategy of value-maximizing management under the circumstances of random stock market valuation errors, and the bidders’ perceived synergistic gains. A dynamic model, incorporating acquisition activity stochastically, is formulated for a growth firm drawing funds from both internal and external sources. An optimal “bang-bang” reinvestment strategy is derived with control theory, and it is found to be consistent with the firm’s objective of stock-value-maximization. It is also shown theoretically that an immediate threat of takeover shortens managerial planning horizon. The model provides an explanation of dividend adjustment behavior observed in growth firms, and offers an insight into the impact of anti-takeover costs on the firm’s value over time.