• 详情 Policy influence, Breaks and Interaction in China Stock Markets
    The short history and market segmentation characteristic of China stock markets not surprisingly make the market indicators behave in certain way. In this paper, we tabulate the belief that the regulatory and instrumental policy changes in China structurally break the market indices. This is proven and break points are detected with a focus on Shanghai Stock Exchange in the first part of this paper. Whereas, the stochastic trend nature of the market remains even when the structural breakpoints are detected and after it is tested against various kinds of deterministic trends. It, to some extent, implies the efficiency of Shanghai market with regards to unpredictability. The second part of this paper dedicates to analyzing the interaction between A and B share markets. As a contrast to the past literature, the change in trading volume of B share market is found to be a much more sensitive leading indicator to the change in A share market, in the sense of Granger causality with a VAR fashion. This finding may further reveal the unbalanced investor structure in A and B share markets.
  • 详情 证券投资基金绩效评价的因子分析方法及实证研究
    证券投资基金的绩效评价是一个复杂的多变量问题。本文提出运用因子分析方法寻找具有优良统计意义的综合指标的设想,并依此设想对沪深两市51家封闭式证券投资基金短期绩效进行实证研究。研究发现,收益因子得分应当成为基金评价的决定性指标。研究同时表明,由于我国封闭式基金缺乏足够的聚类特征,目前对基金进行分类评价并无必要。
  • 详情 如何理解中国封闭式基金折价现象?
    本文的主要目的在于对造成中国封闭式基金折价交易现象的原因进行探讨,为此我们依据33只样本基金在2000年12月29日至2002年3月1日期间56周的数据资料,采用横截面回归模型对中国封闭式基金的规模因素、分配因素、业绩因素、噪声因素、复制风险、跟风操作因素以及持股结构因素等7个可能引致中国基金周平均折价率水平差异的因素进行了全面考察。我们的结论是,规模因素、分配因素、噪声因素以及基金持股结构因素是造成中国封闭式基金折价现象的主要原因,但这些因素对大型基金与小型基金具有不同的影响。在实证分析中,我们发现噪声因素的回归系数的符号与期望值相反。我们认为这种情况可能与中国基金市场的“博弈”行为有关,从而赋予了这一因素以新的含义。
  • 详情 Dynamic Behaviors of Mix-game Model and Its Applications
    This paper proposes a modification to Minority Game (MG) by adding some agents who play majority game into MG. So it is referred to as Mix-game. Through simulations, this paper finds out that the fluctuations of local volatilities change a lot by adding some agents who play majority game into MG, but the stylized features of MG don’t change obviously except agents with memory length 1 and 2. This paper also uses mix-game to model Shanghai stock market and to do prediction about Shanghai index.
  • 详情 Market Liquidity and Asset Prices under Costly Participation
    In this paper, we develop an equilibrium model for market liquidity and its impact on asset prices when constant participation in the market is costly. We show that, even when agents' trading needs are perfectly matched, costly participation prevents them from synchronizing their trades, which gives rise to the need for liquidity. Moreover, the endogenous liquidity need, when it occurs, can lead to market crashes in absence of any aggregate shock. We also show that the lack of coordination among agents in the demand and the supply of liquidity generates negative externalities, and the loss in social welfare can out-weigh the savings on participation costs.
  • 详情 中国股市已经弱式有效了吗?――一种新方法的实证研究
    本文采用一种新的统计方法来检验中国股票市场的有效性,结果表明沪市和深市都尚未达到弱式有效,尽管它们的有效程度随着时间的推移有所改善。我们还发现,A股市场比B股市场有效性相对更高,但没有系统的证据显示沪深股市谁的有效性更高。与大部分研究中国股市有效性的文献不同,我们采用的检验方法适合高频金融数据的特点(如允许任意形式的波动群集的存在),因而结论更有说服力。这些实证结果,对于中国股市中股票收益的预测、资本资产定价和金融资源配置效率等问题的研究都具有重要的现实意义。
  • 详情 资产证券化架构中信托财产的法律地位研究
    成立特定目的信托是资产证券化架构的一种非常重要的方式,在这种设计中,“证券化”是一种商业目的意义上的表述,其法律实质是一种信托关系,而证券化的资产亦即信托财产。SPT中信托财产的设立、证券化资产的法律地位任何、我国《信托法》规制下,证券化资产的地位的理论和现实等问题将在本文中加以剖析。
  • 详情 中国原始股发行市场动态研究
    本文运用时间序列结构建模的方法分析了原始股发行(IPOs)市场的时间序列运动特征。研究的样本数据是1992年至2003的中国原始股发行情况的月度数据。模型主要变量包括月度原始股发行量、平均抑价率和上证100指数。实证结果显示三者之间存在显著的正相关性,但抑价率和发行量变动存在5到7个月的时滞。
  • 详情 The Closed Form solution for Pricing American Put Options
    This paper proposes a closed form solution for pricing an American put option on a non-dividend paying stock. An American put option grants its holder rights, but not obligation to sell a stock in a fixed price at any time up until maturity. In the past decades, there is no closed form solution for pricing American options although many people made great efforts. In this paper, an optimally early exercise strategy of an American put option on a non-dividend paying stock is set up. That is, an American put option should be early-exercised when the maximum option premium of early exercise is no less than the value of its European counterpart; otherwise, it should not be early-exercised. Based on this strategy, a series of lemmas is proposed and a closed form formula is drawn. Also, this paper shows that Merton (1973)’s formula does not do a good job for pricing perpetual American put options and shows the price of a perpetual American put option on a non-dividend paying stock is equal to the strike price.
  • 详情 全球外汇套利识别的理论和最优套利路径
    摘要: 全球外汇市场中是否存在外汇套利,传统判断方式是识别三角套汇机会是否存在。本文将三角套汇识别推广到识别任意N种货币中是否存在套汇机会。N种货币之间的相互比价形成真实的汇率矩阵A,而汇率矩阵有一些特殊属性: 它的最大特征值lmax可以揭示是否存在套利机会,而对应特征向量 G=[g1, g2, . . gi, . . . gn]T则可以用来表示 “虚拟金本位制度”下各种货币的含金量。通过特征向量之间的对比我们可以构造出无套利(Arbitrage Free Benchmark)的基准汇率矩阵B,将真实汇率矩阵A同基准汇率矩阵B比较,可以得出价值评估矩阵C=A/B, 指明在各个外汇市场各种货币低估或高估的程度从而指出最优套汇路径。由于首次赋予了汇率矩阵的特征值和特征向量以经济学的含义,并建立了直观的套利曲面的概念,将抽象理论形象化。最后通过例子说明以上的理论及识别套利路径的方法。 关键字:外汇 汇率 套利 资产定价 JEL: F31, F37, G15