This paper investigates the dynamic and long-run relationships between monetary policy and asset prices in China using monthly data from June 2005 to September 2010. Johansen?s cointegration approach based on vector autoregression (VAR) and Granger causality test are used to identify the long-run relationships and directions of causality between asset prices and monetary variables. Empirical results show that monetary policies have little immediate effect on asset prices, suggesting that Chinese investors may be ?irrational? and ?speculative?. Instead of running away from the market, investors rush to buy houses or shares whenever tightening monetary actions are taken. Such seemingly irrational and speculative behavior can be explained by various social and economic factors, including lack of investment channels, market imperfections, cultural traditions, urbanization and demographic changes. The results have two important policy implications. First, China?s central bank has not used and should not use interest rate alone to maintain macro-economic stability. Second, both monetary and non-monetary policies should be deployed when asset bubbles loom large to avoid devastating consequences when they burst.

In this paper, we introduce a general downside risk measure based on high frequency downward moves below minimum acceptable target in asset prices. Our contribution to the existing literatures is threefold. Firstly, we construct a general downside risk measure, realized semivariance and downward absolute power variation are all special cases of our realized downside risk measure. Secondly, we derive the central limit theorem of this measure. Thirdly, we investigate the distributional properties of this measure in China’s stock market and show the potential of this measure in modeling downside risk.

目的：研究人民币在澳门的流通情况，分析其流通可能受哪些因素的影响。方法：对澳门的人民币流通情况进行定性分析，并收集流通量数据和贸易量、博彩消费收入等数据，在ADF检验和协整检验后，建立误差修正模型，并进行Granger检验。结论：澳门对内地的贸易量、澳门从内地游客身上获得的博彩和旅游收入这两个因素将对人民币的流通量产生正面影响。而长期来看，人民币在澳门的流通情况可能还取决于内地直接投资、人民币汇率和澳门居民对人民币的信心。 OBJECTIVE: To discuss the current status of circulation of RMB in Macao, and to analysis the influence factors METHOD: Data has been collected, including RMB circulation, trade between mainland and Macao, gambling and lottery income from mainland. The paper has established an error correction model after Augmented Dickey-Fuller test and cointegration test. Granger test is also used to descript causal relations between data. RESULT and CONCLUSION: Two factors--trade between mainland and Macao, gambling and lottery income from mainland—have positive effects on RMB circulation in Macao. And the circulation status depends on direct investment from mainland, RMB exchange and confidence on RMB.

随着经济全球化的进程，我国金融市场将对外逐步开放，金融市场和投资环境将变得更加复杂。国际上，西方主权国家和日本的债务危机，以及西方国家的失业率的等问题影响我国金融市场；在国内，房价和CPI居高不下，我国政府频繁加息和提高准备金，但效果不是很明显。抑制房价过快上涨和稳定物价是我国当前两个最棘手的问题。地震、战争等因素给金融市场的投资者带来极大的心理恐慌，进一步增大了金融市场的波动,投资者将更加关注投资风险。银河证券基金研究中心统计数据显示，截至2010年12月31日，包括QDII基金在内的国内基金公司公募基金资产净值为25184.54亿元，其中开放式基金占公募基金资产的90%以上的比重。所以，研究我国开放式基金的投资风险是非常必要的。 本文的研究目的是研究开放式基金不同投资策略的风险，通过了解不同类型开放式基金的投资策略，熟悉不同类型的开放式基金的风险特性。分析不同类型开放式基金指数的波动率，让投资者理解开放式基金风险特征，并在此基础上结合自身风险收益偏好选择不同类别开放式基金，对比基准指数进一步估计单只开放式基金波动状况。 本文采用规范研究和实证分析相结合、定量研究和定性分析相结合的研究方法分析我国开放式基金的投资风险。运用GARCH-M模型分析不同类型的开放式基金投资风险，EGARCH模型研究不同类型的开放式基金指数的波动是否存在非对称型。 本文的研究结论：1）GARCH-M模型对开放式基金指数的拟合效果较好，在本文研究的中证开放式基金指数体现出金融理论中高风险高收益的有：股票型基金指数、混合型基金指数、货币型基金指数、ETF基金指数和QDII基金指数，只有债券型基金指数估计出的均值方程方差前的系数为负，众所周知，债券型基金风险最小。2）信息冲击非对称性在开放式基金指数中比较复杂，本文的研究结果表明对于绝大多数策略的开放式基金“利空消息”和“利好消息”都会加大指数的波动率，但是本文没有得出“利空消息”作用大于“利好消息”作用的非对称性的结论， ETF和QDII表现出了“利空消息”作用大于“利好消息”。通过分析得出我国基金经理们在利好或利空时都表现出了羊群效应的结论，他们没有合理地控制风险，跟散户一样追涨杀跌，而且利空弱于利好，说明基金经理追涨时更疯狂。因此，建议我国投资者在牛市中选择 值较高的股票会收益更好，在熊市中选择 值较低的股票风险更少。

This paper investigates the impact of background risk on an investor’s portfolio choice in a mean–variance framework, and analyzes the properties of efficient portfolios as well as the investor’s hedging behavior in the presence of background risk. Our model implies that the efficient portfolio with background risk can be separated into two independent components: the traditional mean–variance efficient portfolio and a self-financing component constructed to hedge against background risk. Our analysis also shows that the presence of background risk shifts the efficient frontier of financial assets to the right with no changes in its shape. Moreover, both the composition of the hedge portfolio and the location of the efficient frontier are greatly affected by a number of background risk factors, including the proportion of background assets in total wealth and the correlation between background risk and financial risk.

This study develops a transparency index to measure the quality of disclosure of corporate governance practices of major Hong Kong listed companies, based on the OECD principles of corporate governance. Using time series data over a three-year period, we show that company valuation is positively associated with the quality of company disclosure. The index is further split into two sub-indexes, voluntary and non-voluntary disclosure, based on the disclosure requirements amended by the Hong Kong stock exchange in 2004. The findings support the hypothesis that company valuation is positively associated with a company’s level of voluntary disclosure. Hong Kong listed companies with larger size, better profitability, a remuneration committee, more outside directors, and that are non-China related tend to have a higher level of voluntary disclosure.

The VC industry of China has witnessed a great increase in recent years. With the rapid development of VC industry in Mainland China, the VC-backed firms need an efficient method of management and a new thinking of guide to support their operation. We focus on the aspect of human capital and discuss application of knowledge-based theory to the firms of VC industry in Mainland China, based on our analysis to the situational survey. In the questionnaires, we investigate the statement of human capital in VC firms from several aspects, and compare human capital of the VC firms in Mainland China with one VC fund in New York City, as well as, the literature from Europe. Herein, we make conclusions as followings. Firstly, the importance of human capital of VC industry in mainland China is consistent with the literature of foreign countries; secondly, strengthening the incentive on human capital is benefit for the development of VC industry in mainland China; thirdly, the forthcoming operation of Growth Enterprise Board can promote to pricing human capital in mainland China.

There are several kinds of risks among bank, Real estate developer and assessment agency in mortgage loan of construction in progress. The risks were respectively analyzed theoretically by the game models based on the experience inductive of reverse selection between bank and assessment agency and moral hazard between bank and real estate developer. Conclusion can be according to the models drawn as following: long-term cooperation should be introduced between bank and assessment agency, D/V should be appropriately set by bank and hence the optimal strategy of bank should be to launch loan.

By synthesizing two recent literature, namely, the inflation targeting (IT)-inflation and inflation-finance linkages, this paper explores whether the adoption of IT exerts any significant impacts on financial (banking) development. By implementing a variety of propensity score matching approaches to data on 74 countries over the 1980-2008 period, the empirical results strongly indicate that, overall, IT countries enjoy higher levels of development in the banking sectors. However, IT appears to have distinct effects in different groups of countries. While the effect of IT in promoting banking development is statistically significant and economically large in developing countries, the effect seems to be negligible in industrial countries.

In this paper, we extend the long-run risks model of Bansal and Yaron (BY, 2004) to allow both a long- and a short-run volatility component in consumption growth, long-run risks, and dividend growth. Our two volatility model better captures macroeconomic volatility than a single volatility model, and can reconcile simultaneously the large negative market variance risk premium, di?ering predictability in excess returns, consumption, dividends, and stock market volatility, all of which are di±cult to explain previously by the BY model.