This paper investigates the market response to reform of the Chinese split (A-)share structure using a sample of companies included in the China Securities Index 300. We find the three-day cumulative abnormal returns (CAR) to be negative and significant around government announcement of the reform on 29 April 2005, but not significant around individual companies’ decision to implement the reform. We attribute this change in market sentiment to the release of information during company announcement that the reform will feature some type of consideration to existing shareholders of tradable A-shares. Our results also show that existing holders of tradable A-shares require higher returns when companies pay in warrants or combination methods. However, we find no relation between the level of consideration and CAR suggesting that investors perceive the consideration to be adequate based on the company’s financial and operating conditions at the time of the reform.

An unparalleled feature ownership structures in China is the presence of non tradable shares (NTS). NTS represented a major hurdle to domestic financial market development for its negative effects on liquidity and market transparency. After some failed attempts, in 2005 the Chinese authorities have launched a structural reform program aiming at eliminating NTS. In this paper, we evaluate the stock price effects of the actual implementation of this reform in 368 firms. The NTS reform generated a statistically significant 8 percent positive abnormal return over the event window, adjusting prices for the compensation requested by tradable shareholders. Results are consistent with the expectation of improved economic fundamentals such as better corporate governance and enhanced liquidity.

In 2005 and 2006, the split-share structure reform converted the nontradable shares of most domestic public firms in China to tradable shares. This conversion imparted a drastic supply shock to the public market. Studying this unique event, we provide direct evidence to support an inelastic demand curve for stocks. Abnormal returns of the sample firms resulting from the reform are found to be negatively associated with the size of the supply shock. This finding is free from the confounding information effects present in many prior studies of stock price elasticity. It is also robust after controlling for opposite price impacts of ROA, firm size, and ownership concentration.

A fundamental question in economics and finance is whether and how removing barriers is associated with efficiency gains. We study this question using share issue privatization in China that took place through the split share structure reform as our experimental setting. Prior to the reform, domestic Ashares are divided into tradable and non-tradable shares with identical cash flow and voting rights. Under the reform, non-tradable share holders negotiate a compensation plan with tradable share holders in order to make their shares tradable. We develop a general equilibrium model to help understand the determinants of compensation and the source of gains in the process of privatization. Our key predictions are: a) there is compensation made by the non-tradable share holders to the tradable share holders if and only if the bargaining power of the former is weaker than the bargaining power of the latter; and b) the size of the compensation is decreasing in firm performance. Our second prediction contradicts conventional wisdom that fails to account for improved risk sharing after the reform. Our empirical results are broadly consistent with our model’s predictions. We conclude that better risk sharing is an important consideration in China’s share issue privatization.

This paper investigates the market response to reform of the Chinese split (A-)share structure using a sample of companies included in the China Securities Index 300. We find the three-day cumulative abnormal returns (CAR) to be negative and significant around government announcement of the reform on 29 April 2005, but not significant around individual companies’ decision to implement the reform. We attribute this change in market sentiment to the release of information during company announcement that the reform will feature some type of consideration to existing shareholders of tradable A-shares. Our results also show that existing holders of tradable A-shares require higher returns when companies pay in warrants or combination methods. However, we find no relation between the level of consideration and CAR suggesting that investors perceive the consideration to be adequate based on the company’s financial and operating conditions at the time of the reform.

This paper investigates the market response to reform of the Chinese split (A-)share structure using a sample of companies included in the China Securities Index 300. We find the three-day cumulative abnormal returns (CAR) to be negative and significant around government announcement of the reform on 29 April 2005, but not significant around individual companies’ decision to implement the reform. We attribute this change in market sentiment to the release of information during company announcement that the reform will feature some type of consideration to existing shareholders of tradable A-shares. Our results also show that existing holders of tradable A-shares require higher returns when companies pay in warrants or combination methods. However, we find no relation between the level of consideration and CAR suggesting that investors perceive the consideration to be adequate based on the company’s financial and operating conditions at the time of the reform.

对流动性进行衡量是商业银行有效管理流动性风险的前提和基础。在此领域，本文运用用于理解多元随机变量之间关系的统计工具Copula与广义随机占优理论中的高阶ES测度对商业银行流动性风险进行衡量；同时对我国安徽省境内各主要商业银行1997~2006年间的流动性统计数据进行实证分析；以寻求一条提高商业银行流动性风险管理水平的新途径，使得银行监管机构能够更加准确的衡量商业银行的清偿能力。

流动性是市场本身所固有的属性，证券的流动性是指证券的变现能力。在一个流动性好的市场上，交易者能够以较低的交易成本、快速进行大量交易，且不会导致价格发生显著波动。证券市场流动性的大小直接影响证券市场功能（互通有无和价格发现）的实现程度。 流动性风险与流动性并不是同一个概念，它可以理解成由于各资产流动性水平的差异（包含平均流动性水平与流动性变动的不确定成分）而导致的资产持有者在出清资产时由于市场冲击所遭受的资产损失的可能性。相对于流动性，流动性风险这个概念更直观，而且更具有实用性。 一般来说传统度量流动性风险的方法是使用股票的平均流动性水平（即横截面上的风险），近几年在流动性风险的测度上，研究者逐渐考虑到了股票的流动性在时间维上的波动性（即纵向风险），这使得对流动性风险的度量更加符合实际。本文在以上两种流动性风险的基础上建立了包含“横”与“纵”两维上的新的流动性风险测度模型——流动性“成本－风险”矩形和等流动性风险曲线，并按流动性风险的大小对在上海证券交易所上市的107支A股股票进行了排序。 在股票组合的流动性风险的度量上，本文选取了最近比较流行的度量金融时间序列相依关系的方法－Copula技术，这种技术用来描述和分析变量间的相关结构。运用 Copula 理论我们可以构造灵活的多元分布，而且其在刻画不同金融时间序列的尾部相关性——相关性极值(dependent extreme values)方面具有独特的优势，这一点与金融危机来临时各股票流动性间的相关性增强恰好相一致。以基金嘉实增长(070002)2005年6月30日公布的持舱股票为样本（在考虑到数据的完整性后选取其中持股比例最大的五支股票），在股票组合的流动性风险测度上，本文用t分布对各股票的流动性的纵向风险进行拟合，并用多元t－Copula技术（MVT）与Monte Carlo方法对股票组合的流动性风险进行了测度。实证结果表明使用Copula技术与未用Copula技术的流动性风险相比其VaR值较大。

前期研究试图用利率变量来解释股价和汇价联动，但经验分析难以获得证明和支持。随后又有大量文献研究各国股价联动或汇市之间联动，但涉及国家样本太少并且尚未获得一致的结论，难以说明这些结果具有普遍性质。Hyuk Choe et al. (1998)首次揭示了一个事实。那就是本土投资者在危机来临之前的抛售行为快于外国投资者，随后又有大量研究对此进行证明，但都是局限于从股市到股市的研究，极少涉及汇市与两国股市的联动。本研究采用了MGARCH模型（三元GARCH）证明了汇市与两国股市的联动。研究领域不再仅限于从股市到股市，而且两者之间的汇市也受其波及。本研究的结果证明：金融市场规模的不对称性会影响联动出现的显著性；地域和规模越接近，三者之间的联动效应就越强。这也证明了亚洲金融市场联动具有地域规模特征。

随着我国经济开放度的提高，内部均衡和外部均衡目标相互冲突的情况越来越多。本文以西方20世纪50年代开始发展起来的政策配合理论为工具，分析了亚洲金融危机后我国政策配合的实际情况与效果，得出：在我国汇率事实上是固定汇率的情况下，稳健的货币政策配合积极的财政政策基本实现了调节内外部失衡的目标。最后，针对政策配合中存在的问题，提出应让汇率杠杆发挥更大作用，以增强货币政策自主性，减少对财政政策依赖。 Abstract: Following the increase of openness in China, the conflicts between the targets of interior equilibrium and exterior equilibrium are more and more frequent. With the instrument of the theory of policy mix which developed since 1950s’ in the Occident, we analyze the practice and effect of policy mix in China after the Asian financial crisis. Under the condition of virtual fixed foreign exchange regime, we conclude that the China’s policy mix between the prudent monetary policy and the proactive fiscal policy realize the most task of regulation of interior-exterior disequilibrium. In the end, according to the problem during the policy mix, we suggest that we should let foreign exchange lever play more role to increase the independence of monetary policy, decrease the dependence on fiscal policy.