摘要：新疆德隆集团是中国西部最大的民营企业集团，自从涉足资本证券市场以来，一直以其出色的经营业绩和成功的资本运营模式雄称深沪股市。通过买壳上市，德隆在资本市场上筹措巨额资金，并以资本运作为杠杆，层层并购，迅速取得产业整合的控制权和操作权，因而其资本运作模式被誉为“后巴菲特模式”。几年来，德隆成功收购了新疆屯河、合金股份、湘火炬等企业，在中国股市形成了德隆系，奠定了其产业基础。打造了中国资本王国的神话。本文采用财务分析、二级市场表现及累计超额收益率（CAR）来考察这三家上市股市的并购绩效，从而既考虑了绩效产生所需的时间因素，又兼顾了并购在证券市场中的短期效应。研究表明，这三家企业在被德隆收购后均获得骄人的业绩：财务指标逐年上升，三家2002年主营业务收入分别较并购前上升了1354%，1787%和5306%；股价神奇飙升。究其原因是德隆成功地发挥了其自身核心竞争力――“整合力”，因此德隆的产业整合经营理念，为新疆乃至中国的产业结构调整提供了新思路，标志着投资理念的一次阶段性飞跃。 Abstract: XinJiang D’Long Group, the biggest private agglomeration in western China, acquits itself well in stock market depending on the excellent operating performance and successful capital-operating mode. Through buying “shell”(listed corporate) to go public, D’Long raises money in capital market and acquisitions step by step. Soon, it gets control and operating power of industrial integration. The capital operation mode is also called “Post-Buffett Mode”. Over the years, D’Long merges XinJiang TunHe, ShenYang HeJin, Xiang HuoJu, forming the D’Long Series and creating the legend of capital kingdom. Using accounting study, stock price and Cumulative Abnormal Return (CAR) respectively, the paper analyzes the M&A effects of the three corporate and finds their excellent performance. And all these results can be attributed to D’Long’s great power of integration. Therefore, D’Long’s idea of industrial integration provides a new train of thought for adjusting the industry structure of XinJiang, and even the whole China.

Stock price manipulations may be an important clue for us to understand many unique phenomena related to Chinese stock market, but we can hardly find any literature like this due to the difficulty to measure manipulation. We chosen a manipulated sample consisted of 44 stocks which was penalized by security regulation authorities for manipulation and 30 stocks whose price declining 10% or more in at least 3 successive trading days which may be caused by the manipulator’s running-out-of-fund. We documented that the manipulated stocks have significantly higher shares per account, concentration ratio, tradable shares ratio, turnover ratio, and significantly lower number of tradable shares related to non-manipulated ones, manipulated stocks in Shanghai Security Exchange have significantly higher level of larger shareholder’s percentage, but in Shenzhen Security Exchange we found the reversal. Our empirical findings suggest that we can use such variables as proxies to measure the possible stock price manipulation in Chinese stock market. Furthermore, our empirical research about the relationship between the characteristics of manipulated stocks and the stock price movement revealed that the sub-sample with higher shares per account or concentration ratio prior to the price reached its maximum also have higher level of return, averaged annual return and averaged annual abnormal return, and after the price reached it’s maximum, shares per account and concentration ratio decline significantly

We examine the dynamic relation between return and volume of individual stocks in Russia and other emerging markets. In a simple model in which investors trade to share risk or speculate on private information, Llorente, Michaely, Saar, and Wang (2001) show that returns generated by risk-sharing trades tend to reverse themselves while returns generated by private information trades tend to continue themselves. We apply this theoretical framework to analyze the relation between daily volume and first-order return autocorrelation for individual stocks traded in Russia and other emerging markets. We find strong evidence of return continuation following high volume days, suggesting the presence of private information trading in emerging markets. Using corporate announcement data from Russia, we discover that the private information trading is especially strong around major corporate event dates. In addition, we find stocks in countries that enforce insider-trading law and provide better investor protection exhibit less private information trading. These results suggest a possible measure of “information asymmetry” for ranking emerging market stocks.

Motivated by the behavior of asset prices, trading volume, and price volatility during episodes of asset price bubbles, we present a continuous-time equilibrium model in which overconfidence generates disagreements among agents regarding asset fundamentals. With shortsale constraints, an asset buyer acquires an option to sell the asset to other agents when those agents have more optimistic beliefs. As in a paper by Harrison and Kreps, agents pay prices that exceed their own valuation of future dividends because they believe that in the future they will find a buyer willing to pay even more. This causes a significant bubble component in asset prices even when small differences of beliefs are sufficient to generate a trade. In equilibrium, bubbles are accompanied by large trading volume and high price volatility. Our analysis shows that while Tobin’s tax can substantially reduce speculative trading when transaction costs are small, it has only a limited impact on the size of the bubble or on price volatility.

传统的存贷利差就是贷款利率和存款利率之间的差额。本文利用金融工程学的基本原理提出了银行资产负债业务中隐含着期权的全新观点，因此银行的真实利差并不等于存贷款利率差额，还要考虑银行所承担的期权成本以及违约风险。文章对银行资产负债业务中隐含期权进行了分解，分析其隐含期权的特征以及各个因素对期权执行可能性的影响。接着通过两种方法――无套利分析和数值计算法对隐含期权进行了定价，并进行了期权价格对各个因素的敏感性分析，得出了许多具有重要创新意义的结论。分解之后可以发现银行的真实利差明显偏低，贷款动力明显不足。 The traditional saving-loan interest rate spread is just the spread between the loan rate and saving rate. By the methods of financial engineering, this paper points out that the basic asset and liability of bank includes some options which are sent to the customers for free by the bank. Then the real interest rate spread is not just the saving-loan rate spread, the options cost should be also considered. This paper decomposes the implied options in the asset and liability operations of bank, analyzes their characters and the impact of different factors on the execution possibility of option. Two methods, no arbitrage analysis and numerical methods are used to price the implied options and the sensitivity test of option price on different factors is given out. By these, many constructive conclusions are drawn out.

In this paper, the author observes a stationary transaction volume distribution over a trading price range in intraday transactions on individual stocks by studying relationship between the volume and price of transaction through amount of transaction in stock market. The transaction or accumulated trading volume gradually emerges kurtosis near the price mean value over a price range when it takes a longer trading time, regardless of actual price fluctuation path, time series, or total transaction volume in the time interval. The volume/price behaves a probability wave toward an equilibrium price, driven by a restoring force that can be represented by a linear potential. In terms of physics, the author derives a time-independent transaction volume/price probability wave equation and gets two sets of analytical transaction volume distribution eigenfunctions over a price range when supply or demand quantity varies. By fitting and testing the functions with intraday real transaction volume distribution over a price range on a considerable number of individual stocks in Shanghai 180 Index, the author shows the existence of relative equilibrium in stock market and demonstrates the model validation at this early stage. It concludes that either General Equilibrium Theory or Price Random Walk Hypothesis is an extreme conditional case in the probability wave model. Thus, the author attempts to offer a unified micro and dynamic probability wave theory on transaction volume/price in financial market. 本文作者通过成交金额研究股票市场中的成交量与价格之间关系时，观察到每只股票全天的成交量（即累计交易量）在交易价格区间有一种平稳的分布关系。随着交易时间的延长，累计交易量在交易价格区间逐渐显现出在成交价格均值附近峰化的分布特征。这一特征与体系在此间交易价格涨落的路径、时间序列或总成交量的大小无关。成交量价的运动表现为能够用线性势表示的中心力的作用下，围绕体系某一均衡价格运动的几率波。由此，作者用物理的方法推导出不显含时间变量的证券成交量价的波动方程并且得到当供求关系变化时，两组解析的成交量随价格变化的分布函数。用该函数与上证180指数中一些股票在全天真实的成交量随价格的分布进行拟合和检验，作者初步证明了在股票市场中存在相对均衡并且验证了该模型的有效性。其结论是：无论一般均衡理论还是价格波动的随机游走假说都是几率波模型在极端条件下的一个特例。这样，作者试图提出一个适用于描述金融市场中统一、微观和动态的成交量价几率波理论。

内容提要: 本文针对近年来我国房地产市场价格持续攀升但市场需求不降反升、银行信贷资金迅速向房地产业集中以及房地产市场发展与经济增长的作用等问题，以全国和各省、市、自治区的面板数据，进行了实证分析。分析结果显示，我国房地产市场供给约束问题非常严重，尤其是考虑到居民收入增长因素后，房地产市场的供求矛盾十分突出；银行房地产开发贷款和个人住房贷款强有力地支撑了房地产市场的供求；房地产市场的发展也拉动了经济的增长，但这一作用没有我们想象的大。因此，目前我国针对房地产市场的宏观调控和各项监管措施，都应该从供求两方面出发，在金融等政策上要保持连续性，并加强制度建设，更好地发挥市场机制的作用。 Abstract: Recent years, with the rising price, the housing demands also rise quickly, which is strange to the common sense of economics. In addition, the relationship between banking sector and housing industry has become more and close, and the growth of housing industry pull the economic growth dramatically. Based on the panel data of the nation and provinces, we try an empirical study on the topics above. The empirical results show that at least in the nowadays China’s market, one of the most sever problem in the real estate market is the constraints of the housing supply compared to the demand if we consider the effects of the resid ents’income growth. Bank loans are maybe the most effective factor pulling the housing industry growth, both on the supply side and the demand. To our surprise, the effect of housing consumption on the economic growth is less than we have assumed, considering the cyclical changes of the economy. . So we draw the followed policy implications in the further macroeconomic managements: we must take the measures directly to both the supply and the demand sides, keep the policies’ continuity, strengthen the institutional progress and make the market mechanism more effective.

College Students’ credit in loan has become the focus of the authority of universities and commercial banks. It is therefore very imperative to establish the appraisal system on the credit of college students and it is pretty important and urgent for the business growth, decrease of risks. In the light of experience of developed countries in college students’ loan and personal consumption loan, the paper aims to design an appraisal system that fits China’s situation well

摘要：作者对实际使用的对冲模型提出研究，在本文中建立了一个在指数.指数期货.指数期权上的进行无套利对冲的前沿模型，揭开了对冲基金使用数量模型神秘的面纱。通过比较从市场指数和指数期货中估计得出的风险中性密度函数与从隐含在指数期权市场的风险中性密度函数，发现对冲机会，设计对冲交易策略。我们这里采用的估计方法为非参数方法,是对BS模型的拓展。 Abstract: In this paper, the authors make a research on the field of hedge model, after the investigation of some hedge funds in U.S. ,we establish a frontier no-arbitrage hedge model for index.index futures and index options. We compare the risk neutral density estimated from cross section of index market to the risk neutral density inferred from the time series of index and index future markets. The methods we used are nonparametric method and hypothesis test. We can find the arbitrage opportunity and design the hedge trading strategy.

It is a striking economic phenomenon that China’s foreign exchange reserves reached $US 606.9 billion. This paper pursues to explore the underlying motivations and implications by not only analyzing the complicated relationships between the Chinese economy and foreign exchange reserves but also establishing a tentative model to evaluate the adequacy of foreign exchange reserve holdings. The model has successfully confirmed that China’s recent holdings of foreign exchange reserve, in particular in 2004, appeared to exceed the adequate level largely due to speculative hot money inflows when the Chinese currency Renminbi had been expected to appreciate.