In this paper, I apply the GARCH-class models to Chinese stock market. And I analyze the characteristics of the volatility of Chinese stock market .By comparing the models, I conclude that EGARCH model and EGARCH-M model have almost the same efficiency in Shanghai Stock Exchange (SHSE) and Shenzhen Stock Exchange (SZSE). Then I use the estimated model to forecast the volatilities for these two stock exchanges.

While the vast majority of the literature reports momentum profitability to be overwhelming in the U.S. market and widespread in other countries, this paper finds that the pure momentum strategy in general does not yield excess profitability in the Chinese stock markets. We find instead strong mean reversion with an average half-life slightly shorter than one year. A pure contrarian investment strategy produces positive excess returns and in general outperforms the pure momentum strategy. Furthermore, momentum may interact with mean reversion. A strategy based on the rolling-regression parameter estimates of the model combining mean reversion and momentum generates both statistically and economically significant excess returns. The combined strategy outperforms both pure momentum and pure contrarian strategies. We conduct a number of robustness tests and confirm the basic findings. Collectively, our results seem to support the overreaction hypothesis.

套期保值者所面对的主要风险是基差风险，传统套期保值（1：1套保）在实际运用中经常会由于基差的剧烈波动而造成额外的损失。本文通过对沪铜历史数据的研究，利用OLS，ECM，ECM-GARCH等模型对各种方法所获得的套期保值比率进行了验证

This study examines the relations between leverage and investment in China’s listed firms, where corporate debt is principally provided by stateowned banks. We obtain three major findings. First, there is a negative relation between leverage and investment. Second, the negative relation between leverage and investment is weaker in firms with low growth opportunities and poor operating performance than in firms with high growth opportunities and good operating performance. Third, the negative relation between leverage and investment is weaker in firms with a higher level of state shareholding than in firms with a lower level of state shareholding. Overall, our results are consistent with the hypothesis that the state-owned banks in China impose fewer restrictions on the capital expenditures of low growth and poorly performing firms and also firms with greater state ownership. This creates an over-investment bias in these firms.

We developed a theoretical framework which articulates the relationship between global and local experiences of the venture capitalists investing in China and the risk mitigation strategies they employ. We predicted that venture capitalists with little experience are more likely to join syndicates. We also predicted that the relationship between late stage strategic focus and VCs’ global and local experiences is positive. We tested our hypotheses using database covering all first round venture related investments made by foreign VCs in China until Oct 2006. Controlling for a variety of factors our data supported our predications.

The extraordinary performance of China and India's economies raises questions about the traditional measures of the size and depth of financial systems. While banks and markets have played a limited role in providing funds for corporate sectors and supporting economic growth in these two countries, non-state, non-listed firms, relying mostly on internal and alternative financing channels, have been growing faster than the state and listed sectors and contributing much of the growth. The alternative financing channels, excluded in the traditional measures of financial systems, operate outside legal institutions and are backed by alternative mechanisms such as reputation, relationships, and trust. We define the capacity of a financial system to be the total funding available for all corporate sectors in an economy. Our findings from China and India demonstrate that alternative finance can significantly expand the financial system capacity and promote growth at the firm level and economy wide.

In 2005-08, over a dozen put warrants traded in China went so deep out of the money that they were certain to expire worthless. Nonetheless, these warrants attracted a speculative frenzy: for each warrant, billions of Yuan traded with an average daily turnover rate close to 300%, and at substantially inflated prices. The publicly observable underlying stock prices make the zero warrant fundamentals common knowledge to all market participants. This warrants bubble thus presents a unique opportunity to study bubble mechanisms, so far only available in laboratory environments. We find evidence supporting the resale option theory of bubbles: investors overpay for a warrant hoping to resell it at an even higher price to a greater fool.

This paper examines the role of earnings management in the underpricing and long-term performance of Chinese initial public offerings (IPOs) issued during the 1998-2003 period. It tests the earnings extrapolation hypothesis that naive investors extrapolate pre-issue earnings without fully adjusting for potential manipulation of accounting accruals, thereby inflating the initial trading price. If the hypothesis holds, underpricing will be positively related to initial earnings management. However, since the latter is subsequently corrected over time, it will lead to inferior long-term stock performance. The empirical evidence is consistent with both the earnings extrapolation and the long run underperformance hypotheses for our sample of 506 IPOs.

In this paper, we examine the cost of equity capital for politically connected firms. After controlling for several firm- and country-level determinants, our results show that politically connected firms have a lower cost of equity capital than their nonconnected peers. Our results are robust to alternative measures and proxies for the cost of equity capital. We thus provide strong evidence that investors require a lower cost of capital for politically connected firms, suggesting that these firms are generally considered to be less risky than non-connected firms. Our findings imply that the benefits of political connections outweigh their costs. We conjecture that this perception is fueled by the soft budget constraints generally enjoyed by politically connected firms, and by their lower default probability, given the assurance of corporate bailout in the event of financial downturns.

This paper examines the association between ownership structure and the extent of Web disclosure of 1056 listed companies of differential privatization stage in China. Literature suggests that state controlled economies are expected to have restricted forms of information disclosure and blockholder’s equity can reduce the needs for information disclosure. Our results show that state ownership will curtail the extent of Web disclosure in the post-privatization stage and private block shareholding is positively related to Web disclosure for low privatization firms, but not for highly privatized companies. The findings indicate that state and private blockholders have diverse Web reporting policies during ownership evolution and information asymmetry may exist in post-privatization stage. The results suggest that reinforcement of the institutional environment and continuous scrutiny of a company’s reporting practices in the post-privatization stage should be emphasized.