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.

Using a unique dataset from Chinese stock market, we present the facts that the investors with different levels of experiences tend to time their first purchases differently when trading the IPO stocks. First, we demonstrate that experienced investors are less likely to buy IPO stocks on the first day while inexperienced investors are more likely to do so. Then we find that those investors who buy on the first non-hit day can obtain higher return relative to those investors who buy the same stock on the first day. In sum, more experienced individual investors do learn from their experiences to be more patient and observe/analyze the target stock for longer time before purchase than the green hand. Moreover, their experiences can indeed help improve the performance.

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.

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.

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.

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.

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.

We analyze return predictability for the Chinese stock market, including the aggregate market portfolio and the components of the aggregate market, such as portfolios sorted on industry, size, book-to-market and ownership concentration. Considering a variety of economic variables as predictors, both in-sample and out-of-sample tests highlight significant predictability in the aggregate market portfolio of the Chinese stock market and substantial differences in return predictability across components. Among industry portfolios, Finance and insurance, Real estate, and Service exhibit the most predictability, while portfolios of small-cap and low ownership concentration firms also display considerable predictability. Two key findings provide economic explanations for component predictability: (i) based on a novel out-of-sample decomposition, time-varying macroeconomic risk premiums captured by the conditional CAPM model largely account for component predictability; (ii) industry concentration and market capitalization significantly explain differences in return predictability across industries, consistent with the information-flow frictions emphasized by Hong, Torous, and Valkanov (2007).

We find that the asymmetric volatility phenomenon is reversed in the Shanghai Stock Exchange during bull markets. That is, volatility increases more with good news than with bad news. This evidence is inconsistent with the US markets (Wu 2001, and Bae, Kim and Nelson 2007). Further examination of this phenomenon reveals that the positive impact of good news on volatility is driven by return chasing behaviour of investors in large stocks during bull markets. We also find that volatility increases after stock price declines in bear markets especially for small stocks. This increase in volatility of small stocks after bad news in bear markets is partly driven by liquidity. After controlling for liquidity shifts, there are no significant patterns in the volatility of small stocks during bear markets. We posit that institutional and behavioural factors are the major driving forces of observed volatility patterns in Chinese stock market.

We compare the effects of futures market margin policy on trading activity and volatility between the China margin system and the U.S. margin system. In China margin levels are set as a fixed percentage of the underlying futures contract value and change daily as futures prices change over time. In contrast, margin is set at a fixed dollar amount for most contracts in the United States and is infrequently adjusted at the discretion of the exchange’s clearinghouse. We provide a theoretic model on how the changing margin cost between market-up days and market-down days would affect the demand and supply of short term speculators and long term hedgers in the Chinese futures market and their different effects on market volatility. The model shows that the futures price shocks should have an asymmetric effect on trading volume and volatility in the Chinese market but symmetric effect in the U.S. market and futures price should have a return dynamics that is more stable in the Chinese market than in the U.S. market. Using Soybean futures data from the Chinese and U.S. markets, we compare price and volatility dynamics between the two markets and find empirical support for our theoretic model and hypothesis.