• 详情 Should Liquidity Risk be Priced on the Chinese Stock Market?
    If liquidity or illiquidity shocks reduce returns, then such risks need to be priced. The goal of this paper is to examine whether liquidity or illiquidity shocks increase or decrease returns on the Shanghai and Shenzhen stock exchanges. Our measure of illiquidity is the widely used Amihud’s (2002) ILLQ measure, and we proxy liquidity with the trading volume (TV), the turnover rate (TR), and the trading probability (TP). Using daily data for the period 1993 to 2003, we find weak evidence of the illiquidity shock having a negative effect on returns on both exchanges, and while greater cases of a positive effect of liquidity factors on returns is documented, very few of these are statistically significant. Hence, contrary to the extant literature, we find weak evidence in favour of pricing liquidity on the Chinese stock market.
  • 详情 Block Trades on the Shanghai Stock Exchange
    Using block trades data on the Shanghai Stock Exchange (SSE) from 2003 – 2009, we study the pricing mechanisms of block buys and sells. We show that block trades are priced at discount (premium) for sells (buys). The discount/ premium varies depending on the characteristics of the stocks traded, the complexity of the trades, and also on whether the trades are internalized. We also study permanent and temporary price impact of the trades. As expected, seller-initiated trades do not seem to be information related as there is no significant information content. On the contrary, the prices decline after buyer-initiated trades, suggesting that buyers do not possess private information which leads to a permanent shift in prices. Temporary price impacts of all trades are large in magnitude and statistically significant, reflecting compensation for locating counterparties and the cost of negotiating terms. This suggests that the information platform on SSE for locating counterparties is yet to be fully developed to help reduce the transaction cost of block trades.
  • 详情 When Noise Trading Fades, Volatility Rises
    We hypothesize and test an inverse relationship between liquidity and price volatility derived from microstructure theory. Two important facets of liquidity trading are examined: thickness and noisiness. As represented by expected volume (thickness) and realized average commission cost per share (noisiness) of NYSE equity trading, both facets are found negatively associated with ex post and ex ante price volatilities of the NYSE stock portfolios and the NYSE composite index futures. Furthermore, the inverse association between volatility and noisiness is amplified in times of market crisis. The overall results demonstrate that volatility increases as noise trading declines. All findings retain statistical significance and materiality after controlling for a number of specifications. This inverse liquidity-volatility relationship reflects a microstructure interpretation of the liquidity risk premium documented in the asset pricing literature.
  • 详情 交易前透明度与价格发现效率关系的研究
    上海证券交易所于2006年7月1日开盘由封闭式集合竞价转为开方式集合竞价,文章以此开盘集合竞价透明度提高事件研究交易前透明度与价格发现效率之间的关系。研究发现:从事件前后的平均交易量、交易金额、流通市值和总市值对比看出事件后市场比较活跃,有更多的投资者参与,增加了市场的流动性。事件前后无偏回归结果系数β的比较分析表明交易前透明提高以后价格发现效率明显提高,交易价格更加有效,促进了价格发现。进一步运用基于方差分解方法得到的定价误差在事件前后也呈现显著性差异,即事件后的定价误差显著小于事件前的,这证明交易前透明度提高以后交易价格偏离有效价格的程度变小,进一步证明事件后价格发现效率确实提高。最后得出文章研究结论,交易前透明度提高以后价格发现效率显著提高。这进一步充实了交易前透明度研究的文献,同时对政策制定者提供了很好的参考价值,更对东亚新兴资本市场证券交易机制设计具有借鉴意义。
  • 详情 银行间与交易所市场企业融资成本比较研究
    债券市场的首要功能是融资。目前我国的债券市场分为银行间市场和交易所市场,两者存在较 大的发展差距。本文以融资成本为对象,对两市场的企业融资效率进行比较研究。发现:银行间市场的显性发行成本低于交易所市场,但发行利率指导、发行垄断导致了隐性成本的增加;交易所市场由于投资者资金实力不足造成了发行利率水平的偏高,但证券公司自身的择时能力和债券需求的真实性确保了最低的隐性发行成本。
  • 详情 不同目标制下的中国最优货币政策分析
    在更灵活的汇率制度下,中国货币政策会对经济产生什么影响?通过建立一个统一的开放宏观经济模型,发现如果中央银行要实现开放经济下不同目标制的最优货币政策,浮动汇率制成为要稳定国内经济,有效应对国内外冲击与实施独立和内向型货币政策的最优选择。
  • 详情 资产价格、通胀预期与我国货币政策的预期管理
    由于利用货币总量预测通胀的能力大为降低,也很难找到能够反应流动性状况的显性指标,而资产价格往往包含有相关的特定信息,对相关经济变量的反应也非常灵敏和迅速,使得资产价格容易成为反应未来通货膨胀的先行指标。由于资产价格的影响因素比较复杂,很容易导致公众预期发生紊乱,所以中央银行虽然不必一定要对资产价格的波动做出直接的政策调控,但必须要加强相关的信息沟通,稳定和引导公众的通胀预期。本文研究的主要内容,就是通过理论分析及我国的实证研究,分析我国资产价格与通货膨胀的相关关系,判断资产价格是否包含对未来通胀的一定信息,并实证研究资产价格对我国公众通胀预期的可能影响。
  • 详情 转型期中国金融发展的生产率效应(博士生论坛征文)
    基于金融系统论之上,本文提出了考察金融发展的三个纬度,在金融发展与内生经济增长的理论背景下,对转型期中国金融发展的生产率效率进行了实证检验。研究结果表明,转型期中国金融发展规模的生产率效应为负,金融结构的生产效率效应为正,金融效率的生产率效应为正;随着经济发展水平的变化,金融发展对经济增长的生产率效应也表现出不同的作用;同时,来自于区域和不同发展水平的分类实证检验也说明了金融发展生产率效应区域的差异性和非线性关系。
  • 详情 Do Imports Crowd Out Domestic Consumption?A Comparative Study of China, Japan and Korea
    A decline in the relative price of imported goods compared to that of domestically produced goods may have different effects on domestic consumption. Such effects may not be accurately detected and measured in a classical permanent-income model without considering consumption habit formation as pointed out by Nishiyama (2005). To resolve this problem, this paper employs an extended permanent-income model which encompasses consumption habit formation. Both cointegration analysis and GMM are used to estimate the (modified) intratemporal elasticities of substitution (AES) between imports and domestic consumption and the parameters of habit formation as well as the (modified) intertemporal elasticities of substitution (IES). We find that import and domestic consumptions are complements in China, but substitutes in Japan and Korea. Different per capita incomes and consumer behaviors between China and the other two countries are two possible reasons for different relationships between import and domestic consumptions. The research findings have important implications on policies such as exchange rate adjustments in China. (2011中国金融国际年会博士论文征文)
  • 详情 论商业银行CRM的实施
    随着国际金融一体化和网络经济的发展,我国商业银行将面临更加激烈的市场竞争。无论是从应对挑战还是从把握机遇的角度来看,客户都是核心。 目前,我国银行业的客户关系管理还只是流于形式,没有真正对客户信息进行有效全面的分析,从而导致优质客户的满意度和忠诚度较低。运用CRM体系来进行客户关系管理正是为了应对商业银行客户资源竞争的利器。 本文研究基于客户关系管理的理论,着重从管理层面探讨我国商业银行如何有效的实施CRM系统。商业银行通过实施CRM,能够更好的整合银行内部资源,实现业务流程重组,提升客户服务质量,最终实现客户价值利益最大化。 希望能够对我国商业银行客户关系管理具有一定的应用参考价值。