The current study documents an interesting phenomenon that retail investors prefer to invest in stocks listed at the stock exchange that is geographically close to them in China. This pattern is robust when we control for the well-documented local bias within a country. Among companies with similar distances to both stock exchanges, investors still display a much stronger tendency to invest in locally-listed companies. Among stocks with similar distances to both stock exchanges, those listed in Shanghai (Shenzhen) co-move more in returns and volume, with the benchmark at the Shanghai (Shenzhen) stock exchange. Such a preference for local exchange seems not to be motivated by information advantage, because investors do not obtain abnormal returns from their trades on stocks listed nearby. Our findings provide additional evidence that non-information-based familiarity bias induces investment and that such investor biases and exchange-level sentiment influence asset price formation.

China launched her warrant market in August 2005 in the split share structure reform of listed companies. As up to now, equity trading on margin and short-sale of any form are still prohibited in China. This warrant market enables investors to trade on information that otherwise might be prohibitively expensive to trade on. The Chinese warrant market created top trading volume and turnover with only a handful of different warrants traded. This paper first studies the Chinese warrant market. Empirical evidence shows that the market prices of warrants are much higher systematically than the Black-Scholes prices with historical volatility. Moreover, the paper documents ample evidence that the one-dimensional diffusion model does not apply well in the Chinese warrant market. The prices of a warrant and its underlying asset do not support the monotonicity, perfect correlation and option redundancy properties. The paper also studies the cumulated gains of a delta-hedged warrant portfolio. In the Chinese warrant market, the cumulated delta-hedged gains for almost all expired warrants are negative. The negative gains are mainly driven by the volatility risk, and the trading values of the warrants for puts and the market risk for calls. The investors are trading some other risks in addition to the underlying risk.

Current integration and co-movement among international stock markets has been boosted by increased globalization of the world economy, and profit-chasing capital surfing across borders. With a reputation as the fastest growing economy in the world, China’s stock market has continued gaining momentum during recent years and incurred growing attention from academicians, as well as practitioners. Taking into account economic and geographical considerations, the US and Hong Kong are considerably the most comparable stock markets to China. As the usual vector error correction model (VECM) could overlook the long memory feature of cointegration residual series, which can in turn exert bias on the resulting inferences, we chose to employ a fractionally integrated VECM (FIVECM) in this paper to investigate the long-term cointegration relations binding China’s stock market to the aforementioned stock markets. In addition, by augmenting the FIVECM with multivariate GARCH model, the return transmission and volatility spillover between market return series were revealed simultaneously. Our empirical results show that China’s stock market is fractionally cointegrated with the two markets, and it appears that China’s stock market has stronger ties with its neighboring Hong Kong market than with the world superpower, the US market.

This study adopts the Markov-switching ARCH (hereafter SWARCH) model to examine the volatility nature and volatility linkages of four segmented Chinese stock indices (SHA, SZA, SHB, and SZB). Our empirical findings are consistent with the following notions. First, we find strong evidence of regime shift in the volatility of four segmented markets and SWARCH model appears to outperform standard GARCH family models. Second, although there are some common features of volatility switch in segmented markets, there exist a few difference: (i)compared with the A-share markets, B-share markets are more volatile and shift more frequently between high- and low-volatility states; (ii) B-share markets have longer stays at high volatility state than the A-share markets; (iii) the relative magnitude of the high volatility compared with that of the low volatility is much greater than the case in two A-share markets. Third, B-share markets are found to be more sensitive to international shocks, while the A-share markets seem immune to international spillovers of volatility. Finally, analyses of volatility spillover effect among the four stock markets indicate that the A-share markets play a dominant role in volatility in Chinese stock markets.

Two motivations of internal financing in business groups are studied using Chinese data: cross-financing to relieve severe financing constraints, and expropriation from minority shareholders in environments with weak corporate governance. We document the existence of both, and discuss their implications on both the efficiency and magnitude of intra-group financing. We find that, from the business group perspective, the internal capital market is most efficient when the groups are well governed and have a pressing need to mitigate external financing constraints.

中国商业性小额贷款公司大范围试点提出了如何对这些小额贷款公司进行绩效评价的现实问题，对已有微型金融绩效研究的回顾有助于回应这一问题。微型金融绩效具有双重标准，社会绩效和财务绩效缺一不可，但两者之间可能存在权衡关系。社会绩效可进一步区分为覆盖面与福利影响两个维度。覆盖面与财务绩效的直接衡量指标具有多样性，绩效测度时既可利用指标直接衡量，也可以通过因子分析法、DEA等方法来综合测度，两类方法各有优劣。福利影响评价研究的核心难题在于存在样本偏差，不同的评价方法因其对样本偏差的控制差异会带来不同的评价结论。

This paper investigates the potential benefits of international diversification with short selling constraints from the perspective of Chinese investors. Based on a stream of time-rolling realized portfolios, we show that Chinese investors can gain substantially from international investments. In particular, the expected portfolio returns as well as the risk-adjusted returns can be greatly enhanced by diversifying over emerging markets, and the portfolio risk can be largely reduced by investing in developed markets in comparison with purely domestic investments. The results are robust when the out-of-sample tests are employed and when investors start with a more mean-variance efficient domestic portfolio. In addition, our analysis illustrates that optimal portfolio weights vary significantly over time due to fluctuations in the correlations among international markets, suggesting that international portfolios need to be rebalanced frequently in order to generate the greatest possible diversification benefits.

Based on detailed trade records of individual investors who participated in both China’s A- and B- share markets, we find investors are more likely to buy A (B) shares when the A-share premium is lower (higher), when they have already held the same firm’s A (B) shares and when they have previously traded the same firm’s A (B) shares. Given that the correlation between the same firm’s A and B shares is below 70% and that A shares are more expensive, it is sensible for investors to invest more into the B shares. Our evidence suggests that investors accept a less than optimal portfolio due to lack of investment experience.

货币的边际效用递减理论源自于著名数学家Daniel Bernoulli（1738）为解决“圣彼得堡悖论”而提出的效用函数解决方案。然而，王文辉在《圣彼得堡悖论新解与不确定性估值》中证明了Bernoulli的效用函数解决方案是不成立的，因此，货币的边际效用递减是颇值得怀疑的。本文对传统效用理论进行了更深入的分析和阐述，得到了一个效用函数族，并且首次提出了“效用阈限漂移”现象。进而通过理论和实验两方面证明了货币的边际效用并非是单调递减的，而且效用函数与人们的风险偏好没有任何关系，从而纠正了微观金融经济学基础理论中长期存在的误区，为新的研究开辟了方向。

本文根据1996-2009年宏观经济季度数据，运用基于VAR的广义脉冲反应函数方法构建了我国货币状况指数，并考察其是否可以作为我国货币政策的信息指示器。研究表明：（1）货币状况指数对评价我国货币政策执行效果、分析影响货币政策立场松紧的主要因素具有重要参考价值，可以作为我国的货币政策指示器，以增强货币政策执行的准确性，同时我国货币政策的执行，在货币供给量渠道之外，还应重视利率和汇率传导渠道的影响；（2）货币状况指数能够提供我国货币政策最终目标未来变化的动态信息，可以作为我国货币政策目标的先行信息指标，以提高货币政策操作的前瞻性。