We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B share markets and the Hong Kong share markets. We utilize a robustly estimated VECM-MV-GARCH model to test for possible co-integrating vectors between the market segmentations pre and post deregulation of the Chinese B share market. Our results suggest that before deregulation there is weak evidence of co-integration between the A and B share markets however, post deregulation the situation changes and the segments appear to be significantly co-integrated. MV-GARCH results suggest that the conditional correlations of market/sector shocks also increase significantly over the sample period.

This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environment. We show that day-of-the-week effects are attenuated after the market entrance of Chinese individual investors, who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period.

We study whether firm name has an effect on firm valuation. Some Chinese firms listed on U.S. stock exchanges have the word "China" or "Chinese" included in their company names ("China-name stocks"), whereas others do not ("non-China-name stocks"). During the China stock market boom in 2007, we find that China-name stocks significantly outperform non-China-name stocks. This is not due to differences in firm characteristics, risk, or liquidity. We also find a significant increase in both abnormal returns and trading volumes of existing China-name stocks to the listing events of new Chinese initial public offerings. This "China-name effect" is largely consistent with the hypothesis that optimistic investor sentiment during the China stock market boom drives up China-name stocks more than non-China-name stocks.

As the launch of the China’s first stock index futures (SIF) approaches with no exact date for its eventual introduction. The Chinese stock market has increased dramatically due to this expectation recently, especially the futures contracts related stocks have raised significantly which are good examples of this influence. As the stock index futures is a new financial product, Chinese investors cannot help wondering whether the launch of the stock index future will have a positive or negative impact upon the underlying stock market. On the other hand, the new instruments which, will be followed by the introduction of other derivatives, will require broker-dealers to upgrade their systems and invest in new technology. Therefore, it has become pertinent to investigate the opportunities and challenges this eagerly awaited derivative instrument has to offer to fund managers in the booming Chinese economy.

我国基金市场的飞速发展,证券投资基金已经成为股票市场中一支举足轻重的投资力量,它们的投资决策选择足以对整个股票市场造成轩辕大波,因此对基金的资产配置决策研究有助于了解实务界的证券投资理念和股票市场的变化原因,对配置决策与基金收益的研究更可以为投资者提供有益的投资参考。本文对资金配置的最基本问题——分散还是集中——展开实证分析,与存量研究不同,本文着眼于基金对新流入资金的配置决策研究,并提出基于基金实际持股组合的能够同时有效处理股票型基金和混合型基金的五因素风格调整模型,从而进行分散化配置决策与基金边际决策收益的关系研究。面板回归结果发现,基金更倾向于把新流入资金加大原股票组合的持有比例,分散化倾向很低;因为管理能力、隐性成本和股票流动性的限制,分散化和集中化存在相互促进的关系;分散化配置决策在总体上能给基金带来额外收益,但是研究发现分散化的收益影响是凸型的,给基金带来最大收益的分散化范围在41只到63只股票之间。另外,本文的实证检验得到依据风格调整收益的选择基金标准:大家族、小净值、小盘股、高费率、羊群倾向低、交易低密度、持股50只左右。

本文通过对股票涨幅排行榜这一独特的注意力吸引事件进行深入考察，利用2006年1月到2009年4月的沪市交易数据，实证发现以财经媒体所披露的前十名涨幅排行榜的公共信息构建股票组合，在次日可以获得比相应对照组合高出0.67个基本点的超额收益，即存在所谓的排行榜效应。在此基础上，我们根据有限注意理论从不同的角度进行实证解释，发现以新闻条数所构建的榜内外注意力差异能够有效地解释排行榜效应，实证结果在很大程度上表明注意力驱动的投资者交易行为是排行榜效应产生的根本原因。

国外研究认为在IPO的询价发行机制下,机构投资者具有信息生产和价格发现的功能,首日抑价程度可由此被降低,且机构的持股有利于稳定IPO股票的后市运行。但本文通过事件研究发现:当锁定到期时,机构投资者的短期交易行为活跃;当法人配售IPO股份数量较大时,市场在上市初期和锁定到期时都会对解禁事件做出持续缓慢的负向反应。这意味着法人配售对IPO股票的后市运行没有起到良好的稳定作用。在承销商缺乏IPO股票分配权力且发行价格实际受到核准控制的背景下,机构投资者的价格发现功能受到限制,截面回归进一步证实中国IPO股票的需求曲线是向下方倾斜的,而锁定制度限制了上市初期可交易资产的数量,这将导致更高的上市初期交易价格。统计分析表明法人配售、锁定制度不能有效降低过高的首日抑价。

基于解析的成交量价概率波分布函数，用成交量概率描述价格波动的不确定性和强度，我们根据市场群体的心理行为，构造了一个关于价格波动和收益信息的交易性条件反射的理论模型。应用此模型对中国股市高频数据检验，我们主要有以下发现：1）总体来说平均收益率与交易性条件反射强度变化率之间存在着显著的正相关；2）在泡沫破裂前、后两个时期，它们之间的正相关缺乏显著性；3）比较特殊的是上证指数在牛市上升的一段时期内，它们之间存在着显著的负相关。我们的模型和实证能够同时检验股市中的处置效应和羊群行为，并且解释过度交易等市场异象。

论文以上海燃料油期货价格波动性为研究对象，主要应用GARCH模型对上海燃料油期货价格波动性的特征、量价关系进行了实证研究。研究结果表明：上海燃料油期货价格波动的时间序列具有明显的尖峰、厚尾和集群性的特征；波动序列具有显著的自相关性和条件异方差性；燃料油期货当期和滞后期成交量都与价格波动之间有显著的相关关系，而当期和滞后期的持仓量与价格波动不具有显著的相关关系；燃料油期货价格波动性的持续性很强。研究结论对于投资者更好地了解燃料油期货和监管部门完善中国燃料油市场具有现实意义。

本研究采用模拟股票投资情景的问卷实验方法，以210名中国A股市场上的个体投资者为被试，对个体投资者股票投决策中的后悔情绪及相关因素进行了探索。结果发现：个体投资者被试对其股票投资决策的后悔/满意程度不仅源于其所做投资决策的赢亏结果，而且会受到对备选决策选项之赢亏结果的反事实思维的影响，即尽管错过赢利和躲过亏损的实际赢亏结果是完全相同的，但被试对其的后悔程度却是明显不同的。个体投资者被试倾向于把更多的股票投资决策的责任归为自己。相对于“马上卖出”的投资建议，有更多的个体投资者被试更愿意采纳股票经纪人的“继续持有”的投资建议。