There are many similarities between the US, the UK and the Chinese housing markets, including the movements of interest rates and house prices. Some Chinese banks, especially the Bank of China, have been exposed to the US mortgage securitization market. These have triggered a serious concern as to whether the US credit crunch and housing market crisis may be replicated in China. This paper shows that there are some significant differences between China and the West, especially the US and the UK. Compared with the US and other western industrialized economies, the booming house market in China has been supported by fast economic growth, rapid urbanization and high domestic savings. In addition, Chinese banks are less exposed to mortgage defaults than their western counterparts because house buyers are mainly urban and high income residents who are required to have high down payments. These Sino-Western economic and social differences suggest that the US credit crunch and housing market crisis may have some negative impacts on Chinese commercial banks and the overall economy but are unlikely to cause a similar financial and housing crisis in China despite the current struggling Chinese stock markets and a slowdown of house price growth.

The expected equity risk premium is a key input of many asset prcing models in finance. There exist a number of methods to estimate the risk premium. It is also well documented that the risk premium is time-varying. This paper briefly reviews two different approaches. More specifically, the historical average and relative estimation are taken into closer examination. The first approach is applied to estimate equity risk premium for stock markets in Great China when the stock markets were recovering from the bottom. Then the relative estimation approach is also adopted to empirical data to justify the findings in the first one, which takes into consideration the lower required rate of return for Chinese investors due to lack of investment opportunities. After making these adjustments, we find that risk premium in mainland China is close to risk premium for Hong Kong and Taiwan markets. All of those markets have higher risk premium compared to US market. The risk premium for Shanghai and Shenzhen market are about 8% and 10% respectively. For Hong Kong and Taiwan these numbers become 8% and 9%, where the long-term forward-looking risk premium for US market is about 4%.

The paper examines the price impact of mutual funds in the Chinese equity market from 2000 to 2007. We find there is strong positive correlation between stock returns and mutual fund holding and trading, and the price impact is more significant in mutual-fund buying than mutual-fund selling. Our findings support the hypothesis that the price impact is due to the information advantage of mutual funds.

机构投资者是否根据股票的滞后收益率进行正反馈交易对市场的波动性和有效性有着重要影响。以往的实证研究倾向于认为机构投资者不存在或仅存在微弱的动量交易，本文指出传统动量检验指标会因为对股票需求定义的不准确、股票当前市值和过去收益率之间缺乏独立性等问题导致检验结果出现偏误。一旦修正了这些偏误再对我国证券投资基金进行动量检验，发现基金动量交易行为显著，即机构的确在追涨杀跌。

Recent theoretical studies (Aggarwal and Wu,2006; Mei,Wu and Zhou,2004) show that trade-based stock price manipulation is a possible source of the momentum effect. This paper proposes three sets of testable hypotheses and provides empirical evidence for a manipulation-based explanation of momentum.Using weekly data on 14 CITIC industries in the Shanghai A-share market from 1997 to 2006, our analysis of industry momentum shows that cumulative returns first increase then decrease across holding periods, and the returns monotonically decrease across formation periods. This return pattern is consistent with a so-called”pump and dump”scheme,where momentum is created by manipulators and chased by speculators. We attribute the source of momentum to the positive own-autocorrelation, which dominates the cross-autocorrelation effect of industry returns. We also find that momentum profits are higher in the bull than in bear market, and most of the profits come from the gains of winning industries rather than the losses of losing industries. These empirical results,when related to some well-documented behavioral biases of Chinese speculators,tell us a possible stock-market manipulation story of momentum.

本文假定分割市场中投资者信息处理能力存在差异，推导了具有异质信念的两阶段定价模型，证明了异质信念和卖空限制是导致 H 股价格低于 A 股价格的原因之一，通过 A 股和 H 股市场交易数据的实证分析，表明了该模型的合理性和有用性，在一定程度上解释了中国分割资本市场股价的异象，有助于认识中国新兴资本市场的微观结构和市场特征。

IPO折价存在于世界各国的 IPO市场。有关 IPO 折价的研究是一个热点问题，包括折价存在性、差异性、折价的影响因素、折价形成的原因与预测等。中国股市的特殊性使 IPO上市股票的折价不但符合 IPO的普遍规律，而且具有很多独特的规律。本文结合有关折价原因的几种理论与假说(包括信息不对称、股权分配、投资者非理性等)，对中国股市 IPO 折价的存在性，不同市场、股票类型折价的差异性，以及造成这种差异的原因等进行了实证研究，并创造性地对承销商声誉的衡量、股市上升期与下降期的折价表现、同一企业 AB 股发行顺序对折价的影响等进行了研究。揭示了中国 IPO折价的存在性、股票市场的差异性及造成差异的原因，探索了股票一、二级市场的有机结合路径。对规范和完善 IPO市场定价机制，帮助监管者制定规则，引导投资者理性投资等有一定的指导意义。

本文利用Hasbrouk(1995)的信息分享模型以同时在A股市场和H股市场交叉上市的公司为研究对象，对公司A、H股的价格发现贡献进行了评估，并对交叉上市股票价格发现能力的横截面特征和影响因素进行了实证研究。研究发现：（1）虽然交叉上市公司A、H股股票价格存在差异，但是两者的变动存在协整关系且互为调整，平均来看A股比H股股票更具价格发现功能；（2）交叉上市公司间的H股的价格发现贡献存在差异；（3）信息不对称、流动性、交易成本以及市场交易份额是导致各公司H股价格发现贡献不同的主要原因。

Markowitz（1952）的投资组合理论理论为完全市场条件下的最优资产配置问题奠定了坚实的理论基础，但是当市场中存在不流动性资产时，例如限售股，人力资本，房地产和私人所有权等，那么原有的最优组合选择策略将会改变。本文在连续时间模型框架下研究市场中存在不可交易资产时的最优资产配置问题。结果表明：存在不流动资产的市场与完全流通市场的最优组合策略是不同的，最优资产配置策略取决于非流动性资产的初始禀赋以及流动约束时间等特点，还有就是代理者的流动性财富。我们提供了一个自认为是这个问题的第一个解析解，它可以拓展应用于存在这类不可交易资产的或有索取权的组合选择问题。

本文以2003-2007年13个国家为研究对象，研究了不同国家本币升值对外汇储备的影响。面板数据的实证结果表明，汇率波动在一定程度上决定了一国外汇储备的规模，本币升值是导致2002年以后新兴市场国家外汇储备快速增长的重要因素，本币升值幅度与外汇储备的增幅成反比。我们认为，外汇储备管理应从控制供给入手，有效控制外汇储备规模。而央行减少对汇率的干预，并逐步推进人民币国际化是有效降低过多外汇储备的重要手段。