This paper explores the empirical results of the implementation of an independent director system in China, and identifies the advisory role of the board. The results show that firms implement board independence by adding extra members, instead of removing inside directors, except in the case where the board size (before the recruitment of independent directors) has already been too large. It has been found that complex (large and diversified) firms prefer a large board with more independent directors on the board. However, the largest shareholders have a strong incentive to organise a small and insider-controlled board. Although there is a negative relationship between board size, board independence and firm performance, Tobin’s Q increases in relation to board size and board independence for complex firms.

This paper uses a unique micro-level data-set on Chinese firms to test for the existence of a "political-pecking order" in the allocation of credit. Our findings are threefold. Firstly, private Chinese firms are credit constrained while State-owned firms and foreign-owned firms in China are not; Secondly, the geographical and sectoral presence of foreign capital alleviates credit constraints faced by private Chinese firms. Thirdly, geographical and sectoral presence of state firms aggravates financial constraints for private Chinese firms (“crowding out”). Therefore it seems that ongoing restructuring of the state-owned sector and further liberalization of foreign capital inflows in China can help to circumvent financial constraints and can boost the investment of private firms.

We investigate how institutional factors influence behavior of distressed firms in emerging markets, where bankruptcy laws are often weak and debtors have greater bargaining power in distress. By studying a comprehensive sample of distressed firms in China, a representative of the cases in other emerging markets, we find that institutional background matters considerably to distress resolution. Distressed companies facing better institutional background (i.e. with less state ownership structure, in regions with better government quality and greater degree of local financial development), display relatively better operating performance, more disciplined capital structure, and higher ultimate recovery likelihood. Our findings provide novel evidence on how institutional factors discipline distressed firm behavior and facilitate distress resolution in emerging markets.

Based on the background of the banking industry in China, this paper establishes Cournot, Bertrand and Stackelberg mixed oligopoly competition models with deposit and interest rates as strategic variables between a representative state-owned bank and a representative foreign bank. We discuss and compare the equilibrium deposits, interest rates and profits in different market structures. More importantly, considering the endogenous timing setup and taking the extended game with observable delay as the basic model, we analyze the competition results of the mixed duopoly at different market structures and make numerical simulations in order to get the outcomes of the extended game. It is found that, under the scenario of endogenous timing, and 1) the assumption that the foreign bank’s deposit return rate is more than twice that of the state-owned bank and 2) the degree of nationalization of state-owned bank is no less that 1/4, the SPNE of deposit extended game is (L, L), i.e. both banks will choose to move later, neither player has so called “first mover advantage” which leads to the Cournot outcome and payoffs. When the degree of privatization is more than 3/4 and both banks have the same deposit return rate, the SPNE of interest rate extended game is (E, L), i.e. the state-owned bank will lead and the foreign bank will follow.

本文系统的讨论了两类信用风险模型一致性问题的内涵及分析框架。利用logistic和KMV的序列评价结果,实证分析了在面板数据多维信息空间中，两类模型的信用评价结果在层级性和趋势性上的一致性判定。结果显示，违约距离与守信概率在时间维度上存在正相关关系，并在统计上显著；而在截面上不成立。也即一致性问题中时序序数结果一致，而截面上的层级序数结果则无法确认。

The paper examines the short-run spillover effect of daily stock returns and volatilities between the S&P 500 in the U.S. and Shanghai SSE composite in China. First, we find that a structural break happened in the SSE stock return mean in December 2005. Second, analyzing modified GARCH (1,1)-M models, we find evidence of a symmetric and asymmetric volatility spillover effect from the U.S. to the China stock market in the post-break period. Third, the symmetric volatility spillover effect from China to the U.S. is also observed in the post-break period.

This paper studies the dividend problem when the asset of the company is driven by a diffusion process and the dividend barrier follows a Markov process. The explicit expressions for dividends is derived and a numerical example is given.

In this paper, we propose a new approach to test the presence of GARCH Effects of China stock market. Our method is based on Maximal Overlap Discrect Wavelet Transform (MODWT)that provides a natural platform to investigate the volatility behavior at different time scales without losing any information.The empirical results show that GARCH effects are more significant at short time horizons as compared to long. Furthermore, when compared the modeling results of GARCH-t with that of EGARCH-t, it yields very higher effectiveness to capture the leverage effect of financial time series at relavant time scales.

本文构建一个由策略交易者、趋势跟随者、流动性提供者以及套利者组成的多期多市场决策模型，分析在股指期货推出时间给定的条件下，推出前后大盘价格的变动。我们发现，股指期货的引入对股票现货市场的短期效应受市场跟风行为的强弱，即羊群效应大小的影响。当跟风程度较弱时，股指在期货推出前短期下跌，推出后继续下跌；而当跟风程度较强时，股指在期货推出前短期上涨，推出后则下跌。由于国内投资者具有很强的跟风倾向，该模型预测股指期货在推出前短期内将抬高大盘，推出后则压低大盘。另外，股指期货的推出也可能降低市场的波动性。

2002年以来，受人民币升值预期与国内资产价格上涨的吸引大量境外“热钱”流入国内已成为不争的事实。然而，股票市场与房地产市场在多大程度上依赖于这些境外“热钱”？如果这些境外“热钱”发生逆转将对股票市场或房地产市场产生多大冲击？针对这些问题，本文采用一种新的方法来估计流入我国的“热钱”规模及变化趋势；其次，本文构建了“热钱”与国内资产价格之间存在内生关系的理论模型，并在此基础上进行了实证分析，结果发现：“热钱”的涌入的确显著地推动了住宅价格尤其是豪华住宅价格指数的上升，并且住宅价格指数变化率的波动中有约20%是由于境外“热钱”发生异动所致，但这些境外“热钱”对股票指数变化的影响并不具备统计显著性。