The trade size Omega has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of price impact can be obtained in each market when stock capitalization C is included as an argument in the scaling relation. However, the rationale of introducing stock capitalization in the scaling is unclear and the anomalous negative correlation between price change r and trade size Omega for small trades is unexplained. Here we show that these issues can be addressed by taking into account the aggressiveness of orders that result in trades together with a proper normalization technique. Using order book data from the Chinese market, we show that trades from filled and partially filled limit orders have very different price impact. The price impact of trades from partially filled orders is constant when the volume is not too large, while that of filled orders shows power-law behavior r-omega^alpha with alpha=2/3. When returns and volumes are normalized by stock-dependent averages, capitalization-independent scaling laws emerge for both types of trades. However, no scaling relation in terms of stock capitalization can be constructed. In addition, the relation alpha=alpha_omega/alpha_r is verified, where alpha_omega and alpha_r are the tail exponents of trade sizes and returns. These observations also enable us to explain the anomalous negative correlation between r and Omega for small-size trades. We anticipate that these regularities may hold in other order-driven markets.

基于心理学的“有限注意”观点，本文检验了我国股市盈余公告后投资者对于不同公布时机盈余信息的不同反应，发现我国盈余公告存在显著的“周历效应”和“集中公告效应”。同时，本文发现我国上市公司在选择盈余信息披露时机时，倾向于在周六公布坏消息以减少投资者的关注程度。

我们发现，解禁前后股改限售股存在-13%的累积异常收益，价格下跌主要发生在解禁40天之前。信息发现假说认为，在禁售期内，流通股股东如果发现公司价值低于预期或者非流通股股东行为不当，就会选择在解禁前出售股票，导致股价下跌。回归分析支持信息发现假说认为：透明度高的股票价格下跌较小，公司基本面的改善与解禁前后收益正相关。实证结果还发现，解禁股收益能够反映公司基本面的时序变化和个体差异，从而验证了中国资本市场的有效性。

2001年之后，我国机构投资者正经历着一个快速发展的时期。针对之前屡屡发生的违规行为，机构投资者在我国资本市场发展过程中究竟扮演了什么样的角色目前还存在很大的争议。根据Grossman与Stiglitz（1980）等研究提出的信息经济学理论，机构投资者的作用更直接的体现为通过知情人交易向市场传递信息。在以往研究的基础上，本文通过考察机构投资者交易对股价中公司特有信息含量的影响，从信息的角度对机构投资者在我国资本市场中所起到的作用进行了更进一步的检验。在控制了内生性、噪音等因素影响之后，实证结果显示机构投资者交易确实增加了股价中的公司特有信息含量，提高了市场的效率。本文加深了对我国资本市场中机构投资者的理解和认识，从更直接的角度验证了引入机构投资者对市场的作用，另一方面也在一定程度上说明监管者正确导向了机构投资者的行为。

In this paper, real and financial linkage is to be investigated. We focus on six typical stock markets after time zone effect taken into consideration. We select monthly annual CPI rate as transition variable in Smooth Transition Conditional Correlation CARR (named STCC-CARR for short) model to scrutinize interdependence among international stock markets. As it is testified, correlations among them are fluctuant with different inflation cycles and could not be ignored arbitrarily. The highest correlations come out between countries when both are in contractionary phase, while the lowest correlations do when both are in expansionary phase.

We examine the effect of illiquidity discount on stock prices on the warrants prices in China. We construct measures of liquidity based on market microstructure models, and find that they explain a significant portion of the cross-section variation in the warrants pricing biases and implied stock discounts in the market. We conclude that, due to the T+1 rule in Chinese stock market, equity market is illiquid relative to the warrants market that doesn’t bear the T+1 rule. This imposed illiquidity cause the discount on the stock price, which is not reflected in the warrants market. Thus the illiquidity in stock market contributes to the pricing bias in warrants market.

This paper investigates the impact of macro variables on the volatility of bond returns. Using the principal components analysis, we extract the “real” and “money” factors from the real activities and monetary variables, respectively. Following Campbell, Lettau, Malkiel, and Xu (2001), we decompose the bond volatility into market-level volatility and maturity volatility. Using the daily returns on the 1-, 5-, 10- and 30-year US treasury bonds, we find that the macro factors significantly affect the bond volatility. In particular, the “real” factor affects the bond volatility of all maturities while the monetary variables are significantly related to the volatility of short-term bonds and weakly related to the volatility of medium-term bonds.

We examine the independent and dominating effects of the liquidity level, the information asymmetry and the divergence of opinion on asset returns in an important emerging market, Chinese stock market. We use the variable ILLIQ from Amihud (2002) to proxy for the liquidity level, the variable PIN from Easley, Hvidkjaer, and O'Hara (2002) to proxy for the information asymmetry and the variable OBS based on Nas and Skjeltorp (2006) to proxy for the divergence of opinion. We find striking evidence that stocks with a higher liquidity level, or a lower information asymmetry, or a higher divergence of opinion, experience significantly lower excess returns. More importantly, the explanatory power of the liquidity level on asset returns may only reflect those from the information asymmetry and the divergence of opinion. Moreover, we find no evidence on the dominating effect between the information asymmetry and the divergence of opinion when examining their impact on asset returns.

对期货市场最佳套期保值比率的研究可分为两大类：一类是从组合资产收益风险最小化的角度，研究最小风险套期保值比率；另一类是同时考虑组合资产收益和收益方差，从效用最大化的角度研究均值－风险套期保值比率。研究套期保值的模型方法一般运用以下六种: 传统回归模型（OLS）、双变量向量自回归模型（B-VAR）、误差修正套期保值模型（ECHM）、广义自回归条件异方差模型（EC-GARCH）、VaR最小方差套期保值方法（VaR）、基于几何谱风险测度GM的期货套期保值模型（GM）。本文比较了以上六种模型方法各自的优势和缺陷。

When the government is simultaneously the owner and regulator of the securities market, the evolution of securities market regulation follows a path of compulsory institutional change. China’s government authorities have played a dual role in this process by acting both as the securities market regulator and the controlling owner of the stock exchanges. This paper uses the evolution of China’s securities market regulation from 1980 to 2007 to illustrate this theoretical framework. It provides unique evidence of how securities regulation evolves in response to government direction and supervision if the government is both the owner and the regulator of the securities market.