Imposed trading constraints act as an exogenous source of illiquidity, prevent free trading of restricted shares and make them be priced at a discount relative to their freely-traded counterparts with identical dividends and voting rights from the same listed firms. This paper numerically solves the theoretical illiquidity discounts for the case of long constraint horizons and then reconciles the contradictions in the results of various frameworks by identifying the effects of the unlimited and costless borrowings assumed in Longstaff (2001). With control of leveraged positions, illiquidity discounts increase with the volatility, and their size is greatly diminished. We also empirically test the theories within the unique setting of China, which has virtually the largest population of restricted shares worldwide. Large discounts are documented in two forms of transactions in restricted shares: namely auctions and transfers. The results empirically verify the theoretical findings by showing that illiquidity discounts in auctions increase with both the volatility and constraint horizons. The results from transfers, however, are not significant as the transfers are made privately and may be subject to price manipulation when the involved parties are related.

石油价格和储备一定是反比例关系，增加石油储备就可以抑制石油价格上涨似乎已经成为定论，本文利用相关分析、协整检验、格兰杰因果检验，通过建立VEC模型进行脉冲响应分析和方差分解，发现不同的储备在不同时段与油价的关系是不同的：WTI 价格与战略储备一直是正相关关系，2004年之前WTI 价格与美国商业储备CPR和OECD储备呈负相关关系，2004年之后转化为正相关关系，OECD与原油期货价格间的相互作用最明显，三种原油储备与油价间存在长期均衡关系且对油价影响有滞后。储备对油价的走势不产生影响，但可以抑制油价的波动幅度，储备相比汇率和供需变化及投机等因素对油价的影响力较弱，所以单纯靠储备调整价格是不现实的，必须建立期货市场，并辅之税收等其他手段。

本文通过引入便利收益估值模型，将便利收益看成是某种期权的近似，对现有的套利投机模型进行了改进，建立了一个包含便利收益的原油期货投机套利模型，并进行了实证分析。结果表明，期货价格受套利和投机共同影响，其中套利为主要的影响因素，投机在期货价格的形成中起到了一定的作用，近几年来原油价格的大幅涨跌与投机因素关系并不密切。

本文通过引入便利收益估值模型，将便利收益看成是某种期权的近似，对现有的套利投机模型进行了改进，建立了一个包含便利收益的原油期货投机套利模型，并进行了实证分析。结果表明，期货价格受套利和投机共同影响，其中套利为主要的影响因素，投机在期货价格的形成中起到了一定的作用，近几年来原油价格的大幅涨跌与投机因素关系并不密切。

本文首先结合我国期货市场的实际，尝试引入香港期货市场的交易风险管理模型，依据价格变动量来确定期货保证金水平。利用GARCH模型对EWMA模型中的关键参数——衰减因子λ进行测定，在一定程度上避免了人为因素的影响。运用改进的模型，选取我国期货市场上三种期货合约交易数据进行测定，发现不同品种的衰减因子有显著不同，故对不同合约应有区别地采用相应的衰减因子，使期货交易保证金的计算模型更具针对性和准确性。其次对本文建立的保证金模型的预测值、香港交易所现行的保证金模型的预测值和期货价格的真实波动值三者之间进行比较表明，本文所构造的保证金模型相比较香港交易所现行的保证金模型可在保证不降低风险覆盖率的基础上减少保证金的收取水平。

本文研究了沪深300股指和股指仿真交易收益率极端风险和相依关系。用DCC-GARCH模型描述了股指期货和现货之间动态的条件相关系数，并以极值分布为边际分布对四种常用的Copula函数进行了拟合，发现Frank Copula的拟合效果最好，其次为Clayton Copula。在此基础之上，对不同组合的VaR和CvaR进行测度，发现投资组合比例与风险之间呈现“U”型特征，这也为套期保值提供了一种新的研究方式。

研究境外股指期货市场与国内股指现市之间的价格发现和波动溢出过程，有助于深化股指期货市场的价格发现理论，识别各个市场在价格发现中作用的大小。本文以香港H股指数期货与新华富时A50指数期货为样本，研究境外异地上市股指期货与国内现货市场之间的价格发现、波动溢出等的联动影响。研究发现香港H股股指期货是大陆主要股指的Granger原因，其波动也会溢出到大陆股市。而新加坡新华富时A50指数期货对大陆股市不存在明显的均值和波动溢出效应，更多受到大陆本土市场的影响。最后，论文给出了研究结果对我国开展股指期货的启示。

Since the first index fund launched in 1999, the index fund market has been growing steadily in China. In this paper, we seek to measure and understand the tracking error of China based index funds. The results show that sample index funds exhibit an acceptable level of tracking error in general. Furthermore, by means of decomposition of tracking error variance we find that risk structure of sample funds keeps consistency with financial theory about indexing. While there is an exception such as Hua An MSCI China A share e.g., whole performance of the better run index funds suggests that indexing is practicable under China conditions.

This paper considers informed traders’ trading strategies in a bear market. Known as stealth trading, one strategy of informed traders’ is to use medium-size trades, which tend to contain more information than small- and large-size ones and thus to have stronger impact on stock price movement. Using the tick-by-tick data of Shanghai 180 Index Component Stocks, we document the strong pattern of stealth trading in Chinese stock market during the period of June 1, 2004 to May 31, 2005, which is: (1) an order-driven market; (2) a market that has limit orders only; (3) a bear market; (4) a market with no corresponding derivative market; (5) a market with short-selling constraints; (6) an emerging market. The results extend the empirical evidence on the stealth trading by documenting the fact that price movements are mainly due to the medium-size trades. We find that the pattern in a bear market is highly consistent with that in a bull market. First, we observe that the per-transaction stock price changes in different trade-size categories exhibit a clear U-shape and only the price changes induced by medium-size trades are consistent with the market movement direction. We formally test the stealth trading as well as four alternative hypotheses, and conclude that stealth trading hypothesis can correctly explain this phenomenon. Second, the evidence shows that the medium- size trades have stronger impacts on price change s in the stocks whose price movements are highly consistent with the market (in our study, it refers to those stocks with severely low cumulative return in the sample period). Third, we further document that there is strong interaction between stealth trading hypothesis and order imbalance hypothesis. However, after controlling the effect of order imbalance, the stealth trading hypothesis still holds, but the magnitude is much lower. It is suggested that the follow-up researchers take into consideration the effect of order imbalance, when confirming the existence or the magnitude of the stealth trading.

In 2005-2006 China reformed its stock market by eliminating non-tradable shares. The regulator set general guidelines and then assigned responsibility for implementation to each company. We derive relations that should have been followed by the prices of stocks and exploit a company-level data set to compare the actual and the theoretical price reactions. We find evidence for abnormal returns both before the beginning of the reform and during the reform. Cross-sectionally, abnormal returns are associated mainly with turnover and compensation. This shows that in a speculative market, investors do not properly react to unambiguous corporate actions.