The presence of price disparity between A- and H- shares suggests that the two markets are segmented and thus allocation of capital is inefficient. In this paper, we attempt to identify the factors contributing to the price disparity, with a view to helping policymakers find solutions to the problem. Our results suggest that the disparity is caused by a combination of micro and macro factors. The fact that some of these factors are found to have played a crucial role in determining the disparity implies that reforms that can remove or reduce the segmentation can potentially bring considerable benefits by improving price discovery and market efficiency.

This paper studies the links between fundamental value and market price of the companies listed in both mainland A-share and Hong Kong H-share markets. As the valuation model has been inadequately applied in the literature, this study theoretically clarifies that the dividends discount model (DDM) and it derivatives are suitable for firms, but not for general consumers and investors, to evaluate equity fundamental values. Thus, using DDM and its derivatives to determine the market price of equity, which has been done in many other studies, is problematic. This paper also empirically studies how accounting data determines fundamental values of equities using a pooled-data vector autoregressive method. It indicates that although fundamental value can be a benchmark for investors to price equity, prices of equity may deviate from fundamental values substantially for a long time due to differences in preference and the extent of risk aversion between A-shares and H-shares. Correlation between equity price and its fundamental value for H-shares is larger than the correlation for A-shares. This paper also explains why there has been a big price gaps between A-shares and H-shares with exactly the same yields rights. The estimates of fundamental value for each company help investors make rational investment decisions. It suggests that, in the long run, healthy development of Chinese securities markets will depend on the progress of privatisation and marketisation of the Chinese economy. Measures such as the Qualified Foreign Institutional Investors (QFII) and Qualified Domestic Institutional Investors (QDII) programmes should be adopted to improve the efficiency of financial resources utilisation in mainland China, despite the short-run pressure that may put on A-share markets.

This paper explores the determinants of B-share discounts in the Chinese stock market based on a unique regulatory change in 2001. We find that the B-share discounts declined substantially after the lifting of restrictions on foreign ownership in China, but the H-share discount remained virtually unchanged. Using the intraday data, we find that information flows from the B-share markets to the A-share markets increase significantly after the event, because domestic investors rush into the B-share markets. Using various cross-sectional analyses, we also find that relative supply and behavior factors such as relative spread (or liquidity) and relative risk affect the discounts throughout the sample period.

本文是针对股指期货市场的波动溢出效应所做的相关研究。股指期货是最近几年的热点问题，本文利用行为金融的理论阐述了股指期货价格波动溢出的机理，如波动如何起源，有何特征，如何传递与扩散，从定性层面上对价格波动溢出作了一个分析，从而有助于更好地理解此效应。

This paper explores the determinants of B-share discounts in the Chinese stock market based on a unique regulatory change in 2001. We find that the B-share discounts declined substantially after the lifting of restrictions on foreign ownership in China, but the H-share discount remained virtually unchanged. Using the intraday data, we find that information flows from the B-share markets to the A-share markets increase significantly after the event, because domestic investors rush into the B-share markets. Using various cross-sectional analyses, we also find that relative supply and behavior factors such as relative spread (or liquidity) and relative risk affect the discounts throughout the sample period.

In this paper, I apply the GARCH-class models to Chinese stock market. And I analyze the characteristics of the volatility of Chinese stock market .By comparing the models, I conclude that EGARCH model and EGARCH-M model have almost the same efficiency in Shanghai Stock Exchange (SHSE) and Shenzhen Stock Exchange (SZSE). Then I use the estimated model to forecast the volatilities for these two stock exchanges.

While the vast majority of the literature reports momentum profitability to be overwhelming in the U.S. market and widespread in other countries, this paper finds that the pure momentum strategy in general does not yield excess profitability in the Chinese stock markets. We find instead strong mean reversion with an average half-life slightly shorter than one year. A pure contrarian investment strategy produces positive excess returns and in general outperforms the pure momentum strategy. Furthermore, momentum may interact with mean reversion. A strategy based on the rolling-regression parameter estimates of the model combining mean reversion and momentum generates both statistically and economically significant excess returns. The combined strategy outperforms both pure momentum and pure contrarian strategies. We conduct a number of robustness tests and confirm the basic findings. Collectively, our results seem to support the overreaction hypothesis.

在交易方向判别中，将传统的成交价比较法和针对报价驱动市场设计的Lee-Ready判别法应用到委托驱动的连续竞价市场时，可能导致系统性的误判。原因在于，在委托驱动市场独有的价格形态下，成交价比较法未能充分发掘买卖报价中的信息对价格不变情形进行有根据的判别，而Lee-Ready判别法蜕化为不适用的报价比较法。针对委托驱动市场中交易具有即时的成交价影响和报价修正影响这一特征，本研究将交易分成成交价不变、成交价上涨和成交价下跌三类，并提出了一种结合成交价比较法和报价比较法进行判别的新思路：对成交价上涨或下跌的样本基本适用成交价比较法，而对成交价不变的样本适用修正的报价比较法，同时排除一些可能引起误判的样本。这种新的判别法对市场微观结构效应的研究和应用均有重要的参考价值。

标准投资组合选择理论假设投资者准确地知道与资产收益率相关的各种参数，忽视了参数不确定性引致的估计风险给最优投资组合带来的影响。本文使用鞅方法求解了连续时间情形下引入参数不确定和学习时的动态投资组合问题，导出了最优投资组合的显示表达式。在此基础上深入分析了考虑参数不确定性对最优投资策略的影响及产生这些影响的原因。此外，我们还分析了投资者不同的初始信念对其投资方式和投资效果的影响。

套期保值者所面对的主要风险是基差风险，传统套期保值（1：1套保）在实际运用中经常会由于基差的剧烈波动而造成额外的损失。本文通过对沪铜历史数据的研究，利用OLS，ECM，ECM-GARCH等模型对各种方法所获得的套期保值比率进行了验证