Building upon the seminal work of Easley, Kiefer, O’Hara and Paperman (1996), we develop a framework to investigate the relationship between the behavior of uninformed investors and the time-varying informed trading activities. We allow the arrival rates for uninformed traders to follow a Markov switching process where the transition probabilities depend on market fundamentals. Informed traders may match the level of the uninformed arrival rate with certain probability so as to make better use of the camouflage provided by the uninformed transactions. Our empirical estimation of NYSE stocks shows that the uninformed transition probabilities are indeed time-varying, so is the probability of information content. The estimated probability of information content predicts the opening, median and closing spreads. There is evidence that uninformed investors exhibit momentum chasing and “noise herding” behavior. There is also a positive “market spillover” effect in the uninformed trading activities. We find that the “clustering” of trading activities by uninformed and informed traders seem to be more likely on low volume days, and the uninformed trading activities are responsible for most of the stock trading volatilities.

本文综合运用事件研究法和分组比较法，检验了涨跌幅限制在中国股市的运行绩效。结果发现，涨跌幅限制会引发波动性溢出效应、价格发现延迟效应以及流动性干扰效应。因而本文得出结论：涨跌幅限制并没有降低股价波动性和投资者的过度反应行为，相反却阻碍了均衡价格的实现过程和投资者的正常交易活动。随着市场的规范和成熟度不断提高，我国股市应逐渐放宽涨跌幅限制。

本文以我国股票市场历史上所有发生过操纵的股票为样本，首先分析了我国股票市场操纵行为的特点；其次，从市场操纵和内幕交易的混合、影响被操纵程度的因素、被操纵期间的价格特征等方面对操纵行为进行了实证分析；再次，以正确判别操纵为首要目标、兼顾对非操纵事件的正确判别率为原则，建立了市场操纵的判别体系；最后，针对本文的结论，提出了相应的政策建议，并对蒋贤锋、史永东、徐明圣（2003）的全面市场操纵防范体系进行了发展。

Investors who possess information about the value of an IPO can participate in the offering as well as trade strategically in the aftermarket. Both the bookbuilding and the fixed price IPO selling methods require more underpricing when aftermarket trading by informed investors is considered. Bookbuilding becomes especially costly, since the potential for profit in the aftermarket adversely affects investors’ bidding behavior in the premarket. Unless the underwriter building a book can target a small enough subset of the informed investors, a fixed price strategy that allocates the issue to retail investors produces higher proceeds on average, contrary to the conventional wisdom in the literature. We therefore find a benefit to limiting access to the premarket and, hence, provide an efficiency rationale for the practice by American bankers of marketing IPOs to a select group of investors.

基于基金投资者可能关切的问题，本文采用文献回顾与评论的方式，并尽可能的结合国内的实况，对基金经理的角色和影响进行了一系列的探讨。藉由分辨哪些认知可能只是成见，而哪些看法有实证的支持，并提出可以进一步研究的方向，希望对基金投资者的选择投资对象，以及学术界的研究工作，能有所帮助。

Until recently, trading in Chinese markets was fully segmented―B-shares for foreign investors and A-shares for domestic investors. The fact that B-shares trade at a discount is a puzzle, since comparable markets overwhelmingly show premiums that are easily explained by international asset pricing models. The two most common explanations for this puzzle are that domestic investors are (i) better-informed and (ii) face lower costs of liquidity. The evidence, however, is inconclusive and relies on poor proxies. Based on as of yet unused trade and quote data, we explore direct measures of both information and liquidity using a spread decomposition model. We reject the liquidity-based explanation and find considerable support for betterinformed domestic investors. This creates an empirical basis for recent equilibrium models that rely on asymmetric information to explain China’s strong growth in spite of poor property rights.

内容提要： 　　本文一改将货币供应量作为货币政策体系唯一重要中介目标的传统观点，提出了构建一个同时将货币流通速度和货币供应量两者都作为中介目标的货币政策体系的观点。文章围绕这一论题，研究了货币政策中介目标的理论基础及其在货币政策体系中所应承载的功能，分析了货币流通速度长期没有得到经济理论界重视的经济背景，论证了改革开放来货币流通速度逐年下降但幅度逐渐减缓的经济规律并籍此得出了未来10年货币流通速度将实现由负增长向正增长转折性变化的结论。论文通过上述从理论到现实，从历史背景到未来趋势、从数据到图表的分析论述，较好地从理论和经济发展角度解决了货币流通速度在货币政策体系中的定位问题。 学术价值： 　　传统货币政策正在面临着经济体制转轨、经济增长方式转变的历史性挑战。论文构建的以货币流通速度为中介目标的货币政策体系及其据此提出的稳定货币供应量、加快经济货币化进程、加大企业改革和扭亏减困力度、促进消费热点形成等政策取向，对于治理通货膨胀与通货紧缩、保证国民经济持续稳定增长、完善市场经济体制等具有重大的理论价值和现实意义。 　　论文曾获九江市九五社会科学优秀成果奖。

The author analyzes the trading activities and the risk management practice at major U.S. banks. Till now, the trading revenues are still important for the major U.S. banks. Value-at-risk and stress testing seem to be the most commonly used approach for managing the market risk in trading activities.

本文提出，企业资本运营本质上是资本所有者或资本控制者实施的企业微观生产关系调整，旨在为相关当事人谋求利益。与资本运营密切相关的理论主要包括：企业融资周期理论、五级资本价值增值理论和基于价值增值的投资银行理论。在企业生命周期的不同阶段中客观存在着多样化的融资需求，这就要求建立一个多层次的资本市场体系，在多层次的资本市场体系中客观存在着五级资本价值增值规律，投资银行从事的全部资本运营业务都是围绕这个五级资本价值增值链展开的。

运用鞅方法与不动点理论，对金融市场交易价格波动进行非线性动态规划，遵循金融市场交易价格波动跟踪策略，实现学习进化金融市场风险跟踪和预测。