流动性能提高套利交易的盈利吗？——基于中国股市的证据

本文以新兴市场重要组成部分之一的中国股市为例,对市场总体流动性水平与套利交易盈利能力间的关系进行了深入分析。与成熟资本市场中的状况相反,本文研究发现,在控制了Fama-French三因子后,套利交易的预期盈利随着市场流动性水平的提高而增加,表明市场异象造成的错误定价并不会随着流动性的提高而被投资者的套利交易所纠正,这体现了不成熟市场的特征,且反映了套利的无效率。另外,本文在分析中还考虑了流动性风险和时变因素风险暴露等可能对研究结论造成影响的因素,并且在进一步研究后得到了与前文相一致的结论。     

市场需求下产学研协同创新意愿的动态收益分配优化模型

产学研协同创新意愿高低关键在于合作收益的大小及分配,且这种大小和分配不是基于固定收益下不同贡献度的分配,而是将创新收益与产品市场表现挂钩,基于动态收益的分配.据此,构建了一个优化模型,分析市场需求(初始市场需求、未来市场需求)、收益分配、研发投入三种因素对协同创新意愿的影响.结果显示:一是企业收益分配比例受到未来市场需求的强烈影响,不同的取值范围导致协同创新意愿与初始市场需求之间存在线性、"U"型、和倒"U"型三种不同关系.二是协同创新意愿与研发投入呈负相关关系,表明通过提升企业分配比例可以抵消由研发投入增加带来的负面效应.这些结论不仅深化了关于协同创新意愿影响因素及其影响机制的研究,而且对协同创新可持续发展的利益分配机制提供了新的研究思路和对策启示.     

银行间与交易所国债市场的信息溢出效应研究

用VAR模型的预测误差方差分解方法和格兰杰因果检验方法研究中国银行间和交易所国债市场信息溢出效应的方向、水平和动态趋势及其原因。研究表明:银行间和交易所国债市场之间收益与波动溢出效应均呈现上升动态特征;在收益溢出效应中银行间是国债市场信息传导者,在波动溢出效应中交易所是国债市场信息传导者;利率变化和市场流动性显著负向影响收益总溢出和波动总溢出。     

机构投资者增持的经济后果:基于定向增发的实证研究

定向增发背景下,对机构投资者增持行为经济后果展开研究具有重要的现实意义。以2008-2017年我国沪深A股成功进行定向增发的上市公司为样本,本研究采用OLS、POISSON、PSM等方法对机构投资者增持的经济后果及机理进行实证分析与稳健性检验。结果表明:机构投资者整体增持与定向增发上市公司的长期市场表现正相关。考虑机构投资者异质性特征并做进一步分析,价值投资型机构投资者增持行为通过提升企业创新水平显著提升了定向增发上市公司长期市场表现;由于追求短期股权价值波动收益,价格追随型机构投资者增持行为则不利于定向增发上市公司长期市场表现;限售期规定能够有效遏制价格追随型机构投资者的“追涨杀跌”行为。本研究为我国中长期价值投资型机构投资者培育、定向增发资源配置效率提升提供了理论依据。     

核心城市房地产市场的联动和溢出特征研究——基于中国“北上广深”样本的经验考察

本文基于房价长期趋势和短期波动层面,基于HP滤波法分离北京、上海、广州和深圳四大一线城市的房价,采用有向无环图和信息溢出指数方法剖析了核心城市房价之间的同期联动效应和信息溢出效应,并结合滚动窗口估计法分析了信息溢出对外部信息和调控政策的反应程度。结果显示:一线城市房价之间有紧密的联系程度和较高的信息溢出规模。在同期联动效应上,深圳房价趋势的对外联动效应最明显,北京房价趋势在同期最易受其它城市影响;上海房价波动存在较强的对外联动效应,深圳房价波动受其它一线城市的波动冲击较迅速。在信息溢出效应上,深圳房价趋势有引领作用,对外溢出效应最强;上海房价波动处于引导地位,中长期对其它市场影响最大。核心城市房价趋势之间的溢出指数随着利好政策信息的出现而上升,随着限制政策等不利信息的出现而下降。核心城市房价波动之间的溢出效应对于外部信息反应更为灵敏,国家对房地产市场的调控政策增大核心城市房价波动的信息溢出规模。     

Stylized facts in internal rates of return on stock index and its derivative transactions

Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in normalized log returns, the probability distributions for such single asset encounters incorporate the time factor by means of the internal rate of return, defined as the continuous compound interest. Resulting stylized facts are shown in the probability distributions derived from the daily series of TOPIX, S & P 500 and FTSE 100 index close values. The application of the above analysis to minute-tick data of NIKKEI 225 and its futures market, respectively, reveals an interesting difference in the behavior of the two probability distributions, in case a threshold on the minimal duration of the long position is imposed. It is therefore suggested that the probability distributions of the internal rates of return could be used for causality mining between the underlying and derivative stock markets. The highly specific discrete spectrum, which results from noise trader strategies as opposed to the smooth distributions observed for fundamentalist strategies in single encounter transactions may be useful in deducing the type of investment strategy from trading revenues of small portfolio investors.     

A BLACK－SCHOLES FORMULA FOR OPTIONPRICINGWITHDIVIDENDS

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Multivariate Gaussian criteria in SMAA

We consider stochastic multicriteria decision-making problems with multiple decision makers. In such problems, the uncertainty or inaccuracy of the criteria measurements and the partial or missing preference information can be represented through probability distributions. In many real-life problems the uncertainties of criteria measurements may be dependent. However, it is often difficult to quantify these dependencies. Also, most of the existing methods are unable to handle such dependency information.In this paper, we develop a method for handling dependent uncertainties in stochastic multicriteria group decision-making problems. We measure the criteria, their uncertainties and dependencies using a stochastic simulation model. The model is based on decision variables and stochastic parameters with given distributions. Based on the simulation results, we determine for the criteria measurements a joint probability distribution that quantifies the uncertainties and their dependencies. We then use the SMAA-2 stochastic multicriteria acceptability analysis method for comparing the alternatives based on the criteria distributions. We demonstrate the use of the method in the context of a strategic decision support model for a retailer operating in the liberated European electricity market.     

Eigenvalue density of cross-correlations in Sri Lankan financial market

We apply the universal properties with Gaussian orthogonal ensemble (GOE) of random matrices namely spectral properties, distribution of eigenvalues, eigenvalue spacing predicted by random matrix theory (RMT) to compare cross-correlation matrix estimators from emerging market data. The daily stock prices of the Sri Lankan All share price index and Milanka price index from August 2004 to March 2005 were analyzed. Most eigenvalues in the spectrum of the cross-correlation matrix of stock price changes agree with the universal predictions of RMT. We find that the cross-correlation matrix satisfies the universal properties of the GOE of real symmetric random matrices. The eigen distribution follows the RMT predictions in the bulk but there are some deviations at the large eigenvalues. The nearest-neighbor spacing and the next nearest-neighbor spacing of the eigenvalues were examined and found that they follow the universality of GOE. RMT with deterministic correlations found that each eigenvalue from deterministic correlations is observed at values, which are repelled from the bulk distribution.     

名优产品与劣质产品，孰优孰劣——消费品市场的博弈分析

由于信息不对称,买者通过逆向选择,在消费品市场上形成’伪劣产品”驱逐“名优产品”,类似于货币史上“劣币驱逐良币”,从而伪劣产品泛滥,而在信息畅通的情况下,消费者的选择是购买名优产品,不买劣质产品,厂商的选择是生产名优产品,或者长期生产劣质产品,但产品无人问津.