股票指数期货(Stock Index futures)即股票指数期货合约,是一种以股票市场的股票价格指数为买卖基础的期货,是指买卖双方根据事先约定好的价格同意在未来某一特定时间进行股票指数交易的一种具有法律效力的协定.股票指数期货是期货市场...股票指数期货(Stock Index futures)即股票指数期货合约,是一种以股票市场的股票价格指数为买卖基础的期货,是指买卖双方根据事先约定好的价格同意在未来某一特定时间进行股票指数交易的一种具有法律效力的协定.股票指数期货是期货市场与股票市场共同的产物,它既具备了期货的特点,又包含了股票的特点.展开更多
美国政府提出"信息高速公路"(Information Super Highways)计划以来,国内外反响相当强烈。那么"信息高速公路"的实质是什么呢?我们说:信息高速公路计划的实质,乃在于建设国家的信息基础结构(NationalInformation In...美国政府提出"信息高速公路"(Information Super Highways)计划以来,国内外反响相当强烈。那么"信息高速公路"的实质是什么呢?我们说:信息高速公路计划的实质,乃在于建设国家的信息基础结构(NationalInformation Infrastructure)。这种基础结构主要由以下几方面的要素构成:——信息资料源,包括各种各样的信息库,如影视资料库,管理数据库,图书文档库,科技情报库,商贸信息库,证券股票金融行情库,医疗保健信息库等;——信息设施,包括用来获取-传输-处理-利用信息的各种物理设备;如摄录设备,存贮设备,传输设备,交换设备,计算设备,控制设备,显示设备,自动化设备等;展开更多
Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. D...Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.展开更多
This paper studies the IPO underpricing in the emerging stock market of China. The empirical results reveal that in China, the degree of IPO underpricing measured by first-day return is more than 100%, which is a prev...This paper studies the IPO underpricing in the emerging stock market of China. The empirical results reveal that in China, the degree of IPO underpricing measured by first-day return is more than 100%, which is a prevailing phenomenon for almost all IPO firms, regardless of the IPO time and the industry of the firm The degree of IPO underpricing in China is larger than the IPO initial returns documented in almost all the other countries. This considerable underpricing in China can hardly be explained by the information asymmetry theory and agency theory.展开更多
This paper focuses on a direct quantitative identification of crisis periods in selected emerging stock markets from four continent-based regions of Europe, Latin America, East Asia, and Middle East and North Africa ...This paper focuses on a direct quantitative identification of crisis periods in selected emerging stock markets from four continent-based regions of Europe, Latin America, East Asia, and Middle East and North Africa （MENA）, in the context of an influence of the 2007 U.S. subprime financial crisis. The 17 emerging stock markets and, for comparison, the U.S. stock market are investigated. A statistical method of dividing market states into bullish and bearish markets, based on monthly logarithmic returns of major stock market indexes, is employed. The analyzed sample period begins in January 2003 and ends in December 2013. As there is no unanimity in the literature about the crisis periods in the continent-based regions, a formal statistical identification of crises is worthwhile to conduct. Furthermore, the effect of increasing cross-market correlations in the crisis compared to the pre-crisis period in the context of contagion is examining. To address this issue, both standard contemporaneous cross-correlations and volatility-adjusted cross-correlations are applied. The results are consistent with the literature and confn＇m that tests for contagion based on cross-market correlations are problematic due to the bias introduced by changing volatility in market returns. As contagion can be confused with globalization, the globalization tests in the group of international investigated markets are employed. The results generally do not confirm a global world market integration effect, i.e. there is no reason to reject the research hypothesis of no globalization during the 2007-2009 financial crisis.展开更多
文摘股票指数期货(Stock Index futures)即股票指数期货合约,是一种以股票市场的股票价格指数为买卖基础的期货,是指买卖双方根据事先约定好的价格同意在未来某一特定时间进行股票指数交易的一种具有法律效力的协定.股票指数期货是期货市场与股票市场共同的产物,它既具备了期货的特点,又包含了股票的特点.
文摘美国政府提出"信息高速公路"(Information Super Highways)计划以来,国内外反响相当强烈。那么"信息高速公路"的实质是什么呢?我们说:信息高速公路计划的实质,乃在于建设国家的信息基础结构(NationalInformation Infrastructure)。这种基础结构主要由以下几方面的要素构成:——信息资料源,包括各种各样的信息库,如影视资料库,管理数据库,图书文档库,科技情报库,商贸信息库,证券股票金融行情库,医疗保健信息库等;——信息设施,包括用来获取-传输-处理-利用信息的各种物理设备;如摄录设备,存贮设备,传输设备,交换设备,计算设备,控制设备,显示设备,自动化设备等;
基金Acknowledgements： This research is supported in part by National Nature Science Foundation of China （No. 70672029 and 70532001）, project of key base for studies of social science of Ministry of Education of China （No. 05JJD630023）, Social Science Foundation of Tianjin （No. TJ05-GL004）, base for innovation of Philosophy and Social Science 985 Project-＂Management and institution innovation of Corporate in China＂ item.
文摘Price limits in product market have been discarded in classic microeconomics. However, price limits affect the trade behavior of the same agent, since agents in the stock market change their trade status frequently. Due to the controversy on the institution effectiveness of the price limits in stock market, this paper design an experimental market with two stocks with continuous bid, in which we investigate the impact of the price limits on the stock market. The results show that the price limits moderate the price volatility within and between the trades periods, thus can stabilize stock price. In addition, price limits, when measured by traditional approach, restrain the fluidity of the market, reduce the volatility of transaction shares and maintain durative of fluidity. While volatility-based fluidity measurements show that the fluidity is enhanced significantly in stock market with price limits.
文摘This paper studies the IPO underpricing in the emerging stock market of China. The empirical results reveal that in China, the degree of IPO underpricing measured by first-day return is more than 100%, which is a prevailing phenomenon for almost all IPO firms, regardless of the IPO time and the industry of the firm The degree of IPO underpricing in China is larger than the IPO initial returns documented in almost all the other countries. This considerable underpricing in China can hardly be explained by the information asymmetry theory and agency theory.
文摘This paper focuses on a direct quantitative identification of crisis periods in selected emerging stock markets from four continent-based regions of Europe, Latin America, East Asia, and Middle East and North Africa （MENA）, in the context of an influence of the 2007 U.S. subprime financial crisis. The 17 emerging stock markets and, for comparison, the U.S. stock market are investigated. A statistical method of dividing market states into bullish and bearish markets, based on monthly logarithmic returns of major stock market indexes, is employed. The analyzed sample period begins in January 2003 and ends in December 2013. As there is no unanimity in the literature about the crisis periods in the continent-based regions, a formal statistical identification of crises is worthwhile to conduct. Furthermore, the effect of increasing cross-market correlations in the crisis compared to the pre-crisis period in the context of contagion is examining. To address this issue, both standard contemporaneous cross-correlations and volatility-adjusted cross-correlations are applied. The results are consistent with the literature and confn＇m that tests for contagion based on cross-market correlations are problematic due to the bias introduced by changing volatility in market returns. As contagion can be confused with globalization, the globalization tests in the group of international investigated markets are employed. The results generally do not confirm a global world market integration effect, i.e. there is no reason to reject the research hypothesis of no globalization during the 2007-2009 financial crisis.
