中国金融改革的蓝图与路径——对十八届三中全会精神的理论解读

党的十八届三中全会所定下的金融体制改革的蓝图与路径,既反映了现实经济的要求,也表明了政府对于金融体制全面实现市场化转型的决心。这次改革将对金融市场的规则、运作机制、行为方式、组织结构及监管方式等各方面产生重大影响,特别会深刻影响整个金融市场的利益格局。同时,中国金融改革蓝图透露出将加快利率市场化、汇率形成机制市场化、金融业对外开放、资本市场发展等方面的信息。近期内,在利率、汇率、资本项目可兑换、金融市场准入及退出、股市等方面都会有大动作。作为一场重大的制度改革,能否突破既得利益集团的阻碍,能否让新制度安排在实践中不断完善,是这场金融改革能否顺利进行的关键。金融改革是当前整个深化体制改革的重要突破口,它将牵一发而动全身,因此,必须对金融改革的重大问题和关键任务进行系统梳理与理论分析。

以集体决策模型分析股市熔断机制

熔断机制是在我国股市金融市场上昙花一现的"短命政策",充分说明政府决策对经济社会发展能够产生深远影响。本文剖析熔断机制出台的集体决策模式,并反思这一模式及熔断机制对金融市场和经济发展的影响。

The institution efficiency of stock price limits： An experimental analysis on the two stocks market with continuous bid

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.

An Empirical Test of Optimism Bias in Capital Budgeting Decisions

Behavioral finance is a field that is scrutinizing the adequacy of traditional financial theories using insights from the disciplines of psychology and sociology. Many studies within its realm test the stock market behaviors, and behavioral phenomena are still to be tested in the area of corporate finance. This study aims to contribute to the behavioral corporate finance literature by a research in one of the psychological phenomena affecting the decision makers＇ abilities to reach conclusions rationally. In this study, it is aimed to investigate one of the biases, namely, the optimism bias in corporate capital budgeting decisions. Optimism in decision making can be associated with estimating lower costs and higher revenues. Thus, by assessing the forecasts of decision makers, the existence of optimism in their decisions is tried to be seen. This study aims at contributing to the literature in that it is conducted in an emerging country like Turkey.

Research on the Portfolio with Transaction Cost and Inflation

This paper analyzes the portfolio with inflation and transaction cost by broadening mean-variance model assumption. Based on the comparison between efficient frontier with and without transaction cost and inflation, the conclusion is drawn that the new efficient frontier is revolving and the new investment strategy changes. Furthermore, we provide a numerical example based on real world data.

The Ecological Economic Model Based on Bounded Rational Agents

From the view of hominine bounded rationalities, this paper analyzes the important relationships between ecology and economics with behavioral finance. With a different focus, this paper adopts a new conceptualization of stock to show how this conceptualization leads to a new measure of the interaction between ecology and economics, based on bounded rational agents. The hierarchical structure of ecological economic system is described with a multi-agent sinmlation program. This paper also develops an ecological economic model, in which behavioral finance theories are applied to simulating the dynamics system. With the model this paper confirms, that macro-level indicalors of sustainability are predictably influenced by behaviors of bounded rational agents at the micro-level, We discuss the significance of these findings in order to better understand the ecological-economic system based on behavioral finance.

Financial System Design and Firm Investment in Malaysian Listed Firms

This paper investigates the impact of financial system design on investment. It is aimed to provide additional empirical evidence based on the original paper by Demirguc-Kunt and Maksimovic （2002）. The firm-level data of Malaysian companies between 2000 and 2007 are used. This paper also extends the previous literatures by using a panel data methodology, applying a random-effects estimator. The findings show that： First, the growth investment of firms are positively related to the development of the banking system but negatively related to the capital market. These firms substitute equity for debt associated with an increase in stock market activity （more long-term financing） and debt for equity in the presence of an increase in banking activity （less long-term financing）. Second, the internal growth financing, short-term growth financing and long-term growth financing have shown a significant impact on growth investment by firms. It implies that these financing constraints are complements to the development of banking system and stock market activity. Therefore, well-developed stock markets facilitate long-term financing, whereas a well-developed banking sector facilitates short-term financing. It is recommended that policy makers stress more on banking system for short-term financing and capital market for long-term financing.

Financial Integration Among the ASEAN 5 ＋ 3 Stock Markets： A Preliminary Look at the First 10 Years of the New Millenium

The purpose of this study is to investigate the financial integration of the stock markets of the ASEAN 5 ＋ 3 countries. These countries include Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan, and South Korea. The research determined the stock return volatility for each country＇s index during the first decade of the new millennium. The findings showed that there is the presence of integration and co-integration with Philippine index＇s return with the index＇s returns of the following countries： Indonesia, Singapore, and Thailand. Furthermore, there is evidence of volatility clustering in these stock markets. The study concluded with the policy implications of greater integration in light of the planned cross trading among four ASEAN bourses, namely, Philippines, Singapore, Thailand, and Malaysia by 2012.

What defines non-outstanding shares transfer premium in China？

We study the sample of 311 non-outstanding shares transfers from 2003 to 2004. The object of this study is to determine the extent to which premium can be explained by financial factors of firms. The intrinsic value of transferred shares with control right is different from the others. We find that the larger percent of share transferred, the higher premium will be paid. Current liability ratio interpreting the premium of non-outstanding shares transfers is negative related to short term debt. Price ratio can determine the premium level when the ratio of transfer share under 30 percent

GARCH-Type modeling of stock market returns for the pre-crisis countries

Empirical studies have shown that a large number of financial asset returns exhibit fat tails （leptokurtosis） and are often characterized by volatility clustering and asymmetry. This paper considers the ability of the GARCH-Type （Generalized Autoregressive Conditional Heteroskedasticity） models to capture the stylized features of volatility in national stock market returns for three countries （Portugal, Spain and Greece）. The results of this paper suggest that in the presence of asymmetric responses to innovations in the market, the ARMA （1,1）-GJRGARCH（1,1） skewed Student-t model which accommodates both the skewness and the kurtosis of financial time series is preferred.

The 2007-2009 Financial Crisis on Emerging Markets： Quantitative Identification of Crisis in Continent-based Regions

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.

Post-issuance related party transaction： Evidence of tunneling

The distortion of corporate financing in China stock markets is not only reflected as the significant increase of leverage after rights offering, but also the large amount of post-issuance related party transactions between the parent SOEs and their subsidiaries. This paper examines the three channels, including accounts receivables, direct loan and loan guarantee. Empirical findings suggest that high frequency of these transactions after rights offering, and the amount of transactions increase as ownership concentration increases, which support the argument of tunneling.

Factors Influencing Retail Investors＇ Attitude Towards Investing in Equity Stocks： A Study in Tamil Nadu

Research in behavioral finance is comparatively less in India, when compared to other foreign countries. Globalization of financial markets has been increasing the retail investors＇ community over the past two decades by providing a wide variety of market and investment options. However, it makes much more complex in their investment decisions process. This paper aims at identifying the factors influencing the retail investor＇s attitude. This paper develops a modified questionnaire. The average value of the five top highly influential factors according to the sample retail investors＇ were Investors＇ tolerance for risk, strength of the Indian economy, media focus on the stock market, political stability and finally government policy towards business. Four factors were given lowest priority or which had low influence on the attitude of the retail investors investing in equity stocks. Stories of successful investors was considered to be the lowest influencing factors among the four, get rich quick philosophy, information available on internet, cost cutting by companies.

Business valuation methods selection that based on the life cycle

Based on modem financial markets becoming more and more perfect, in company stock, bonds, represented by the investment banking has permeated all aspects of life. Business valuation is the core of value management.However, companies in different stages of development have a certain stage characteristics, and therefore from the features and characteristics of the different stages of business valuation methods and the factors that affect the value of different businesses created to start, can provide investors assess the business value of new ideas.

LEGENDRE TRANSFORM-DUAL SOLUTION FOR INVESTMENT AND CONSUMPTION PROBLEM UNDER THE VASICEK MODEL

This paper studies an investment and consumption problem with stochastic interest rate,where interest rate is governed by the Vasicek model.The financial market is composed of one riskfree asset and one risky asset,in which stock price dynamics is assumed to be generally correlated with interest rate dynamics.The aim is to maximize expected utility of consumption and terminal wealth in the finite horizon.Legendre transform is used to deal with this investment and consumption problem and the explicit solutions of the optimal investment and consumption strategies with power and logarithm preference are achieved.Finally,the authors add a numerical example to analyze the effect of market parameters on the optimal investment and consumption strategy and provide some economic implications.

BLOGTALK

To be a real financial center, you must become a magnet for global financial activity. If the Shanghai stock market aims to become China＇s financial center, the Hong Kong Stock Exchange should strive to become East Asia＇s financial center. It should be actively pursuing the world＇s biggest companies, not scrabbling about for the limited number of red chips.

FINANCIAL CONNECTIVITY

Leung Chun-ying（fifth right）,Chief Executive of Hong Kong Special Administrative Region,and Hong Kong Exchanges and Clearing Chairman Chow Chung-kong（fourth left）jointly beat a gong to mark the inauguration of the Shenzhen-Hong Kong Stock Connect in Hong Kong on December 5. Under the new scheme, mainland investors can trade shares on the stock exchange of Hong Kong through local brokers, and Hong Kong investors can buy and sell stocks on the tech-heavy Shenzhen bourse. The arrangement is the second link between mainland and Hong Kong capital markets, after the Shanghai-Hong Kong Stock Connect was launched in 2014.