The paper analyzes the theory and application of Markowitz Mean-Variance Model and CAPM model. Firstly, it explains the development process and standpoints of two models and deduces the whole process in detail. Then 3...The paper analyzes the theory and application of Markowitz Mean-Variance Model and CAPM model. Firstly, it explains the development process and standpoints of two models and deduces the whole process in detail. Then 30 stocks are choosen from Shangzheng 50 stocks and are testified whether the prices of Shanghai stocks conform to the two models. With the technique of time series and panel data analysis, the research on the stock risk and effective portfolio by ORIGIN and MATLAB software is conducted. The result shows that Shanghai stock market conforms to Markowitz Mean-Variance Model to a certain extent and can give investors reliable suggestion to gain higher return, but there is no positive relation between system risk and profit ratio and CAPM doesn＇t function well in China＇s security market.展开更多
In this paper we use a direct method to solve the optimal portfolio andconsumption choice problem in the security market for a specific case,in which theutility function is of a given homogenous form, i.e. the so-call...In this paper we use a direct method to solve the optimal portfolio andconsumption choice problem in the security market for a specific case,in which theutility function is of a given homogenous form, i.e. the so-called CRRA case. The ideacomes from the completion technique ever used in LQ optimal control.展开更多
Chinese stock market is a developing one. In the present stages, to control scientifically the expansion speed and avoid drastic fluctuations is an important problem. Through analysis of plenty of data of SSE(Shanghai...Chinese stock market is a developing one. In the present stages, to control scientifically the expansion speed and avoid drastic fluctuations is an important problem. Through analysis of plenty of data of SSE(Shanghai Stock Exchange) Index and relevant economic quotas, we find that the problem of predicting SSE Index is a typical multi variable, nonlinear one. On the basis of the analysis, we apply the technology of fuzzy pattern recognition, to the optimum pattern division of SSE Index's time alignments from Jan. of 1993 to Dec. of 1997, and get a balanced pattern of the stock index fluctuation. At the same time, by using database technology, we find the optimum expansion speed of Shanghai stock, which can make SSE Index fluctuate steadily within the balanced area. We verified this model with the latest data and found it coincides with the reality perfectly. So it has the practical value and provides the policy makers with a scientific basis in controlling the expansion pace.展开更多
This paper aims to investigate the factors affecting the extent of voluntary disclosure by examining the annual reports of 205 industrial and manufacturing companies listing on Ho Chi Minh Stock Exchange （HSX） and H...This paper aims to investigate the factors affecting the extent of voluntary disclosure by examining the annual reports of 205 industrial and manufacturing companies listing on Ho Chi Minh Stock Exchange （HSX） and Hanoi Stock Exchange （HNX） for the year of 2012. Those factors include company size, profitability, leverage, state ownership, managerial ownership, and foreign ownership, board independence, role duality, and type of external auditors. Evidence from this study suggests two main findings： （1） Companies with high foreign ownership have a high level of voluntary disclosure; （2） The company size is an important factor related to the increased level of voluntary disclosure in annual reports of Vietnamese listed companies. However, no significant associations are found between profitability, leverage, state ownership, managerial ownership, board independence, role duality, and type of external auditors as hypothesized in this study.展开更多
The Chinese securities market has been developing gradually since the introduction of the economic reform and opening to the outside world. In 1981, our government issued national bonds in a bid to relieve the financi...The Chinese securities market has been developing gradually since the introduction of the economic reform and opening to the outside world. In 1981, our government issued national bonds in a bid to relieve the financial pressure. During the five years of 1981-1985, our country accumulated negotiable securities of RMB24.2 billion, mainly national bonds, accOunting for 97.9 percent of the total. Since 1986, the securities market has been developing towards diversification, along with increasing varieties. From 1986 to 1990,展开更多
Opening up the market, breaking the monopoly, and allowing the market to decide prices —these are the major items on the agenda for the marketization of China’s energy industry,and have a direct bearing on national ...Opening up the market, breaking the monopoly, and allowing the market to decide prices —these are the major items on the agenda for the marketization of China’s energy industry,and have a direct bearing on national energy security. Research into China’s energy securityhas so far focused on such fields as strategic energy reserves, stability of energy imports,and diversification of import channels. Little has been done in the study of national energysecurity from the perspective of marketization of the energy industry. However, opening upthe energy market and marketizing the energy industry are not only major commitments toChina’s accession to WTO, they serve the nation’s energy security needs as well. This papertakes a look at the actual results of opening up the energy market, the structure of thatmarket, and the nation’s energy pricing mechanisms, and on the basis of the findings, raisessuggestions on how to tackle the energy security issue.展开更多
China＇s securities markets have been experiencing high growth this year. The Shanghai Stock Exchange is now ranked as the fourth largest stock exchange of the world. So, who is protecting the Chinese investors in thi...China＇s securities markets have been experiencing high growth this year. The Shanghai Stock Exchange is now ranked as the fourth largest stock exchange of the world. So, who is protecting the Chinese investors in this fast growing and potentially volatile market？ The Incomplete Law Theory of Pistor and XU contends that regulators, as they are more efficient, play a more dominate role than the judiciary in protecting investors in the securities markets. This theory to some extent explains why the China＇s judiciary has been inactive in protecting investors in China, the host of the third largest securities market in the world. However, this article finds that the theory is not able to adequately explain the investor protection mechanism in China. We find that by deploying various political resources, the Chinese state plays a direct role in protecting the interest of investors that is often more significant than that played by judicial or regulatory authority action.展开更多
China has moved rapidly from a socialist planned economy to a market economy.As a result,many enterprises in China are seeking talented top management to increase their performance and decrease their default risk.Stud...China has moved rapidly from a socialist planned economy to a market economy.As a result,many enterprises in China are seeking talented top management to increase their performance and decrease their default risk.Studies abound regarding top management turnover and its relationship with firm performance,however,few studies have connected top management turnover with firm default risk.In China,a market with extensive financial fraud,firm default risk is an important factor and thus we explore this relationship in the Chinese securities market.Our results indicate that firms with higher default risk are more likely to change their top management in the next financial reporting period.In addition,following changes in top management,such firms default less than other companies.展开更多
It is inevitable that foreign capital will enter China’s A-share stock market after China’s accession to the WTO and the stock market will gradually be internationalized. While the Chinese stock market faces the cha...It is inevitable that foreign capital will enter China’s A-share stock market after China’s accession to the WTO and the stock market will gradually be internationalized. While the Chinese stock market faces the challenge of internationalization, we should explore some issues such as: the ways, schedule and timetable of the entry of the foreign capital and its impact on Chinese securities markets. These topics will be raised and discussed in this paper with an attempt to draw some conclusions.展开更多
On December 19,2010,China’s securities market turns 20.The past two decades have witnessed the market start from scratch and grow steadily,withstanding the near-cataclysmic 1997 Asian financial crisis and the 2008 gl...On December 19,2010,China’s securities market turns 20.The past two decades have witnessed the market start from scratch and grow steadily,withstanding the near-cataclysmic 1997 Asian financial crisis and the 2008 global financial crisis.Now,it is opening up to the outside world and merging into the international financial environment.Its role in propelling the Chinese economy is undeniable,but as the securities market continues to expand and adapts to the changing world environment,one question arises:What is the next step on its path of development?展开更多
It’s been 20 years since the first transaction on the Shanghai Stock Exchange on December 19,1990.During the past two decades,China’s securities market has
基金Supported by Zhejiang Provincial Natural Science Foundation (Y604137)Student Research Training Program in Zhejiang University
文摘The paper analyzes the theory and application of Markowitz Mean-Variance Model and CAPM model. Firstly, it explains the development process and standpoints of two models and deduces the whole process in detail. Then 30 stocks are choosen from Shangzheng 50 stocks and are testified whether the prices of Shanghai stocks conform to the two models. With the technique of time series and panel data analysis, the research on the stock risk and effective portfolio by ORIGIN and MATLAB software is conducted. The result shows that Shanghai stock market conforms to Markowitz Mean-Variance Model to a certain extent and can give investors reliable suggestion to gain higher return, but there is no positive relation between system risk and profit ratio and CAPM doesn＇t function well in China＇s security market.
文摘In this paper we use a direct method to solve the optimal portfolio andconsumption choice problem in the security market for a specific case,in which theutility function is of a given homogenous form, i.e. the so-called CRRA case. The ideacomes from the completion technique ever used in LQ optimal control.
文摘Chinese stock market is a developing one. In the present stages, to control scientifically the expansion speed and avoid drastic fluctuations is an important problem. Through analysis of plenty of data of SSE(Shanghai Stock Exchange) Index and relevant economic quotas, we find that the problem of predicting SSE Index is a typical multi variable, nonlinear one. On the basis of the analysis, we apply the technology of fuzzy pattern recognition, to the optimum pattern division of SSE Index's time alignments from Jan. of 1993 to Dec. of 1997, and get a balanced pattern of the stock index fluctuation. At the same time, by using database technology, we find the optimum expansion speed of Shanghai stock, which can make SSE Index fluctuate steadily within the balanced area. We verified this model with the latest data and found it coincides with the reality perfectly. So it has the practical value and provides the policy makers with a scientific basis in controlling the expansion pace.
文摘This paper aims to investigate the factors affecting the extent of voluntary disclosure by examining the annual reports of 205 industrial and manufacturing companies listing on Ho Chi Minh Stock Exchange （HSX） and Hanoi Stock Exchange （HNX） for the year of 2012. Those factors include company size, profitability, leverage, state ownership, managerial ownership, and foreign ownership, board independence, role duality, and type of external auditors. Evidence from this study suggests two main findings： （1） Companies with high foreign ownership have a high level of voluntary disclosure; （2） The company size is an important factor related to the increased level of voluntary disclosure in annual reports of Vietnamese listed companies. However, no significant associations are found between profitability, leverage, state ownership, managerial ownership, board independence, role duality, and type of external auditors as hypothesized in this study.
文摘The Chinese securities market has been developing gradually since the introduction of the economic reform and opening to the outside world. In 1981, our government issued national bonds in a bid to relieve the financial pressure. During the five years of 1981-1985, our country accumulated negotiable securities of RMB24.2 billion, mainly national bonds, accOunting for 97.9 percent of the total. Since 1986, the securities market has been developing towards diversification, along with increasing varieties. From 1986 to 1990,
文摘Opening up the market, breaking the monopoly, and allowing the market to decide prices —these are the major items on the agenda for the marketization of China’s energy industry,and have a direct bearing on national energy security. Research into China’s energy securityhas so far focused on such fields as strategic energy reserves, stability of energy imports,and diversification of import channels. Little has been done in the study of national energysecurity from the perspective of marketization of the energy industry. However, opening upthe energy market and marketizing the energy industry are not only major commitments toChina’s accession to WTO, they serve the nation’s energy security needs as well. This papertakes a look at the actual results of opening up the energy market, the structure of thatmarket, and the nation’s energy pricing mechanisms, and on the basis of the findings, raisessuggestions on how to tackle the energy security issue.
文摘China＇s securities markets have been experiencing high growth this year. The Shanghai Stock Exchange is now ranked as the fourth largest stock exchange of the world. So, who is protecting the Chinese investors in this fast growing and potentially volatile market？ The Incomplete Law Theory of Pistor and XU contends that regulators, as they are more efficient, play a more dominate role than the judiciary in protecting investors in the securities markets. This theory to some extent explains why the China＇s judiciary has been inactive in protecting investors in China, the host of the third largest securities market in the world. However, this article finds that the theory is not able to adequately explain the investor protection mechanism in China. We find that by deploying various political resources, the Chinese state plays a direct role in protecting the interest of investors that is often more significant than that played by judicial or regulatory authority action.
文摘China has moved rapidly from a socialist planned economy to a market economy.As a result,many enterprises in China are seeking talented top management to increase their performance and decrease their default risk.Studies abound regarding top management turnover and its relationship with firm performance,however,few studies have connected top management turnover with firm default risk.In China,a market with extensive financial fraud,firm default risk is an important factor and thus we explore this relationship in the Chinese securities market.Our results indicate that firms with higher default risk are more likely to change their top management in the next financial reporting period.In addition,following changes in top management,such firms default less than other companies.
文摘It is inevitable that foreign capital will enter China’s A-share stock market after China’s accession to the WTO and the stock market will gradually be internationalized. While the Chinese stock market faces the challenge of internationalization, we should explore some issues such as: the ways, schedule and timetable of the entry of the foreign capital and its impact on Chinese securities markets. These topics will be raised and discussed in this paper with an attempt to draw some conclusions.
文摘On December 19,2010,China’s securities market turns 20.The past two decades have witnessed the market start from scratch and grow steadily,withstanding the near-cataclysmic 1997 Asian financial crisis and the 2008 global financial crisis.Now,it is opening up to the outside world and merging into the international financial environment.Its role in propelling the Chinese economy is undeniable,but as the securities market continues to expand and adapts to the changing world environment,one question arises:What is the next step on its path of development?
文摘It’s been 20 years since the first transaction on the Shanghai Stock Exchange on December 19,1990.During the past two decades,China’s securities market has
