Does Margin Trading Enhance Information Efficiency of the Capital Market?——Evidence from China

On March 31,2010,China formally introduced a margin trading system,which announced that China's capital market has completed the transformation from a unilateral transaction model to a bilateral transaction model with a short-selling mechanism.However,the current development of China's margin trading and securities lending businesses is seriously unbalanced,and the scale of financing far exceeds the scale of securities lending.The short selling effect of securities lending exchanges is extremely limited,which to some extent violates the original intention of introducing the system.In order to help margin trading and securities lending to correct a healthy and sustainable development path,this article uses stock price synchronicity as a proxy indicator to measure the information efficiency of the capital market,explores the impact of the margin trading system on the information efficiency of the capital market,and study the detailed characteristics and economic consequences of the margin trading system.Aiming at this topic,this article analyzes the relationship between margin financing and securities lending and stock price synchronicity.Finally,it analyzes the influence of margin financing and securities lending system on stock price synchronicity from three dimensions of corporate governance,external supervision,and institutional environment mechanism.In terms of empirical research,this article takes advantage of the“quasi-natural experiment”provided by the gradual opening of margin trading and securities lending in China’s securities market,and selects listed companies on the Shanghai and Shenzhen stock exchanges from 2007 to 2019 as the research objects,starting from the perspective of stock price synchronicity,and passing The DID-FE model studies the impact of the margin trading and securities lending system on the information efficiency of the capital market.It uses three methods:parallel trend and dynamic testing,PSM-DID analysis,and placebo testing for robustness testing to solve the endogeneity problem of the experiment.This article also conducts deeper research on the subject based on the two dimensions of the impact mechanism of margin financing and securities lending and the size of the company,and finally discusses the economic impact of margin financing and securities lending on the level of company innovation.

Impact of trading hours extensions on foreign exchange volatility:intraday evidence from the Moscow exchange

Using transaction-level tick-by-tick data of same-and next-day settlement of the Russian Ruble versus the US Dollar exchange rate(RUB/USD)traded on the Moscow Exchange Market during the period 2005–2013,we analyze the impact of trading hours extensions on volatility.During the sample period,the Moscow Exchange extended trading hours three times for the same-day settlement and two times for the next-day settlement of the RUB/USD rate.To analyze the effect of the implementations,various measures of historical and realized volatility are calculated for 5-and 15-min intraday intervals spanning a period of three months both prior to and following trading hours extensions.Besides historical volatility measures,we also examine volume and spread.We apply an autoregressive moving average-autoregressive conditional heteroscedasticity(ARMA-GARCH)model utilizing realized volatility and a trade classification rule to estimate the probability of informed trading.The extensions of trading hours cause a significant increase in both volatility and volume for further analyzing the reasons behind volatility changes.Volatility changes mostly occur after the opening of the market.The length of the extension has a significant positive effect on realized volatility.The results indicate that informed trading increased substantially after the opening for the rate of same-day settlement,whereas this is not observed for next-day settlement.Although trading hours extensions raise opportunities for more transactions and liquidity in foreign exchange markets,they may also lead to higher volatility in the market.Furthermore,this distortion is more significant at opening and midday.A potential explanation for the increased volatility mostly at the opening is that the trading hours extension attracts informed traders rather than liquidity providers.

Riemann Hypothesis, Catholic Information and Potential of Events with New Techniques for Financial and Other Applications

In this research we are going to define two new concepts: a) “The Potential of Events” (EP) and b) “The Catholic Information” (CI). The term CI derives from the ancient Greek language and declares all the Catholic (general) Logical Propositions () which will true for every element of a set A. We will study the Riemann Hypothesis in two stages: a) By using the EP we will prove that the distribution of events e (even) and o (odd) of Square Free Numbers (SFN) on the axis Ax(N) of naturals is Heads-Tails (H-T) type. b) By using the CI we will explain the way that the distribution of prime numbers can be correlated with the non-trivial zeros of the function ζ(s) of Riemann. The Introduction and the Chapter 2 are necessary for understanding the solution. In the Chapter 3 we will present a simple method of forecasting in many very useful applications (e.g. financial, technological, medical, social, etc) developing a generalization of this new, proven here, theory which we finally apply to the solution of RH. The following Introduction as well the Results with the Discussion at the end shed light about the possibility of the proof of all the above. The article consists of 9 chapters that are numbered by 1, 2, …, 9.

Investor Relations （IR） in Business Communication on the Example of Poland

This paper focuses on investor relations （IR） as an element of companies＇ communication with the external environment. It shows the place and role of IR in communication with the general market, and the stock exchange market in particular. The study is illustrated with an example of IR in Poland, a relatively new European Union （EU） member state and an emerging market. As can be seen, IR goes beyond the traditionally understood maintenance of communication with the capital market. It is also shown that the main role of IR ought to be the reduction of investment risk and enhancement of the companies＇ value, which is of particular significance in light of the current globalization of capital markets. It has been found that Polish companies, especially those listed on the Warsaw Securities Exchange （WSE）, commonly rely on IR as a means of communication with the environment. And yet, as the results of the analysis show, the quality of that communication is still far from satisfactory, despite efforts undertaken by various external entities to encourage more focus on the development of IR, or understanding of the company＇s relevant staff of its important role.

Stock Market Development in Country With Least Development But Fast Economic Growth： A Case Study of Lao PDR

This paper aims to examine the market development evolution of Lao Securities Exchange （LSX） by observing the institutional structure, securities regulations, and government’s policy and utilizing the annual data of market indicators from 2011 to 2017 through the regression model in order to determine the facing issues with proposing the resolution implication for securities exchange development. The finding of this paper also concludes that the liquidity issue, small number of listed firms, undiversified products, small investor base, insufficient legislation from regulatory body, and slow progress in transforming state-owned enterprises （SOEs） into public companies are the current pressure obstacles for securities market development in Laos. In this case, there is a need for stronger commitment from government in securities market development by closer collaboration among line ministries, enlarging the investor base to public and private sectors, acknowledging the significance of drafting the public company act, and persuading the SOEs to issue initial public offering （IPO） in LSX, as the result would drive positive impacts to stimulate the capital market development in Lao People’s Democratic Republic （Lao PDR）.

Empirical Study on Information Asymmetry Based on Chinese Forward Exchange Rate Market

Many published studies have considered information asymmetry between domestic and foreign investors about local assets in the stock market, particularly in developed markets. The present study proposes a new perspective to address the issue in the case of China ＂s forward exchange rate market. Following the framework of Clarida and Taylor （1997）, the term structures of exchange rates in the domestic forward and the non-deliverable forward markets are constructed and then applied to predict future spot exchange rates based on a vector equilibrium correction model By comparing the forecast accuracy on the basis of the root mean square error and the mean absolute error, it is shown that dynamic out-of- sample forecasts of the domestic forward market are superior to those of the non-deliverable forward market, suggesting that domestic investors are better informed than foreign investors. The result has several important policy implications, especially for exchange rate determination.

The capital market spillover effect of product market advertising:Evidence from stock price synchronicity

We analyze whether product market advertising has a spillover effect on stock price synchronicity by transmitting firm-specific information to the capital market and attracting more investor attention.Using a sample of Chinese listed firms from 2009 to 2017,we find that firms with greater advertising expenditures have lower stock price synchronicity.The results are robust after we address endogeneity concerns.In accord with our hypothesis that product market advertising increases the amount of firm-level information capitalized into stock prices through the information channel,we find that the impact of advertising on synchronicity is more pronounced for firms with a higher degree of information asymmetry and firms in the consumer-product industry.Further tests show that product market advertising enhances the ability of current period returns to reflect future earnings,and thus rules out that the negative relationship between advertising and synchronicity is driven by noise trading.Our results imply that product market advertising plays an informative role and improves information efficiency in a capital market.

金融强监管对企业风险承担的影响——来自资管新规的经验证据

在经济下行压力增大、外部环境不确定性有增无减的背景下,我国企业运营正面临着各种挑战,企业风险承担问题尤为突出。选取2011—2021年A股上市公司作为样本,以资管新规的出台作为准自然实验,检验资管新规对企业风险承担水平的影响,探究企业在金融强监管下的风险承担行为。研究发现,资管新规提升了企业的风险承担水平。经济后果检验显示,资管新规主要增加了企业的被动风险承担,加大了企业的破产风险。经调节效应分析得到,企业通过提高信息披露透明度,政府通过改善营商环境、推进资本市场开放,可以缓解在资管新规出台背景下企业风险承担提高而带来的生产经营压力。

Stock Indices and New Technologies

Stock indices were created to accurately reflect changes in the prices of stock exchange securities included in them.Indices are divided into price-weighted and value-weighted indices.In price-weighted indices,each security has the same impact on the index,which is the arithmetic mean of the stock values of the companies it comprises.A value-weighted index accounts for changes in the value of shareholdings.By choosing the right composition of share packages,one can change the impact of a given security on the index.Market dynamics also change the composition of the index by removing securities and replacing them with others.The impact on the index grows as the price of a given security increases.Recently,index values have been strongly influenced by new technology companies,which have greatly appreciated during the SARS-CoV-2 pandemic.The aim of this work is to show the changes in two indices in particular:US NASDAQ Composite,and the new competitive SSE STAR index,an index from the Shanghai Stock Exchange.

MD&A纵向文本相似度与分析师盈余预测准确性

注册制下,信息的真实、准确、完整是投资者合理判断证券价值的关键,分析师在信息作用于股价这一过程中扮演着重要的信息中介角色,而年报所披露的信息对分析师盈余预测至关重要。以2012—2021年沪深A股上市公司为样本,探究了管理层讨论与分析(MD&A)纵向文本相似度对分析师盈余预测准确性的影响。研究发现,MD&A纵向文本相似度越高,分析师盈余预测准确性越低,证实了“增量信息”假说。异质性分析表明,这种影响显著存在于规模小、高科技行业、媒体关注度低的公司中,并且公司位于市场化程度低省份时受此影响更大。进一步研究发现,MD&A纵向文本相似度越高,分析师盈余预测的正向偏差越大。此外,分析师盈余预测准确性的下降会进一步降低资本市场的信息效率。因此,上市公司应重视文本信息披露,避免披露内容样板化;分析师和监管部门应加强对上市公司文本信息披露的监督,优化资本市场信息环境。

企业数字化转型与金融市场稳定——基于尾部系统风险视角

数字化转型已成为引领企业迈向高质量发展的新动能,本文以A股上市公司为研究样本,考察企业数字化转型对尾部系统风险的非线性影响。研究发现:企业数字化转型与尾部系统风险间呈现U型关系。数字化转型通过影响信息质量和资金状况作用于个股的尾部系统风险。就信息质量而言,数字化转型与企业信息操弄程度和股价信息含量分别呈现U型和倒U型关系。就资金状况而言,数字化转型将降低企业内部现金充裕度,并增强企业金融投资趋势。此外,数字化转型对尾部系统风险的影响在有数字化研发项目、高管薪酬水平较低、财务风险水平较高、技术密集型行业以及地方金融监管强度较差的企业中更显著。本文为深化企业改革、维护金融市场稳定提供了经验证据。

制度距离对房地产企业国内跨区域市场进入模式的影响研究——国有资本参与度的调节效应

虽然中国潜力巨大的国内市场为企业开展跨区域经营提供了良好的外部环境,但是我国市场环境呈现统一性和分割性的双重特征,导致中国企业开展国内跨区域经营却存在着巨大障碍。基于制度基础观的视角实证分析了正式制度距离、非正式制度距离和国有资本参与度对房地产企业国内跨区域市场进入模式选择的作用机制。选取2010-2019年发生过国内跨区域并购的沪深两市房地产企业作为研究对象,对符合研究条件的236件跨区域市场进入事件运用SPSS22.0进行相关性分析和回归分析。研究结果表明:目标市场和企业所在地之间的正式制度距离对企业国内跨区域市场进入模式存在显著负向影响,即正式制度距离越大,企业越倾向于采取低控制程度的市场进入模式。国有资本参与度对非正式制度距离与企业国内跨区域市场进入模式有正向调节作用,即随着国有资本参与度的增加,企业更倾向于采用高控制程度的市场进入模式。研究结论为优化企业营商环境、促进国内统一大市场和经济高质量发展提供了新的视角和有益启示。

审计师跨层次执业与审计意见决策——基于我国多层次资本市场的证据

基于我国多层次资本市场的差异化制度场景,探讨审计师于同一年度在多个层次资本市场的执业行为(即跨层次执业)对其在新三板市场审计意见决策的影响。基于2014—2019年间新三板公司的数据,研究发现:跨层次执业的审计师为新三板客户出具非标准审计意见的概率显著低于新三板市场其他企业;机制检验表明,跨层次执业主要通过抑制审计师的投入,即降低执业效率、阻碍信息沟通、缩减行业知识投入,进而对审计意见决策产生负面影响。进一步从“事务所-审计师”资源配置及其他经济后果等视角开展分析,丰富了个体审计师决策形成机制的相关文献,也从制度优化角度为未来的资本市场统一审计监管提供了参考。

国地税合并对资本市场定价效率的影响研究

基于2013—2021年中国上市公司数据以国地税合并的改革政策为准自然实验,考察国地税合并对资本市场定价效率的影响效应。研究发现,国地税合并改革后企业资本市场定价效率提高了11.1%。提高企业信息披露质量是国地税合并改革提高资本市场定价效率的重要机制,揭示了国地税合并通过提高企业信息披露质量以提升资本市场定价效率的内在机理,对于进一步提升资本市场资源配置效率、配置质量和强化金融风险防范的长效机制具有现实意义。

数字化信息披露与资本市场定价——基于投资者信息解读的视角

作为经济发展的晴雨表,资本市场在赋能实体经济转型升级过程中发挥着重要作用。文章以我国沪深A股上市公司为研究对象,从投资者信息解读的视角考察了企业数字化信息披露对资本市场定价的影响。结果表明:企业数字化信息披露能够提高企业的市场估值,但该正向市场反应仅表现于长期;投资者信息解读在企业数字化信息披露与资本市场定价之间发挥了部分中介效应。进一步分析表明,在信息披露的真实性较高、投资者信息能力较低和信息需求较高时,企业数字化信息披露的长期市场反应更加显著,而在信息披露的真实性较低、投资者信息能力较低和信息需求较高时,投资者信息解读的中介效应更加显著。

关键审计事项披露与投资-股价敏感性——基于资本市场信息反馈视角

资本市场的价格形成机制有效汇集了投资者的私有信息。公司管理层可以从股价中获得其原先未掌握的信息并用以指导投资决策,导致企业投资支出对股价做出反应。资本市场中的信息流向企业内部并指导企业决策,体现了资本市场的信息反馈功能。从“资本市场→上市公司”这一信息反馈视角,围绕信源、信道及信宿,研究关键审计事项披露如何影响投资-股价敏感性。基于2017—2022年A股上市公司面板数据,使用双向固定效应模型,研究发现关键审计事项披露越充分,投资-股价敏感性越高,表明关键审计事项披露有助于促进管理层从股价中汲取信息。机制分析表明,关键审计事项披露可以提高投资者的信息收集效率,帮助分析师进行信息解读,缓解管理层的代理问题,进而提高投资-股价敏感性。研究结果从资本市场信息反馈视角丰富了关键审计事项披露的经济后果,也为进一步完善资本市场功能、促进金融服务实体经济提供了一定参考。

政府背景大客户有助于民营企业获得商业信用融资吗?

基于2007—2021年我国沪深A股民营上市公司自愿披露的客户信息数据,从供应链视角考察了政府背景大客户对民营企业商业信用融资的影响。研究发现,政府背景大客户显著提升了民营企业商业信用融资水平;分位数回归结果表明,随着民营企业商业信用融资水平的提高,政府背景大客户对民营企业商业信用融资的促进作用在增强;作用机制检验结果表明,政府背景大客户能够强化产品市场竞争优势、优化资本市场信息环境、降低经营业绩波动来促使民营企业商业信用融资的提升;异质性分析结果表明,政府背景大客户对民营企业商业信用融资的正向效应,在经济政策不确定性较强时期、供应商集中度较高企业以及信贷可获得性较差企业中更为明显。研究结论丰富并拓展了政府采购的职能,以期为优化民营企业供应链融资策略、纾解民营企业融资困境提供了有益参考。

上市公司注册制改革的实践与思考

自注册制相继在科创板、创业板试点实施以来,证监会在监管模式上的角色发生了重大变化。在注册制之下,证监会将实质审核权下放给市场,将监管工作重心转移到行政执法领域,不再负责具体股票发行审核工作,侧重于股票发行的规则、过程及结果监督等事项。注册制背景下,证券中介机构应强化对投资者合法权益的保护,注册制的推出对引领经济发展向创新驱动转型[1]、建立健全资本市场制度规则具有重要意义,也是完善我国多层次资本市场体系建设的重大举措。

基于云分布式架构的电力营销管理信息平台研究

随着营销管理信息的急剧增长,有效管理信息并防止过载已经成为企业的重要任务。因此,文章基于云分布式架构对新一代营销管理信息平台进行了研究,分别对平台的硬件和软件进行了设计。其中,对平台硬件部分的组网设备和组建方式进行了研究;基于云分布设计了软件部分的新一代营销管理信息平台架构,旨在实现交互式信息录入,构建高效的信息交换网络及控制负载均衡访问。根据平台测试,基于云分布式架构的新一代营销管理信息平台实现了企业多条件快速整理查询营销管理信息的目标,提高了企业信息管理和集成应用的工作效率。

农村电网营销配电调度管理模式优化的探讨

随着智能电网的发展,如何在不失前瞻而又可行的前提下,最大程度上对农村电网信息进行整合,是农村电网智能化发展需要解决的问题。文中基于对农村电网信息化建设现状分析,提出了在生产控制Ⅰ区进行调控一体自动化整合,通过标准信息交互总线实现跨区跨部门信息共享,并在此基础上建立农村电网综合应用的营销—配电—调度(简称营配调)管理优化模式。