中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

资本市场--市场有效性
工作论文
2010-04-20 第3卷 第2期

编: 麻省理工学院斯隆管理学院金融学讲席教授,清华大学经管学院特聘教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

分析师跟进的决定因素——来自中国证券市场的证据

王宇超 南京大学工程管理学院
肖斌卿 南京大学工程管理学院
李心丹 南京大学工程管理学院

Stock Return Seasonalities and Investor Structure: Evidence from China's B-Share Markets

Martin T. Bohl University of MuensterCenter for Quantitative Economics
Michael Schuppli University of MuensterCenter for Quantitative Economics
Pierre L. Siklos Wilfrid Laurier UniversitySchool of Business & Economics

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Jing Chen University of AberdeenBusiness School
Roger Buckland University of AberdeenBusiness School
Julian M. Williams University of AberdeenBusiness School

我国股票市场价格序列正态性检验——基于上海股票市场2006-2009年数据

王勇 云南财经大学财政与经济学院
倪洪燕 云南财经大学财政与经济学院


论文摘要

分析师跟进的决定因素——来自中国证券市场的证据

王宇超 南京大学工程管理学院
肖斌卿 南京大学工程管理学院
李心丹 南京大学工程管理学院

随着我国证券分析师行业的发展,分析师作为信息中介在资本市场上的作用日益凸显。论文运用OLS检验了在中国这一新兴市场中影响证券分析师跟进数量的决定因素,研究了公司规模、业务复杂度、投资风险、股权结构和投资者关系等特征是如何影响中国分析师做出是否跟进的决策的。在此基础上,论文进一步运用计数(Countdata)计量的Poisson方法对实证结果进行了稳健性检验,研究发现,分析师倾向于跟进那些规模较大、交易额较高、机构持股较多且投资者关系较好的公司,而规避那些投资风险较大、内部持股比例和业务复杂程度较高的公司。本文的结果与之前成熟市场中的研究结论基本一致,所存在的差异在一定程度上体现了新兴市场中分析师的行为特征,这对我们更好地理解分析师在新兴资本市场中的信息中介作用有着很大的价值。

Stock Return Seasonalities and Investor Structure: Evidence from China's B-Share Markets

Martin T. Bohl University of MuensterCenter for Quantitative Economics
Michael Schuppli University of MuensterCenter for Quantitative Economics
Pierre L. Siklos Wilfrid Laurier UniversitySchool of Business & Economics

This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a unique testing environment. We show that day-of-the-week effects are attenuated after the market entrance of Chinese individual investors, who had previously not been allowed to trade in B-shares. Our empirical results suggest that institutional rather than individual investors are a main driving force behind such anomalies. In addition, we find evidence of reduced index return autocorrelation and US spillover effects in the post-liberalization period.

Regulatory Changes, Market Integration and Spill-Over Effects in the Chinese A, B and Hong Kong Equity Markets

Jing Chen University of AberdeenBusiness School
Roger Buckland University of AberdeenBusiness School
Julian M. Williams University of AberdeenBusiness School

We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B share markets and the Hong Kong share markets. We utilize a robustly estimated VECM-MV-GARCH model to test for possible co-integrating vectors between the market segmentations pre and post deregulation of the Chinese B share market. Our results suggest that before deregulation there is weak evidence of co-integration between the A and B share markets however, post deregulation the situation changes and the segments appear to be significantly co-integrated. MV-GARCH results suggest that the conditional correlations of market/sector shocks also increase significantly over the sample period.

我国股票市场价格序列正态性检验——基于上海股票市场2006-2009年数据

王勇云南财经大学财政与经济学院
倪洪燕 云南财经大学财政与经济学院

次贷危机下股票价格变动的分布是否偏离了正态分布。本文从股票价格变动的随机游走理论入手,通过频数分布和序列相关检验验证了金融危机之下股票价格变动的分布,发现股票价格变动序列不具有明显的惯性,分布所具有的正态特征也不十分显著。文章最后指出我国股市的停板制度影响了我国股市的有效性水平。


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