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

资本市场--资产定价
工作论文
2012-03-13 第4卷 第6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

什么导致了中国权证价格的偏离:是投机还是市场机制?

马文杰 上海财经大学金融学院

Foreign Investor Heterogeneity and Stock Liquidity Around the World

Lilian Ng University of Wisconsin, MilwaukeeSheldon B. Lubar School of Business
Fei Wu (吴飞) Jiangxi University of Finance & Economics (江西财经大学) International Institute for Financial Studies & School of Finance
Jing Yu University of Western AustraliaDepartment of Finance
Bohui Zhang University of New South Wales.Australian Business School

International Portfolio Selection with Exchange Rate Risk: A Behavioural Portfolio Theory Perspective

Chonghui Jiang University of Electronic Science and Technology of ChinaSchool of Management and Economics
Yongkai Ma University of Electronic Science and Technology of ChinaSchool of Management and Economics
Yunbi An University of WindsorOdette School of Business

Dynamic Stock Market Integration and Financial Crisis: the Case of China, Japan, and Korea

Jinho Jeong Korea UniversitySchool of Business Administration


论文摘要

什么导致了中国权证价格的偏离:是投机还是市场机制?

马文杰 上海财经大学金融学院

本文采用高频数据对中国权证价格偏离的要因进行了全面的分析。研究结果表明: 影响中国权证价格偏离的主要因素分别是:创设抵押保证金带来的交易成本、投资者异 质信念导致的投机行为、卖空机制的缺失以及权证处于深度价内或价外的状态。带来权 证价格系统性偏离的主要原因,一方面是由于投资者的异质信念导致的投机行为所致, 而更主要的是我国权证天生的产品”缺陷”以及过于严格的创设制度所致。特别是对于认 沽权证来说,在样本期内其理论价值几乎为零,导致了抵押保证金带来的交易成本在其 价格偏离中占据了重要的比例。处于深度价内的认购权证以及处于深度价外的认沽权 证,其作为避险工具的作用几乎丧失,最终沦为投机的工具,导致了其价格的进一步偏 离。本文认为,导致这些现象的主要原因是我国不合理的创设机制产生的权证产品“缺 陷”所致,而不能将责任一味地归结为投机行为。

Foreign Investor Heterogeneity and Stock Liquidity Around the World

Lilian Ng University of Wisconsin, MilwaukeeSheldon B. Lubar School of Business
Fei Wu (吴飞) Jiangxi University of Finance & Economics (江西财经大学) International Institute for Financial Studies & School of Finance
Jing Yu University of Western AustraliaDepartment of Finance
Bohui Zhang University of New South Wales.Australian Business School

This paper examines whether foreign investor heterogeneity plays a role in stock liquidity on a sample of 27,976 firms from 39 countries for the period from 2003 to 2009. Results show that foreign direct ownership is negatively, while foreign portfolio ownership is positively, associated with various measures of stock liquidity. Furthermore, liquidity also reduces more (less) in firms with larger foreign direct investment FDI (foreign portfolio investment, FPI) during the 2008 market downturn. As predicted by finance theory, foreign investors influence stock liquidity through both trading activity and information channels. Our findings also indicate that the presence of FDI investors improves firm valuation and operating performance even at the expense of an increase in the firm’s cost of capital, suggesting that the value-enhancing benefits from FDI investors’ monitoring efforts outweigh the liquidity costs and high adverse selection premium demanded by less informed investors. In contrast, the positive impacts of FPI ownership on firm performance, as previously documented in existing literature, becomes negative and also not robustly significant after controlling for liquidity.

International Portfolio Selection with Exchange Rate Risk: A Behavioural Portfolio Theory Perspective

Chonghui Jiang University of Electronic Science and Technology of ChinaSchool of Management and Economics
Yongkai Ma University of Electronic Science and Technology of ChinaSchool of Management and Economics
Yunbi An University of WindsorOdette School of Business

This paper analyzes international portfolio selection with exchange rate risk based on behavioural portfolio theory (BPT). We characterize the conditions under which the BPT problem with a single foreign market has an optimal solution, and show that the optimal portfolio contains the traditional mean–variance efficient portfolio without consideration of exchange rate risk, and an uncorrelated component constructed to hedge against exchange rate risk. We illustrate that the optimal portfolio must be mean–variance efficient with exchange rate risk, while the same is not true from the perspective of local investors unless certain conditions are satisfied. We further establish that international portfolio selection in the BPT with multiple foreign markets consists of two sequential decisions. Investors first select the optimal BPT portfolio in each market, overlooking covariances among markets, and then allocate funds across markets according to a specific rule to achieve mean–variance efficiency or to minimize the loss in efficiency.

Dynamic Stock Market Integration and Financial Crisis: the Case of China, Japan, and Korea

Jinho Jeong Korea UniversitySchool of Business Administration

This study examines the relationships between three Northeast Asian stock markets of China, Japan, and Korea during the period between January 1, 2000 and September 30, 2010, with particular attention placed on the global financial crisis period. The findings of this study are as follows. Firstly, China is influenced more by regional markets rather than the global market. On the other hand, Japan is influenced more by the global market rather than regional markets. Korea has the most balanced level of integration between the regional and global markets. Secondly, a portfolio created through an integrated market in the region would result in a significant decline in the unsystematic risk of each country, benefiting both the investor and local economies. Thirdly, the recent global financial crisis has caused a shift in the pattern of integration in the region. All three countries show a higher level of integration with the global market after the financial crisis. Finally, for China, the global market risk has become even greater than the domestic unsystematic risk since 2010. Overall result suggests that the degree of integration among countries tends to change over time, especially around periods marked by financial crisis and there is a diversification benefit of integrated regional market.


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