Empirical Test on the Pricing of Liquidity Measures in Chinese Stock Market

结合常见的换手率、Amihud测度和Pastor-Stambaugh测度等流动性指标,从流动性测度和未预期的流动性测度两个方面对中国股市的资产收益与流动性的关系进行检验。结合常数收益、CAPM模型和三因子模型3种收益生成过程均发现一致的结论,中国股市的流动性风险被市场明显地定价,即存在非流动性溢价,未预期的(非)流动性与同期股票收益呈现正(负)向关系。整体而言,换手率和Pastor-Stambaugh测度在捕捉流动性方面要差于Amihud测度。因此,建议在研究中国股市流动性问题时更多地采用Amihud指标,以取得更合适的代理变量。Combining several liquidity measures: turnover,Amihud and the Pastor-Stambaugh(P-S),we test the relationship between stock returns in Chinese Stock market from two aspects: liquidity and unexpected liquidity.With three return process(constant,CAPM and the Fama-French 3 factors),We find that significant illiquidity premium effect in Chinese Stock market and the unexpected liquidity is positive relative to the stock return.For the three liquidity measures: turnover,Amihud and Pastor-Stambaugh(P-S),we get the robust results.From the comparing,we find that the Amihud measure is better than the other measures.We suggest the researcher should take the Amihud measure proxy the illiquidity or liquidity in the future studies.华中科技大学人文社科青年重点项目(2007001

订单型操纵的新发展及监管

本文考察了一类新的操纵类型——订单型操纵及其监管。研究发现,对于订单型操纵而言,订单提交频率较高且撤单速度非常快,以避免成交风险;申报买入笔数很多且提交订单额度巨大,但成交笔数极少;买入申报撤单量占该股票当日市场买入总申报比例极高。进一步,操纵者选择的股票往往具有低股价和小市值的特征;操纵行为对价格和流动性仅有短暂的影响。比较发现,中国和美国订单型操纵在制度上存在差异。本文研究对于如何在中国更好地加强这一类新型操纵的监管有着借鉴意义

ECFA之后的两岸政治关系走向

在两岸政治互信和良性互动逐渐增强、两岸全面交流局面形成、两岸顺利签署ECFA的大背景下,两岸关系和平发展如何向深度和广度推进,特别是如何发展两岸政治关系?成为两岸有识之士普遍关注的话题。两岸著名专家学者发表看法

Features of the Intraday Behavior in Chinese Stock Market: Momentum or Contrarain?

本文从日内收益的持续和反转入手,对上证综指的日交易行为进行研究。通过构建了一个具有联立特征的多元回归对隔夜收益和昨日收益、市场升降以及是否处于周一或周五纳入模型进行考察。结果发现:(1)整体而言,中国股市的日内特征表现为反转。依赖于不同市场状态以及是否处于周五,惯性特征也同时存在。(2)昨日收益与隔夜收益对随后市场的日内行为存在显著影响。最后基于out-of-sample效率检验则说明本文的收益预测模型具有较好的Mincer-Zarnowitz效率,并且在交易期间市场存在特定的结构。From the point of momentum and contrarain, this paper explores the intraday behavior of Shanghai Composite Index. We construct a multiple regression model characterized by simultaneity to investigate the return of last night and yesterday, market states and whether the market is in Monday or Friday. The results show that: (1) generally the intraday behavior of China market appears to be reversal but momentum is also found in it, which depends on the different markets and whether the date is Friday is also important; (2) returns of yesterday and last night have notable effect on the intraday behavior. At last, the effective test, based on the out-of-sample, proves that the return prediction model is Mincer-Zarnowitz effective, and the market has a structural feature in the opening hours.国家社会科学基金(07CJL010);; 华中科技大学人文社科青年重点项目(2007001

Asymmetric Information,Institutional Holding and the Price Volatility

本文考察信息不对称、机构持股以及二者的交互作用是否影响到了股票价格的波动。分析发现:(1)信息透明度的增加对股票收益稳定性有促进效应。(2)机构持股对收益稳定性有负的影响,即机构持股加剧了股票收益的波动。(3)在机构未持股时,信息透明对收益波动的边际影响为负;当机构持股时,信息透明的提高在边际进一步促进了价格的稳定性,这说明在机构持股时,提高信息透明对股价的稳定性作用更大。In this paper,we make an empirical test on the impact of information asymmetric and institutional investors on the stock return volatility.The results show that 1).The improving of disclosure quality has a negative impact on return volatility.2).the holdings of the institutional investors have positive relations with the return volatility.This point is consisting with the herding of the institutional investors' behavior as many previous studies.3).However,in the margin,with the holdings of the institutional investors,we find that the information variables have a more significant negative relation with the return volatility in margin,we present some explains for this interesting result.华中科技大学人文社科青年重点项目(2007001);“985”创新基地“科技发展与人文精神”研究项

Information Uncertainty,Bad News and Investor’s Trading Behavior:Evidence from China

本文以2000年至2010年的A股上市公司违法违规事件为样本,分析该类事件中信息不确定性的影响,以及市场反应中的投资者交易行为。研究发现:上市公司市场价值在事件日呈显著下跌;然而,与直觉有些相悖的是,信息不确定程度与超额累积收益呈显著正相关,这意味着在坏消息到来时,不确定性反而提高了股票的市场价值;最后,通过对各类投资者在此类事件中的净买入情况分析,我们发现不同投资者的交易行为有明显差异。机构投资者在坏消息中采用了反向交易策略,并且知情交易促进机构投资者的买入。This paper attempts to investigate the effect of information uncertainty in market reaction and investors’trading behaviors with the law-breaking events in Chinese stock market.Our results show that the stock price slumps in the event day.However, information uncertainty is positively related with excess return, and this finding is robust for various measures.This means when the bad news is released, information uncertainty increases stock value.Finally, we find that institutional investors and individual investors have fundamentally different trading behaviors in the event:institutional investors adopt negative feedback trading strategy while individual investors adopt positive feedback trading strategy.Information asymmetry only affects the buying of the institutional investors.国家自然科学基金(71173078);教育部人文社会科学研究项目(09YJC790267)的资