从系统性关联视角出发,本文对我国资本市场上个股与市场整体之间的系统性关联风险水平进行了测算(ΔCo Va R),并运用动态潜在因子模型探究了个股系统性风险的联动特征。本文的主要结论如下:(1)同市场涨跌之间具有较强时序相关性的板块...从系统性关联视角出发,本文对我国资本市场上个股与市场整体之间的系统性关联风险水平进行了测算(ΔCo Va R),并运用动态潜在因子模型探究了个股系统性风险的联动特征。本文的主要结论如下:(1)同市场涨跌之间具有较强时序相关性的板块及个股,其ΔCo Va R序列具有明显的风险联动趋势;(2)随着样本中股票年龄的增加,个股的系统性风险从"争鸣"转变为"趋同",具体体现为风险联动趋势中市场总体性的联动不断增强,板块联动性以及个股特质因素不断减弱。相关结论为我国证券业监管者提升资本市场风险监管水平和管理者实现有效风险管理提供了经验证据和政策支持。展开更多
In this paper we examine the daily frequency stock market indices of Shanghai, Shenzhen and Hong Kong from January 2000 to June 2012, and use the Morlet wavelet coherence model to determine who is playing the most imp...In this paper we examine the daily frequency stock market indices of Shanghai, Shenzhen and Hong Kong from January 2000 to June 2012, and use the Morlet wavelet coherence model to determine who is playing the most important role in the financial markets of China. We find that there are significant comovements between these stock markets in the medium and long run. This provides investors with opportunities to increase their capital gains. The Hong Kong stock market plays a leading role in the long run, but its leader position is threatened by fast-growing Chinese mainland stock markets, especially the Shanghai Stock Exchange. Based on our analysis, the following suggestions apply to the Chinese stock markets： establish and improve international and regional finance centers in Chinese mainland; encourage more qualified institutional investors; reposition the market relations among Hong Kong, Shanghai and Shenzhen; and increase deregulation and internationalization to speed up the integration of financial resources.展开更多
We investigate whether foreign institutional investors facilitate firm-specific information flow in the global market. Specifically, using annual institutional ownership data from firms across 40 countries, we find th...We investigate whether foreign institutional investors facilitate firm-specific information flow in the global market. Specifically, using annual institutional ownership data from firms across 40 countries, we find that foreign institutional ownership is negatively associated with excess stock return comovement. Our results are more pronounced when foreign institutional investors originate from common-law countries and hold a large equity stake in invested firms; and when the invested firms are located in civil-law countries. Overall, the evidence suggests that foreign institutional investors from countries with strong investor protection play an important informational role in mitigating excess stock return comovement around the world.展开更多
Since the latter half of 2010, a new round of inflation has gradually been manifesting in China. The debate regarding whether excess money supply is responsible for this inflation has attracted scholars to investigate...Since the latter half of 2010, a new round of inflation has gradually been manifesting in China. The debate regarding whether excess money supply is responsible for this inflation has attracted scholars to investigate the effects of money growth on inflation. In this paper, we use correlation analysis to confirm the comovement between growth of monetary aggregates and inflation. We explore the asymmetric effects of monetary policy on inflation using the Markov regime-switching model The empirical results show that monetary policy can be more effective in curbing inflation in a high inflation state than in boosting the price level in a low inflation state. However, simply tightening the money supply might not be sufficient to suppress the price level To this end, the Chinese Government should adopt other policies, such as supply stabilization policies, to help suppress the price level Our study can help policy-makers to determine the actual economic state and provides some policy implications for the current inflation.展开更多
Rapidly increasing cryptocurrency prices have encouraged cryptocurrency miners to participate in cryptocurrency production,increasing network hashrates and electricity consumption.Growth in network hashrates has furth...Rapidly increasing cryptocurrency prices have encouraged cryptocurrency miners to participate in cryptocurrency production,increasing network hashrates and electricity consumption.Growth in network hashrates has further crowded out small cryptocurrency investors owing to the heightened costs of mining hardware and electricity.These changes prompt cryptocurrency miners to become new investors,leading to cryptocurrency price increases.The potential bidirectional relationship between cryptocurrency price and electricity consumption remains unidentified.Hence,this research thus utilizes July 312015–July 122019 data from 13 cryptocurrencies to investigate the short-and long-run causal effects between cryptocurrency transaction and electricity consumption.Particularly,we consider structural breaks induced by external shocks through stationary analysis and comovement relationships.Over the examined time period,we found that the series of cryptocurrency transaction and electricity consumption gradually returns to mean convergence after undergoing daily shocks,with prices trending together with hashrates.Transaction fluctuations exert both a temporary effect and permanent influence on electricity consumption.Therefore,owing to the computational power deployed to wherever high profit is found,transactions are vital determinants of electricity consumption.展开更多
Interregional housing price comovement is a stylized fact worldwide.This study explores how it is affected by administrative division adjustment.We exploit city-county mergers in China as a quasi-natural experiment to...Interregional housing price comovement is a stylized fact worldwide.This study explores how it is affected by administrative division adjustment.We exploit city-county mergers in China as a quasi-natural experiment to construct a difference-in-differences strategy for causal identification.Based on monthly housing price data for districts(counties)in China from 2010 to 2019,we find that city-county mergers significantly improve correlations in housing prices between the merged county and the urban district.This effect is more obvious in cities with a large economic gap between merged counties and urban districts,located in the central and western regions,and with lower administrative hierarchies(non-provincial-capital cities).The mechanism test shows that the impact of city-county mergers on housing price comovement results mainly from integrating housing demand rather than integrating housing supply,like the unified land supply policy that local government implements in the new administrative scope after mergers.The results are helpful in understanding housing price comovement from the view of regional integration and provide clear policy implications for housing market regulation in China.展开更多
文摘从系统性关联视角出发,本文对我国资本市场上个股与市场整体之间的系统性关联风险水平进行了测算(ΔCo Va R),并运用动态潜在因子模型探究了个股系统性风险的联动特征。本文的主要结论如下:(1)同市场涨跌之间具有较强时序相关性的板块及个股,其ΔCo Va R序列具有明显的风险联动趋势;(2)随着样本中股票年龄的增加,个股的系统性风险从"争鸣"转变为"趋同",具体体现为风险联动趋势中市场总体性的联动不断增强,板块联动性以及个股特质因素不断减弱。相关结论为我国证券业监管者提升资本市场风险监管水平和管理者实现有效风险管理提供了经验证据和政策支持。
基金financed by the Humanities and Social Science Research Foundation of the Ministry of Education of China(Grant No.08JC790021)the Shanghai Philosophy and Social Science Project(Grant No.2010EJL002)
文摘In this paper we examine the daily frequency stock market indices of Shanghai, Shenzhen and Hong Kong from January 2000 to June 2012, and use the Morlet wavelet coherence model to determine who is playing the most important role in the financial markets of China. We find that there are significant comovements between these stock markets in the medium and long run. This provides investors with opportunities to increase their capital gains. The Hong Kong stock market plays a leading role in the long run, but its leader position is threatened by fast-growing Chinese mainland stock markets, especially the Shanghai Stock Exchange. Based on our analysis, the following suggestions apply to the Chinese stock markets： establish and improve international and regional finance centers in Chinese mainland; encourage more qualified institutional investors; reposition the market relations among Hong Kong, Shanghai and Shenzhen; and increase deregulation and internationalization to speed up the integration of financial resources.
文摘We investigate whether foreign institutional investors facilitate firm-specific information flow in the global market. Specifically, using annual institutional ownership data from firms across 40 countries, we find that foreign institutional ownership is negatively associated with excess stock return comovement. Our results are more pronounced when foreign institutional investors originate from common-law countries and hold a large equity stake in invested firms; and when the invested firms are located in civil-law countries. Overall, the evidence suggests that foreign institutional investors from countries with strong investor protection play an important informational role in mitigating excess stock return comovement around the world.
基金support from the National Social Science Foundation of China(Grant No.10zd&006)the National Natural Science Foundation of China(Grant No.70971055)
文摘Since the latter half of 2010, a new round of inflation has gradually been manifesting in China. The debate regarding whether excess money supply is responsible for this inflation has attracted scholars to investigate the effects of money growth on inflation. In this paper, we use correlation analysis to confirm the comovement between growth of monetary aggregates and inflation. We explore the asymmetric effects of monetary policy on inflation using the Markov regime-switching model The empirical results show that monetary policy can be more effective in curbing inflation in a high inflation state than in boosting the price level in a low inflation state. However, simply tightening the money supply might not be sufficient to suppress the price level To this end, the Chinese Government should adopt other policies, such as supply stabilization policies, to help suppress the price level Our study can help policy-makers to determine the actual economic state and provides some policy implications for the current inflation.
基金funding agencies in the public,commercial,or notfor-profit sectors.
文摘Rapidly increasing cryptocurrency prices have encouraged cryptocurrency miners to participate in cryptocurrency production,increasing network hashrates and electricity consumption.Growth in network hashrates has further crowded out small cryptocurrency investors owing to the heightened costs of mining hardware and electricity.These changes prompt cryptocurrency miners to become new investors,leading to cryptocurrency price increases.The potential bidirectional relationship between cryptocurrency price and electricity consumption remains unidentified.Hence,this research thus utilizes July 312015–July 122019 data from 13 cryptocurrencies to investigate the short-and long-run causal effects between cryptocurrency transaction and electricity consumption.Particularly,we consider structural breaks induced by external shocks through stationary analysis and comovement relationships.Over the examined time period,we found that the series of cryptocurrency transaction and electricity consumption gradually returns to mean convergence after undergoing daily shocks,with prices trending together with hashrates.Transaction fluctuations exert both a temporary effect and permanent influence on electricity consumption.Therefore,owing to the computational power deployed to wherever high profit is found,transactions are vital determinants of electricity consumption.
基金the Program for Innovation Research at Central University of Finance and Economics(No.020150321004)the National Natural Science Foundation of China(No.71903210)。
文摘Interregional housing price comovement is a stylized fact worldwide.This study explores how it is affected by administrative division adjustment.We exploit city-county mergers in China as a quasi-natural experiment to construct a difference-in-differences strategy for causal identification.Based on monthly housing price data for districts(counties)in China from 2010 to 2019,we find that city-county mergers significantly improve correlations in housing prices between the merged county and the urban district.This effect is more obvious in cities with a large economic gap between merged counties and urban districts,located in the central and western regions,and with lower administrative hierarchies(non-provincial-capital cities).The mechanism test shows that the impact of city-county mergers on housing price comovement results mainly from integrating housing demand rather than integrating housing supply,like the unified land supply policy that local government implements in the new administrative scope after mergers.The results are helpful in understanding housing price comovement from the view of regional integration and provide clear policy implications for housing market regulation in China.
