中国概念股与国内外股市的联动效应研究

香港和海外上市的中国概念股引起国内外投资者和相关机构广泛关注,中国概念股的走势与国内外股市是否存在联动效应值得研究探讨.运用 DCC(1,1)-MVGARCH 模型对香港和美国的中国概念股指数与上证综数和深证综指以及概念股所在市场的大盘收益率的时变动态相关系数进行考察发现,香港和美国市场的中国概念股与上证综指、深证综指收益序列动态时变相关性总体较弱,但 2007 年以来有逐渐增强的趋势,尤其是香港市场;总体而言,中国概念股与上海市场的联动程度显著高于与深圳市场的联动程度,中国概念股指数与所在市场大盘之间的动态相关性较强而且基本稳定,大大超过与中国国内大盘之间的相关性,所在市场对中国概念股的波动起主导作用;在股市暴涨暴跌的情况下,美国证券市场的中国概念股指数与A股市场的相关性突然增大.     

中国汇市与股市间的时变冲击影响研究

股市和汇市的动态关系研究对于宏观金融政策制定和微观投资决策具有重要参考价值.针对金融时间序列长记忆特征,改进Primiceri时变VAR模型(向量自回归模型),给出长记忆动态VAR模型.基于2005年8月1日至2011年10月20日的人民币对美元汇率、中国上证综合指数和美国标普500指数的日价格数据,利用长记忆动态VAR模型实证分析中国汇市与中美股市问的动态冲击影响关系.实证结果表明,人民币汇率和中国股价收益率序列具有长记忆特征,美国股价收益率具有反持续性特征;存在人民币汇率波动对中美股市波动的单向冲击影响关系,且汇市对股市的冲击持续期为7天左右,前3天的冲击影响具有一定的时变特征,但这种时变性具体表现为结构突变特征;人民币汇率波动对于股市冲击影响的时变性在短期与汇率机制改革政策有关,在长期与金融环境剧变有关.     

全球性股市恐慌下的股市日内风险传染:来自欧债危机时期的证据

本文主要着眼于全球性股市恐慌下的中国内地与中国香港、中国台湾、日本股市之间的日内风险传染现象,使用日内5分钟数据,应用FFF回归、FIEGARCH模型、ARFIMAX模型的波动溢出三步检验法,对内地股市与其他三个东亚股市之间的日内波动溢出效应进行了实证分析.本文的主要结论是:中国内地与中国香港股市之间存在着强烈的双向波动溢出效应;中国内地与日本股市互不影响;中国内地与中国台湾股市之间,虽然在非恐慌时期几乎不存在波动溢出效应,但进入恐慌时期后中国台湾股市显著受到内地股市影响.股票市场之间的波动溢出效应具有非对称性特征,并且股市下跌时的波动溢出效应比上涨时要大.     

国际油价、美国经济不确定性和中国股市的波动溢出效应研究

2008年金融危机以来的全球股市震荡，油价波动剧烈和经济的不确定性使得研究不同市场间的风险传导效应具有重要的意义。在综合评价现有研究的缺陷和既有改进方法的情况后，本文借鉴Diebold and Yilmaz （2012）的研究方法探索国际原油价格、美国经济不确定性和中国股市的波动溢出效应。本文选取1986年1月到2016年12月原油价格、美国经济不确定性指数和中国股票价格的月度数据，分别研究了静态波动溢出指数，动态波动溢出指数并做出了非线性检验。实证结果表明：变量国际油价解释了大部分的波动。方向性溢出指数是双向的和非对称的。在整个样本阶段系统的波动主要来自其他变量的冲击，变量国际油价的溢出效应占比重较大。变量国际油价、美国经济不确定性和中国股价对其他变量的波动溢出都存在非线性效应，前两者的正向变量的溢出效应较大，负向变量的溢出效应较小；后者的正向变量的溢出效应较小，负向变量的溢出效应较大。     

汇改后不同市态下汇市与股市溢出效应的异化

本文按照上证综合指数的走势将2005年7月22日至2008年10月28日的整个样本区间划分为牛市和熊市两个样本子区间,采用样本子区间内的兴业银行人民币综合汇率指数和上证综合指数对数收益率的日数据,通过VAR(p)-BVGJR-GARCH(1,1)-BEKK模型实证分析了2005年汇改后不同市态下中国汇市和股市间溢出效应的异化现象.结果显示,汇改后,牛市和熊市中的中国汇市与股市间溢出效应存在着显著差异.牛市时期,汇市和股市的条件方差对自身负冲击都具有非对称性,两市场间不存在均值溢出效应,但存在显著的双向波动溢出效应,且一个市场的条件方差对另一市场负冲击都存在非对称效应.而熊市时期,只有汇市的条件方差对自身负冲击具有非对称性,汇市股市间只存在股市对汇市单向的均值和波动溢出效应,且一个市场的条件方差对另一市场负冲击均不存在非对称效应.     

利率调整对我国股市不同状态波动性的影响

基于马尔可夫结构转换模型研究利率调整对我国股市在不同波动状态情况下波动性的影响,特别在2014年~2015年沪市波动为上涨和下跌状态下的影响.考虑股市波动存在结构转换及杠杆效应,选用马尔可夫结构转换EGARCH(RS-EGARCH)模型对上证综指进行收益和波动率建模.结果显示沪市在上涨状态利好消息与同等程度利空消息冲击具有相同影响;在下跌状态利空消息冲击比利好消息的影响更大,这异于通常的杠杆效应.通过在RS-EGARCH模型均值和波动率方程中引入虚拟变量研究自2012年时隔两年后首次利率调整对沪市波动性的影响,研究发现利率下调在沪市上涨状态显著增加了收益率和波动率;而在下跌状态收益率显著降低.但通过对比研究,在2006年的利率调整对于2006年~2008年期间沪市上涨和下跌状态的波动性没有显著影响.     

基于动态因子Copula模型的行业间系统性风险分析

国际金融市场间的相关关系以及系统性风险受到很多学者的重视，本文则以我国股市的行业指数作为研究对象进行实证研究。通过构建动态因子Copula模型，文章对行业的日收益率数据进行了动态相关性分析，并基于风险预期占比度量了我国行业之间系统性风险的溢出效应。本文分析了2006年1月4日至2016年7月1日的28个行业指数数据，基于GAS动态负荷因子的变化路径来刻画其相关关系，通过风险预期占比来研究行业间的风险溢出效应。研究表明，各个行业指数收益率之间存在较强的关联性。就单个行业来说，化工行业与其他行业关系最为不稳定。就金融与非金融行业而言，金融行业对非金融行业的影响较大且较为平稳。本文所得研究结果可以为投资者和风险管理者在进行决策时提供一定的指导。     

中国经济政策不确定性的跨国动态溢出效应

中国作为世界第二、亚洲最大的经济体，在国际事务中发挥的作用日益突出，其经济政策波动对其他国家的影响也日益显著。本文基于1997年1月至2017年5月经济政策不确定性（Economic Policy Uncertainty，EPU）指数，运用DCC-GARCH模型分析了中国与美国、日本和英国的经济政策不确定性的动态溢出效应。研究表明，样本国家的EPU指数波动率呈现尖峰、厚尾、非对称的特征，因而更适用非对称多元t分布DCC-GARCH模型；中国经济政策不确定性对美国、日本和英国均有一定程度的正向溢出效应，但影响程度不一。进一步分析表明，中美间EPU指数的动态相关性高于中英和中日，中美和中英间的EPU指数动态相关系数走势较为相似，且趋向稳定；受地缘政治关系的影响，中日间的EPU指数动态相关系数走势明显异于中美和中英。     

次贷危机对中国股市影响的实证分析——基于中美股市的联动性分析

为了揭示次贷危机引发的金融风暴对我国内地股市的冲击大小,本文基于中关股市的联动性,采用时变t—Copula模型测算次贷危机对内地股市的影响程度。结果显示,次贷危机加剧了我国内地股票市场的震荡,不过次贷危机对内地股市冲击的程度并不高,而且次贷危机爆发后对内地股市的影响呈阶段性的变化;结果也显示香港股票市场在危机的传染中扮演着重要的作用,由次贷危机引发的美国股市的剧烈震荡易于通过香港股票市场传导至内地股票市场。     

人民币汇率与股票市场波动溢出效应研究

采用BVGARCH-BEKK模型,结合LR似然比检验和Wald检验,实证研究人民币汇率与股票市场之间的波动溢出效应.采用1997年1月1日～2008年12月31日人民币对美元中间价和上证A股指数的日交易数据,并考虑到2005年7月21日人民币汇率形成机制改革这一事件可能产生的结构性影响.划分为汇改前和汇改后两个子样本区间,深入分析人民币汇率与上证A股之间的波动溢出效应.实证结果表明,人民币汇率与股票市场之间存在波动溢出效应,且在汇改前和汇改后的表现不同;汇改前表现为显著的从汇率到股市收益率的波动溢出,汇改后主要表现为显著的从股市收益率到汇率变动率的波动溢出,汇改后汇率与股票市场之间的联系有所增强.针对实证结论,分析其背后的经济制度因素,并且得出一些政策启示.     

Power,authority and legitimacy

Management, human resources, organization, control, leadership, etc., all seem to be just so many euphemisms for power, and this suggests a discourse of management and organization that calls things by their proper name. This paper on the contrary stresses the need to resolve the concept of ‘power’ itself into more differentiated notions, and proposes that clarification may be derived from distinctions once explicit in the vocabulary of Classical antiquity, but lost in modern European languages. It argues that nothing but confusion in thinking about organizations, management and legitimation can result from the failure to recognize that the phenomena this vocabulary identifies and distinguishes are irreducibly different.     

Criteria for selecting a production control philosophy

Logistic objectives constitute a compromise between having short leadtimes and a low volume of work in progress on the one hand and a high resource loading and due date obligation on the other. Miscellaneous production planning approaches offered today provide different combinations of logistic objectives for satisfying a manufacturing strategy. To combine the strength of the various approaches into a unified system, a new approach based on a dynamic and distributed production planning methodology is proposed. To customize the approach, various analyses and specifications have to be made and for that reason some important characteristics and criteria for analysing production control philosophies will be given.     

The social construction of the meaning of acute stressors: a qualitative study of the personal accounts of police officers using a stress counselling service

The police profession is one in which acute stressors are encountered more frequently than in other occupations. Using the personal accounts of 35 police officers attending an in-house stress counselling clinic, the aim of the present study was to provide a qualitative examination of how the institutional context of policing influenced the ways in which acute stressors signified to individual police officers experiencing felt distress. Using the framework of Rational Emotive Behaviour Therapy as an analytical tool, it is argued that beliefs contributing to the experience of felt distress are related to the way in which policing as both an identity and an activity is constructed through the police organizational culture. Not only do these constructions influence the ways in which officers perceive themselves and their environments, but they also operate at the collective level to 'normalize' some emotional responses and to 'pathologize' others which, it is argued, could impact upon the outcomes of interventions such as stress counselling.     

The moderating role of social support in Karasek's job strain model

This paper examines whether social support is a boundary-determining criterion in the job strain model of Karasek (1979). The particular focus is the extent to which different sources of social support, work overload and task control influence job satisfaction, depersonalization and supervisor assessments of work performance. Hypotheses are tested using prospective survey data from 80 clerical staff in a university setting. Results revealed 3-way interactions among levels of support (supervisor, co-worker, non-work), perceived task control and work overload on levels of work performance and employee adjustment (self-report). After controlling for levels of negative affect in all analyses, there was evidence that high levels of supervisor support mitigated against the negative effects of high strain jobs on levels of job satisfaction and reduced reported levels of depersonalization. Moreover, high levels of non-work support and co-worker support also mitigated against the negative effects of high strain jobs on levels of work performance. The results are discussed in terms of the importance of social support networks both at, and beyond, the work context.     

Job insecurity, coping resources and personality dispositions in occupational strain

This paper presents research on the relationships between the work-related stressor of perceived job insecurity and various indicators of occupational strain, taking into account employees' personality dispositions (trait negative and positive affectivity) and coping resources. Respondents were 222 Australian public servants surveyed during organizational restructuring that involved downsizing and threat to job certainty. The research was formulated within an adaptation of Osipow, Doty, and Spokane's (1985) framework of stress-strain-coping that included the possible direct as well as moderating effects of personality dispositions in reporting occupational strain (Parkes, 1990). Findings from hierarchical regression analyses indicate consistent significant independent effects of personality dispositions, coping resources and perceived job insecurity on various indicators of strain. There was also support for the moderating roles of negative affectivity and self-care in the relation between perceived job insecurity and physical strain. Implications for the role of dispositional factors, especially negative affectivity, and the utility of various coping resources in accounting for occupational strain in times of threatened job security are discussed.     

Job stress, job strain, and psychological withdrawal among Dutch university staff: towards a dualprocess model for the effects of occupational stress

This study examined the antecedents of job strain (emotional exhaustion, health complaints) and withdrawal behaviour (e.g. lowered organizational commitment) among a cross-sectional sample of 131 academic staff members of the law department of a large Dutch university. Conservation of resources theory (Hobfoll, 1989) provided the theoretical background for this study. Strains and withdrawal behaviours were expected to be most prominent among those who reported having few resources and/or who reported high job demands. Structural equation modelling revealed that this was indeed the case. As predicted, differential patterns of effects emerged for job demands and job resources. Analysis of the effects of four job-specific stressors revealed that especially the structural aspects of a staff member's teaching task (e.g. the number of students in their classes) contributed strongly to perceived job demands. Theoretical and practical implications of the study are discussed.     

Dermal Uptake of 18 Dilute Aqueous Chemicals: In Vivo Disappearance‐Method Measures Greatly Exceed In Vitro‐Based Predictions

Average rates of total dermal uptake (K_up) from short‐term (e.g., bathing) contact with dilute aqueous organic chemicals (DAOCs) are typically estimated from steady‐state in vitro diffusion‐cell measures of chemical permeability (K_p) through skin into receptor solution. Widely used (“PCR‐vitro”) methods estimate K_up by applying diffusion theory to increase K_p predictions made by a physico‐chemical regression (PCR) model that was fit to a large set of K_p measures. Here, K_up predictions for 18 DAOCs made by three PCR‐vitro models (EPA, NIOSH, and MH) were compared to previous in vivo measures obtained by methods unlikely to underestimate K_up. A new PCR model fit to all 18 measures is accurate to within approximately threefold (r = 0.91, p < 10^?5), but the PCR‐vitro predictions (r > 0.63) all tend to underestimate the K_up measures by mean factors (UF, and p value for testing UF = 1) of 10 (EPA, p < 10^?6), 11 (NIOSH, p < 10^?8), and 6.2 (MH, p = 0.018). For all three PCR‐vitro models, log(UF) correlates negatively with molecular weight (r² = 0.31 to 0.84, p = 0.017 to < 10^?6) but not with log(vapor pressure) as an additional predictor (p > 0.05), so vapor pressure appears not to explain the significant in vivo/PCR‐vitro discrepancy. Until this discrepancy is explained, careful in vivo measures of K_up should be obtained for more chemicals, the expanded in vivo database should be compared to in vitro‐based predictions, and in vivo data should be considered in assessing aqueous dermal exposure and its uncertainty.     

Systems Resilience for Multihazard Environments: Definition,Metrics, and Valuation for Decision Making

The United Nations Office for Disaster Risk Reduction reported that the 2011 natural disasters, including the earthquake and tsunami that struck Japan, resulted in $366 billion in direct damages and 29,782 fatalities worldwide. Storms and floods accounted for up to 70% of the 302 natural disasters worldwide in 2011, with earthquakes producing the greatest number of fatalities. Average annual losses in the United States amount to about $55 billion. Enhancing community and system resilience could lead to massive savings through risk reduction and expeditious recovery. The rational management of such reduction and recovery is facilitated by an appropriate definition of resilience and associated metrics. In this article, a resilience definition is provided that meets a set of requirements with clear relationships to the metrics of the relevant abstract notions of reliability and risk. Those metrics also meet logically consistent requirements drawn from measure theory, and provide a sound basis for the development of effective decision‐making tools for multihazard environments. Improving the resiliency of a system to meet target levels requires the examination of system enhancement alternatives in economic terms, within a decision‐making framework. Relevant decision analysis methods would typically require the examination of resilience based on its valuation by society at large. The article provides methods for valuation and benefit‐cost analysis based on concepts from risk analysis and management.     

UNIX系统性能监控简述及shell系统资源统计程序

本文简要阐述了unix系统中(主要以IBM的AIX为例)进行系统性能管理的几种命令行工具,并通过编写shell实例程序,运用其中提到的工具实现系统资源利用率的统计程序,为做好unix系统管理和调优提供参考.