基于广义谱的石油市场弱式有效检验

对市场有效性的认识在市场分析中处于基础地位,石油市场有效性检验不仅可以为油价预测提供理论上的支持,也为比较不同石油市场的信息效率提供了依据.本文采用2001年1月到2008年7月的日度数据,运用广义谱方法检验了世界主要石油市场的弱式有效市场假说,这种方法考虑了高频时间序列的特征事实,可以检测出序列存在的线性和非线性序列依赖,允许存在未知形式的条件异方差,并且可以检验所有的滞后阶数.检验结果表明,欧美石油市场达到了弱式有效,OPEC和国内石油市场尚未达到弱式有效.文章从市场的交易制度、市场参与者结构分析了成因.     

Models to explore remanufacturing as a competitive strategy under duopoly

Remanufacturing is a product recovery option that upgrades the quality of returns to “as-good-as-new” conditions. Remanufactured products cost less, and are sold with the same or better warranty as for new products. In this paper, we consider a duopoly environment with two manufacturers in direct competition selling their respective new products on the primary market. Specifically, we address the question: In case one manufacturer decides to remanufacture and sell remanufactured products on the price-sensitive secondary market, will it get a competitive advantage over the other manufacturer? We develop theoretical models for a single period and two periods, and show that under the stated assumptions, remanufacturing is almost always more profitable than when there is no remanufacturing. Although remanufacturing may cannibalize new product sales, the combined profitability and market share of the (re)manufacturer on account of new and remanufactured product sales improve over new product sales only. For the competitor, we get mixed results. In some situations, its profitability improves; in some others, it worsens. We also conduct sensitivity analyses with respect to the substitution parameters, price-sensitivity of the secondary market, rate of return of used products (cores), relative market shares of the manufacturers, and relative sizes of the primary and secondary markets. We conclude the paper with managerial implications and directions for future research.     

Foreign market knowledge,entry mode choice and SME international performance in an emerging market

This paper examines the mediating role of equity entry mode choice in the relationship between foreign market knowledge (FMK) and international performance of small and medium-sized enterprises (SMEs) originating from emerging markets. In addition, this paper investigates when FMK enhances firms' equity mode choice by considering financial slack as a moderating variable. Using data obtained from 205 SMEs engaged in cross-border activities in Ghana, the results reveal that FMK and international performance relationship is mediated by foreign market equity entry mode choice. The results also suggest that FMK positively relates to SMEs' preference for equity mode for foreign market entry and this relationship is amplified when slack resource is greater. These findings offer theoretical as well as practical implications for SME managers in developing and emerging markets in terms of entry mode decisions.     

在相关系数暧昧环境下的市场微观结构研究

投资者对相关系数的认知存在暧昧性从一个新的视角解释了金融市场中投资者有限参与现象。为了研究如何从市场微观结构设计的角度降低投资者的认知暧昧性,提高其市场参与程度,本文假设所研究经济体中存在两个证券发行市场：投资者认知暧昧性较低的A市场和较高的B市场。当两种风险资产分别在不同的证券市场上发行时,投资者的资产组合决策将会不同,从而各市场的均衡状态和风险资产的均衡价格也不相同。考虑公司上市成本和收益,理性的公司管理者将选择均衡价格较高的市场来发行证券。本文的研究发现,最大相关系数暧昧性、投资者结构等因素的变化对公司选择证券发行市场有重要影响,说明了通过市场微观结构设计来降低投资者对市场认知的暧昧性具有重要意义。市场微观结构特征,如严格的证券发行标准、充分的信息披露等旨在提高市场透明度的设计,能够在一定程度上降低投资者的认知暧昧性,提高其市场参与程度,以提高金融市场流动性,使公司股票的市场均衡价格更好地反映其资产的真实价值。我们的研究还发现,为满足不同特征上市公司的融资需求,需要建立多层次资本市场。     

The Dark Side of Information and Market Efficiency in E‐Markets*

Price dispersion reflects the differences in prices for identical products. While in physical markets such dispersion is prevalent due to high search costs, many researchers argue that search costs and price dispersion will be much lower in electronic markets (e‐markets). Empirical evidence does not support this contention, and researchers have studied search costs, market factors, and service‐quality factors to explain this dispersion. Previous research has largely assumed that more information is better. By ignoring the dark side of information, we argue that only a partial understanding of price dispersion is possible. In this article, information overload and equivocality are studied as two dark attributes of information that lead sellers to different pricing decisions in e‐markets. Hypotheses relating these attributes to price dispersion are supported through analysis of 161 product markets. This work opens up new avenues in the study of e‐markets and discusses the implications of these findings for research and practice on consumer and seller decisions.     

Inside the black box: incentive regulation and incentive channeling on energy markets

This paper aims to achieve more insight into the complex interplay between the “external” market regulations and “internal” regulations (corporate governance) of energy firms. In recent years, many countries have deregulated the incumbent energy monopolies and have introduced new modes of regulation. However, the new incentive schemes do not represent an unmitigated success story. A major problem seems to be the neoclassical framework that is used for the analysis of energy markets. Therefore, an important goal of this paper is to clarify the boundaries of neoclassical regulation theory. There are two restrictions that hamper the neoclassical analysis of energy markets. The first is the difficulty of overcoming the widely held “black box” view of firms. The second is the idea that agents always make rational choices. The paper proposes a kind of theoretical division of labor for understanding the effectiveness of regulatory schemes in energy markets. Neoclassical economics points out to the sources of market failure, and helps to identify where in particular on the supply chain one is likely to observe natural monopolies. Transaction cost economics explains appropriate governance of vertical relations along the supply chain. And organizational theories can elucidate what happens within firms: their response to regulation, competition, and relations with suppliers. A research agenda for the third component is proposed, drawing on insights from New Sociological Institutionalism and organizational behavior.     

The Market Provision of Management Services, Information Asymmetries and Service Quality—Some Market Solutions: an Empirical Example

This article examines the problems of information asymmetry associated with the market provision of managerial services. Such problems are heightened by those characteristics which differentiate services from goods. Two unique, and central, characteristics of services, are intangibility and perishability. These create special problems for the market provision of services. In particular they make for difficulties in assessing quality; whereas the producer may know product quality, the buyer often does not. The asymmetry between sellers and buyers is of two types: Adverse selection and moral hazard. Adverse selection occurs when the buyer cannot observe the relevant characteristics of the seller or the conditions under which they work. The problem of moral hazard is the buyer's inability to observe the action taken by the sellers. If these difficulties are not overcome, the market could collapse as companies withdraw and internalize service provision. However, each market has a number of in-built mechanisms which remedy the harmful effects associated with information-related problems. The institutional arrangements which predominate in particular markets are dependent upon the trust-producing mechanisms within those markets. Consequently, market responses to information asymmetries are far from uniform. The argument is illustrated using the example of the executive recruitment industry. In this respect the paper is a highly focused study of those mechanisms which overcome information asymmetries in one service market.     

基于向量GARCH模型的国际证券市场波动溢出研究

以向量GARCH模型为基础,研究了国际证券市场中上海A股市场、香港市场和美国市场的均值溢出效应和波动溢出效应,并且给出了中国证券市场发展的政策建议。研究结果表明,三个市场均不存在单向的均值溢出效应,上海A股市场和美国证券市场存在双向的波动溢出效应。上海A股市场和美国证券市场存在波动溢出效应,反映了中国资本市场和美国资本市场融合程度的加强。     

商品期货指数的编制研究及功能检验

在国际期货市场上,商品指数已经成为市场走势重要的风向标。而在国内市场上,商品指数的研究和开发还处于起步阶段。在国内为数不多的商品期货指数中,中科-格林商品期货指数(M-G Commodity futures index)是较为重要的一个。该指数在开发过程中充分借鉴了国际成熟商品指数的经验,同时也考虑了中国期货市场的自身发展特点,具有较强的适用性。本文以中科-格林商品指数为研究对象,阐述了商品期货指数的编制方法,并验证了指数的功能。     

全球金融危机下的股票市场波动跳跃研究——基于高频数据的中美比较分析

本文以雷曼破产日至2009年1月底这段时期内上证综指、恒生指数以及S&P500指数的日内高频数据作为研究对象,采用跳跃显著性检验方法和扩展HAR模型,对波动跳跃特征进行了实证研究.结果表明:雷曼危机导致股市波动的显著提高,但中国内地股市受到的影响最小;中国香港股市成为波动跳跃发生频率最高、跳跃幅度最大的市场,且波动跳跃主要发生在夜间休市时间内;雷曼危机使得波动率模型的预测精度大大降低,股市风险变得更加难以预测,对于新兴市场来说这一现象更加明显.     

Large Matching Markets as Two‐Sided Demand Systems

This paper studies two‐sided matching markets with non‐transferable utility when the number of market participants grows large. We consider a model in which each agent has a random preference ordering over individual potential matching partners, and agents' types are only partially observed by the econometrician. We show that in a large market, the inclusive value is a sufficient statistic for an agent's endogenous choice set with respect to the probability of being matched to a spouse of a given observable type. Furthermore, while the number of pairwise stable matchings for a typical realization of random utilities grows at a fast rate as the number of market participants increases, the inclusive values resulting from any stable matching converge to a unique deterministic limit. We can therefore characterize the limiting distribution of the matching market as the unique solution to a fixed‐point condition on the inclusive values. Finally we analyze identification and estimation of payoff parameters from the asymptotic distribution of observable characteristics at the level of pairs resulting from a stable matching.     

THE WELFARE GAINS OF FINANCIAL LIBERALIZATION: CAPITAL ACCUMULATION AND HETEROGENEITY

Research has shown that, absent individual heterogeneity and under complete markets, the welfare impact of financial openness is quantitatively limited. Not only are inequalities in wealth and labor productivity a feature of most societies, but also financial markets suffer from many well‐known frictions. This paper demonstrates that, when households face borrowing constraints and uninsurable idiosyncratic shocks to income, the welfare implications of financial liberalization are considerable. For instance, the average increase in welfare of a typical emerging market economy that switches from a closed capital market to perfect capital mobility is equivalent to a permanent increase in average consumption of roughly 5.4%. This is about 3.9 times more than the welfare gains of the same policy under a complete markets environment without any individual heterogeneity. We show that individual heterogeneity accounts for two thirds of this additional increase in the average welfare gain; market incompleteness accounts for the remaining third. In our calibration, the median household in capital‐scarce countries is in favor of international financial integration. However, if the pivotal voter is wealthy enough then such reform might not be implemented, since richer households have a vested interest in capital market closedness.     

电子市场价格分散、信息价值与效率:多视角的分析框架

电子市场是集合买卖双方交换价格和产品信息的跨组织信息系统,已成为撮合交易的重要虚拟场所,其对有形市场的影响力日益彰显,引起理论界和实务界的密切关注.本文将电子市场价格分散、信息价值与效率问题放在同一分析框架下研究,从不同的视角审视电子市场现存文献的解释力度;指出电子市场价格分散现象是多种因素综合作用的结果,消费者的搜寻异质、买方偏好(品牌、信任与忠诚度等因素)、服务质量、市场结构特征等多变量共同决定了电子市场的价格分散度、信息价值及效率大小;最后,提出了未来电子市场的研究方向,即通过价格比较购物技术扩散模型的引入,建立集影响电子市场价格的多变量于一体的理论分析框架,探讨电子市场价格分散及与其相关联的信息价值测度和市场效率等基础理论问题.     

股市联动中的“涟漪效应”

本文提出"涟漪效应"来解释国际股市联动性的大幅波动。所谓涟漪效应就是中心市场特有波动对其它市场间联动性产生影响的现象。本文采用滚动窗口和DCC-GARCH的方法计算了市场特有波动和收益相关系数,以9个主要市场指数为样本对国际股票市场中涟漪效应进行实证检验。研究结果显示,2007年后国际股市联动性变化与美国市场的涟漪效应有关,美国市场特有波动升高（降低）会导致全球股市联动性升高（降低）,而其他市场特有波动并没有类似影响。美国市场与其他市场间联动性基本不受第三方市场特有波动的影响,A股与美股联动性的增强是造成A股与其它股市联动性变化的主要原因。此外,研究特有波动与相关系数的关系能帮助我们识别国际股市中风险传递方向,本文结果显示欧洲市场对其他市场的影响非常有限,以往研究可能高估了欧洲市场的影响力。本文丰富了股市联动性影响因素的研究,对理解市场联动性变化、评估市场影响力等问题有重要意义。     

Price Inference in Small Markets

This paper investigates the effects of market size on the ability of price to aggregate traders' private information. To account for heterogeneity in correlation of trader values, a Gaussian model of double auction is introduced that departs from the standard information structure based on a common (fundamental) shock. The paper shows that markets are informationally efficient only if correlations of values coincide across all bidder pairs. As a result, with heterogeneously interdependent values, price informativeness may not increase monotonically with market size. As a necessary and sufficient condition for the monotonicity, price informativeness increases with the number of traders if the implied reduction in (the absolute value of) an average correlation statistic of an information structure is sufficiently small.     

中国股市资金流向对宏观经济的影响

自１９９１年成立证券交易中心到目前 ,中国股票市场已经整整发展了１０年时间。在这段时期中 ,随着股票市场规模的逐步扩大 ,股票市场不仅在国民经济结构中已经占有一席之地 ,更在整个宏观经济的资金流动结构中占有着日益重要的角色。同时由于资金进入股市改变了宏观资金的结构 ,这种结构相应的将影响到宏观经济中各市场主体的行为。本文拟通过对我国股票市场资金流的估算 ,分析进入股市的资金来源和股市中资金的分布结构 ,以勾勒出我国１０年来宏观资金结构的变化;继而分析流入到股市中资金的使用效率 ,从侧面揭示宏观资金的这种变化所暗含的经济效益;最后分析股票市场资金流向引起的这种宏观资金结构变化对宏观经济各主体的市场行为的影响 ,即“财富效应”、企业融资和金融机构资金结构变化等问题。     

Labour Markets and Organisational Change: Future Working Structures for an Ageing Work Force

Flexible manufacturing systems, team work with decentralisation of decision-making, integration of tasks and multiple allocation across functional barriers demand a skilled work force prepared for continuous learning and adaptation. It is common to see a younger, well-educated and trained work force as being required for such a production environment. A closer empirical look at most of the internal labour markets in this study shows that existing labour market structures do not match this image. Existing labour markets consist very often of an older (and ageing) labour force with relatively low skills and with resistance to continuous training. These structural features have, over the last ten years — despite the existence of costly early retirement measures and new entries into internal labour markets — not much improved, and in many cases have even deteriorated. While age-related exit measures have contributed to maintaining sound corporate cultures in offering socially cushioned exit options and have also prevented internal labour markets from growing older too rapidly, they have — in the “lean employment environment” of mature industrial sectors — not led to a sustained restructuring of internal labour markets. The ending of many of the age-related exit measures owing to their impact on public and company budgets could lead to a growing mismatch between the structure of demand and the structure of supply in internal labour markets. This could have negative effects on company performance and increase the probability of unemployment for workers if no proactive policies for managing the age problem are introduced. Such proactive policies might consist of appropriate age-related training, age-related flexible working time and work organisation patterns. This revised version was published online in July 2006 with corrections to the Cover Date.     

基于滚窗VAR的沪港通波动溢出效应测度

股市间的互联互通是把“双刃剑”,在加强联动性的同时也扩大了风险敞口。作为中国股市对外开放的重大举措,沪港通开通六年来的效果如何是业界关注的议题。本文运用滚窗VAR方法计算沪港通前后各1000个交易日期间上海、香港和纽约股市的时变波动溢出指数,进而分析两两市场之间波动溢出效应的大小、传导方向变化。研究发现,沪港通的实施,增大了沪市与香港股市的波动溢出效应,与美国的波动溢出效应相对减小,沪港通在加强沪、港两市联动性的同时弱化了与纽约股市的联动性;改变了沪港两市之间波动溢出效应的传导方向,由单一的港→沪溢出变为以沪市为主的双向沪←→港溢出,同时也增大了对纽约股市的溢出效应,增强了沪市的竞争力。这一结果符合经济基础假说和协同市场假说。本文的研究改进了股市间互联互通波动溢出效应程度和传导方向的测度方法,并为中国沪港通政策效果评价及进一步的国际板开设提供决策参考依据。     

理解中国的经济奇迹:互联合约的视角

本文从互联合约的角度分析了中国经济转型背后的经济和社会基础。从计划经济到市场经济的转型过程是一个过程的两种表现形式:从市场的结构看,是一个从不完备的市场或者高度互联的"市场"向专业化市场过渡的过程;从制度的结构来看,是一个从互联的自我实施的关系型合约向依赖第三方实施的正式合约过渡的过程。中国的经济表现表明,市场结构与制度结构的匹配对于转型的绩效来说是至关重要的。我们分别从这个视角分析了在过去30年中国经济转型中起到重要作用的乡镇企业、金融体系和国有部门的改制。分析表明,在中国的经济转型中,不仅是以上部门存在着互联合约者中制度安排,而且从整体上看改革上也暗含互联合约的逻辑。本文最后引申出了一些中国进一步的改革的政策含义。     

If You're so Smart,why Aren't You Rich? Belief Selection in Complete and Incomplete Markets

This paper provides an analysis of the asymptotic properties of Pareto optimal consumption allocations in a stochastic general equilibrium model with heterogeneous consumers. In particular, we investigate the market selection hypothesis that markets favor traders with more accurate beliefs. We show that in any Pareto‐optimal allocation whether each consumer vanishes or survives is determined entirely by discount factors and beliefs. Whereas equilibrium allocations in economies with complete markets are Pareto optimal, our results characterize the limit behavior of these economies. We show that, all else equal, the market selects for consumers who use Bayesian learning with the truth in the support of their prior and selects among Bayesians according to the size of their parameter space. Finally, we show that in economies with incomplete markets, these conclusions may not hold. With incomplete markets, payoff functions can matter for long‐run survival, and the market selection hypothesis fails.