市场微观结构对量价关系的影响研究

从实证的角度分析了我国证券市场交易量与回报之间的动态关系。以上交所200只股票在2003年1月4日到2006年5月31日期间的高频分笔交易数据为样本，分别考察了交易价差、公司规模和信息发布事件对我国股市量价关系的影响，实证结果表明市值大、价差小的股票，在大交易量的日子回报呈现持续性，而市值低、价差大的股票，在大交易量的日子回报呈现翻转性，这一结论与美国市场结论相反。     

我国股票市场的流动性风险溢价研究

我国股票预期回报率中包含显著的非流动性补偿和流动性风险溢价,而且非流动性补偿和流动性风险溢价更为显著地出现在流动性较差或者说价格冲击弹性较高的股票上.由于流动性水平和流动性风险在股票横截面上存在强相关性,使得代理流动性水平的非流动性指标能够抓住流动性风险的溢价效应.经典资本资产定价模型的价格风险敏感度对股票回报率缺乏解释力,意味着股票的风险溢价更多地来自对流动性风险的补偿,而非来自对单纯的价格风险的补偿.     

资产链中的股票可交易过程模型研究

资产链是指在金融创新的推动下,金融资产形态及其价值不断演变和深化而构成的逻辑路径.基于资产链的思想,股票的可交易过程不仅包括可流动过程,还包括可波动过程,时变流动性条件下的可流动过程模型显示可流动价值是股票换手率的函数,其表现与资金的时间价值类似,内在价值不变前提下的可波动过程模型则将可波动价值表示为美式期权,受股票的预期波动率、持有成本和投资者对波动性期权的心理预期时间的共同影响,但与股票的初始价格无关.     

流动性、流动性风险与基金业绩——基于我国开放式基金的实证研究

本文构建了我国资本市场的流动性因子,从基金持有资产的角度度量基金的流动性及其风险,分别考察二者对业绩的影响,并在控制某些基金特征之后,从流动性效应、持续性等方面研究了二者对于业绩的综合影响。实证结果显示,流动性beta是一个有效的流动性风险测度,基金业绩中存在流动性溢价和流动性风险溢价,表明基金的流动性和流动性风险不仅可以预测业绩,还可用于识别基金经理是否具有主动管理能力,从而为投资者决策提供了有效的方法。     

Measuring Nonlinear Granger Causality in Mean

We propose model-free measures for Granger causality in mean between random variables. Unlike the existing measures, ours are able to detect and quantify nonlinear causal effects. The new measures are based on nonparametric regressions and defined as logarithmic functions of restricted and unrestricted mean square forecast errors. They are easily and consistently estimated by replacing the unknown mean square forecast errors by their nonparametric kernel estimates. We derive the asymptotic normality of nonparametric estimator of causality measures, which we use to build tests for their statistical significance. We establish the validity of smoothed local bootstrap that one can use in finite sample settings to perform statistical tests. Monte Carlo simulations reveal that the proposed test has good finite sample size and power properties for a variety of data-generating processes and different sample sizes. Finally, the empirical importance of measuring nonlinear causality in mean is also illustrated. We quantify the degree of nonlinear predictability of equity risk premium using variance risk premium. Our empirical results show that the variance risk premium is a very good predictor of risk premium at horizons less than 6 months. We also find that there is a high degree of predictability at the 1-month horizon, that can be attributed to a nonlinear causal effect. Supplementary materials for this article are available online.     

中国股指期货对股票市场的流动性影响

随着中国股指期货的推出,股指期货对股票市场流动性的影响又成为一个新的课题。文章运用向量自回归(VAR)模型、Granger因果检验分析了中国股指期货对股票市场的流动性影响,检测了流动性溢价理论在中国股指期货市场的应用。最终得出结论,股票市场的买卖价差和期货现货基差之间存在双向的因果关系,即股票市场的流动性波动对投资股指期货的预期收益变化有重要的作用。     

我国男性的婚姻溢酬——基于内生选择性模型的分析

本文利用2008年的RUMiC（中印农民工调查数据）构造内生选择模型分析我国男性的婚姻溢酬。OI．S结果显示,控制个人特征和单位特征后,已婚男性的工资大于未婚男性的工资,婚姻溢酬为O．360。控制了婚姻选择性和妻子工作时间内生性后,使用Hekman两步法对此分析后发现婚姻溢酬更大一些,达到了O．523;这表明我国男性的婚姻溢酬不能简单归因于选择性假说,即已婚男性比未婚男性拥有更高的不可观测的生产力。进一步的研究发现,我国男性的婚姻溢酬可以用生产力假说中的家庭内部分工理论来解释,OLS和Heckman两步法的回归结果均表明,我国男性的婚姻溢酬随妻子的工作时间上升而下降。     

Is there a ‘marriage premium’ for gay men?

It is well-known that married men earn more than comparable single men, with typical estimates of the male marriage premium in the range of 10–20%. Some research also finds that cohabiting men earn more than men not living with a female partner. This study uses data from the General Social Survey and the National Health and Social Life Survey to examine whether a similar premium accrues to gay men who live with a male partner and whether cohabiting gay men have different observable characteristics than non-cohabiting gay men. Controlling for observable characteristics, cohabiting gay men do not earn significantly more than other gay men or more than unmarried heterosexual men. Cohabiting heterosexual men also do not earn more than non-cohabiting heterosexual men.

我国农产品期货价格波动率分析

对日收盘价格收益率及其收益率平方值进行自相关分析,讨论其波动聚集性;使用ARCH类模型对日收盘价格波动率进行分析,以找到其日波动率的性质及规律。     

我国债券市场流动性研究

我国企业债券市场流动性过低,这对企业债券市场的发展产生不利影响,也严重制约中国债券市场的整体发展,阻碍中国金融市场融资结构的改革。本文就此问题的解决进行探讨,并对我国企业债券市场的发展提出了政策建议。