对我国创业板“三高”现象的思考

我国为建立多层资本市场,十年磨一剑,于2009年10月30日在深圳证券交易所开启了创业板交易市场。目前创业板市场为部分中小企业募集了大量资金,解决了企业融资难的问题,但市场运作的缺陷也逐渐暴露,其中最典型的即"三高"问题——高市盈率、高发行价、高超募率。我国创业板产业"三高"现象是由多种原因所改,包括新股发行定价制度中存在的缺陷;宏观层面上也有一些影响因素;以及监管体制不完善;退市制度尚未真正触发等。应对"三高"的措施首先应完善创业板发行的定价制度;同时加强创业板市场的监管,完善创业板的交易制度等。此外,借鉴海外市场的稳步扩容、抓质保量也十分必要。     

Volatility,Momentum, and Time-Varying Skewness in Foreign Exchange Returns

This article tests a stochastic volatility model of exchange rates that links both the level of volatility and its instantaneous covariance with returns to pathwise properties of the currency. In particular, the model implies that the return–volatility covariance behaves like a weighted average of recent returns and hence switches signs according to the direction of trends in the data. This implies that the skewness of the finite-horizon return distribution likewise switches sign, leading to time-varying implied volatility “smiles” in options prices. The model is fit and assessed using Bayesian techniques. Some previously reported volatility results are accounted for by the fitted models. The predicted pattern of skewness dynamics accords well with that found in historical options prices.     

Exchange Rates and Markov Switching Dynamics

This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data frequencies, two sample periods, and various specifications are considered. Quarterly data yield inconclusive evidence; the test rejects neither random walk nor Markov switching. Monthly data, on the other hand, offer unambiguous evidence of the presence of Markov switching dynamics. The results suggest that data frequency, in addition to sample size, is crucial for determining the number of regimes.     

试论民族社会中的互惠交换模式

互惠是人类社会出现最早并且存在时间最长和表现形式最丰富的一种交换类型，它不仅是许多前现代社会的交往原则和基本特征，即使在现代社会中也广泛存在并发挥着重要的作用。互惠交换模式不同于现代市场交换模式，而是有着其独特的性质与功能。对不同民族社会中互惠交换形式与功能的分析，有助于我们理解不同民族社会的不同结构。     

“国培计划”顶岗置换模式存在的法律风险及其防范

目前，“国培计划”顶岗置换模式作为一种成功的模式在全国各地得到了广泛的推广，但该模式所潜藏的法律风险并未引起人们的关注和重视。本文仅就何谓法律风险、“国培计划”顶岗置换模式存有哪些法律风险及如何防范这些风险等问题进行了初步的探讨。     

Modelling the persistence of conditional variances

This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH) formulations. The discussion will be motivated by a simple asset pricing theory which is particularly appropriate for examining futures contracts with risk averse agents. A new class of models defined to be integrated in variance is then introduced. This new class of models includes the variance analogue of a unit root in the mean as a special case. The models are argued to be both theoretically important for the asset pricing models and empirically relevant. The conditional density is then generalized from a normal to a Student-t with unknown degrees of freedom. By estimating the degrees of freedom, implications about the conditional kurtosis of these models and time aggregated models can be drawn. A further generalization allows the conditional variance to be a non-linear function of the squared innovations. Throughout empirical e imates of the logarithm of the exchange rate between the U.S. dollar and the Swiss franc are presented to illustrate the models.     

人民币汇率改革应该控制速度与强度--从我国货币替代问题出发的行为经济学分析

根据行为经济学的基本理论以及相应的实证分析,发现当前我国居民由于损失规避心理较强,因而在决定是否进行货币替代时,对人民币实际汇率的绝对水平反应不足,但对人民币实际汇率的波动程度反应敏感。故人民币汇率制度从盯住单一美元过渡到盯住一篮子货币后,为了防范由货币替代的潜在加剧而造成对宏观经济的冲击,政策当局应该做到:短期内不应对人民币币值进行大幅度或频繁的调整,同时必须维持当前汇率政策的延续性;长期内必须完善国内市场化环境,不断缓解居民的损失规避心理,培育和提升居民对汇率制度改革的应变能力。     

A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks

Theoretical models of contagion and spillovers allow for asset-specific shocks that can be directly transmitted from one asset to another, as well as indirectly transmitted across uncorrelated assets through some intermediary mechanism. Standard multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models, however, provide estimates of volatilities and correlations based only on the direct transmission of shocks across assets. As such, spillover effects via an intermediary asset or market are not considered. In this article, a multivariate GARCH model is constructed that provides estimates of volatilities and correlations based on both directly and indirectly transmitted shocks. The model is applied to exchange rate and equity returns data. The results suggest that if a spillover component is observed in the data, the spillover augmented models provide significantly different volatility estimates compared to standard multivariate GARCH models.