现货市场与期货交易行为对期货市场波动的影响——来自中国农产品期货市场的证据

期货交易对波动性的影响一直以来都是一个备受争议的课题。建立了包含预期风险收益、现货市场和期货市场非对称信息冲击效应的EC-TARCH-M模型,对大豆、豆粕、玉米和强麦等期货的交易行为、现货市场信息冲击与期货市场内在波动性之间的关系进行深入研究。结果表明,期货交易行为均对波动性有着显著影响,但影响的方向和程度不一致,投机交易会加剧期货市场波动性,而市场深度却有助于降低期货市场波动性。不同期货市场波动性对来自现货市场的信息冲击反应不一,但对来自期货市场中的信息冲击具有"杠杆效应"。     

内幕交易民事责任及诉讼机制探讨

不同类型的内幕交易受害人取诉权的条件和方式不尽相同。内幕交易民事责任的各个构成要件都有其特定内涵。内幕交易民事诉讼机制由代表人诉讼和股东派生诉讼所构成。     

中国风险投资发展:国外经验借鉴与国内政策措施

国外风险投资发展的成功经验为中国发展风险投资提供了很好的借鉴。我国发展风险投资的措施,主要包括:引导和探索多种形式的风险投资组织形式;加大对高新技术产业和风险投资的优惠政策;制定和完善风险投资相关法规;建立多层次股权交易市场疏通退出渠道;对风险投资直接监管与间接监管相结合。     

有关股评价值的实证研究

以2000年股评家推荐的2052只股票作为样本,并根据推荐的持有策略将其分成短线和中线两组来分析股评的投资价值.研究结果对我国股评家属于信息驱动型提出了质疑,并指出,即使考虑交易费用,被推荐的短、中线个股(组合)仍然具有一定的投资价值.从长期来看,个股(组合)可以显著获得超常收益或赢利;与中线相比,短线个股(组合)的期望收益较高、风险较小.     

Mass Customization in the Automotive Industry: Comparing Interdealer Trading and Reconfiguration Flexibilities in Order Fulfillment

Mass customization has been viewed as desirable but difficult to achieve in the volume automotive sector. Here we consider flexibility in automotive order fulfillment systems to enhance the ability to satisfy customers with their desired vehicle variants within acceptable delivery lead times. Two types of flexibility are compared in a Virtual‐Build‐to‐Order system—reconfiguration in the planning pipeline and interdealer trading. A representative simulation model is used to investigate the impact of the two types of flexibility across a wide spectrum of product variety levels. The impacts on major stakeholders in the system—the producer, dealers, and customers—are considered. The study shows that both types of flexibilities can bring significant benefits in terms of reductions in lead time and inventory holding. The level of product variety strongly influences the observed effects—an important finding in the mass customization context. Upstream reconfiguration flexibility brings greater benefits than downstream trading flexibility. Reconfiguration tends to dominate trading as a fulfillment mechanism when both are in operation. The findings have implications for the design and management of automotive order fulfillment systems in improving their ability to offer mass customization. The study has relevance for companies in other sectors with high levels of variety that seek to combine efficiency, speed, and flexibility in order fulfillment.     

Strategic Liquidity Provision in Limit Order Markets

We characterize and prove the existence of Nash equilibrium in a limit order market with a finite number of risk‐neutral liquidity providers. We show that if there is sufficient adverse selection, then pointwise optimization (maximizing in p for each q) in a certain nonlinear pricing game produces a Nash equilibrium in the limit order market. The need for a sufficient degree of adverse selection does not vanish as the number of liquidity providers increases. Our formulation of the nonlinear pricing game encompasses various specifications of informed and liquidity trading, including the case in which nature chooses whether the market‐order trader is informed or a liquidity trader. We solve for an equilibrium analytically in various examples and also present examples in which the first‐order condition for pointwise optimization does not define an equilibrium, because the amount of adverse selection is insufficient.     

融资融券能促进标的证券的定价效率吗?——基于上证50ETF的实证研究

通过分析ETF作为融资融券标的前后折溢价率水平变化及其影响因素,发现融资融券推出和交易费用减免都显著提高了ETF的定价效率。具体而言,融资融券推出与交易费用减免都是通过影响ETF的套利成本来提高其定价效率的。交易费用减免一方面直接降低了套利显性成本,另一方面通过提高市场流动性降低了套利隐形成本;而融资融券推出为ETF交易提供了额外的套利渠道,降低了市场非流动性对原有的跨市场套利的影响,从而提高其定价效率。     

农业面源污染排污权交易制度的设计与创新

农业面源污染相对于工业点源污染的治理来说交易成本高、涉及个体多、受自然条件影响大,减排效果难以量化。借鉴点源污染排污权交易理论,构建适合我国的新型农业面源污染排污权交易制度体系,提出应建立区域农户合作组织,发展有机农业,杜绝滥用化肥农药,积极引导工业点源治理企业参与面源污染治理并合理分配初始化交易比例,最终形成政府适当引导下农户有组织参与的市场化运作的面源污染排污权交易制度。     

夜盘交易对中国农产品期货市场定价权的影响

基于信息溢出视角,利用DCE与CBOT豆油期货连续合约收盘价数据,实证分析了夜盘交易启动对中国农产品期货市场定价权的影响。研究结果表明：夜盘交易的启动,未能有效提升DCE豆油期货对CBOT豆油期货的收益溢出效应,CBOT豆油期货对DCE豆油期货的收益溢出始终处于强势地位。夜盘交易前,CBOT对DCE豆油期货的波动溢出效应显著强于后者对前者的波动溢出效应,而夜盘交易的启动有效改善了这一现状;夜盘交易启动后,DCE与CBOT豆油期货呈现双向显著的波动溢出效应。综合来看,夜盘交易影响DCE向CBOT信息溢出的主要渠道为波动溢出而非收益溢出,夜盘交易未能有效提升以DCE豆油期货为代表的中国农产品期货市场定价权。     

农户社会资本与电商交易平台的选择

从村庄和家庭社会资本的多维视角,探讨了农户社会资本对电商交易平台选择的影响,结果发现：村庄社会资本对农户选择网商交易平台和微商交易平台有直接的促进作用;家庭社会资本维度的社会资源网络、社会信任、社会参与、社会声望和社会资本培育使农户倾向于选择微商交易平台;控制变量中的受教育程度、身体健康状况、种植经验、亩数、家庭收入及到快递点的距离对电商交易平台的选择均呈现不同的显著影响。