我国A股市场复杂网络结构及稳定性研究

本文运用复杂网络分析方法,从一个全新的角度分析中国A股市场个股的相关性,以2014年至2015年间的股票市场交易数据为基础,以上证180指数成分股股票为样本,构建我国股票市场的复杂网络系统。通过计算分析股票网络的拓扑特征统计量,并与美股成熟市场进行比较,研究我国A股市场个股联动的网络结构;同时,在我国金融市场进一步开放的大背景下,本文通过研究样本股票网络在不同情形攻击下网络结构的变化,探索A股市场不同公司股价波动的联动性规律,为监管者稳定证券市场,特别是在“股灾”等极端情况下维持证券市场的流动性功能提供新的决策参考,以利于中国证券市场更好地为经济转型提供金融支持,保护中小投资者利益。     

Measures of individual risk attitudes and portfolio choice: Evidence from pension participants

We use a large non-student sample to test how distinct measures of risk-attitudes relate to each other, to demographic characteristics and to real-life risk taking in the financial domain. These measures, namely the Bomb Risk Elicitation Task (BRET), self-reported willingness to take risks in general, the choice in a hypothetical lottery, the score in the Domain Specific Risk-Taking (DOSPERT) scale, appear to be positively correlated and exhibit a certain degree of consistency. Furthermore, a subset of these measures is driven by similar demographic characteristics as such that males are more risk seeking and risk-aversion increases with age. Using extensive data on the retirement portfolios of the participants during the years 2008–2014, we find that all of these measures are positively correlated with the riskiness of individual portfolios. The self-reported willingness to take risks in general appears to be the most relevant measure in predicting actual risk-taking behavior.     

论市场经济转型中的政府职能转变

在中国市场经济转型过程中，如何正确认识处理市场与政府关系、促进政府职能转变一直是困扰我们的关键问题。文章认为，当今的中国社会仍处在如何从早先极端政治化的“全能国家”与“全能政府”中“侧生”出一个市场经济条件下相对独立的“非政治化”领域的阶段，即由改革前的计划经济体制与无所不包的“全能国家”、“全能政府”为搞活经济不断让利放权、自主限权，收缩权力触角并让渡和创造出越来越多的公民个人世俗活动空间。只有逐步摒弃并祛除由来已久的“人治”和“官本位”传统，依靠制度法治建设压缩政府权限，维持把握市场与政府行为的边界，中国市场经济才有可能稳定健康地发展下去。     

Exit, Voice, Loyalty in Transition: A Theoretical Framework

On the grounds of borrowing and reforming Hirschman’s terminology, ‘exit, voice, loyalty’, we show both a conceptual and a methodological framework that can be used to raise questions in transitology studies. These issues include the following points: are there any models being developed concerning the transition countries?; are there any similar models in Western Europe?; is there any convergence between the models of both Eastern and Western Europe? If the answer to the last issue is yes, then in which areas? Or if it is a no, is it true that a special economic, social and also political system is developing in Eastern Europe? Another issue concerns how strong the growth potential of the different models is. It also examines which are the successful models and which are not, and what is the role of the economic and political elite in the development of these models. This study includes only the theoretical framework.     

Decomposing the predictive performance of the moving average trading rule of technical analysis: the contribution of linear and non-linear dependencies in stock returns

The main purpose of this work is to decompose the predictive performance of the moving average (MA) trading rule and find out the portion that could be attributed to the possible exploitation of linear and non-linear dependencies in stock returns. Data from the General Index of the Athens Stock Exchange, from the Standard and Poor-500 Index of the New York Stock Exchange and from the Austrian Traded Index of the Vienna Stock Exchange are filtered by linear filters so as the resulting simulated ‘returns’ exhibit no serial correlation. Applying MA trading rules to both the original and the simulated indices and using a new statistical testing procedure that takes into account the sensitivity of the performance of the trading rule as a function of the length of the MA it is found that the predictive performance of the trading rule is clearly weakened when applied to the simulated indices indicating that a substantial part of the rule's predictive performance is due to the exploitation of linear dependencies in stock returns. This weakening is uneven; in general the shorter the MA length the more pronounced the attenuation.     

遵循创投发展规律深化国有创投公司市场化改革——部分省市国有创投公司调研报告

江苏、浙江及深圳等部分省市国有创投公司成功的原因，在于不断按照市场化、专业化要求推进体制机制创新，突破现行国有评估、考核和激励机制等的束缚。上海国有创投业在国内与深圳创投、江苏高投等公司基本上同时起步，但近年来在实力和影响力方面差距拉大。建议上海国有创投业体现政府职能和市场化的经营活动要分开；国资创投活动要与市场融合特别是与社会资金融合；通过改革和创新突破现有国资规定。     

LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS

ABSTRACT

Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared, and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that if the data is conditionally leptokurtic, the log-periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In United States stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies.     

Reply

This article develops a new identification procedure to estimate the contemporaneous relation between monetary policy and the stock market within a vector autoregression (VAR) framework. The approach combines high-frequency data from the futures market with the VAR methodology to circumvent exclusion restrictions and achieve identification. Our analysis casts doubt on VAR models imposing a recursive structure between innovations in policy rates and stock returns. We find that a tightening in policy rates has a negative impact on stock prices and that the Federal Reserve (Fed) has responded significantly to movements in the stock market. Estimates are robust to various model specifications.     

On the Nonlinear Predictability of Stock Returns Using Financial and Economic Variables

In a recent article by Qi, neural networks trained by Bayesian regularization were used to predict excess returns on the S&P 500. The article concluded that the switching portfolio based on the recursive neural-network forecasts generates higher accumulated wealth with lower risks than that based on linear regression. Unfortunately, attempts to replicate the results were unsuccessful. Replicated results using the same software, approach and data detailed by Qi indicate that, in fact, the switching portfolio based on the recursive neural-network forecasts generates lower accumulated wealth with higher risks than that based on linear regression.     

经理股票期权制借鉴·问题·对策

阐述了企业经理人员股票期权制(ESO)的含义、作用和形式.分析了在我国现阶段推行该计划的主要问题,并据此提出了适合我国企业实情的对策.