基于高维波动率网络模型的股票市场风险特征研究

波动率是金融风险管理研究的重要内容之一。本文基于复杂网络理论和数据挖掘技术提出股票市场的高维波动率网络模型。首先运用互信息度量不同股票价格波动之间的相关关系,其次对股票市场不同周期下的波动情况建立度的中心势、平均距离、幂律分布等网络拓扑指标,再次根据这些指标利用Prim算法构建出高维波动率网络模型,最后运用Newman-Girvan算法对股票价格波动率的相关性进行分层研究。高维波动率网络模型突破了传统波动率模型关于变量维数的限制,能够在依赖少量假设的基础上,挖掘出多个金融市场主体间的相互关系,反映金融市场的风险特征及网络拓扑性质。实证结果发现：与常用的Pearson相关系数法相比,在互信息框架下,股价波动的非线性相关关系得到了更好的度量;股票市场的整体波动性与个股波动率相关性变化趋势相反,市场处在高波动时期资产组合分散化效果较好;网络中存在少量度数大的关键节点和中心节点,风险通过这些节点可以迅速传递到整个市场;股票市场的运行具有明显的行业聚集现象;网络分层研究进一步直观的展现了风险在层与层之间的传递规律和与之对应的行业特征。高维波动率网络模型为挖掘股票市场的风险特征与管理金融风险提供了一个新的工具。     

金融周期、金融波动与中国经济增长——基于省际面板门槛模型的研究

本文应用面板门槛模型,研究了2005-2017年间我国31个省（市、自治区）金融波动对经济增长的影响。研究发现,随着金融周期所处阶段的变化,金融波动对经济增长会产生显著的非对称性双重门槛效应,主要体现为如下两点：首先,金融周期处于膨胀期、平稳期和萧条期时金融波动对经济增长会产生负向影响,但从影响系数值的大小来看,处于膨胀期时最大,是后两者的2倍之多,处于平稳期时最小且并不显著;其次,分区域的稳健性检验表明,金融发展水平高的区域双重门槛值出现得早,且两个门槛值间的区间要比金融发展水平低的区域宽28%。这些结论说明,经济增长对于金融波动的容忍弹性会随着金融周期所处的阶段而变化,金融发展水平的提高会放大经济增长对金融波动的容忍区间,但也会加速金融周期处于膨胀期时爆发金融危机的可能性,这使得当前我国存在着进一步发展金融水平和严控金融风险的矛盾,对此本文也提出了相应的政策建议。     

国际官方统计的新发展

联合国统计委员会会议是国际统计界的盛会,集中反映全球官方统计的最新成果和进展。本文对联合国统计委员会第50届会议最主要的若干问题,包括《2030年可持续发展议程》的数据和指标、官方统计基本原则、国家质量保证框架、官方统计使用大数据、国民账户体系、统计用途商业登记册、价格统计、住户调查、国际比较方案等领域的新发展进行了概述,从4个方面提出了国际官方统计的新发展对中国政府统计工作的启示。     

Functional and emotional traits of corporate social media message strategies: Behavioral insights from S&P 500 Facebook data

Drawing from literature regarding public engagement, the Elaboration Likelihood Model (ELM), computer-mediated communication research, and emotion psychology, this study examines the effects of companies’ social media communication strategies on public engagement behaviors as indexed by post likes, shares, and comments. Specifically, it investigates how corporate Facebook posts’ functional traits (functional interactivity and vividness) and emotional traits (emotion presence, valence, and strength) impact public engagement online. Through data mining and computer-assisted sentiment analysis of 33,379 posts from 106 Standard & Poor 500 companies’ Facebook accounts, this study finds a negative effect of functional interactivity but a positive effect of vividness on engagement. It also shows that emotional traits overall yield stronger public engagement outcomes. Two-way interactions between emotional and functional features are also detected. Theoretical and practical implications are discussed.     

A DECISION THEORY EXAMPLE IN FOOTBALL

In the 1967 Harvard-Cornell football game, Harvard was ahead 14–0 late in the game when Cornell scored two touchdowns. On both occasions, Cornell tried and failed on the two-point conversion attempt and lost the game 14–12. Postgame arguments were divided on the merits of Cornell's strategy. For this frequently occurring scenario in college football, we derive a maximum expected utility decision rule for the decision of kicking versus running/passing based on the relative utility of a win, a tie, or a loss and the probabilities of success with a kick as opposed to a run/pass.     

A TIME-SERIES APPROACH FOR CONSTRUCTING EXPECTATIONS MODELS*

This article presents an efficient way of dealing with adaptive expectations models—a way that makes use of all the information available in the data. The procedure is based on multiple-input transfer functions (MITFs): by calculating lead and lag cross correlations between innovations associated with the variables in the model, it is possible to determine which periods have the greatest effects on the dependent variable. If information about k periods ahead is required, fitted values for the expectation variables are used to generate k-period-ahead forecasts. These in turn can be used in the estimation of the transfer function equation, which not only contains the usual lagged variables but also allows for incorporation of lead-fitted values for the expectation variables. The MITF identification and estimation procedures used are based on the corner method. The method is contrasted with the Almon distributed-lag approach using a model relating stock market prices to interest rates and expected corporate profits.     

ASSESSING ENVIRONMENTAL SCANNING AT THE SUBUNIT LEVEL: A MULTITRAIT-MULTIMETHOD ANALYSIS*

Environmental scanning activities of over 400 top management subunits in 108 European manufacturing firms provided the data base for this research. Four traits (constructs) of scanning using three methods (interest, frequency, and time) were examined. A confirmatory factor analysis approach to multitrait-multimethod (MTMM) data was employed. Verification of the reliability as well as convergent and discriminant validity of the scanning scales are reported and discussed. The viability of confirmatory factor analysis in providing a precise analysis of partitioning variance according to trait, method, and error is demonstrated.     

A NOTE ON THE USE OF SELECTED NONFINANCIAL RATIO VARIABLES TO PREDICT SMALL-BUSINESS LOAN PERFORMANCE*

Small business loan applications have not been evaluated successfully by traditional methods. This paper explores the possibility of using three types of nonfinancial ratio variables (owner, firm, and loan characteristics) to predict whether a small business will pay off or default its loan. The owner and loan variables were better predictors of loan success than the firm variables.     

A MINIMUM-COST AUDIT SAMPLING METHODOLOGY UNDER CONDITIONS OF PREDETERMINED BETA RISK

This paper presents a minimum-cost methodology for determining a statistical sampling plan in substantive audit tests. In this model, the auditor specifies β, the risk of accepting an account balance as correct when it is not, according to audit evidence requirements. Using β as a constraint, the auditor then selects a sampling plan to optimize the trade-off between sampling costs and the costs of follow-up audit procedures. Tables to aid in this process and an illustration are provided.     

国家建设模式的类型和中国的选择

国家建设是指由传统国家转变为现代民族国家的国家建制过程,也是在超越传统国家的前提下建立起和不断完善一整套具备现代国家基本特征的组织、价值和制度的历史过程。梳理历史上各国国家建设的历程,我们可以尝试性地概括出国家建设模式的类型:阶级建设国家模式、军队建设国家模式和政党建设国家模式。以此类型为依据,对20世纪以来中国国家建设模式的选择问题进行理性分析,政党建设国家模式的最终成功有其内在深刻而独特的政治逻辑。这一模式下形成的政党国家必须进行适应性的调整和转型,才能真正有效推动中国现代国家建设的不断深化。