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关键词： Stock markets   Correlation structure   Network   Minimum spanning tree   Evolution   CROSS-CORRELATION COEFFICIENT   MINIMUM SPANNING-TREES   FINANCIAL NETWORKS   EXCHANGE NETWORK   COMPLEX-SYSTEMS   EQUITY MARKETS   ASIA-PACIFIC   CONTAGION   INTERDEPENDENCE   INDEXES  

摘要： We construct a Pearson correlation-based network and a partial correlation-based network, i.e., two minimum spanning trees (MST-Pearson and MST-Partial), to analyze the correlation structure and evolution of world stock markets. We propose a new method for constructing the MST-Partial. We use daily price indices of 57 stock markets from 2005 to 2014 and find (i) that the distributions of the Pearson correlation coefficient and the partial correlation coefficient differ completely, which implies that the correlation between pairs of stock markets is greatly affected by other markets, and (ii) that both MSTs are scale-free networks and that the MST-Pearson network is more compact than the MST-Partial. Depending on the geographical locations of the stock markets, two large clusters (i.e., European and Asia-Pacific) are formed in the MST-Pearson, but in the MST-Partial the European cluster splits into two subgroups bridged by the American cluster with the USA at its center. We also find (iii) that the centrality structure indicates that outcomes obtained from the MST-Partial are more reasonable and useful than those from the MST-Pearson, e.g., in the MST-Partial, markets of the USA, Germany, and Japan clearly serve as hubs or connectors in world stock markets, (iv) that during the 2008 financial crisis the time-varying topological measures of the two MSTs formed a valley, implying that during a crisis stock markets are tightly correlated and information (e.g., about price fluctuations) is transmitted quickly, and (v) that the presence of multi-step survival ratios indicates that network stability decreases as step length increases. From these findings we conclude that the MST-Partial is an effective new tool for use by international investors and hedge-fund operators.

关键词： Agent-based model   Immature financial markets   Network theory   Information asymmetry   Herd behavior   Assortative network   NETWORKS   RETURNS  

摘要： This work presents an artificial order-driven market able to reproduce mature and immature stock markets properties in the case of a single traded asset. This agent-based artificial market is designed to simulate characteristics of immature stock markets (high risk and low efficiency) by reproducing their stylized facts related mainly to information asymmetry and herd behavior. These two properties are modeled by combining social network and multi-agent simulations. The constructed scale-free social network, linking the modeled investors, gives rise to both informed and uninformed agents communities. Different assortative topologies are proposed and linked to different degrees of information asymmetry and market maturities. Several simulation experiments show that the modeled information asymmetry and herd behavior succeed in reproducing artificially some important stylized facts characterizing differences between immature and mature stock markets.

关键词： Lottery-type stocks   Turn-of-the-month effect   Gambling   OF-MONTH   RETURNS   PREFERENCE   ANOMALIES  

摘要： The well-documented underperformance of lottery stocks masks a within-month cyclical pattern. Demand for lottery stocks increases at the turn of the month, especially in areas whose demographic profile resembles that of typical lottery-ticket buyers (i.e., gamblers), thus driving their prices higher. This effect is rooted in local retail investors' preference for lottery stocks and propelled by the within-month cyclicality of local investors' personal liquidity positions. A long-short investment strategy based on this cyclical pattern of lottery stocks' performance yields gross abnormal returns of about 12.6% per year. (C) 2017 Elsevier B.V. All rights reserved.

关键词： Dividend premium   Dividend policy   Firm value   DISAPPEARING DIVIDENDS   INTERNATIONAL EVIDENCE   CATERING INCENTIVES   SHARE REPURCHASES   PAYOUT POLICY   TAX CUT   SUBSTITUTION   INITIATIONS   INFORMATION   PROPENSITY  

摘要： This paper reports that the relation between dividend payout and firm value is positive. Panel data regressions suggest that the dividend premium for firms' equity is 17.4% and the dividend premium for firms' assets is 7.1%. The tests using propensity score matching methodology report a lower -but still positive and statistically significant - dividend premium: 12.5% for equity and 6.1% for assets. Thus, stock prices of dividend payers are greater by 12.5% or 17.4% on average (depending on methodology) compared to those of nonpayers. We find that policy-related economic uncertainty and the proportion of firms paying dividends explain more than half of the variation in dividend premium for assets.

关键词： Bayesian Graphical Structural VAR   Volatility predictability   Implied volatility index   VIX   Strategic commodities   BRICS   IMPLIED VOLATILITY INDEXES   COMMODITY FUTURES MARKETS   TRENDING TIME-SERIES   UNIT-ROOT MODEL   FINANCIAL CRISIS   HEDGING EFFECTIVENESS   EMPIRICAL-ANALYSIS   OIL PRICE   COUNTRIES   GOLD  

摘要： We examine the predictive power of implied volatility in the commodity and major developed stock markets for the implied volatility in individual BRICS stock markets. We use daily data from March 2011 to October 2016 and employ the newly developed Bayesian Graphical Structural Vector Autoregressive (BGSVAR) model of Ahelegbey et al. (2016). Evidence suggests that the predictability of individual implied volatilities in BRICS is generally a function of both global and within the group stock market implied volatilities, and that the role of commodity market volatility is marginal, except for South Africa. Important implications for policy-makers and portfolio-managers are discussed. (C) 2017 Elsevier B.V. All rights reserved.

关键词： Multifractal analysis   Russian stock market   Financial crisis   DETRENDED FLUCTUATION ANALYSIS   TIME-SERIES  

摘要： In this paper, we apply the multifractal detrended fluctuation analysis (MFDFA) to the Russian stock price returns. To the best of our knowledge, this paper is the first to reveal the multifractal structures for the Russian stock market by financial crises. The contributions of the paper are twofold. (i) Finding the multifractal structures for the Russian stock market. The generalized Hurst exponents estimated become highly-nonlinear to the order of the fluctuation functions. (ii) Computing the multifractality degree according to Zunino et al. (2008). We find that the multifractality degree of the Russian stock market can be categorized within emerging markets, however, the Russian 1998 crisis and the global financial crisis dampen the degree when we consider the order of the polynomial trends in the MFDFA. (C) 2017 Elsevier B.V. All rights reserved.

关键词： Log-periodicity   Price forecasting   Diffusion model   Pattern recognition   Non-linear time series   Financial market   BUBBLES  

摘要： The aim of this research is to propose an alarm index to forecast the crash of the Korean financial market in extension to the idea of Johansen-Ledoit-Sornette model, which uses the log-periodic functions and pattern recognition algorithm. We discover that the crashes of the Korean financial market can be classified into domestic and global crises where each category requires different window length of fitted datasets. Therefore, we add the window length as a new parameter to enhance the performance of alarm index. Distinguishing the domestic and global crises separately, our alarm index demonstrates more robust forecasting than previous model by showing the error diagram and the results of trading performance. (C) 2017 Elsevier B.V. All rights reserved.

关键词： 土地現值公告   行政規則   法規命令   行政處分   一般處分  

摘要： 土地现值在现行法律秩序中扮演重要角色，平均地权条例第46条规定，直辖市或县（市）政府对於辖区内之土地，应经常调查其地价动态，绘制地价区段图并估计区段地价後，提经地价评议委员会评定，据以编制土地现值表於每年1月1日公告，作为土地移转及设定典权时，申报土地移转现值之参考：并作为主管机关审核土地移转现值及补偿徵收土地地价之依据。由於土地现值每年有所异动，影响人民权益甚钜，直辖市或县（市）政府土地现值表之公告常成为法律争议。土地现值公告之法律性质为何，无论在司法实务、行政实务或学术理论众说纷纭，影响人民提起行政救济之时间点与救济类型。本文目的在分析有关土地现值公告法律性质之争议，并提出看法，希望对此议题之厘清有所帮助。

关键词： 公司治理   股票流动性   公司价值  

摘要： 公司治理、股票流动性与公司价值是决定我国新三板市场发展的关键因素之一。本文利用2015年中国新三板市场的创新层公司数据,使用多元线性回归和联立方程模型方法,实证检验了公司治理、股票流动性与公司价值之间的关系。研究发现:(1)公司治理对股票流动性存在负向作用。(2)股票流动性对公司价值有显著正向影响。(3)公司治理中的机构持股与股票流动性互为负相关,股票流动性与公司价值互为正相关。

关键词： 企业转型   科技创新   沙钢集团   宏观经济环境   核心竞争力   钢材市场   配套企业   现代物流  

摘要： “十二五”期间，沙钢集团进入了发展的转型升级阶段。面对宏观经济环境和钢材市场的重大变化，沙钢加快转型升级步伐，在进一步做大做强钢铁主业的基础上，重点实施拉长产业链、搞好配套企业、发展现代物流、搞好资本运作等四大转型升级工程，积极拓展与铡铁主业关联度大的多元化经营领域，使沙钢进一步形成科学发展新格局，增强企业的核心竞争力。