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关键词： Bayesian Graphical Structural VAR   Volatility predictability   Implied volatility index   VIX   Strategic commodities   BRICS  

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： Stock markets   Correlation structure   Network   Minimum spanning tree   Evolution  

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  

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： Dividend premium   Dividend policy   Firm value  

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： Multifractal analysis   Russian stock market   Financial crisis  

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  

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： 经济形势分析   经济增长   展望   宏观经济环境   结构性改革   平稳增长   总体平衡   市场供求  

摘要： 2018年经济将保持平稳增长，市场供求总体平衡，价格小幅上涨。这将为转入高质量发展提供较好的宏观经济环境。随着供给侧结构性改革进一步深入推进。十九大精神全面落实。预计以提质增效、减排降耗为主线的新经济增长特点将日益明显。

关键词： 国内资本市场   行为金融学   投资策略   投资决策   制约作用   心理因素   主观因素   A股市场  

摘要： 投资者作为参与资本市场者,在投资的过程中非常容易受到自身主观因素与心理因素等的制约作用。特别是在我国的A股市场当中,不少决策投资都要求逆人性化,相比较于传统的金融学,结合行为金融学可以对国内的资本市场投资决策进行探究,从而分析一系列部正常的投资现象。下面,笔者根据国内资本市场的实际现状,以行为金融学作为角度对我国资本市场中的投资策略问题进行了简要地分析。

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： 进出口企业   机电产品   北京   年会   中国   外贸   国务院发展研究中心   宏观经济环境  

摘要： 2017年1月20-22日,第12届中国机电产品进出口企业年会在北京召开.机电商会特邀国务院发展研究中心、商务部相关领导、行业专家,就最新外贸形势、政策和企业关注的相关问题进行详细深入的探讨与解读.来自全国二十多个省市、自治区的地方商务主管部门的领导,机电商会副会长单位、理事单位和骨干会员,涵盖工程承包、家电、电子、汽车、工程机械、光伏等各个领域的300多家企业及代表共400余人出席了此次会议.这是机电商会为政府相关部门与行业和企业沟通信息、方便企业及时了解当前国家宏观经济环境及相关政策与措施,共同研讨机电行业热点。