The Finance最新文献

{"title":"长三角16城市金融生产力的比较研究 Comparative Studies of Financial Productivity on the 16 Cities in the Yangtze River Delta Region","authors":"徐岚","doi":"10.12677/FIN.2014.41004","DOIUrl":"https://doi.org/10.12677/FIN.2014.41004","url":null,"abstract":"本文通过构建迈尔奎斯特金融生产力经济增长指数，分析反映长三角地区经济技术前沿的城市构成，估算长三角16城市综合实力和重要经济指标的金融生产力增长指数，并分析它们因规模效应和技术进步所引起的在水平上存在差异的内在动因，以及金融生产力增长的源泉，从而为长三角区域内各城市在金融领域的联动和职能分工提供战略指导。 This paper sets up the Malmquist Financial Productivity Growth Index to analyze the constitution of the economic frontier of the Yangtze River Delta Region, and to estimate the comprehensive economic capacities and the financial index of productivity growth of the 16 cities in the region. It also investigates the sources and decomposed factors, because of scale effect and technical progress existing internally that cause the cities to move on to different levels. The paper concludes to provide strategic suggestions in the cooperative working and the functional dividing among cities within the Yangtze River Delta region in the financial realm.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124719389","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"人民币国际化的现状、障碍与策略：结构视角的分析","authors":"宋亭亭, 方显仓","doi":"10.12677/FIN.2014.41005","DOIUrl":"https://doi.org/10.12677/FIN.2014.41005","url":null,"abstract":"","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122483661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"非参数协整和误差修正模型及其在金融中的应用 Applications of Nonparametric Cointegration and Error Correction Model to Finance","authors":"殷俊, 苏理云, 周甲凯, 何雄飞, 李泓强, 彭相武","doi":"10.12677/FIN.2014.41001","DOIUrl":"https://doi.org/10.12677/FIN.2014.41001","url":null,"abstract":"本文主要研究了协整理论和非线性协整的非参数方法两个领域，包括线性协整及线性误差修正模型，非线性协整及非线性误差修正模型，ACE算法和局部多项式回归方法，基本梳理清楚了该领域的研究脉络和框架。本文运用Matlab编程实现了局部多项式回归这一非参数检验方法，详细地梳理了协整理论的内容，包括线性协整理论、线性误差修正模型、线性协整理论的估计和检验、非线性协整和误差修正模型及其估计和检验，并且对个中细节进行了注解，使脉络更为清晰明了，从而增进协整理论的易读性。对时间序列协整的非线性存在的应用提出了新的方法，即融合岭回归的局部多项式回归的非参数方法，通过仿真表明，该方法有很好的估计效果。选取日本、新加坡、台湾三地指数数据进行实证分析，把局部多项式回归的非参数方法和协整、误差修正模型结合，实现了对协整、误差修正模型的估计，并且得到了较高模型估计精度，尤其重要的是，能够合理地解释局部多项式回归这一非参数方法的一阶导数在日本、新加坡、台湾三地股市指数中的意义。 This paper mainly focuses on co-integration theory and nonparametric method with nonlinear co-integration, which includes linear co-integration and linear error correction model, nonlinear co-integration and nonlinear error correction model, the ACE algorithm and local polynomial regression. It is clearly proved right by these analytical methods. The Matlab programming is fully exerted to realize the local polynomial regression, a nonparametric test method. In this paper, co-integration theory is clarified in details including linear theory of co-integration, linear estimation of error correction model, linear co-integration theory and tests, the nonlinear co-integration and error correction model as well as the estimation and inspection towards it. Moreover, the annotation is added for individual specifics, aiming to clarify the structures of co-integration. The existing application of time series nonlinear co-integration is put forward to serve the new method, namely the method of fusing the ridge regression nonparametric local polynomial regression. The simulation shows that this method is proved to be right. The index data assisting the researcher access to the empirical analysis are references from Japan, Singapore and Taiwan. It is on its purpose by combing the non-parametric method of local polynomial regression, co-integration and error correction model to estimate the analysis on the co-integration and error correction model. The precision of the model is assured. The local polynomial regression can be aimed to assist in explaining the significance of the non-parametric method of first derivative stock indexes in Japan, Singapore and Taiwan.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129255602","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"基于PCA和灰色系统的住房价格建模 Housing Price Modeling with PCA and Gray System","authors":"彭相武, 苏理云, 赵彦勇","doi":"10.12677/FIN.2014.41002","DOIUrl":"https://doi.org/10.12677/FIN.2014.41002","url":null,"abstract":"本文从房屋供给和需求两个方面科学的分析影响我国房价的因素，运用主成分分析法去除各影响因素间的线性相关性，同时减少了影响因素的个数；接下来利用最小二乘法确立房价与影响因素间的线性回归方程；最后引入灰色系统理论中的灰色预测方法，建立各影响因素的灰色预测模型，并对其进行量化分析、预测，将所得到的影响因素预测值代入到回归方程，以预测房价。 In this paper, we analyze the factors which affect the house prices from two aspects: housing supply and demand. The approach of principal component analysis is taken to remove the linear correlation between the factors and to reduce the number of factors. Furthermore, we use the least squares method to set up the linear regression equation between prices and affecting factors. At last, we get gray forecasting model of factors by introducing gray prediction method of the gray system theory and substitute the predictive value of the factors into the regression equation to predict the house prices.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"04 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129290335","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"基于RSLN-2模型下的我国股票分红问题探究 Research on Dividend Policy of China’s Stock Market Based on RSLN-2 Model","authors":"周斌, 张巍, 周搏","doi":"10.12677/FIN.2013.34007","DOIUrl":"https://doi.org/10.12677/FIN.2013.34007","url":null,"abstract":"本文利用体制状态转移对数正态模型刻画股指与股息率，并以上证综指和S&P 500指数进行实证对比分析：在考虑了中美两国在股市平稳期和变动期两体制状态下，股指和股息率的变动情况，指出变动因素对于两国股市的影响结果截然不同，股息率对于股市整体的依赖程度在两国的证券市场也呈现明显差异。接着对我国上市公司分红的结构性问题进行探讨：指出我国股市与发达证券市场相比，具有股指高收益率和高波动率并存的现象；进一步分析现金红利的派发时，通过市盈率、股价现金流比率分析出股价过高是导致我国股息率偏低的重要原因，股息率和股息支付率两者同时偏低的根本原因在于我国上市公司整体盈利能力较弱。 This paper depicts stock index and dividend payout ratio by using regime-switching lognormal model. In practice, this model is applied to the stock market in China and United States, represented by Shanghai composite index and S&P 500 index separately. On the basis of stock index and dividend yield, we point out that the factor of variability in two countries’ stock market leads to different outcomes. The dependence of dividend yield on the whole stock market performance differs across borders in two countries’ security markets. Next, this paper makes further statistical descriptions of the cash dividend structure of the listed companies, points out that, in comparison to other developed securities markets, relative high price earnings ratio (PE) and price/cash flow ratio (P/C) coexist. When analyzing the situation of cash dividend sending, through PE and P/C, we indicate that high stock price is the important reason to the low dividend yield. However, the fundamental cause of the low PE and P/C in the meantime lies in the fact that listed companies in our country have relative weak profitability.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129331299","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Empirical Test of Credit Default Risk of Listed Companies in China","authors":"唐 绍欣","doi":"10.12677/FIN.2013.34006","DOIUrl":"https://doi.org/10.12677/FIN.2013.34006","url":null,"abstract":"上市公司信用违约风险度量的技术在西方已经比较成熟，信用风险度量的方法和模型在理论上和实践中都形成了一套完整的体系。而我国的信用违约风险度量还刚刚起步，对于信用评级还处于探索阶段，远不能达到商业银行对于贷款安全管理的要求。而本文所讨论的KMV模型作为现代四大信用风险度量模型之一，相较于其他三种方法，所需要的参数在中国目前的数据库建设下相对可以获得，其计算方法也有强大的理论依据做支撑，通过计算得到的数值相比传统的信用风险度量方法有更强的说服力，更有利于银行管控风险和上市公司进行诚信建设，促进金融市场发展。结论表明，我国上市公司存在信用违约的风险与模型的实际检验基本一致。因此通过研究信用违约风险度量模型，结合我国金融市场的现状，探索出适合我国信用违约风险度量的模型具有理论和现实意义。 The credit default risk measurement technology of listed Corporation is so mature in the west that a complete system of methods and models of credit risk measurement are formed in theory and practice. But in China, the measurement of credit default risk is still in its infancy and the credit rating is still in the exploratory stage, which can’t meet the needs of commercial bank loans for safety management requirements. As one of modern four major credit risk measurement models, KMV parameters can be obtained in the Chinese current database which is under construction now, and its calculation methods have strong theoretical bases to support itself. The calculated data is more convincing than that from the traditional credit risk measurement methods, which can help the banks to control the risks and the listed corporations to build its integrity, promoting the financial market. The results show that credit default risk of listed Chinese companies is almost consentaneous to this empirical test of models. Thus, through the research of credit default risk measurement models, exploring the Chinese credit default model has significance both in theory and practice.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133341827","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"基于分位数回归技术的金融市场稳定性研究 The Study on Financial Market Stability Based on Quantile Regression Technique","authors":"陈洁, 何春, 杨晓蓉","doi":"10.12677/FIN.2013.34008","DOIUrl":"https://doi.org/10.12677/FIN.2013.34008","url":null,"abstract":"立足于我国金融市场发展特点，本文从收益波动率的视角重新定义金融稳定的内涵，利用分位数回归技术提出了具有普适意义的用于金融市场稳定性检验的模型。通过对上证市场历年稳定性情况进行实证检验分析，发现2002年以来上证市场开始由不稳定状态向着稳定状态发展，该结论也通过了模型的敏感性检验。此外，本文还探讨了“极端利好”消息在维护金融市场稳定过程中的重要作用并且验证金融危机之后我国政府出台的一系列救市政策积极正面的影响。 The study proposes a new definition for financial stability from the perspective of return volatility, considering about the developmental characteristics of Chinese stock market. With quantile regression technique, we develop a universally econometric test for financial stability. Empirical analysis results within Shanghai market show that the market has been beginning to turn to a stable state from an unstable one since 2002, this conclusion is also confirmed by a sensitivity test of this model. Moreover, this paper investigates a vital role that the “extremely good” news plays in safeguarding financial market stability. Furthermore, the positive impact of a series of policies on rescuing the market, which is promulgated by Chinese government after the financial crisis, has been verified by our test.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133715061","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Control Equation between Money Quantity Relations—Empirical Analysis Based on Chinese Data","authors":"阎 可佳","doi":"10.12677/FIN.2013.33005","DOIUrl":"https://doi.org/10.12677/FIN.2013.33005","url":null,"abstract":"本文从Friedman原始收入货币数量论出发，通过以货币化指数及其变化率代替Friedman收入货币数量方程式中的货币流通速度及其变化率变量，创建了一个新的货币数量方程式。由于该新方程式表现了实际经济增长率、通货膨胀率、货币增长率、以及货币化指数变化率四者之间的恒等式关系，所以，可以作为货币数量关系之间的一个控制方程。本文以中国货币M1和M2为对象，选取1993~2012年的年度数据为样本，先采用六个向量自回归(VAR)模型对相关变量在2013年的预期值进行预测，再采用本文所创建的货币数量控制方程进行验证，结果发现：货币M2的预期增长率值与控制方程一致，表明预测值较为合理，这时，2013年实际经济增长率预期值为8.6%，通胀率预期值为5.4%，M2增长率预期值为17.5%，其货币化指数变化率预期值为1.8%；而货币M1的预期值与控制方程差距较大，但能够确定其预期增长率值变化区间，即M1的增长率预期值属于区间[26.8%, 36.0%]，其货币化指数变化率预期值属于区间[10.7%, 18.9%]。 Beginning from Friedman’s original quantity theory of money with income velocity, by using the variable of the rate of change of monetization index of money to substitute the variable of the rate of change of income velocity of money, a new quantity equation of money is created. Because the new quantity equation of money is an equal equation between the four variables of the real economic growth rate, inflation rate, nominal growth rate of money, and rate of change of monetization index of money, it can be used as a control equation between these four variables. On this paper the empirical analysis is based on Chinese data of money M1 and M2. The time period is during the yearly period of 1993-2012. After building six vector autoregressive (VAR) models, the values of four variables in 2013 have been predicted. When the predicted values are led to the new control quantity equation of money, it has shown a consistent relation between the predicted values and the control equation for money M2. In 2013, the predicted value of the real economic growth will be 8.6%, the inflation rate will be 5.4%, the nominal growth rate of M2 will be 17.5%, and the rate of change of monetization index of M2 will be 1.8%. However, for money M1, only a predicted value interval can be determined, where the nominal growth rate of M1 will belong to the interval of [26.8%, 36.0%], and the rate of change of monetization index of M1 will belong to the interval of [10.7%, 18.9%].","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-07-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127090362","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when all Assets are Risky","authors":"M. Brière, B. Drut, V. Mignon, K. Oosterlinck, A. Szafarz","doi":"10.3917/FINA.341.0007","DOIUrl":"https://doi.org/10.3917/FINA.341.0007","url":null,"abstract":"The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance efficiency relying on the realistic assumption that all assets are risky. The test is based on the vertical distance of a portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance efficiency tests for large samples since it produces smaller size distortions for comparable power. Our empirical application to the U.S. equity market highlights that the market portfolio is not mean-variance efficient, and so invalidates the zero-beta CAPM.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"104 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131323095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A scenario-based description of optimal American capital guaranteed strategies","authors":"Sami Attaoui, Vincent Lacoste","doi":"10.3917/FINA.342.0065","DOIUrl":"https://doi.org/10.3917/FINA.342.0065","url":null,"abstract":"The aim of the paper is to describe portfolio strategies with partial guarantee of the initial capital. We consider the option-based (OBPI) and the constant proportion portfolio insurance (CPPI) strategies with both European and American features. First, we provide explicit formulae for all strategies and contribute to the literature by providing the value of the American CPPI. Second, relying on both historical data and path simulations, we show that strategies perform differently in a bear market. We focus on liquidation values when the market recovers after a sharp drop. We find that the American CPPI strategy usually outperforms the American OBPI one due to the Asian component of the former and despite the lookback feature of the latter. To complete our analysis, we investigate both deltas and gammas of our strategies.","PeriodicalId":251115,"journal":{"name":"The Finance","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132802479","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}