其他
【CFRI 第十二卷 第4期】
股票和国债市场长期风险模型中的区制转换Regime shifts in a long-run risks model of stock and treasury bond markets
Kai LiPeking University HSBC Business School, ChinaChenjie XuShanghai University of Finance and Economics, China
AbstractThis paper aims to study the asset pricing implications for stock and bond markets in a long-run risks (LRR) model with regime shifts. This general equilibrium framework can not only generate sign-switching stock-bond correlations and bond risk premium, but also quantitatively reproduce various other salient empirical features in stock and bond markets, including time-varying equity and bond return premia, regime shifts in real and nominal yield curves, the violation of the expectations hypothesis of bond returns.
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黄金或白银能否作为中国市场上政策不确定性和COVID-19的对冲工具？Can gold or silver be used as a hedge against policy uncertainty and COVID-19 in the Chinese market?
Thomas C. ChiangDrexel University，USA
AbstractThis study employs monthly data of gold and silver prices over the period from January 2002 to August 2021 to examine hedging behavior. Estimated results show that the gold return is positively correlated to the stock return and a rise in uncertainty from economic policy innovation, geopolitical risk, volatility due to US interest rate innovation as well as COVID-19 infection. This result suggests that gold cannot be used to hedge against a stock market decline, but can be used to hedge against uncertainty in general. However, the silver return only responds positively to a rise in uncertainty from the inflation rate and geopolitical risk. Evidence shows that silver returns are negatively correlated with stock returns, and display hedging characteristics. However, the evidence lacks statistically significance during the COVID-19 period, suggesting that the role of silver as a safe-haven asset against stock market turmoil is weak for this time period.
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管理地理邻近性和股价崩盘风险
Management geographical proximity and stock price crash risk
Xin JinZhejiang University of Technology, ChinaShangkun LiangCentral University of Finance and Economics, ChinaJunli YuShanghai Jiao Tong University, China
AbstractThis study provides empirical support for the cultural economics model between executive team and firm performance and offers important implications for policy selection and appointment of managers in China. The impact of management GP on stock price crash risk is more pronounced when the company is located in areas with weaker formal legal environment and stronger Confucian culture. Furthermore, the impact has a significant links with firm characteristics such as information transparency, over-investment and tax aggressiveness. The research extends the literature on the empirical determinants of stock price crash risk and provides reference to corporate governance arrangement and executive appointment.
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股市对新冠肺炎冲击的反应:金融市场干预是否能兑现承诺?Stock market reactions to COVID-19 shocks: do financial market interventions walk the talk?
Mutaju Isaack MarobheTanzania Institute of Accountancy, United Republic of TanzaniaJonathan Mukiza Peter KanshebaArdhi University, United Republic of Tanzania
Abstract
Following the COVID-19 outbreak, various economies imposed different financial interventions as part of initiatives to cushion their stock markets from deteriorating performance. Our article examines the effectiveness of these interventions in protecting stock markets during the pandemic. Our findings firstly reveal a significant positive stock market reaction to country-level containment measures stringency but only during the first wave of COVID-19. We secondly show that stock market functioning interventions that include short selling bans and circuit breakers amplify the positive effects of COVID-19 containment measures stringency on stock market performance.
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银行竞争、利率传递与全球金融危机带来的影响:来自香港和澳门的证据Bank competition, interest rate pass-through and the impact of the global financial crisis: evidence from Hong Kong and Macao
Jingya LiBNU-HKBU United International College, ChinaZongyuan Li
Dalian Maritime University, ChinaMinghua LiuUniversity of Macau, China
AbstractThe authors examine the interest rate pass-through in Hong Kong (HK) and Macao both in the long term and short term. The results show that in the post-global financial crisis (GFC) period, both the long-run and short-run interest rate pass-through from policy rates to prime rates have disappeared in Macao and are weakened significantly in Hong Kong. The long-term relationship between deposit rates and policy rates no longer exists in either market while the short-term relationship has been reduced significantly. This is the first study to examine the impact of the GFC on the effectiveness of monetary policy transmission in HK and Macao.
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China Finance Review International (CFRI) 作为上海交通大学安泰经济与管理学院创办的一本反映经济金融最前沿研究成果的全英文学术期刊，从创刊至今稳步发展。目前CFRI期刊已被二十多个权威数据库收录：Scopus、Web of Science 、ABI、CNKI、Google Scholar、Cabell's Dictionary、ProQuest、EBSCO、Summon、RePEc、Econlit，进入ABDC和Association of Business Schools' (ABS) Academic Journal Guide等一系列评级列表。目前期刊在Web of Science中的模拟影响因子为5.01；期刊在Scopus数据库中的实时CiteScore为5.5；2020年期刊入选FMS管理科学高质量期刊列表，欢迎广大作者投稿，感谢大家对CFRI一路以来的关注和支持！