ASU Electronic Theses and Dissertations
This collection includes most of the ASU Theses and Dissertations from 2011 to present. ASU Theses and Dissertations are available in downloadable PDF format; however, a small percentage of items are under embargo. Information about the dissertations/theses includes degree information, committee members, an abstract, supporting data or media.
In addition to the electronic theses found in the ASU Digital Repository, ASU Theses and Dissertations can be found in the ASU Library Catalog.
Dissertations and Theses granted by Arizona State University are archived and made available through a joint effort of the ASU Graduate College and the ASU Libraries. For more information or questions about this collection contact or visit the Digital Repository ETD Library Guide or contact the ASU Graduate College at gradformat@asu.edu.
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- Genre: Doctoral Dissertation
- Creators: Yan, Hong
本文开创性的从期货的基本功能——资源配置的角度出发,提出有效市场是指其期货价格能够对本行业社会资源起到合理的调配作用的市场。在内容安排上,本文首先总结了现有国际成熟期货品种的特点并找出能够反映期货对资源配置能力的四个指标假说,分别为期现回归性、利润波动性、库存波动性以及现金流变化,然后通过数学模型证明指标数据和品种成熟度的关联,最后应用该套指标对我国商品市场有效性进行检验。数学方法上,本文先采用Bai-Perron内生多重结构突变模型对时间序列进行突变点检验,然后对断点时间序列分别进行多元回归,并在剔除季节性和周期性后,通过平稳性检验、ARCH效应检验结果来确定相应的Garch模型,并用Garch模型来描述时间序列的波动性。
通过数学验证,我们认为期现回归性、利润波动性、库存波动性以及现金流变化这四个指标可以作为反映期货成熟度的检验指标,用该套方法对国内部分活跃品种检验后发现大连豆粕期货已经具备成熟品种的特征,本文认为豆粕期货市场是有效的;PTA、玉米淀粉期货的四个检验指标在近年来表现出时间序列优化的特点,但因时间较短尚不稳定,可以认为是接近成熟的品种;而螺纹钢和铝期货在多数指标上表现不佳,表明他们对社会资源配置能力较差,因此本文认为螺纹钢和铝期货市场是活跃但非有效的。通过进一步分析,本文认为品种的期现回归性差是制约其资源配置能力发挥的关键因素,而交易标的不明确、
仓单制作难度大、产业参与度低以及期货设计中的其他限制因素又是导致期现回归性差的重要原因。
其中,本文首次对最大回撤率、最大回撤日与承销商市场买入量之间的关系进行实证研究,揭示了承销商市场买入量与承销商收益正相关,与最大回撤率负相关,与最大回撤日正相关的关系,可能是增加市场下跌风险的因素。这与现有理论中及监管机构的预期中,“超额配售选择权具有向上稳定价格的作用”是有一定偏差的。
根据研究结果,本文首先建议发行人要客观对待超额配售选择权提升发行价格的作用,以免引起破发。其次建议市场投资人要客观认识超额配售选择权的作用,不要由于超额配售选择权的存在给与发行过高的认同价格。再次建议发行人要能够认识到超额配售选择权是承销商零成本获得的一个有固定收益保障的看空期权,是承销商在承销IPO时的收益之一,而股价下跌幅度与承销商的收益正相关。因此要对承销商的稳价行为进行一定管控,同时可以因为超额配售选择权的存在而要求更低的承销佣金比例。最后建议承销商要维护市场公平,爱护自己的声誉,尽可能避免因超额配售选择权的使用对市场造成不应有的干扰。
A公司的中药材全产业链服务商模式,通过对上游各主要专营商的整合,形成一定的平台综合集采能力,并开始得到下游医药厂家、药店认可,在市场逐步形成品牌号召力。本文实证研究A公司商业模式的转型对中药材市场价格的影响,进而分析中药材全产业链服务商模式在中药材行业健康发展中所发挥的积极作用。研究结果表明,上下游产销结合的中药材全产业链服务商模式,只有在形成一定收购规模,对市场价格产生一定影响的时候,才能充分释放药材质量的信号,润滑药材交易市场,提高收购价格,增加市场波动率,发挥价格发现作用。由于中药材市场的信息不对称程度较高,如果产销结合模式仍处于初级开创阶段,产销结合模式释放的药材质量信号则不足以全面改善信息不对称的状况。
本文在系统性整理前人研究成果基础上,首先对造成A、H股价差效应的内在逻辑进行了系统梳理,提炼出影响双重上市公司A、H股价格差异的9个潜在因素:信息不对称、需求差异、流动性差异、投机性差异、风险差异、公司治理结构、利率差异、市场强弱差异、汇率预期。其次,本文为各潜在影响因素构建了新的代理变量,建立面板数据模型,从全市场和行业两大视角做了实证分析,验证了影响双重上市公司A、H股价格差异的可能因素,且实证结果均通过了平稳性检验。实证结果显示:全市场视角下,仅公司治理结构和市场强弱差异对A、H价格差异的影响不显著。行业视角下,对于金融行业的双重上市公司而言,影响其A、H股价格差异的因素包括:需求差异、流动性差异、风险差异、市场强弱差异、利率差异;信息不对称、投机性差异、公司治理结构、汇率预期不具有显著影响。而对于非金融行业的双重上市公司而言,影响其A、H股价格差异的因素包括:信息不对称、需求差异、流动性差异、风险差异、投机性差异、市场强弱差异、利率差异、汇率预期;公司治理结构则不是显著的影响因素。
本文在实证分析所得结论的基础上,考虑到当前A、H股市场的现状,提出了加强资本市场双向开放、大力发展以基金为代表的机构投资者、坚定推行股票发行注册制改革、推动金融创新、丰富投资工具等建议。这一研究结果对于推动我国资本市场进一步完善,具有重要的理论与现实意义。
non-majority percentage of a company’s stock, exercise their voting rights, participate in
corporate governance and influence operational decisions of target companies. The
purpose is improve corporate governance, increase firm performance and boost share
-holders’ returns. Existing studies of shareholder activism, based largely in mature
capital markets like the US, come to different conclusions regarding its impact on firm
performance.
In this paper, I collect data on shareholder activism events in the China A Share
market between 2006 and 2016. The sample includes 60 companies targeted by 42
activist investors over this period. I find that institutional investors, typically industrial
capital and private funds, playing an increasingly important role in corporate governance
of Chinese listed companies through activism. The disclosure of the holdings of activists
results in large gains in the target firm. I also find subsequent improvements in long
-term operational performance of target firms. Activist investors in China focus on
smaller targets and those characterized by higher agency costs and lower operating
performance. Activists appear to be largely concerned with improvements in business
strategy and M&A activity. Non-hostile behavior is more likely to be related to successful
activism in China. In addition to statistical evidence, I present case studies of the
“BaoWan dispute” and the activist investment of Butterfly Capital in two firms,
“Guonong” and “Xiuqiang”. The case studies highlight the mechanism employed by these
firms to influence performance.
I conclude with policy recommendations and direction for further research.
innovation into the burst period, Shared faster economic growth, and then entered into a
rapid expansion in 2014, quickly penetrate into many areas and market segments.
As the securities industry practitioners and Internet financial practitioners, I am
very concerned about sharing economic model in the development of securities
investment niche. As the Internet and mobile penetration rate rise in recent years, the
Internet financial in the rapid development of our country, investors get used for
investment decision-making information via the Internet. Internet social investment
sharing platform based on knowledge sharing and rapid development, has formed
"opinion leaders", "combined with", "automated financial innovation model". The
emergence of these new patterns, provide investors with investment of knowledge sharing,
the investors behavior changes, many small and medium-sized investors into social
sharing platform for the combination of investment talent information and follow orders,
and centered on investment talent view form fan interaction.
This article around the "Shared economic environment on the impact of portfolio
share on investor behavior research," the theme, the relevant literature and resources, and
to detect Shared economic environment provided by the social share portfolio, whether to
change the traditional information decision and disadvantages of small and medium-sized
investors, whether really improved the small and medium-sized investors return on
investment, its conclusion try to explain the traditional period research literature on active
investment and passive investment, the relevant conclusions of small and medium-sized
investors and institutional investors, sharing in the Internet the rapid development of
economic period is changed.