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Description中国商品期货市场经历30年发展,已初备协调资源分配、对冲经营风险的功能。但受产业自身和期货市场发展的制约,各期货品种市场有效性参差不齐。随着我国经济从增量阶段过渡到存量阶段,期货作为企业的价格管理和风险控制工具的重要性日益凸显,因此研究我国商品期货市场有效性具有非常好的现实意义。

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。
ContributorsWang, Ping (Author) / Gu, Bin (Thesis advisor) / Li, Feng (Thesis advisor) / Yan, Hong (Committee member) / Arizona State University (Publisher)
Created2019
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Description本文采用2010年1月1日至2017年12月31日在香港主板IPO上市的共574家公司作为研究样本,系统采集包括与发行人、承销商、投资人、发行热度、市场每日交易数据等相关的数据近100项,对超额配售选择权在香港IPO中的实际效用进行实证研究,研究发现:1)超额配售选择的确可以起到提高发行价格,降低IPO抑价率的作用,但是同时也是破发的主要原因。2)由超额配售选择权赋予承销商稳价行为中,市场买入量越大,最大回撤越大,市场下跌风险越大同时超额配售选择权还导致了最大回撤日的推后,增大了稳价结束后的市场风险,而这很有可能是由于承销商追求更高利益造成的。3)没有证据显示,超额配售选择权会降低承销商的佣金比例,但是,超额配售选择权却为承销商带来非常高的额外收益,而这个收益与市场下跌幅度和承销商从市场购买股份的比例直接相关。

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。
ContributorsXie, Hui (Author) / Gu, Bin (Thesis advisor) / Yan, Hong (Thesis advisor) / Jiang, Zhan (Committee member) / Arizona State University (Publisher)
Created2019
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Description中医药是中华文明的瑰宝,中药材是中医药文化和产业的核心。随着近年来国家相关政策出台,中药材产业的发展备受瞩目。由于中药材产业链条长,层级多,各层级间信息不对称,因而中药材市场普遍具有“假”、“乱”、“杂”的问题。

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。
ContributorsYin, Xiaowei (Author) / Shen, Wei (Thesis advisor) / Yan, Hong (Thesis advisor) / Gu, Bin (Committee member) / Arizona State University (Publisher)
Created2019
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Description本研究旨在讨论融资租赁公司与承租的中小企之间的匹配因素。研究从融资租赁的实际业务流程切入,研究1对H公司进行了案例分析,得到基本的影响因素结果,继而研究2和研究3分别在中小企客户和融资租赁公司两类资料中独立展开分析,并比较这些因素的影响程度。研究结果发现了影响双向匹配的四个维度,以及在各自影响力的不同。研究最后分别对融资租赁公司和承租中小企提出了建议,以期提高双方匹配并达成业务的概率。
ContributorsWang, Dinghui (Author) / Pei, Ker-Wei (Thesis advisor) / Yan, Hong (Thesis advisor) / Li, Feng (Committee member) / Arizona State University (Publisher)
Created2019
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Description中国证券市场一直存在着双重上市公司A、H股价差异现象,这一“同股同权不同价”的现象,长期以来都是国内外学者热议的课题之一。

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。
ContributorsWang, Huan (Author) / Zhu, Hongquan (Thesis advisor) / Li, Feng (Thesis advisor) / Yan, Hong (Committee member) / Arizona State University (Publisher)
Created2019
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Description
During the past decade, the Chinese bond market has been rapidly developing. The percentage of bond to total social funding is constantly increasing. The structure and behavior of investors are crucial to the construction of China’s bond market. Due to specific credit risks, bond market regulation usually involves in rules

During the past decade, the Chinese bond market has been rapidly developing. The percentage of bond to total social funding is constantly increasing. The structure and behavior of investors are crucial to the construction of China’s bond market. Due to specific credit risks, bond market regulation usually involves in rules to control investor adequancy. It is heatedly discussed among academia and regulators about whether individual investors are adequate to directly participate in bond trading. This paper focuses on the comparison between individual and institutional bond investors, especially their returns and risks. Based on the comparison, this paper provides constructive suggestions for China’s bond market development and the bond market investor structure.
ContributorsLiu, Shaotong (Author) / Gu, Bin (Thesis advisor) / Zhu, Ning (Thesis advisor) / Yan, Hong (Committee member) / Arizona State University (Publisher)
Created2016
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Description
Shareholder Activism is a mechanism by which investors who hold a significant but

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

Shareholder Activism is a mechanism by which investors who hold a significant but

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.
ContributorsXie, Fenghua (Author) / Wahal, Sunil (Thesis advisor) / Yan, Hong (Thesis advisor) / Lee, Peggy (Committee member) / Arizona State University (Publisher)
Created2017
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Description
After the 2008 financial crisis, along with information technology and its application

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

After the 2008 financial crisis, along with information technology and its application

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.
ContributorsMa, Gang (Author) / Gu, Bin (Thesis advisor) / Yan, Hong (Thesis advisor) / Shen, Wei (Committee member) / Arizona State University (Publisher)
Created2017
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Description投资实践中,股债等大类资产配置问题是实务从业者面临的核心问题之一。中国的宏观政策决策缺乏良好运作的预期引导机制,宏观政策往往并不能被市场在博弈中充分预期。从历史实践看,中国经济的宏观周期与政策的逆周期调节经常出现错位,政策滞后与超调现象经常出现。从股票市场的过往历程来看,在2007年之前,中国股市走势与宏观经济波动的关联度不大,那时市场规模还不大,并且市场交易以散户投资者为主,驱动股市涨跌的核心因素是投资者的博弈情绪。而在2007年的一轮牛市之后,中国股市中机构投资者的资金规模逐步扩大,总市值也达到80多万亿元,基本面研究的重要性凸显。然而,以公募基金经理为代表的实践者在相对业绩比较基准的业绩考核体系下,更加关注自下而上的个股选择,相对忽视自上而下的宏观及配置研究。此外,长期以来,股票基金经理与债券基金经理的投资方法体系与关注点不一样。相比之下,海外投资机构在20多年以前已经建立起非常成熟的资产配置体系,而国内这方面的研究与实践在近几年才刚起步。 本文通过胜率与赔率的视角,实证研究发现。在可投资股票指数层面,单独的估值与成长信号的平均表现相对于沪深300指数或者中证500指数并不占有明显优势,因此,策略配置的构建需要进行信号遴选与组合。此外,研究还表明,成长因子相对于估值因子在A股指数层面的表现更占优。权益资产指数层面对因子信号的有效性进行分析。研究发现,宏观因子结合估值因子的权益资产配置体系相对于传统的基于资产的配置体系效果更好,前者构建的投资策略可以跑赢中证500指数与沪深300指数,是指数层面实现收益增强的潜在手段,其收益增益主要来源于宏观因子对大类资产相对关系的预测正确率的明显提升。另一方面,估值因子在截面上的因子溢价性价比较高,通过指数产品之间的动态配置转换可以实现部分增强效果。
ContributorsMei, Dongya (Author) / Zhu, David (Thesis advisor) / Yan, Hong (Thesis advisor) / Zhang, Harold (Committee member) / Arizona State University (Publisher)
Created2022
Description随着经营中赊销占比的增加,对企业的营运资本管理能力要求更高,而如何优化营运资金项目,特别是其中的应收账款和存货等流动资产对企业意义重大。混凝土企业的存货占比很小,应收账款在企业流动性资金中的占比极高,影响营运资本周转期的主要因素为应收账款周转期,如何有效提高营运资本效率,特别是应收账款回收效率,是混凝土企业在市场竞争中求得生存的核心之一。以占用营运资金形成应收帐款促进销售会给企业带来一定的优势,也会为企业带来一定的风险,应收账款增加带来的营运资本管理是财务管理的重要事实,需要准确监视和适当管理,企业必须了解应收帐款的规模、性质以及时限,并深入分析讨论这些因素会对企业的绩效带来的潜在影响,合理发挥应收帐款的作用,确保企业营运资本处于正常、合理水平。本文首先以营运资本周转期为核心被解释变量,查看影响不同企业营运资本周转期差异的原因,并基于对这些原因的分析,建立混凝土企业营运资本风险,特别是应收账款风险的预警机制,其次,探讨营运资本周转期与企业绩效的相关关系,验证不同企业的营运资本周转期差异是否会影响企业绩效,在数据支撑的范围内,对影响大小进行一定程度的探讨,为江苏省混凝土行业公司提供一定的经营指导意见,同时为不同企业探索营运资本周转期与企业绩效的相关关系提供参考。 本文研究发现对于江苏省内不同混凝土企业,营运资本周转期与企业绩效正相关且显著,这表明混凝土企业的贸易特征非常明显,企业绩效更多的来自于降低营运资本效率。同时,研究还发现,企业站点数量、周边站点数量、银行承兑汇票结算、其他结算方式、激励机制、客户付款流程、分类催收、第三方催收、竞争形势、高管交际能力这些变量与营运资本周转期密切相关,这些维度分别属于企业规模、企业竞争、资金结算、激励机制、客户信息、账款催收、高管特征等大类,表明提升混凝土企业营运资本周转效率的方式方法多样,值得行业内企业家们总结与探索。
ContributorsTang, Wenfeng (Author) / Huang, Xiaochuan (Thesis advisor) / Sun, Jianfei (Thesis advisor) / Yan, Hong (Committee member) / Arizona State University (Publisher)
Created2022