金融复杂性与中国金融效率
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摘要
金融是经济的核心,不论是在一个国家、社会组织,还是公司、家庭。研究经济离不开金融,金融依存于经济环境。随着经济全球化和通讯信息化,世界变得越来越小,金融把个人与自己看不到的公司联系在一起。金融的发展、经济的繁荣和科学技术革命如影随形,网络技术革命与“新经济”、“新金融”相伴,金融创新异彩纷呈、层出不穷。上世纪后半叶,现代金融理论随着“新经济”、“新金融”的需求不断发展,吸引了一大批自然科学、工程技术科学、社会科学等学科的精英从事金融理论研究和金融实践创新,投资组合、资产定价、公司治理、风险管理、金融效率等理论创新造就了一批诺贝尔经济学奖获得者。
经济全球化蕴含着资本市场一体化。“新金融”为经济繁荣注入了活力,同时也为经济孕育了风险。因此,“新金融”是一把双刃剑。有效防范和化解金融系统风险,充分挖掘资本市场潜力,需要深层认识金融复杂性,量子解析金融市场非理性,准确估价金融风险,技术创新提升金融效率。这正是本文的立足点。本文的研究基础定位在朝气蓬勃、日新月异的新兴资本市场——中国金融市场。以提升金融效率为研究主线,透过中国金融市场认识资本市场,解析资本市场。通过运用随机分析方法和计量数学模型研究金融市场的外在复杂性特征(或非线性特征),探索金融市场的内在变化规律。本文的目标是中国金融效率,在剖析中国金融市场结构、中国金融经营模式、中国金融市场效率、中国金融生态以及与股票市场息息相关的金融创新与金融改革的基础上,探索如何从技术层面提升中国金融效率的有效途径。
本文坚持唯物主义的历史观和辩证观,科学分析金融市场的产生、发展和存在的原因,重新审视和厘定金融市场的概念、特点、分类、构成和功能,比较研究金融市场结构和金融经营模式。以此为基础,谨慎检视中国金融市场,本文认为中国金融市场结构不同于国际其它资本市场,抑或“银行主导型”结构,抑或“市场主导型”结构,而是“银行市场+证券市场”的“政府主导型”结构,这既是中国金融市场的特点,也是中国金融在目前所处经济环境下的必然选择。针对中国金融经营模式,本文认为中国正处在分业经营法律框架下,以混业经营为发展趋势的,从“分业”向“混业”过度的综合经营模式。随着中国资本市场的逐步发达和中国金融市场的不断完善,这种模式有必要继续持续一段时期,目前混业经营还为时过早。然而“一行三会”(即中国人民银行、中国银行业监督管理委员会、中国证券业监督管理委员会、中国保险业监督管理委员会)的分业监管模式已经明显不足,不能适应中国金融的综合经营模式。本文认为在不改变分业经营法律框架条件下,探索一种“一行三会”的合作监管模式不失为一种最佳选择。
不确定性是不可度量的风险,风险是可度量的不确定性。不确定性、风险和金融效率之间存在千丝万缕的联系。作为一个中性概念的不确定性既可以为人们带来超额收益,也可以给人们造成不可估量的损失。来自于市场、信用、操作、流动性和法律等因素的风险需要管理,而不可能消除。效率意味着不可预测,可预测性会使你处于不利地位。本文认为,不确定性能够降低风险,有助于提升效率。不确定性能够为金融创新提供空间,能够为你创造机会。金融效率体现在系统(或宏观)、个体(或微观)、市场(或中观)三个层面,核心都是资源配置。本文在深刻认识和探索不确定性、风险、金融效率以及它们之间相互联系基础上,解析中国现阶段存在的流动性风险,即流动性过剩、局部交易流动性不足隐患和流动性黑洞危机。针对中国金融市场效率,虽然有数以百计的文献做了研究和探讨,但是至今没有一个统一的认识。这可能是研究方法选择的不同,抑或数据选择存在差异,抑或研究者对效率认识的偏差等等,但是对中国金融市场给出一个基本的判断非常必要,因为效率直接影响风险的把握和价格机制的可靠性。本文研究结果认为,中国金融市场中沪深两市行为相似,但是存在差异,上海市场效率优于深圳市场。虽然中国金融市场表现出明显的复杂性特征,但总体上达到或者说趋于弱式有效。
金融市场是复杂适应性系统。这是由于市场参与者,适应性主体的有限理性所决定的。本文认为正是这种有限理性,有时甚至表现为非理性的运动和扩散,使金融市场从原因复杂性转向结果复杂性。本文应用复杂性和非线性科学先驱约翰·霍兰德关于复杂适应系统的基本观点,尝试给出金融市场复杂性的描述,剖析金融市场的原因复杂性。金融市场实现金融资源配置功能的指示器是金融资产的价格,金融市场的复杂性通过金融资产的价格表现出来,因此,本文紧紧抓住金融资产价格或收益来探索金融市场的结果复杂性。实证研究结果表明,金融市场具有明显的非线性复杂特征:(1)金融资产价格序列遵循非平稳Ⅰ(1)过程,金融资产收益率是具有近似一阶不相关的平稳过程;(2)金融资产的收益的分布偏离正态分布,具有明显的尖峰、重尾和不对称等特征;(3)金融资产收益率序列是二阶相关的,存在波动聚集效应;(4)金融资产价格序列呈现长记忆特征,具有状态持续性;(5)金融资产价格不完全遵循随机游走或标准布朗运动,金融市场存在多重分形特征。同时,本文针对应用数学模型解析金融复杂性问题,从下面三个方向上作了探索:其一,通过重尾指数(或重尾阀值)估计准确估价金融风险;其二,通过波谱分析量子解析金融市场的非理性因素;其三,通过建立多重分形收益模型深层认识金融复杂性。本文辩证认为,复杂性增加了人们认识和驾驭金融市场的难度,但是,复杂性为金融系统的相对稳定性提供了支撑,营造了金融系统的创新空间,能够促进金融效率的演化提升。
中国的金融改革项多面广,本文不能也没有能力全部涉猎。针对于中国股票市场密切相关的金融创新——与股权分置改革相伴的权证的复出、为了调控宏观经济结构中国人民银行所施行的连续利率调整政策、实行以市场供求为基础参考一篮子货币进行调节有管理的浮动汇率制度改革前后汇率价格变化、国有商业银行股份制改革与上市等金融改革进行实证分析。实证结果认为,中国股票市场和中国权证市场相互影响,不论交易量还是交易价格互相冲击,这种影响似乎权证市场对股票市场更强一点。同时,两个市场存在双向波动溢出效应,而这种溢出效应股票市场对权证市场更加显著。中国股票市场对从1993年至2007年间12次上调银行存贷款基准利率货币政策的反应表现不同,对前4次利率上调呈现“利空”,而对后8次呈现“利好”,但是综合来看上调存贷款基准利率对股票市场具有一定的抑制作用,并且随着利率政策的连续使用,抑制作用渐进明显。2005年7月汇率改革前,股票市场与汇率市场之间呈现正相关关系,且不存在协整关系;而汇率改革后,股票市场与汇率市场之间呈现显著负相关关系,两个市场存在协整关系。股票市场与汇率市场之间存在波动溢出效应,汇率改革后波动溢出效应更为显著。中国工商银行、中国农业银行、中国银行、中国建设银行等四大国有商业银行的改革促进了中国股票市场的繁荣,对中国金融市场的发展起到了推波逐浪的作用。特别是工、中、建三家国有商业银行的上市扩大了金融市场规模,优化了资本市场结构,确立了股票市场的价值投资理念,增强了金融市场的稳定性。总体来讲,中国金融改革提升了中国金融市场的市场化程度,金融资产价格形成机制趋于合理,金融资源配置更加有效率,有利于经济系统趋向于均衡。针对中国金融改革所面临的金融流动性风险,以国有商业银行为主体的商业银行低效率,以及由于间接融资主导而带来的“高储蓄”和“融资难”问题,本文提出设计“可选择可交换债券”金融工具,以国有四大商业银行改革为载体,从技术层面根本上提升中国金融效率。
效率无止境,对金融效率的探索无止境。追求效率是一个国家、一个社会组织,一个公司,甚至一个家庭的本能。金融复杂性孕育风险,但是也助推金融效率的提升。深刻认识金融复杂性,探索金融市场规律,激活金融工程中国创造,是防范和化解金融系统风险,提升中国金融效率的必然选择。
Finance is the core of economy, not only for country and social organization, but also for corporation and family. We cannot study on economy without finance, while finance depends on economic environment conversely. With the globalization of economy and informatization of communication, the world becomes smaller and smaller. And finance links oneself to the corporation that even cannot be seen. Development of finance and prosperity of economy are accompanied by the scientific and technological revolution. Network technical revolution is in process with new economy and new finance. Financial innovation is colorful and endless. In the second half of 20th century, the modern financial theory was continuously being developed with the demand of new economy and new finance, and absorbed a large number of elites of subjects on science, engineering science and social science to work at researching on financial theory and practical innovation. The innovation of the theories of investment portfolio, capital and asset pricing, corporation governance, risk management and financial efficiency creates a group of winners of the Nobel Economics Prize.
The globalization of economy implicates the capital market integration. New finance injects vitality into economic prosperity, and also breeds risks for economy. Therefore, new finance is a double-edged sword. To prevent and reduce risk effectively and tap potential of capital market fully need deep understanding of financial complexity, quantum analysis of non-rational financial market, accurate valuation of financial risk and technical promotion of financial efficiency, which is the foothold of this paper, whose research isbased on the vibrant emerging capital market------China's financial market.With the financial efficiency upgrading being the main route of research, this paper analyzes the capital market through the China's financial market, and studies on the external complexity characteristics (or non-linear characteristics) and the internal changing rules of financial market by using the method of random analysis and econometric mathematical model. The object is to explore the efficient way to upgrade the China's financial efficiency from technical level based on the analysis of the structure, operation mode of China's financial market, financial eco-system and financial innovation and reform that are relative to the stock market.
This paper insists the dialectical and historical materialism, scientifically analyzes the reason for the emergence, development and existence of financial market, reexamines and determines its definition, features, classification, components and functions, and comparatively studies on the structure and operation mode of financial market. With cautious examination of China's financial market, we find the structure of China's financial market is different from other international capital markets. It's not the market-based or bank-based structure, but the government-dominated pattern of banking and security market, which is the feature of China's financial market and also the inevitable choice of China finance in the current economic environment. Aiming at the operation mode of China's financial market, we believe it is integrated operation model transiting from separated to universal operation in the legal frame work of separated operation with the universal operation being the trend of development. With the China's capital market being gradually developed and financial market being constantly perfected, this operation mode is necessary to remain for a period, yet universal operation is premature. However, separated supervision is obviously defective and unfit for the comprehensive operation mode of China finance. In this paper, we will explore a best choice, cooperative supervision on the premise of not changing the legal framework of separated operation.
Uncertainty is an immeasurable risk, while risk is a measurable uncertainty. Uncertainty, risk and financial efficiency are inextricably linked. As a medial concept, uncertainty brings not only excess earnings, but also incalculable losses for people. Risks from market, credit, operation, liquidity and law that can not be eliminated need to be managed. Efficiency means unpredictability since predictability will make you be in a disadvantageous position. In this paper, we believe uncertainty can reduce risk, and help to promote efficiency. Uncertainty can also provide space for financial innovation, and create opportunities for you. Financial efficiency reflects in system (or macroscopic), individual (or microscopic) and market (or meso), all of whose core are resource allocation. After deeply understanding the uncertainty, risk and financial efficiency and their inter-linkages, this paper focus on analyzing the current liquidity risks in China, which are liquidity surplus, hidden dangers of liquidity shortage of transaction and liquidity black holes crisis. Although there is hundreds of paper about efficiency of China's financial market, unified understanding has not been reached. That may be because of the difference among research methods, or data choice, or researchers' understanding about efficiency. However, it's necessary to give a basic judgment on China's financial market as efficiency directly influenced the control of risk and reliability of price mechanism. And the result of this paper is that the behaviors of the two financial markets Shanghai stock market and Shenzhen stock market in China are similar, but differences also exists that efficiency of Shanghai market is superior to that of Shenzhen market. There is an obvious complexity characteristic in China's financial market, but it achieves or tends to achieve an overall weak form efficient.
Financial market is a complex adaptive system, which is decided by the limited rationality of market participants. Just the limited rationality that sometimes even shows as the movement and proliferation of non-rationality make financial market transforms from reason complexity to result complexity. This paper applies the basic opinions about complex adaptive system of John Holland who is pioneer of complexity and non-linear science to descript the complexity of financial market and analyze the reason complexity. The indicator of realizing the function of resource allocation is price of financial asset, through which complexity of financial market shows out. Therefore, in this paper we explore the result complexity of financial market closely around the price or return of financial asset. The result of empirical research shows that financial market has clear complexity characteristic of non-linear: first, price series follows non-stationary I(1) process, and rate of return follows the first-order de-correlate stationary process; second, return distribution departures from normal distribution, and has features of peak, asymmetry and heavy tail; third, the rate of return series is second-order correlate, and has clustering of volatility effect; fourth, the price series show the long memory characterization and has state durability; fifth, price of financial assets does not follow random walk or standard Brownian motion completely, and multi-fractal characterization exists in financial market. Meanwhile, through applying the mathematical model to analyze the financial complexity problems, we research from 3 aspects below: first, using the heavy-tailed index to valuate the financial risk accurately; second, make quantum analysis of non-rational factors of financial market through spectrum analysis; third, building the multi-fractal model to understand the financial complexity deeply. In this paper, we dialectically think that complexity increases the difficulties for people to understand and control financial market. But complexity supports the relative stability and builds the innovation space of financial system and also promotes the evolution and upgrading of financial efficiency.
We cannot involve all of the aspects of China's financial reform. We empirically analyzes the financial innovation relative to China's stock market, which includes the comeback of warrant accompanied by reform of non-tradable shares, consistent interest rate policy of the people's bank of China to regulate the macroeconomic structure, implement of managed floating exchange rate regime which is based on the supply and demand of market and referring to the currency basket for regulation, and shareholding reform and listing of state-owned commercial banks. The empirical result shows that there is interaction between China's stock market and warrant market, and it seems stronger to stock market. In the meantime, volatility spillovers effect exists in the two markets, which is more obvious to warrant market. China's stock market shows different reflections to the 12 times up-regulation of deposit and loan rate from 1993 to 2007, the first 4 times of which present unfavorable factor and the last 8 times of which present favorable factor. But in overall rising of deposit and loan rate has inhibition effect on stock market that becomes gradually obvious with the consistent application of rate policy. Before the exchange rate reform in July of 2005, there is positive correlation but not co-integration relationship between stock and exchange market. And after the exchange rate reform, significant negative correlation and co-integration relationship are found between stock and exchange market. Volatility spillovers effect exists in the two markets, especially more significant after the exchange rate reform. The reform of the four state-owned commercial banks, Industrial and Commercial Bank of China, Agricultural Bank of China, China Construction Bank, Bank of China promotes the prosperity of China's stock market and the development of financial market. Especially the listing of Industrial and Commercial Bank of China, China Construction Bank and Bank of China expands the scale of China's financial market, optimizes the structure of capital market, establishes the value investment philosophy of stock market, and enhances the stability of financial market. All in all, China's financial reform upgrades the degree of market orientation. And the formation mechanism of price of financial asset tends to be reasonable. Financial resource allocation becomes more efficient that is helpful for the balance of economic system. Faced with the financial liquidity risk, low efficient of commercial bank and problems of high saving rate and financing difficulties brought by the indirect financing-based, we design a financial instrument of optional and exchangeable bond and use reform of the four state-owned commercial banks as vectors to upgrade China's financial efficiency basically from technical level.
Efficiency is infinite, and the exploration of financial efficiency is also infinite. Pursuit of efficiency is a country, a social organization, a corporation and even a family's instinct. Financial complexity breeds the risk, but also boosts the promotion of financial efficiency. Deeply understanding financial complexity, exploring the law of financial market and activating financial engineering's creating in China are the inevitable choices for preventing and reducing risk of financial system and promoting financial efficiency.
经济全球化蕴含着资本市场一体化。“新金融”为经济繁荣注入了活力,同时也为经济孕育了风险。因此,“新金融”是一把双刃剑。有效防范和化解金融系统风险,充分挖掘资本市场潜力,需要深层认识金融复杂性,量子解析金融市场非理性,准确估价金融风险,技术创新提升金融效率。这正是本文的立足点。本文的研究基础定位在朝气蓬勃、日新月异的新兴资本市场——中国金融市场。以提升金融效率为研究主线,透过中国金融市场认识资本市场,解析资本市场。通过运用随机分析方法和计量数学模型研究金融市场的外在复杂性特征(或非线性特征),探索金融市场的内在变化规律。本文的目标是中国金融效率,在剖析中国金融市场结构、中国金融经营模式、中国金融市场效率、中国金融生态以及与股票市场息息相关的金融创新与金融改革的基础上,探索如何从技术层面提升中国金融效率的有效途径。
本文坚持唯物主义的历史观和辩证观,科学分析金融市场的产生、发展和存在的原因,重新审视和厘定金融市场的概念、特点、分类、构成和功能,比较研究金融市场结构和金融经营模式。以此为基础,谨慎检视中国金融市场,本文认为中国金融市场结构不同于国际其它资本市场,抑或“银行主导型”结构,抑或“市场主导型”结构,而是“银行市场+证券市场”的“政府主导型”结构,这既是中国金融市场的特点,也是中国金融在目前所处经济环境下的必然选择。针对中国金融经营模式,本文认为中国正处在分业经营法律框架下,以混业经营为发展趋势的,从“分业”向“混业”过度的综合经营模式。随着中国资本市场的逐步发达和中国金融市场的不断完善,这种模式有必要继续持续一段时期,目前混业经营还为时过早。然而“一行三会”(即中国人民银行、中国银行业监督管理委员会、中国证券业监督管理委员会、中国保险业监督管理委员会)的分业监管模式已经明显不足,不能适应中国金融的综合经营模式。本文认为在不改变分业经营法律框架条件下,探索一种“一行三会”的合作监管模式不失为一种最佳选择。
不确定性是不可度量的风险,风险是可度量的不确定性。不确定性、风险和金融效率之间存在千丝万缕的联系。作为一个中性概念的不确定性既可以为人们带来超额收益,也可以给人们造成不可估量的损失。来自于市场、信用、操作、流动性和法律等因素的风险需要管理,而不可能消除。效率意味着不可预测,可预测性会使你处于不利地位。本文认为,不确定性能够降低风险,有助于提升效率。不确定性能够为金融创新提供空间,能够为你创造机会。金融效率体现在系统(或宏观)、个体(或微观)、市场(或中观)三个层面,核心都是资源配置。本文在深刻认识和探索不确定性、风险、金融效率以及它们之间相互联系基础上,解析中国现阶段存在的流动性风险,即流动性过剩、局部交易流动性不足隐患和流动性黑洞危机。针对中国金融市场效率,虽然有数以百计的文献做了研究和探讨,但是至今没有一个统一的认识。这可能是研究方法选择的不同,抑或数据选择存在差异,抑或研究者对效率认识的偏差等等,但是对中国金融市场给出一个基本的判断非常必要,因为效率直接影响风险的把握和价格机制的可靠性。本文研究结果认为,中国金融市场中沪深两市行为相似,但是存在差异,上海市场效率优于深圳市场。虽然中国金融市场表现出明显的复杂性特征,但总体上达到或者说趋于弱式有效。
金融市场是复杂适应性系统。这是由于市场参与者,适应性主体的有限理性所决定的。本文认为正是这种有限理性,有时甚至表现为非理性的运动和扩散,使金融市场从原因复杂性转向结果复杂性。本文应用复杂性和非线性科学先驱约翰·霍兰德关于复杂适应系统的基本观点,尝试给出金融市场复杂性的描述,剖析金融市场的原因复杂性。金融市场实现金融资源配置功能的指示器是金融资产的价格,金融市场的复杂性通过金融资产的价格表现出来,因此,本文紧紧抓住金融资产价格或收益来探索金融市场的结果复杂性。实证研究结果表明,金融市场具有明显的非线性复杂特征:(1)金融资产价格序列遵循非平稳Ⅰ(1)过程,金融资产收益率是具有近似一阶不相关的平稳过程;(2)金融资产的收益的分布偏离正态分布,具有明显的尖峰、重尾和不对称等特征;(3)金融资产收益率序列是二阶相关的,存在波动聚集效应;(4)金融资产价格序列呈现长记忆特征,具有状态持续性;(5)金融资产价格不完全遵循随机游走或标准布朗运动,金融市场存在多重分形特征。同时,本文针对应用数学模型解析金融复杂性问题,从下面三个方向上作了探索:其一,通过重尾指数(或重尾阀值)估计准确估价金融风险;其二,通过波谱分析量子解析金融市场的非理性因素;其三,通过建立多重分形收益模型深层认识金融复杂性。本文辩证认为,复杂性增加了人们认识和驾驭金融市场的难度,但是,复杂性为金融系统的相对稳定性提供了支撑,营造了金融系统的创新空间,能够促进金融效率的演化提升。
中国的金融改革项多面广,本文不能也没有能力全部涉猎。针对于中国股票市场密切相关的金融创新——与股权分置改革相伴的权证的复出、为了调控宏观经济结构中国人民银行所施行的连续利率调整政策、实行以市场供求为基础参考一篮子货币进行调节有管理的浮动汇率制度改革前后汇率价格变化、国有商业银行股份制改革与上市等金融改革进行实证分析。实证结果认为,中国股票市场和中国权证市场相互影响,不论交易量还是交易价格互相冲击,这种影响似乎权证市场对股票市场更强一点。同时,两个市场存在双向波动溢出效应,而这种溢出效应股票市场对权证市场更加显著。中国股票市场对从1993年至2007年间12次上调银行存贷款基准利率货币政策的反应表现不同,对前4次利率上调呈现“利空”,而对后8次呈现“利好”,但是综合来看上调存贷款基准利率对股票市场具有一定的抑制作用,并且随着利率政策的连续使用,抑制作用渐进明显。2005年7月汇率改革前,股票市场与汇率市场之间呈现正相关关系,且不存在协整关系;而汇率改革后,股票市场与汇率市场之间呈现显著负相关关系,两个市场存在协整关系。股票市场与汇率市场之间存在波动溢出效应,汇率改革后波动溢出效应更为显著。中国工商银行、中国农业银行、中国银行、中国建设银行等四大国有商业银行的改革促进了中国股票市场的繁荣,对中国金融市场的发展起到了推波逐浪的作用。特别是工、中、建三家国有商业银行的上市扩大了金融市场规模,优化了资本市场结构,确立了股票市场的价值投资理念,增强了金融市场的稳定性。总体来讲,中国金融改革提升了中国金融市场的市场化程度,金融资产价格形成机制趋于合理,金融资源配置更加有效率,有利于经济系统趋向于均衡。针对中国金融改革所面临的金融流动性风险,以国有商业银行为主体的商业银行低效率,以及由于间接融资主导而带来的“高储蓄”和“融资难”问题,本文提出设计“可选择可交换债券”金融工具,以国有四大商业银行改革为载体,从技术层面根本上提升中国金融效率。
效率无止境,对金融效率的探索无止境。追求效率是一个国家、一个社会组织,一个公司,甚至一个家庭的本能。金融复杂性孕育风险,但是也助推金融效率的提升。深刻认识金融复杂性,探索金融市场规律,激活金融工程中国创造,是防范和化解金融系统风险,提升中国金融效率的必然选择。
Finance is the core of economy, not only for country and social organization, but also for corporation and family. We cannot study on economy without finance, while finance depends on economic environment conversely. With the globalization of economy and informatization of communication, the world becomes smaller and smaller. And finance links oneself to the corporation that even cannot be seen. Development of finance and prosperity of economy are accompanied by the scientific and technological revolution. Network technical revolution is in process with new economy and new finance. Financial innovation is colorful and endless. In the second half of 20th century, the modern financial theory was continuously being developed with the demand of new economy and new finance, and absorbed a large number of elites of subjects on science, engineering science and social science to work at researching on financial theory and practical innovation. The innovation of the theories of investment portfolio, capital and asset pricing, corporation governance, risk management and financial efficiency creates a group of winners of the Nobel Economics Prize.
The globalization of economy implicates the capital market integration. New finance injects vitality into economic prosperity, and also breeds risks for economy. Therefore, new finance is a double-edged sword. To prevent and reduce risk effectively and tap potential of capital market fully need deep understanding of financial complexity, quantum analysis of non-rational financial market, accurate valuation of financial risk and technical promotion of financial efficiency, which is the foothold of this paper, whose research isbased on the vibrant emerging capital market------China's financial market.With the financial efficiency upgrading being the main route of research, this paper analyzes the capital market through the China's financial market, and studies on the external complexity characteristics (or non-linear characteristics) and the internal changing rules of financial market by using the method of random analysis and econometric mathematical model. The object is to explore the efficient way to upgrade the China's financial efficiency from technical level based on the analysis of the structure, operation mode of China's financial market, financial eco-system and financial innovation and reform that are relative to the stock market.
This paper insists the dialectical and historical materialism, scientifically analyzes the reason for the emergence, development and existence of financial market, reexamines and determines its definition, features, classification, components and functions, and comparatively studies on the structure and operation mode of financial market. With cautious examination of China's financial market, we find the structure of China's financial market is different from other international capital markets. It's not the market-based or bank-based structure, but the government-dominated pattern of banking and security market, which is the feature of China's financial market and also the inevitable choice of China finance in the current economic environment. Aiming at the operation mode of China's financial market, we believe it is integrated operation model transiting from separated to universal operation in the legal frame work of separated operation with the universal operation being the trend of development. With the China's capital market being gradually developed and financial market being constantly perfected, this operation mode is necessary to remain for a period, yet universal operation is premature. However, separated supervision is obviously defective and unfit for the comprehensive operation mode of China finance. In this paper, we will explore a best choice, cooperative supervision on the premise of not changing the legal framework of separated operation.
Uncertainty is an immeasurable risk, while risk is a measurable uncertainty. Uncertainty, risk and financial efficiency are inextricably linked. As a medial concept, uncertainty brings not only excess earnings, but also incalculable losses for people. Risks from market, credit, operation, liquidity and law that can not be eliminated need to be managed. Efficiency means unpredictability since predictability will make you be in a disadvantageous position. In this paper, we believe uncertainty can reduce risk, and help to promote efficiency. Uncertainty can also provide space for financial innovation, and create opportunities for you. Financial efficiency reflects in system (or macroscopic), individual (or microscopic) and market (or meso), all of whose core are resource allocation. After deeply understanding the uncertainty, risk and financial efficiency and their inter-linkages, this paper focus on analyzing the current liquidity risks in China, which are liquidity surplus, hidden dangers of liquidity shortage of transaction and liquidity black holes crisis. Although there is hundreds of paper about efficiency of China's financial market, unified understanding has not been reached. That may be because of the difference among research methods, or data choice, or researchers' understanding about efficiency. However, it's necessary to give a basic judgment on China's financial market as efficiency directly influenced the control of risk and reliability of price mechanism. And the result of this paper is that the behaviors of the two financial markets Shanghai stock market and Shenzhen stock market in China are similar, but differences also exists that efficiency of Shanghai market is superior to that of Shenzhen market. There is an obvious complexity characteristic in China's financial market, but it achieves or tends to achieve an overall weak form efficient.
Financial market is a complex adaptive system, which is decided by the limited rationality of market participants. Just the limited rationality that sometimes even shows as the movement and proliferation of non-rationality make financial market transforms from reason complexity to result complexity. This paper applies the basic opinions about complex adaptive system of John Holland who is pioneer of complexity and non-linear science to descript the complexity of financial market and analyze the reason complexity. The indicator of realizing the function of resource allocation is price of financial asset, through which complexity of financial market shows out. Therefore, in this paper we explore the result complexity of financial market closely around the price or return of financial asset. The result of empirical research shows that financial market has clear complexity characteristic of non-linear: first, price series follows non-stationary I(1) process, and rate of return follows the first-order de-correlate stationary process; second, return distribution departures from normal distribution, and has features of peak, asymmetry and heavy tail; third, the rate of return series is second-order correlate, and has clustering of volatility effect; fourth, the price series show the long memory characterization and has state durability; fifth, price of financial assets does not follow random walk or standard Brownian motion completely, and multi-fractal characterization exists in financial market. Meanwhile, through applying the mathematical model to analyze the financial complexity problems, we research from 3 aspects below: first, using the heavy-tailed index to valuate the financial risk accurately; second, make quantum analysis of non-rational factors of financial market through spectrum analysis; third, building the multi-fractal model to understand the financial complexity deeply. In this paper, we dialectically think that complexity increases the difficulties for people to understand and control financial market. But complexity supports the relative stability and builds the innovation space of financial system and also promotes the evolution and upgrading of financial efficiency.
We cannot involve all of the aspects of China's financial reform. We empirically analyzes the financial innovation relative to China's stock market, which includes the comeback of warrant accompanied by reform of non-tradable shares, consistent interest rate policy of the people's bank of China to regulate the macroeconomic structure, implement of managed floating exchange rate regime which is based on the supply and demand of market and referring to the currency basket for regulation, and shareholding reform and listing of state-owned commercial banks. The empirical result shows that there is interaction between China's stock market and warrant market, and it seems stronger to stock market. In the meantime, volatility spillovers effect exists in the two markets, which is more obvious to warrant market. China's stock market shows different reflections to the 12 times up-regulation of deposit and loan rate from 1993 to 2007, the first 4 times of which present unfavorable factor and the last 8 times of which present favorable factor. But in overall rising of deposit and loan rate has inhibition effect on stock market that becomes gradually obvious with the consistent application of rate policy. Before the exchange rate reform in July of 2005, there is positive correlation but not co-integration relationship between stock and exchange market. And after the exchange rate reform, significant negative correlation and co-integration relationship are found between stock and exchange market. Volatility spillovers effect exists in the two markets, especially more significant after the exchange rate reform. The reform of the four state-owned commercial banks, Industrial and Commercial Bank of China, Agricultural Bank of China, China Construction Bank, Bank of China promotes the prosperity of China's stock market and the development of financial market. Especially the listing of Industrial and Commercial Bank of China, China Construction Bank and Bank of China expands the scale of China's financial market, optimizes the structure of capital market, establishes the value investment philosophy of stock market, and enhances the stability of financial market. All in all, China's financial reform upgrades the degree of market orientation. And the formation mechanism of price of financial asset tends to be reasonable. Financial resource allocation becomes more efficient that is helpful for the balance of economic system. Faced with the financial liquidity risk, low efficient of commercial bank and problems of high saving rate and financing difficulties brought by the indirect financing-based, we design a financial instrument of optional and exchangeable bond and use reform of the four state-owned commercial banks as vectors to upgrade China's financial efficiency basically from technical level.
Efficiency is infinite, and the exploration of financial efficiency is also infinite. Pursuit of efficiency is a country, a social organization, a corporation and even a family's instinct. Financial complexity breeds the risk, but also boosts the promotion of financial efficiency. Deeply understanding financial complexity, exploring the law of financial market and activating financial engineering's creating in China are the inevitable choices for preventing and reducing risk of financial system and promoting financial efficiency.
引文
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[1]注释:2007年,上证综指从年初的2715.72点上涨到年末的5261.56点。涨幅93.8%。
[2]资料来源:搜狐财经网。http://business.sohu.com/s2007/qmtz/,2007年12月26日。
[3]注释:2008年,上证综指从年初的5272.81点下跌到4月15日的3348.35点,跌幅36.5%。
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[1]注释:户部银行在1908年更名为大清银行,仍然为中央银行。1912年北洋政府在其基础上建立中国银行,作为新政府的中央银行。大清银行和中国银行没有继承关系。1928年国民政府成立新的中央银行,将中国银行改组为国际汇兑银行。它就是现在中国银行的前身。
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[5]注释:依据规模、行为和效率综合计算银行部门发展相对于股票市场发展的比率。具有较大比率的国家被划分为银行主导型类别,综合比率低于平均值的国家被划分为市场主导型类别。德米尔古克·肯特(Asli Demirg(:∣u)c-Kunt)
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[1]吴晓求,市场主导型金融体系:中国的战略选择。中国人民大学出版社,2005。
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[1]注释:国有商业银行高管的任免模式为“中管干部+市场化选聘”模式。股改后的三大国有控股银行--工行、中行、建行中的行长、副行长是中央行政任命的中管干部,而首席官(首席财务官、首席风险官、首席信贷官、总审计师等)、总监(信贷管理总监、各业务总监等)和董事会秘书等高官的选用则逐步走向市场化。
[2]江泽民,全面建设小康社会,开创中国特色社会主义事业新局面。江泽民文选,北京:人民出版社,2006,548页。
[1]资料来源:搜狐财经网.http://business.sohu.com/s2007/qmtz/。2007年12月28日。
[2]吴晓求,市场主导型金融体系:中国的战略选择。北京:中国人民大学出版杜.2005。
[1]巴曙松,创新拓展保险资金运用范围。中国金融,2007年3月13日。
[2]注释:“中管干部”。是指由中共中央组织部选拔、任命和管理高级官员的干部制度,在金融部门,指国有商业银行的董事长、行长和副行长。
[1]马红雨,混业经营涌动,金融控股公司渐行渐进。证券日报创业周刊,2008年2月29日。
[2]吴晓灵,汇金公司定位中国淡马锡。上海证券报,2006年10月23日。
[1]注释:四大资产管理公司指中国东方资产管理公司、中国信达资产管理公司、中国华融资产管理公司、中国长城资产管理公司,是财政部为处置国有商业银行改制前分离出来的1.4万亿元不良资产而设立的国有独资非银行金融机构,并且给与每家公司100亿元人民币的注资。
[2]刘奇,华融将转型为金融控股公司。京华时报,2008年3月4日。
[3]马红雨,混业经营涌动,金融控股公司渐行渐进。证券日报创业周刊,2008年2月29日。
[1]杨晓嘉,尽快就金融控股公司进行立法。中国证券报,2008年3月4日。
[2]易宪容,黄少军,现代金融理论前沿。北京:中国金融出版社,2005,377页。
[3]资料来源:搜狐新闻,http://news.sohu.com/,2008年3月5日。
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[1]资料来源:中经在线,http://forex.cnfol.com/,2007年9月24日。
[2]资料来源:新浪财经,http://finance.sina.com.cn/,2007年10月23日。
[3]郑春峰,股市楼市狂飙突进还能持续多久?南方日报,2007年11月5日。
[1]埃德加·E·彼得斯,复杂性、风险与金融市场。宋学锋,曹庆仁,王新宇译,北京:中国人民大学出版社,2004,16页。
[2]埃德加·E·彼得斯,复杂性、风险与金融市场。宋学锋,曹庆仁,王新宇译,北京:中国人民大学出版社,2004,23页,28页。
[1]埃德加·E·彼得斯,复杂性、风险与金融市场。宋学锋,曹庆仁,王新宇译,北京:中国人民大学出版社,2004,72页。
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[2]王东,中国资本市场风险管理。北京:北京大学出版社,2004,6页。
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[1]埃德加·E·彼得斯,复杂性、风险与金融市场。宋学锋,曹庆仁,王新宇译,北京:中国人民大学出版社,2004,35页。
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[1]注释:金融机构包括中国人民银行、政策性银行、国有独资商业银行、其他商业银行、城市商业银行、农村商业银行、城市信用社、农村信用社、财务公司、信托投资公司、租赁公司、邮政储汇局、外资金融机构(从2002年1月起,外资银行统计在内)。
[2]注释:国家银行包括中国人民银行、中国工商银行、中国农业银行、中国银行、中国建设银行、国家开发银行、进出口银行、农业发展银行、邮政储汇局。
[3]张寅,储蓄持续增长依然可期。证券时报,2006年5月25日。
[4]资料来源:根据中国人民银行公开资料整理绘制。
[1]注释:全国居民消费价格总指数CPI由2007年1月的2.2增长至2007年10月的4.4,2008年2月,居民消费价格总水平同比上涨8.7%.而一年期的储蓄存款利率仅为4.14%。
[2]注释:沪证综指从2007年10月16日的高位6124.04点,一路下滑,中途反弹至2008年1月14日的5522.78点,之后一路急跌至2008年3月18日的3607.25点,短短5个月时间内股市资产缩水超过40%.达10万亿元。
[3]注释:进入2008年,来自广州、上海、北京、重庆、武汉、成都等大城市有关楼价下跌的新闻,以及万科为代表的房地产开发商的楼盘打折促销活动报道,引发了一场“楼市拐点”是否来临的争论。
[4]魏杰,股市扩容破解流动性过剩。21世纪经济报道,2007年5月21日。
[1]钟伟,特别国债发行时机和方式或决定经济景气是否转折。第一财经日报,2007年6月28日。
[1]注释:前12次每次提高0.5个百分点,最后一次提高了1个百分点。
[2]注释:两次分别上调外汇存款准备金率1%,达到了5%。
[3]注释:2005年,公开市场共发行央票27462亿元;2006年,发行总量为36500亿元;2007年1月1日至2007年9月1日,共发行央行票据总额达34091亿元;中国央行票据发行逐年增加。
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[3]邵俭,金融衍生品多元化能降低系统风险提高定价效率。证券时报,2007年3月15日。
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② 注释:复杂系统的十个特征:(1)复杂系统由大量要素构成:(2)大量要素是必要而非充分条件;(3)要素之间相互作用相当丰富;(4)相互作用是非线性的;(5)相互作用常常是作用于某个相对小的短程范围,即主要是从直接相邻接受信息;(6)相互作用之间形成回路,任何活动的效应存在正或负反馈;(7)复杂系统通常是开放系统,即与环境发生相互作用;(8)复杂系统在远离平衡态的条件下运行;(9)复杂系统具有历史,对复杂系统的分析不能忽略时间维度;(10)系统中每一要素对于作为整体系统的行为是无知的,它仅仅对于其可以获得的局部信息作出响应。
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① 注释:中国证券监督管理委员会,《关于上市公司状况异常期间的股票特别处理方式的通知》,证监交字[1998]6号,1998年3月16日。
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② 注释:VaR称为风险价值,是Value at Risk的缩写.美国学者乔瑞(Philippe Jorion)在其所著《风险价值》一书中给出的VaR定义为:在正常的市场条件下,给定的一个置信水平的持有期间内,某种金融资产的最坏的预期损失。
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④ 注释:在估计风险值VaR时,一般要使用5个指标值,即Delta,Gamma,Vega,Theta and Rho。Delta是指资产价值对标的资产价值的变化率,Gamma是指资产价值对标的资产价值的二阶变化率,Vega是指资产价值对标的资产价格波动的变化率,Theta是指资产价值对时间的变化率,Rho是指资产价值对融资成本的变化率。
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① 注释:标度相容性。当随机过程的聚集过程(aggregated processes)与原随机过程属于同一类时,这个随机过程类对跨时间的聚集是封闭的。比如,资产每周的收益率正好是本周每日收益率的和,周收益率序列就是日收益序列的聚集过程。如果周收益序列、日收益率以及其它日收益率序列的聚集序列是同一类过程,那么这个收益率序列就是标度相容的。标度相容性也是分形的一种特征。
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① 注释:对证券市场上单个金融资产价格运行轨迹作相同的复杂性表征的实证检验,几乎得出了同样的结论。
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③ 注释:其一,生物是可以变异的;其二,变异是可以遗传的;其三,自然选择使每一个有用的微小变异被保存。
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[1]注释:混合分布假说是指解释交易量与波动性之间的相关性的重要模型之一。解释交易量与波动性之间的相关性的代表性理论主要包括三种,即信息理论模型、交易理论模型和理念分散模型。而信息理论模型目前已成为解释波动性和交易量关系的主流模型。信息理论模型包括MDH,信息数据到达模型和噪声交易模型。
[2]Lee,Ming Chih,and Chun-Da Chen,The intraday behaviors and relationships with its underlying assets:Evidence on option market in Taiwan.International Review of Financial Analysis,2005,14(5):587-603.
[3]Lee,Ming Chih,and Chun-Da Chen,The intraday behaviors and relationships with its underlying assets:Evidence on option market in Taiwan.International Review of Financial Analysis,2005,14(5):587-603.
[4]Park,Tae H.,Lorne N.Switzer,and Robert Bedrossian,The interactions between trading volume and volatility:evidence from the equity options markets.Applied Finance Economics,1999,9(6):627-637.
[1]注释:由于解释变量中有两个虚拟变量,为避免陷入“虚拟变量陷阱”,故两个方程都没有设置常数项。
[2]注释:BEKK模型向量表达式是Engle和Kroner在综合了Yoshi Baba,Robert F.Engle,Dennis F.Kraft.and Kenneth.F.Kroner(1991)(在1991未发表手稿)研究结果基础上提出的由四人名字的第一个字母命名的一类多元GARCH模型。
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[1]注释:18只权证分别是,邯钢JTB1、包钢JTB1、包钢JTP1、长电CWB1、沪场JTP1、首创JTB1、雅戈QCB1、雅戈QCP1、万华HXB1、万华HXP1、原水CTP1、茅台JCP1、马钢CWB1、海尔JTP1、国电JTB1、伊利CWB1、中化CWB1、和招行CMP1。其中,10只认购和8只认沽,包钢JTB1和包钢JTP1,雅戈QCB1和雅戈QCP1,万华HXB1和万华HXP1是三只蝶式权证。
[2]注释:15只标的股票分别是,邯郸钢铁、包钢股份、长江电力、上海机场、首创股份、雅戈尔、烟台万华、原水股份、贵州茅台、马钢股份、青岛海尔、国电电力、伊利股份、中化国际和招商银行。
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[3]何宏,中国银行利率与股市变动关系的实证分析。统计研究,2004,4,46-49。
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[3]史代敏,沪深股票市场股指波动的协整性研究。数量经济技术经济研究,2002,9,103-105。
[4]资料来源:根据中国人民银行网资料整理。http://www.pbc.gov.cn/。
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[2]注释:如果央行公开披露提高利率调整日遇到休市日或在当天交易所已经停盘,则顺延到下一个交易日。
[3]注释:其中估计窗选择为一年,大约240余个交易日;事件窗L_(21)为12个交易日,L_(22)为12个交易日。
[4]注释:用t=0表示发生日期,t=T_(0)到t=T_(1)表示估计窗,t=T_(1)到t=T_(2)表示事件窗,t=T_(2)到t=T_(3)表示事件后窗。分别用L_(1)=T_(1)-T_(0)、L_(2)=T_(2)-T_(1)、L_(3)=T_(3)-T_(2)表示估计窗、事件窗和事件后窗的长度。
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[2]注释:1929年9月到1932年6月间,美国道·琼斯工业指数从385点下跌至41点,跌幅高达85%;1989年12月到1992年,日本日经225指数从39000点下跌至14000点,跌幅高达65%。
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[1]注释:2007年,上证综指从年初的2715.72点上涨到年末的5261.56点。涨幅93.8%。
[2]资料来源:搜狐财经网。http://business.sohu.com/s2007/qmtz/,2007年12月26日。
[3]注释:2008年,上证综指从年初的5272.81点下跌到4月15日的3348.35点,跌幅36.5%。
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[5]注释:X-效率。美国经济学家来宾斯坦(Harvey Leibenstein)1966年提出,是在企业规模、资本、劳动力不变的情况下没有实现最大产能或没有达到利润最大化。
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[1]注释:布雷顿森林体系是以美元为中心的国际货币体系。它以黄金为基础,以美元作为最主要的国际储备货币,直接与黄金挂钩,各国货币则与美元挂钩,并可按35美元一盎司的官价向美国兑换黄金。1944年7月,44个国家或政府的经济特使聚集在美国新罕布什尔州(New Hampshire)的布雷顿森林签署《布雷顿森林协定》,催生了国际银行、国际货币基金组织和关贸总协定。直到1971年被修改,用浮动汇率代替,意味着布雷顿森林货币体系开始被放弃。
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[5]注释:中国通商银行成立时英文名为“The Imperial Bank of China”,1912年改名为“Commercial Bank of China”。银行的组织完全模仿汇丰银行,聘请一个英国人任经理(称洋大班),同时有一个中国人任买办(称华大班)。
[1]注释:户部银行在1908年更名为大清银行,仍然为中央银行。1912年北洋政府在其基础上建立中国银行,作为新政府的中央银行。大清银行和中国银行没有继承关系。1928年国民政府成立新的中央银行,将中国银行改组为国际汇兑银行。它就是现在中国银行的前身。
[2]注释:交通银行虽然是按照商业银行设立的,但由于其具有发行京汉铁路公债、分理国家金库、办理外债借款等国家银行的某些职能,并不是普通的商业银行。1912年北洋政府接管后仍然赋予国家银行职能,分理国家金库和专理国外款项。1928年国民政府将其改组为发展全国实业的银行。到1958年,除香港分行仍继续营业外,交通银行国内业务分别并入当地中国人民银行和在交通银行基础上组建起来的中国人民建设银行。1987年重新组建交通银行,成为中国第一家全国性的国有股份制商业银行。
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[3]注释:中国金融市场以股票和基金为主,债券尚不完善,金融衍生产品除了结构性存款、刚刚起步的权证和人民币远期与人民币外币互换以外,几近空白。但是随着市场的不断发育,金融创新开始起步,加上证券投资基金、社保基金、企业年金和QFⅡ等机构投资者数量的增加,为构建复杂金融产品提供了条件。
[1]注释:自营商和经纪商的区别。自营商与经纪商不同,自营商(dealer)通过以一定的价格购买或者销售证券来将买方和卖方联系起来。自营商持有证券库存,通过买家(bid price)和卖家(ask price)之间的价差(spread)来获得收入。一般进入市场并参与交易的参与者包括一般投资者(提交买卖指令的客户)、经纪商(传递或执行客户的交易指令)、自营商(也称交易商)和做市商(也称专营商)。
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[5]注释:依据规模、行为和效率综合计算银行部门发展相对于股票市场发展的比率。具有较大比率的国家被划分为银行主导型类别,综合比率低于平均值的国家被划分为市场主导型类别。德米尔古克·肯特(Asli Demirg(:∣u)c-Kunt)
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[1]注释:国有商业银行高管的任免模式为“中管干部+市场化选聘”模式。股改后的三大国有控股银行--工行、中行、建行中的行长、副行长是中央行政任命的中管干部,而首席官(首席财务官、首席风险官、首席信贷官、总审计师等)、总监(信贷管理总监、各业务总监等)和董事会秘书等高官的选用则逐步走向市场化。
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[2]注释:“中管干部”。是指由中共中央组织部选拔、任命和管理高级官员的干部制度,在金融部门,指国有商业银行的董事长、行长和副行长。
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[1]注释:四大资产管理公司指中国东方资产管理公司、中国信达资产管理公司、中国华融资产管理公司、中国长城资产管理公司,是财政部为处置国有商业银行改制前分离出来的1.4万亿元不良资产而设立的国有独资非银行金融机构,并且给与每家公司100亿元人民币的注资。
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[3]马红雨,混业经营涌动,金融控股公司渐行渐进。证券日报创业周刊,2008年2月29日。
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[1]注释:金融机构包括中国人民银行、政策性银行、国有独资商业银行、其他商业银行、城市商业银行、农村商业银行、城市信用社、农村信用社、财务公司、信托投资公司、租赁公司、邮政储汇局、外资金融机构(从2002年1月起,外资银行统计在内)。
[2]注释:国家银行包括中国人民银行、中国工商银行、中国农业银行、中国银行、中国建设银行、国家开发银行、进出口银行、农业发展银行、邮政储汇局。
[3]张寅,储蓄持续增长依然可期。证券时报,2006年5月25日。
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[1]注释:全国居民消费价格总指数CPI由2007年1月的2.2增长至2007年10月的4.4,2008年2月,居民消费价格总水平同比上涨8.7%.而一年期的储蓄存款利率仅为4.14%。
[2]注释:沪证综指从2007年10月16日的高位6124.04点,一路下滑,中途反弹至2008年1月14日的5522.78点,之后一路急跌至2008年3月18日的3607.25点,短短5个月时间内股市资产缩水超过40%.达10万亿元。
[3]注释:进入2008年,来自广州、上海、北京、重庆、武汉、成都等大城市有关楼价下跌的新闻,以及万科为代表的房地产开发商的楼盘打折促销活动报道,引发了一场“楼市拐点”是否来临的争论。
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[1]注释:前12次每次提高0.5个百分点,最后一次提高了1个百分点。
[2]注释:两次分别上调外汇存款准备金率1%,达到了5%。
[3]注释:2005年,公开市场共发行央票27462亿元;2006年,发行总量为36500亿元;2007年1月1日至2007年9月1日,共发行央行票据总额达34091亿元;中国央行票据发行逐年增加。
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① 注释:中国证券监督管理委员会,《关于上市公司状况异常期间的股票特别处理方式的通知》,证监交字[1998]6号,1998年3月16日。
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② 注释:VaR称为风险价值,是Value at Risk的缩写.美国学者乔瑞(Philippe Jorion)在其所著《风险价值》一书中给出的VaR定义为:在正常的市场条件下,给定的一个置信水平的持有期间内,某种金融资产的最坏的预期损失。
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④ 注释:在估计风险值VaR时,一般要使用5个指标值,即Delta,Gamma,Vega,Theta and Rho。Delta是指资产价值对标的资产价值的变化率,Gamma是指资产价值对标的资产价值的二阶变化率,Vega是指资产价值对标的资产价格波动的变化率,Theta是指资产价值对时间的变化率,Rho是指资产价值对融资成本的变化率。
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① 注释:标度相容性。当随机过程的聚集过程(aggregated processes)与原随机过程属于同一类时,这个随机过程类对跨时间的聚集是封闭的。比如,资产每周的收益率正好是本周每日收益率的和,周收益率序列就是日收益序列的聚集过程。如果周收益序列、日收益率以及其它日收益率序列的聚集序列是同一类过程,那么这个收益率序列就是标度相容的。标度相容性也是分形的一种特征。
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① 注释:对证券市场上单个金融资产价格运行轨迹作相同的复杂性表征的实证检验,几乎得出了同样的结论。
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③ 注释:其一,生物是可以变异的;其二,变异是可以遗传的;其三,自然选择使每一个有用的微小变异被保存。
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[1]注释:混合分布假说是指解释交易量与波动性之间的相关性的重要模型之一。解释交易量与波动性之间的相关性的代表性理论主要包括三种,即信息理论模型、交易理论模型和理念分散模型。而信息理论模型目前已成为解释波动性和交易量关系的主流模型。信息理论模型包括MDH,信息数据到达模型和噪声交易模型。
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[2]注释:BEKK模型向量表达式是Engle和Kroner在综合了Yoshi Baba,Robert F.Engle,Dennis F.Kraft.and Kenneth.F.Kroner(1991)(在1991未发表手稿)研究结果基础上提出的由四人名字的第一个字母命名的一类多元GARCH模型。
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[1]注释:18只权证分别是,邯钢JTB1、包钢JTB1、包钢JTP1、长电CWB1、沪场JTP1、首创JTB1、雅戈QCB1、雅戈QCP1、万华HXB1、万华HXP1、原水CTP1、茅台JCP1、马钢CWB1、海尔JTP1、国电JTB1、伊利CWB1、中化CWB1、和招行CMP1。其中,10只认购和8只认沽,包钢JTB1和包钢JTP1,雅戈QCB1和雅戈QCP1,万华HXB1和万华HXP1是三只蝶式权证。
[2]注释:15只标的股票分别是,邯郸钢铁、包钢股份、长江电力、上海机场、首创股份、雅戈尔、烟台万华、原水股份、贵州茅台、马钢股份、青岛海尔、国电电力、伊利股份、中化国际和招商银行。
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[2]注释:如果央行公开披露提高利率调整日遇到休市日或在当天交易所已经停盘,则顺延到下一个交易日。
[3]注释:其中估计窗选择为一年,大约240余个交易日;事件窗L_(21)为12个交易日,L_(22)为12个交易日。
[4]注释:用t=0表示发生日期,t=T_(0)到t=T_(1)表示估计窗,t=T_(1)到t=T_(2)表示事件窗,t=T_(2)到t=T_(3)表示事件后窗。分别用L_(1)=T_(1)-T_(0)、L_(2)=T_(2)-T_(1)、L_(3)=T_(3)-T_(2)表示估计窗、事件窗和事件后窗的长度。
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[2]注释:1929年9月到1932年6月间,美国道·琼斯工业指数从385点下跌至41点,跌幅高达85%;1989年12月到1992年,日本日经225指数从39000点下跌至14000点,跌幅高达65%。
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