【实用资料】中国股市和美国股市镜像关系的实证研究9.ppt
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中美股市间相关性实证分析
经济工作・ＥＣＯＮＯＭＩＣＰＲＡＣＴＩＣＥ一、引言股市作为一国经济运行的晴雨表，随着资本市场全球化进程的加快，各国股市之间的相关性也越来越大。
中国资本市场最近几年得到了迅速的发展，尤其是证券市场越来越成熟，中国股市的国际性也随之增强。
美国股市作为全球最发达的股市，对于中国股市与美国股市间的相关性的分析研究具有重要的意义，不仅仅可以考察我国股市的国际性程度，而且可以帮助中国投资者在国际资本市场投资时进行股市走势判断及国别选择时提供参考，进一步降低投资风险，提高收益，同时还可以为我国资本市场的发展提供相关的建议。
对于中、美股市之间的相关性分析，一些学者曾做过研究，但是都集中对在２００３年以前股指数据进行分析。
大多数研究结果表明中、美股市相关性不强，甚至是没有相关性。
随着我国加入ＷＴＯ，金融市场逐步对外开放，ＱＦＩＩ制度的推出以及我国股权分置改革的进行，我国资本市场得到了迅速的发展，中国股市的国际性得到了大大提高，中、美股市间的相关性也应该有所增强。
本文则采用１９９７年至２００６年之间的数据，利用ＥＶＩＥＷＳ５．０软件，运用相关统计方法对中、美股市的相关性的大小、协整性进行了分析研究。
二、变量、数据与方法本文主要选择上证综合指数和标普５００指数作为我国和美国整体股市走势的指标。
数据样本主要选择１９９７年１月至目前的上证指数和标普５００指数的周收盘价数据，采用周收盘价的一阶差分作为股指收益，来反映中、美股市波动幅度。
数据均来源于Ｗｉｎｄ资讯。
在研究方法上，首先对中、美股市的整体走势及相关系数进行分析，分析我国股市与美国股市间的相关系数的大小及变化情况；然后，对于不同时期中、美股市协整性进行检验，分析中美股市之间的相关性及其影响的经济因素。
三、中、美股市间相关系数检验中国证券市场，特别是股票市场，以１９９０年１２月上海证券交易所与１９９１年４月深圳证券交易所营业为标志，在短短十几年的时间里得到了迅速发展，已形成以上海、深圳证券交易所为中心的全国证券交易市场体系。
中国股市和美国股市镜像关系的实证研究8.ppt
• Explorer-Promoters:champion initiated ideas
• Assessor-Developers:analyze decision options
• Thruster-Organizers:provide structure
• Concluder-Producers: provide direction & follow
7)The players have a primary position,adjusting to their
teammate’s strengths,weakness and the changing demands
of the “game”.--totally break with the past
• Shaping team players: Selection--job candidate with team skills, otherwise training,transference to other unit, reject Training--workshop to help improve skills like PS, communication,negotiation,conflict M,coaching Reward--encourage cooperative efforts rather than competitive ones; intrinsic rewards from team
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2.Clarity of the difference
• Work groups
Work teams
Share information--- Goal--- Collective performance
中美股市间的联动性分析
中美股市间的联动性分析中美股市间的联动性分析近年来，随着全球化进程的加速，中美两国股市的联系日益紧密。
中美两国是世界上最大的经济体，其股市的波动对全球经济具有重要影响。
正因如此，对中美股市之间的联动性进行深入分析，对于投资者、政策制定者以及学术界都具有重要意义。
一、中美股市背景中美两国是全球最大的股票市场。
美国股市以道琼斯工业股票平均价格指数（Dow Jones Industrial Average，简称“道指”）和标准普尔500指数（S&P500）为代表，中国股市以上证综合指数和深证成份指数为代表。
这两组指数都代表了各自股市的整体表现。
二、中美股市的波动性中美两国股市的波动性是衡量股票市场风险的重要指标。
通过对中美股市的波动性进行对比，可以看出两国股市之间的差异和联系。
1. 中美股市波动性的差异美国股市相对于中国股市来说，波动相对较小。
这主要是由于美国股市具有成熟的监管体系和法律制度，市场参与者的投资行为更加理性和稳健。
而中国股市则相对较为年轻，投资者整体风险偏好较大，市场流动性相对较差，波动性相对较大。
2. 中美股市波动性的联系虽然中美股市的波动性存在差异，但近年来二者之间的联系日益紧密。
尤其是在全球金融危机期间，中美股市的联动性表现得尤为明显。
一方面，中国股市受到全球股市的影响较大，尤其是美国股市；另一方面，中国是全球最大的外汇储备国，美国是中国最大的出口市场，两国经济的互动性也进一步加强了股市之间的联系。
三、中美股市之间的因素影响中美股市之间的联动性受到多种因素的影响，包括宏观经济因素、政策因素以及市场心理因素。
1. 宏观经济因素中美两国的经济基本面、 GDP增长率、通胀率、利率等因素都会对股市造成影响。
例如，当两国经济增长面临下行压力时，投资者可能会对股市前景产生担忧，从而导致股市波动加剧。
2. 政策因素两国政策制定者的政策举措也会对股市产生直接的影响。
特别是与贸易、关税、汇率等相关的政策，对股市波动具有明显的推动效应。
【实用资料】中国股市和美国股市镜像关系的实证研究14.ppt
• culture encouraging experimentation.reward both success & failure,celebrate mistakes.rewarded for the absence of failures rather than for the presence of successes
• the politics of change:threaten the status quo; power, stakeholder,impetus--new comer
4.Approach to managing change
(1) 3-Phase (Lewin’s notion)
• Unfreezing:change effort to overcome the pressures of both individual & group conformity,
5.Key Change issues in the 1990s
(1)creating the learning organization
• --has developed the continuous capacity to adapt & change
• single-loop learning:errors are corrected using past routines & present policies
Dimensions of Organizational Change
Top Down _______________ Bottom-up Radical _______________ Incremental Discontinuous _____________ Continuous Planned _______________ Emergent OD ----Incremental, gradual, planed changes Organizational transformation---Decisive,
• the politics of change:threaten the status quo; power, stakeholder,impetus--new comer
4.Approach to managing change
(1) 3-Phase (Lewin’s notion)
• Unfreezing:change effort to overcome the pressures of both individual & group conformity,
5.Key Change issues in the 1990s
(1)creating the learning organization
• --has developed the continuous capacity to adapt & change
• single-loop learning:errors are corrected using past routines & present policies
Dimensions of Organizational Change
Top Down _______________ Bottom-up Radical _______________ Incremental Discontinuous _____________ Continuous Planned _______________ Emergent OD ----Incremental, gradual, planed changes Organizational transformation---Decisive,
中国股市和美国股市NASDAQ镜像关系的实证研究1.ppt
Securities Dealers Brokers
Securities Investment Advisors
Fund Managers
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Securities Exchange
OTC
Futures Exchange
SEC/CSRC
CBC/PBC 14
WHAT RELEVANCE A PRICE/EARNINGS RATIO?
“Proactive • The System of Regulation and
Enforcement can never be completely Flexible and Dynamic • Importance of Fiduciary Responsibility
2019-8-19
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Will Chinese Stock Markets Mirror the Behaviour of the
NASDAQ?
-Where is the solution?
2019-8-19
Christopher Poll
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1
Greater China Consultancy Ltd.,
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IF INSTITUTIONAL FUNDS ARE A STABILISING FACTOR FOR THE STOCK MARKET, WHY ARE DEVELOPED MARKETS SO VOLATILE?
2019-8-19
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Factors Effecting Investment Time Horizons
中国股市和美国股市镜像关系的实证研究6.ppt
• 5-step problem-solving model: (1)identification of performance-related behaviors;(2)measurement of the behaviors; (3) identification of behaviors contingencies; (4)development & implementation of an intervention strategy;(5)evaluation of performance improvement
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Examples of
• Quality circle: a work group of 8-10 employees who
meet regularly to discuss their quality problems,investigate causes,recommend solutions,& take corrective actions
• Gainsharing:an incentive plan where improvement in
group productivity determines the total amount of money that is allocated
• expectancy theory
2019-9-6
• representative participation:workers participate in
organizational decision making through a small group of representative employees
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Examples of
• Quality circle: a work group of 8-10 employees who
meet regularly to discuss their quality problems,investigate causes,recommend solutions,& take corrective actions
• Gainsharing:an incentive plan where improvement in
group productivity determines the total amount of money that is allocated
• expectancy theory
2019-9-6
• representative participation:workers participate in
organizational decision making through a small group of representative employees
【实用资料】中国股市和美国股市镜像关系的实证研究5.ppt
• Maslow: a rigid steplike progression. ERG:contains a frustration-regression dimension
• Several studies have supported the ERG theory:natives of Spain & Japan place social needs before their physiological requirements
5.Reinforcement theory
• Moderator: goal commitment, adequate selfefficacy,national culture
1.ERG theory Clayton Alderfer of Yale
reworked Maslow’s theory to align it more closely with the empirical research
• There are 3 groups of core needs:existence, relatedness,& growth
Class 5.Motivation Theory
§5.2 Contemporary theory of Motivation
having one thing in common:each has a reasonable degree of valid supporting
documentation
• Self-generated feedback(monitoring his own progress) ---a
more powerful motivator; Participative goals may have no superiority over assigned goals when acceptance is taken as a given, participation add the odds that harder goals be agreed
• Several studies have supported the ERG theory:natives of Spain & Japan place social needs before their physiological requirements
5.Reinforcement theory
• Moderator: goal commitment, adequate selfefficacy,national culture
1.ERG theory Clayton Alderfer of Yale
reworked Maslow’s theory to align it more closely with the empirical research
• There are 3 groups of core needs:existence, relatedness,& growth
Class 5.Motivation Theory
§5.2 Contemporary theory of Motivation
having one thing in common:each has a reasonable degree of valid supporting
documentation
• Self-generated feedback(monitoring his own progress) ---a
more powerful motivator; Participative goals may have no superiority over assigned goals when acceptance is taken as a given, participation add the odds that harder goals be agreed
中国股市和美国股市镜像关系的实证研究2.ppt
---(job performance)
Absenteeism
Turnover
Job satisfaction
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I.Biographical Characteristics
1.Age
• Age-Turnover:The older you get,the less likely you are to quit your job.
females to have higher---;no difference
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I. 3.Marital Status
• No enough studies on--- Productivity
• Married employees have fewer Absences,
Fixed-internal:rewards are spaced at uniform
time intervals, Variable-internal
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IV. Learning
2. Shaping:A Managerial Tool
• Reinforcement Schedules and behavior Continuous reinforcement---early satiation,
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IV. Learning
2. Shaping:A Managerial Tool
• Shaping behavior:systematically reinforcing
each successive step that moves an individual closer to the desired response
【实用资料】中国股市和美国股市镜像关系的实证研究11.ppt
• conflict management: the use of resolution & stimulation techniques to achieve the desired level of conflict
• conflict resolution techniques: P-S,superordinate goals, expansion of resources,avoidance,smoothing,compromise, authoritative command,alter the human(structural) variable
1.do innovative decisions--antidote for groupthinking, challenges status quo & create new ideas; 2.positive related to production,73%;3.the ethically diverse group produce more effective ideas. the less routine the tasks,the greater the -- be constructive
2. Functional vs. Dysfunctional conflict
• Conflict that supports the goals of the group & improve its performance
• Conflict that group performance
3.The conflict process
perceived;opposition or incompatibility;interaction cross over
• conflict resolution techniques: P-S,superordinate goals, expansion of resources,avoidance,smoothing,compromise, authoritative command,alter the human(structural) variable
1.do innovative decisions--antidote for groupthinking, challenges status quo & create new ideas; 2.positive related to production,73%;3.the ethically diverse group produce more effective ideas. the less routine the tasks,the greater the -- be constructive
2. Functional vs. Dysfunctional conflict
• Conflict that supports the goals of the group & improve its performance
• Conflict that group performance
3.The conflict process
perceived;opposition or incompatibility;interaction cross over
中国股市和美国股市镜像关系的实证研究11.ppt
• felt conflict-emotional involvement in a conflict creating anxiety,tenseness,frustration,or hostility(personalized)
• important stage in the process:sense making-delineate the set of possible settlement.
• conflict stimulation techniques:communication,bringing in
outsiders,restructuring,appointing a devil’s advocate
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3.The conflict process
(5)outcome
• human relations view--the belief that conflict is a natural & inevitable outcome in any group
• interactionist view--the belief that conflict is not only a positive force in a group but absolutely necessary for a group to perform effectively
• conflict management: the use of resolution & stimulation techniques to achieve the desired level of conflict
• conflict resolution techniques: P-S,superordinate goals, expansion of resources,avoidance,smoothing,compromise, authoritative command,alter the human(structural) variable
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willingness to accomplish a specific task
4 stages
power variables such as-• Matching leaders & situation:favorable I,II,iii,Vii,Viii;
change the leader to fit the situation; change the situation to fit the leader
Chapter 11 Leadership
§11.1 Definition the ability & process to influence a group toward the achievement of
goals
not all leaders are managers;nor,for that matter,are all managers leaders
1.(2)Cognitive resource theory
update in 1987
• A theory of leadership stating that a leader obtains effective group performance by,1st, making effective plans,decisions,& strategies;2nd, communicating them through directive behavior
Chapter 11 Leadership
§11.4 Contingency theories
leadership effectiveness was dependent on the situation,isolate those critical
situational factors--moderate variables
2.Hersey & Blanchard’s situational theory
• A contingency theory focusing on follower’s readiness
• readiness: the extent to which people have the ability &
1.Fiedler Model
least preferred co-worker (LPC) questionnaire
• Identifying leadership style:LPC score--relationship, task oriented; 16% mid. Range 1200 groups
• how stress & Cognitive resource such as intelligence, experience play a role on leadership effectiveness;
• 3 prediction: directive behavior result in good performance only if it linked with high intelligence in a supportive, nonstressful environment; in highly stressful situations, job experience is positive related with performance; the intellectual ability correlate with performance in nonstressful situations
• Defining the situation: leader-member relation:confidence,trust,respect in task structure:degree job assignments are procedurized position power:degree of influence a leader has over
• isolating traits resulted in dead ends,4 reason: overlooks the needs of followers;fails to clarify the relative importance;doesn’t separate cause from effect;ignore situational factors
• initiating structure:the extent to which a leader is likely to
define & structure his role & those of subordinates in the
search for goal attainment;
high on it lead to greater
• Identify traits consistently associated with leader: ambition & energy,the desire to lead,honesty & integrity, self-confidence, intelligence,job-related knowledge
• 3rd separate dimension: values experimentation,seeking new ideas,& generating & implementing change.
• Went back & look at the original Ohio data, -wasn’t critical in those days; positive evident in 1990s dynamic environment.
• “false starts” based on their erroneous conception
• Contingency models to explain the inadequacies of previous leadership
• attempting to identify the set of traits that people implicitly refer to as a leader
What makes an effective leader
• the 1st approach sought to find universal personality traits that leaders had to some great degree than nonleaders
• explain leadership in terms of the behavior a person engaged in
9,1 authority style;1,9 country club style
4. Scandinavian studies
Finland & Sweden
• Basic premise:in changing world,effective leaders would exhibit development-oriented behavior
people to be leaders,training
1.Ohio State studies
in the late 1940s
• Identify independent dimensions of leader behavior. beginning with over 1000 dimensions
mutual trust,respect for subordinates’ ideas,& regard for
their feelings.
Negatively related to
performance ratings of the leader by his superior
• “high--high” leader tended to achieve high performance & satisfaction more frequently than those;
rates of grievances, absenteeism,& turnover & lower levels
of job satisfaction for workers performing routine tasks.
• consideration: --have job relationships characterized by
§11. 2 Trait theories
1930s by psychologists
• Theories seeking personality,social,physical, or intellectual traits differentiating leaders from nonleaders
Chapter 11 Leadership
§11.3 Behavioral theories
the late 1940s--mid-1960s
Theories proposing that specific behaviors differentiate leaders from nonleaders
trait research were successful,then leader is basically inborn, would have provided a basis for
selecting the right “leader” behavior theories were valid,we could teach