Abstract:This paper models the determination exchange rates considering the fundamentalists，chartists and carry traders． The heterogeneous equilibrium properties and stability conditions are investigated within the framework of the traders’heterogeneity behavior． The results show that there are seven types of equilibria，including three fundamental equilibria and four non-fundamental equilibria． Besides，non-fundamental equilibria are caused by carry traders． The stability conditions depend on the mean-reverted coefficients of fundamentalists， the extrapolation coefficients of chartists and the discount factors of exchange rates． Finally，the simulation shows that carry traders’activities are largely affected by the interest rate differential between the two currencies and cause exchange rates to deviate from the fundamental equilibrium．

Abstract:Using exchange rate data of 47 countries which consists of Eurozone countries，non-euro EU countries， a few developed countries and BＲICS countries from 2000 to 2016，this paper examines the existence of contagious effect of exchange rate risk with the method of Fisher Z transformation of the correlation coefficient． This paper further distinguishes the contagious effect into two types，pure contagion and shift contagion． The results show that there are sharp fluctuations in almost all the foreign exchange markets after subprime crisis and European sovereign debt crisis，but there still exists contagious effect of exchange rate risk between a handful of countries and the contagious sources，which means that most impacts of these crises are interdependent． Besides，shift contagion is remarkable during the subprime crisis while pure contagion is remarkable during European sovereign debt crisis． Both the links among real economies and investor’s expectation would significantly influence the exchange rate markets．

Abstract:Financial risk contagion is not only an important factor that should be considered in asset allocation and hedging decisions，but also directly related to the security and stability of the financial system of a country or even the world． Using risk contagion tests of higher order co-moments( co-skewness，co-volatility and cokurtosis) ，this paper analyzes the financial risk contagion between Shanghai and Hong Kong stock markets before and after the implementation of Shanghai-Hong Kong Stock Connect program empirically． The main results show that after the implementation of Shanghai-Hong Kong Stock Connect program，the statistics of risk contagion from Shanghai to Hong Kong stock market increase according to the order of the first class co-skewness ( from mean to volatility) ，co-volatility，adjusted correlation and co-kurtosis． Similarly，the channels of contagion from Hong Kong to Shanghai stock market are fourth order co-moments( co-volatility and co-kurtosis) ，the first class co-skewness and adjusted correlation in order according to the value of risk contagion statistics． Generally， higher order co-moments have become the main risk contagion channels between Shanghai and Hong Kong stock market． Due to the net capital flows，investor education and so on，the risk contagion effect from Shanghai to Hong Kong stock market is stronger．

Abstract:In recent years，the appearance of microblog and other new media on internet have had a significant influence on the way and timeliness of information disclosure． In the capital markets，the new media enrich the content of the published information of listed companies，broaden the way of investors’access to information， and to a certain extent，contributed to the pricing efficiency of securities markets． This paper tries to find out the economic consequences of information disclosed through microblog from the perspective of stock price synchronicity by hand collecting data of listed companies published on sina microblog． Information posted by microblog is categorized and it is found that the higher the proportion of business and strategic information，the lower the stock price synchronicity． The results remain valid after considering the influence of endogenous． It is also found that companies audited by Big-10 audit firms，with higher information transparency and more analysts following，can significantly lower stock price synchronicity via weibo in releasing information． These results suggest that investors will not receive all the microblog information． Only when the quality of information released via weibo is high，can the information be effectively transmitted to investors through weibo，thus affecting the capital market．

Abstract:This paper constructs a new measure of investor attention using the self-selection information from Xueqiu website，that is，AXQA( abnormal Xueqiu attention) ，which can capture the level of investor attention more directly and accurately． Through examining the relationship between AXQA and market performance， this paper finds that investor attention will result in short-term pressure on market price and trading volume． Besides，this paper constructs proxies for synchronous-attention，for pre-attention and for post-attention，and finds that synchronous-attention plays a more important role in determining market performance than pre-attention． However，market data influence post-attention more than synchronous-attention． Attention during nontrading period will be reflected in the opening price of the following trading day． Finally，this paper proposes a trading strategy based on AXQA，which performs much better than the CSI 300 index．

Abstract:Market makers play an important role in the rapid development of stock index options markets． How does China's Financial Futures Exchange incentivize market makers to provide liquidity for stock index options? A laboratory experiment is conducted to analyze how different bid-ask spread limits affect the bid-ask spread，trading volume and profit of market makers． When bid-ask spread limits are made less restrictive and the time to option expiration is longer，bid-ask spread is wider． After controlling for bid-ask spread limits，the bid-ask spread of market makers who are risk preferring is wider． In addition，when bid-ask spread limits are made less restrictive，the trading volume of market makers is larger，the trading profit of market makers is less，and the volatilities of both trading volume and profits of market makers are higher． The risk attitude of market makers has no significant effect on the trading volume and profits of market makers． Therefore，regulators should choose some suitable institutional investors to undertake the obligations of marker makers who are quoting two-way prices to market participants in stock index options market; appropriate and timely adjustment is essential for bid-ask spread limits and thereby encourages market makers to maintain competitive quotes． All of these help to improve price discovery and liquidity in stock index options markets．

Abstract:The volatility of stock market is closely related to the real economic trend and macroeconomic policies． This paper analyzes the effect of economic policy uncertainty ( EPU) on the SSEC volatility using GAＲCH-MIDAS model． Out-of-sample volatility forecasting comparison is also made between the GAＲCH-MIDAS model and several commonly used GAＲCH-type models． The empirical results show that the EPU can well explain the long term section of stock market volatility and significantly improve the forecasting accuracy of SEEC volatility． Meanwhile，the model confidence set ( MCS) test confirms that the forecasting result of the GAＲCH-MIDAS model based on mixed-frequency data outperforms that of many other commonly used GAＲCH-type models．

Abstract:Taking forecasts based on macro variables as the benchmark，this paper investigates the forecast ability of technical indicators based on moving average，momentum and on-balanced volume average strategy to directly forecast commodity future prices in China． Empirical results show that technical indicators do exhibit significant in-sample and out-of-sample forecasting power，clearly exceeding those of auto-regression model and macroeconomic variables which are widely used． Moreover，the predictive powers of technical indicators reveal robustness for different model specifications and data frequencies． Furthermore，technical indicators manifest substantial economic value for asset allocation，in terms of superior commodity risk premium forecasts and sizable utility gains． These results can provide empirical and strategic support for commodity investment and risk management．

Abstract:This paper compares the internationalization-performance relationships between the Chinese 500 and Global 500 firms． The findings are: ( 1) As a whole，there is a positive slope between the degree of internationalization( DOI) and performance in the Global 500 firms，and a negative slope in Chinese 500 firms; ( 2) As for the cubic relationship，it shows a N shape in the relationship between the DOI and performance in the Global 500 firms，while it does not show a systematic characteristic in Chinese 500 firms; ( 3) The moderating effect of factor intensity is positive in Global 500 firms，and negative in Chinese 500 firms． This paper highlights the academic researches on the DOI-performance relationships and should help to improve the contribution of the DOI to the performance of Chinese firms．