Abstract:In the framework of GARCH models，Li et al. (2015) proposed a new hyperbolic GARCH model (denoted by HGARCH) ，which can parameterize both long memory decay and dramatic amplitude of volatilities as the HY-GARCH model (Davidson，2004) . What’s more，the non-negative restrictions on the parameters in the HGARCH model are more tractable than those counterparts in HY-GARCH models. However，it is well known that when the time series covers a long time span，a constant structure is usually inadequate to capture possible structure changes. To address this issue，this paper constructs a new dynamic mixture hyperbolic GARCH (denoted by DM-HGARCH) model. The DM-HGARCH model accommodates covariance stationarity，long memory and structural changes in volatilities simultaneously. Conditions for the existence of weak stationary solutions are investigated and the EM algorithm is employed for parameter estimation. MonteCarlo simulations are conducted to evaluate the finite-sample performance. Finally，the new model is applied to the daily log returns of Shanghai stock exchange( SSE) index in China and S&P 500 index in USA respectively. The empirical study illustrates that in the given sample period，the DM-HGARCH performs better on the latter index than the former one in terms of both in-sample fitting and out-of-sample forecasting.

Abstract:Based on the investment and financing theory under uncertainty (real options) ，this paper aims to examine the interaction between investment size，investment timing and capital structure for a financially constrained firm issuing contingent convertible debt (CoCos) . Then a new rationale for the use of CoCos is provided from the perspective of mitigating the firm’s financing frictions and pressure. The following results are derived. First，the optimal investment size is independent of conversion ratio. Second，compared with the straight debt case，CoCos can decrease the severity of financing constraints and the loss of firm value arising from inefficient investment and financing decisions. Finally，financially constrained firms with low growth rate， conversion ratio，conversion leverage and high corporate tax rate are more likely to benefit from issuing CoCos.

Abstract:Using data of Chinese listed firms from 2005 to 2014, this paper studied the impact of corporate investment allocations on economic growth quality under government subsidies policy. Empirical results show that，firstly，new corporate fixed-asset investments were negatively related to regional economic growth quality， while equity investments cannot promote economic growth quality; however，technology investments had significantly positive effect on high-quality economic growth. Secondly，compared with central state-owned enterprises ( SOEs) and private enterprises，fixed-assets investments and equity investments at local SOEs had larger adverse impacts on economic growth quality，especially those with excessive government subsidies. Thirdly， only appropriate levels of government subsidies can best stimulate the promotion of corporate technology investment to economic growth quality. When the government subsidies was too high，technological investments in local SOEs had no significant positive effect on economic growth quality. Fourthly，regional marketization levels can not only strengthen the promoting effect of corporate technology investments on economic growth quali- ty，but also weaken the negative impact of fixed-asset investments and equity investments of local SOEs on economic growth quality. These results are helpful to understand reasons behind poor quality of economic growth caused by corporate capital investments from the perspective of government governance.

Abstract:This paper investigates the informed trading in Chinese stock markets by a natural experiment of the PBC's interest rate cuts and reserve requirements rate( RRR) cuts. The empirical evidence shows that the return by opening price，volume per trade and the probability of informed trading appear a significant growth，whereas the volatility and the number of trades dramatically drop in the trading day prior to the PBC's interest rate cuts and RRR cuts. Moreover，the probability of informed trading increases more considerably in some stock sets such as the stocks with higher information asymmetry and the stocks from banks，securities，real estate industries which benefited more directly from the monetary policies. Our study also finds that prior to the release of interest rate cuts and RRR cuts，the volume and proportion of the big trades rise significantly，and the probability of informed trading both in big and small trades is also higher than in the normal situations. These results indicate that Chinese stock market has informed trading during stock market crash. Some rich investors use the insider information to trade stocks and get additional revenue in the market before the information significantly leaks to other rich investors and individual investors.

Abstract:The calendar effects of stock markets have attracted extensive attention from scholars and investors. Many studies have found the holiday effects，the month effects and the weekday effects of stock markets; however，few studies focus on the intraday effects. Using high frequency data of China’s stock index returns in 2014 - 2016，this paper empirically examines the intraday effects of China’s stock market. Results indicate the overall existence of the opening and closing effects in China’s stock market. However，the opening and closing effects exhibit different performances between bear markets and bull markets. Stock index return has positive opening effects during bull markets and negative opening effects during bear markets，while the stock index volatility has more obvious opening and closing effects during bear markets than during bull markets. The study，using rolling windows，further shows that the changes in the opening and closing effects of stock index return occur earlier than stock index and that the opening or closing effects of stock index return and volatility exhibit the substitution to some extent. Our study can help investors to develop investment strategy more rationally and provide certain references for the regulation and maintenance of market order.

Abstract:Two financing means are usually used to reduce the losses of the manufacturer as well as the supply chain’s profits resulted from the supplier’s capital constraints: one is the equity financing，and the other is the debt financing. The paper analyzes the manufacturer’s optimal financing and the supplier’s optimal production decisions，and then compare the supply chain performances using these two means. It is shown that the supplier is sure to accept the debt financing，while the supplier will accept the equity financing only if some conditions are satisfied. With equity financing，if the supplier’s initial capital is smaller than a critical value and the fraction of the supplier’s profit the manufacturer shares is higher than a critical value，the production at the capital-constrained supplier will be restored to the optimal level without capital constraints. With debt financing，if the supplier’s initial capital is larger than a critical value，the production of the capital-constrained supplier will be restored to the optimal level without capital constraints. Equity financing is optimal for the performances of the manufacturer and the supply chain when the supplier’s initial capital is small and the fraction of the supplier’s profit the manufacturer shares is high. However，when the supplier’s initial capital is large，debt financing is better. Finally，a numerical study is given to demonstrate the conclusions.

Abstract:The functions and influence mechanism on purchase intention of future - oriented emotions induced by limited-quantity promotion are explored with a literature review based on the theory of goal oriented decision-making and sales promotion. Next，five psychological experiments are conducted to test a series of hypotheses，by classifying future-oriented emotion into hope，anxiety，anticipated rejoice and anticipated regret， and classifying the type of scarcity into quantitative scarcity due to production and quantitative scarcity due to sales. The following empirical results are obtained. First，the intensity of future-oriented emotions and purchase intention induced by two types of scarcity are remarkably different，and the impact of quantitative scarcity due to production is much stronger. Second，the product category plays a moderating role in the impact of types of scarcity. Particularly，the quantitative scarcity due to production is more applicable to sales promotion of conspicuous products，while quantitative scarcity due to sales is more suited to non-conspicuous products. Third，the quantity of scarcity can also moderate the impact caused by the two types of scarcity with conspicuous products. Fourth，the result of simple linear regression confirms that，in the promotional situation of conspicuous products，hope，anxiety，anticipated rejoice and anticipated regret can affect subsequent purchase intention significantly. However，the result of multiple regression reveals that the impact hope exerts on purchase intention is most significant，followed by anticipated regret and anticipated rejoice，while anxiety is not significant. The above research conclusions are not only beneficial for companies to enhance the effect of limited-quantity promotion，but also conducive to further understanding the impact of future-oriented emotions.