ISE 2024年第2期目录及摘要

Trading rule discovery using technical analysis and a template matching technique for pattern recognition: Evidence from the Chinese stock market

Júlio Lobão,  Luís Pacheco,  António Fernandes

利用技术分析和模式识别模板匹配技术发现交易规则：来自中国股市的证据

Bank tail risk in China

Huan Yang,  Jun Cai,  Lin Huang

中国银行尾部风险

Tests of goods market integration between China and African BRI countries

Shu-kam Lee,  Paul Kwok-ching Shum,  Kai-yin Woo

中国与非洲 “一带一路倡议”国家商品市场一体化测度

Nonparametric estimation of English auctions with selective entry: An application to online judicial auctions

Nianqing Liu,  Kexin Xu

有选择进入的英式拍卖的非参数估计：在线司法拍卖的应用

Medical insurance, labor supply, and anti-poverty initiatives: Micro-evidence from China

Li Su,  Mingxiao Sha,  Ruixue Liu

医疗保险、劳动力供给与扶贫举措：中国的微观证据

Market or clan: A comparative study of risk sharing institutional evolution in China and Europe

Wenge Zhu

市场还是宗族：中欧风险分担制度演变比较研究

利用技术分析和模式识别模板匹配技术发现交易规则：来自中国股市的证据

摘要：本文利用基于价格模式识别的模板匹配技术研究了上海证券交易所综合指数（上证指数）牛旗型交易规则的潜在收益。本文采用模板匹配技术识别 1991-2021年期间上海证券交易所综合指数（上证指数）中的牛旗形态，填补了文献空白。据我们所知，此前的文献还没有研究将牛旗交易规则应用于中国股市。我们的研究结果表明，牛旗型交易规则在大多数情况下都能正确预测指数的价格变动方向，并获得显著的正超额利润。此外，较短的拟合窗口以及较短持有期内较高质量的价格拟合值能够提升此方法的性能。本文的研究对于选择该指标的投资者来说可能具有现实意义。

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中国银行尾部风险

摘要：本文测量了中国银行股的单变量和多变量条件尾部风险概率，以探究其与35个常见风险因子之间的尾部依赖性。研究表明，风险因子与中国银行股的尾部联动性十分显著。其中，银行业、证券交易、房地产和能源行业风险因子的尾部事件对中国银行股极端收益的影响最大。单变量条件尾部风险远远高于无条件尾部风险，且多个风险因子极端收益的联合发生会进一步加剧银行股的尾部风险。总体而言，与发达市场风险因子相比，新兴市场风险因子与中国银行股之间存在更强的跨市场尾部联系。然而，在 2008 年金融危机期间，发达市场风险因子与中国银行股之间的跨市场尾部联动性急剧上升。

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Abstract：The Chinese Government has promulgated the “Belt and Road Initiative” (BRI) to increase trade flows and integrate goods markets between China and BRI countries. The validity of purchasing power parity (PPP) implies well-integrated goods markets, a precondition for further economic convergence, and the next stage of economic integration in factor, service, and financial markets. Our study aims to examine the validity of the PPP and the extent of goods market integration between China and selected BRI countries in Africa. Since the functional form of the cointegrating relationship may not be exact or linear, we adopt the nonparametric rank tests for analysis without prior knowledge and specification of the functional form. We also address the rank problems that occur in multivariate rank tests. Our empirical results provide strong evidence of an unrestricted PPP relationship with reasonably strong evidence of nonlinearity in the data. We also find that some African BRI countries have experienced goods market integration with China during the second-half period only. This indicates that the introduction of the BRI in 2013 and China's active involvement in African economic development through BRI projects are leading to enhanced goods market integration between China and Africa. The results indicate favorable prospects of closer economic cooperation in the factor, service, and financial markets to build a free trade area or common markets with BRI countries in Africa.

中国与非洲 “一带一路倡议”国家商品市场

一体化测度

摘要：中国政府提出了 “一带一路倡议”（BRI），以增加中国与 “一带一路”沿线国家之间的贸易流量并整合货物市场。购买力平价（PPP）的有效性意味着货物市场的良好整合，这是经济进一步趋同的前提，也是下一阶段要素、服务和金融市场经济整合的前提。我们的研究旨在考察购买力平价的有效性以及中国与非洲部分“一带一路倡议”参建国家之间商品市场一体化的程度。由于协整关系的函数形式可能不是精确的或线性的，因此我们采用了非参数秩检验来进行分析，而无需事先了解和指定函数形式。我们还解决了多元秩检验中出现的秩问题。我们的实证结果合理地证明了数据中的非线性，有力地证明了非限制性购买力平价关系。我们还发现，一些非洲“一带一路倡议”国家仅在后半段时期经历了与中国的商品市场一体化。这表明，2013 年“一带一路倡议”的提出以及中国通过“一带一路倡议”项目积极参与非洲经济发展，正在加强中国与非洲之间的商品市场一体化。研究结果表明，中国与非洲“一带一路倡议”参建国家在要素市场、服务市场和金融市场开展更紧密的经济合作，建立自由贸易区或共同市场的前景良好。

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Abstract：This paper proposes an estimation approach following the constructive identification strategy of Athey and Haile, and Gentry and Li with adaption in the context of ascending auctions with selective entry. Our estimators are shown to be consistent in a large sample and to perform well in a finite sample by a simulation study. We apply our estimation approach to the Alibaba online judicial auctions of used cars to recover the bounds of conditional value distribution and the entry cost. The bounds estimates of both conditional value distribution and entry cost are quite tight (resp., relatively wide) for middle-valued (resp., low-valued or high-valued) signal, and the cumulative distribution functions of conditional value distribution given signal comply with the law of ordered dominance. Finally, our counterfactual analysis indicates that (i) the ascending auction yields a higher revenue than the first-price sealed bid auction, and (ii) the revenue can be improved significantly when the entry cost is cut by half.

有选择进入的英式拍卖的非参数估计：

在线司法拍卖的应用

摘要：本文根据 Athey 和 Haile 以及 Gentry 和 Li 的构造性识别策略提出了一种估计方法，并在有选择性进入的升序拍卖背景下进行了调整。模拟研究表明，我们的估计方法在大样本中具有一致性，在有限样本中表现良好。我们将估计方法应用于阿里巴巴二手车在线司法拍卖，以估计拍卖参与者条件估值分布及其进入成本的边界。对于拍卖参与者的中值（低值或高值）信号，条件估值分布和进入成本的边界估计值都相当紧（或相对宽），而且给定信号的条件估值分布的累积分布函数符合有序支配定律。最后，我们的反事实分析表明：(i) 递增拍卖比第一价格密封竞价拍卖产生更高的收益；(ii) 当进入成本减半时，收益会显著提高。

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Abstract：The high cost of medical care and its association with poverty have given rise to a growing concern for developing countries, but how insurance plans affect household income and alleviate poverty has been rarely discussed. This study aims to bridge this research gap by examining a medical insurance reform in China, a major program of the targeted poverty alleviation (TPA) strategy, which offers higher reimbursement rates and lower medical deductibles for low-income households. We use an administrative data set on impoverished people in a Chinese county to examine how exogenous changes in the medical insurance system affect the income structure of low-income households. We apply a two-part model to a Difference-in-Differences framework, with households that received reimbursement of the insurance reform as the treatment group and others as the control group. Our results imply that the medical insurance reform could increase the overall household income diversity. The mechanism analysis suggests that the medical insurance reform improves the health conditions of patients and encourages caregivers to engage more in off-farm work.

医疗保险、劳动力供给与扶贫举措：

中国的微观证据

摘要：高昂的医疗费用及其与贫困的关系越来越受到发展中国家的关注，但关于医疗保险项目对家庭收入和减贫效果的研究却相对较少。本研究旨在通过考察中国的一项医疗保险改革来填补这一研究空白。该医保改革是中国精准扶贫战略中的一项重要措施，旨在为低收入家庭提供更高的报销比例和更低的医疗免赔额。我们使用了中国一个原国家级贫困县的贫困人口行政数据集，研究了医疗保险制度的外生变化对低收入家庭收入结构的影响。基于双重差分框架，我们应用了两部分模型（Two-part model）进行分析，将获得医保改革报销的家庭作为实验组，其他家庭作为对照组。研究结果显示，医疗保险改革能够提高家庭收入的多样性；机制分析进一步表明，医疗保险改革改善了患者的健康状况，并鼓励家庭照护者更多地从事非农工作。

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Abstract：In the psychological and sociological framework of risk, we establish a static and dynamic equilibrium model for risk-sharing institutional evolution. Particularly, through a comparative study of marine insurance development in China and Europe, we address a wide set of research questions concerning why China and Europe relied on different social organizations for risk sharing.

市场还是宗族：

中欧风险分担制度演变比较研究

摘要：在风险心理学和社会学框架下，我们建立了风险分担制度演化的静态和动态均衡模型。我们特别通过对中国和欧洲海上保险发展的比较研究，解决了中国和欧洲为何依赖不同社会组织分担风险的一系列研究问题。

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