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姓 名: 曾志坚
系 别: 金融工程系
职 称: 副教授
办 公 室: 工商管理学院
办公电话: 86-731-
移动电话: 13574835546
E-mail: celia116@126.com

个人简介

        曾志坚,管理学博士,副教授,硕士生导师,金融工程系党支部书记兼副系主任,湖南大学资本运营与公司理财、金融工程学术梯队骨干成员。2001年获经济学学士学位(国际金融专业),2003年获经济学硕士学位(金融学专业),2006年获管理学博士学位(管理科学与工程专业),2006年晋升讲师,2008年晋升副教授。研究方向:金融工程与风险管理、金融企业管理、财务管理。主持完成国家自然科学基金项目1项、教育部人文社会科学规划青年基金项目1项、湖南省社会科学基金项目1项,参与国家自科基金、国家社科基金项目和省部级科研项目6项。出版专著1部,参与编著3部。在Finance Research Letters,《管理科学学报》、《数量经济技术经济研究》、《管理世界》、《管理评论》等期刊上公开发表学术论文30余篇。获“湖南省哲学社会科学优秀成果一等奖”。

教育背景

2003.09-2006.07

  

湖南大学

  

管理科学与工程

  

博士

 

2001.09-2003.07

  

湖南大学

  

金融学

  

硕士

1997.09-2001.07

  

湖南大学

  

国际金融

  

学士

职业经历

2008-至今

湖南大学工商管理学院

副教授

2006-2008

湖南大学工商管理学院

讲师

社会兼职

湖南省技术经济与管理现代化研究会理事

行业领域

银行、证券投资、信托、保险、风险投资、实业投资等

企业合作

海南海药财务管理、股利政策与内部控制咨询、湖南电广传媒的管理咨询、长沙移动流程管理咨询、湖南斯伦贝谢通信设备有限公司价值评估、湖南省浏阳市三星化工实业有限公司企业管理模式设计等

招收学生的基本要求

硕士研究生(学术型):勤勉踏实,专注学术,具有创新精神,能够根据老师的指导主动自发地完成课程学习与论文撰写。

硕士研究生(专业型):有企业工作的实际经验,具有较为明确的职业发展目标,善于均衡工作、家庭与学习的关系,能够投入时间在管理理念学习和思想交流上。

欢迎跨专业学生报考,文理兼招。

 

 

 

讲授课程

本科:金融市场学、金融风险管理、金融工程学、管理学

MBA & 硕士:金融创新与金融管理专题、金融风险度量与管理、衍生工具:定量方法、财务管理

 

研究领域

1. 金融工程与风险管理

2. 金融企业管理

3. 财务管理

 

研究成果

1、著作

曾志坚, 谢赤. 股票与债券市场间收益率及流动性联动关系研究. 长沙: 湖南科学技术出版社, 2008

 

2、论文

[1] Zeng Zhi-Jian, Xie Chi, Yan Xin-Guo, Hu Jue, Mao Zhou. Are stock market networks non-fractal? Evidence from New York Stock Exchange. Finance Research Letters, 2016, (1): 1-7 [SSCI]

Abstract: In this paper, we investigate the fractal (non-fractal) property of stock market network by using the edge-covering with simulated annealing method. We choose the daily closing price of 2109 stocks traded on the NYSE during the period from 2011 to 2014 as dataset and construct the network by using minimal spanning tree (MST). The empirical results show that the degree of stocks obeys power-law distribution and the highly connected stocks connect with each other directly, i.e., the stock market network is non-fractal. Our work provides a new perspective on risk management, which can be used in other network-based financial systems.

[2]龙瑞, 谢赤, 曾志坚, 罗长青. 高频环境下沪深300股指期货波动测度——基于已实现波动及其改进方法. 系统工程理论与实践, 2011, (5): 813-822 [国家自然科学基金委员会A类重点期刊] 

摘要:作为中国唯一上市交易的金融期货产品,沪深300股指期货在资本市场价格发现和风险防范过程中扮演重要角色,科学准确地测度其收益波动对充分实现股指期货避险功能具有重要理论和现实价值.在日内高频信息环境下分别采用经典已实现波动率、已实现极差波动率和已实现双幂波动率等三类方法对沪深300股指期货的收益波动进行测度,通过样本内预测误差指标对上述方法的测度性能进行比较.实证结果表明:沪深300股指期货在上市交易后表现出由剧烈波动到渐趋平稳的波动特征,已实现波动的改进方法在沪深300股指期货收益波动的测度性能上具有较为明显的优越性。

Abstract:As the only publicly launched financial futures contracts of China, CSI 300 stock index futures plays an important role in the process of price discovery and risk prevention of the capital market. The measurement of its return volatility is significantly important to achieve the risk aversion function of stock index futures. Under the intraday high-frequency data environment, the return volatility of Chinese CSI 300 stock index futures was measured by realized volatility methods including classical realized volatility, realized range-based volatility and realized bipower volatility.  The in-sample prediction error indicators were introduced to distinguish the performance of the methods above.  The empirical results indicate that the return volatility of CSI 300 stock index futures fluctuated fiercely at the beginning after listing while then changed to be stable, and modified methods of realized volatility show a better measurement performance of return volatility of CSI 300 stock index futures than classical realized volatility.

[3]陈君兰, 谢赤, 曾志坚. 证券市场间信息传递效应实证研究——兼论金融危机的影响. 管理科学学报, 2010, 13(11): 112-120 [国家自然科学基金委员会A类重点期刊]

摘要: 2007年在美国开始爆发的次贷危机至今已蔓延为全球性金融危机,世界各国和地区证券市场均受到了不同程度的影响。本文对近年来,特别是这一轮金融危机下中国内地、香港以及美国三地证券市场的信息传递效应进行了比较分析。研究结果表明,2003年以后三地证券市场的联动关系得到加强,它们之间存在长期协整关系;美国证券市场与中国内地和香港证券市场均存在Granger因果关系。同时,本文还通过事件研究法检验得出结论:中国内地证券市场对金融危机信息的反应能力和吸收信息的能力都不及香港和美国证券市场。究其原因,主要是中国内地证券市场发展尚不成熟,投资者自身素质还有待提升。

Abstract: The outbreak of subprime lending crisis has spread into global financial crisis since 2007. Securities markets indifferent countries and regions are affected to varying degrees. This paper comparatively studies information transmission among Chinese mainland securities market Hong Kong securities market and the US securities market in recent years, after this financial crisis in particular. The empirical results indicate that co-integration exists in the above mentioned markets since 2003 and the co-movement has been strengthened. The US securities market has Granger causality on Chinese mainland securities market and Hong Kong securities market. This paper also finds that Chinese securities market is inferior to HK and the US securities markets in reacting and absorbing information based on financial crisis by event study. That is because Chinese mainland securities market is not yet mature and investors' quality is supposed to need improving further.

[4]谢赤, 张太原, 曾志坚. 中国股票市场存在流动性溢价吗? 管理世界, 2007, (11): 36-47 [国家自然科学基金委员会A类重点期刊]

摘要: 本文利用高频数据,采用主成分分析方法构造了一种新的股票流动性度量方法, 并使用 LR两阶段截面回归方法与似无关回归估计法, 检查了股票流动性是否影响其预期收益率。实证结果表明, 上海股票市场存在流动性溢价, 股票流动性降低时, 股票预期收益率会增加。研究同时发现, 上海股票市场具有很强的价值效应, 但不具有规模效应。

Abstract: Based on principal component analysis, this paper gets a new liquidity measure by using high-frequency data to measure the stock liquidity. Then, LR two- stage cross-sectional regression and seemingly unrelated regression method are taken to examine if liquidity affects expected return in stock market. The final empirical study shows that there is a liquidity premium in Shanghai Stock Market; stock expected return increases when its liquidity reduces. At the same time, the empirical results show that there is value effect, but not scale effect in Shanghai Stock Market.

[5]谢赤, 曾志坚. 股票市场流动性溢价的实证研究. 数量经济技术经济研究, 2005, (9): 143-154 [国家自然科学基金委员会A类重点期刊]

摘要:资产流动性的高低是否影响资产的价格一直是资本市场理论研究的热点问题,也是投资者决策的重要理论依据之一。本文根据股票市场流动性溢价原理,选取换手率与Amivest流动比率作为股票流动性的衡量指标,采用LR两阶段截面回归方法与似无关回归(SUR)估计法,对上海股票市场的股票流动性与预期收益率的关系进行了实证研究。结果表明,上海股票市场存在显著的流动性溢价,换手率低或Amivest流动比率低,流动性较差的资产具有较高的预期收益。研究同时发现,上海股票市场具有很强的规模效应和价值效应。

Abstract: Whether the degree of stock liquidity affects stock price is an important issue about capital market theory, and about investors' decision making. Ac-cording to stock market liquidity premium theory, selecting turnover ratio and Amives liquidity ratio to measure stock liquidity, using LR two stage cross sectional regression and seemingly unrelated regression method, this paper studies the relationship between liquidity and expected return in Shanghai stock market. The result shows liquidity premiums exist in Shanghai stock market—— assets with lower turnover ratios or Amivest liquidity ratio, hence lower liquidity have higher expected returns. This paper also finds that scale effect and value effect exist in Shanghai stock market.

[6]曾志坚, 徐迪, 谢赤. 金融危机影响下证券市场联动效应研究. 管理评论, 2009, (2): 32-38 [国家自然科学基金委员会A类重点期刊]

摘要:2007 年在美国开始爆发的次贷危机至今已演变为全球性金融危机。本文在当前金融危机的背景下,研究了中国内地证券市场与世界主要证券市场的联动效应。研究结果表明,随着金融危机的爆发与深化,中国内地证券市场与世界证券市场的联动效应也发生了相应的变化。尤其在金融危机深化时期,这种联动效应明显增强。此外,中国内地证券市场对德国与香港证券市场有显著影响。

Abstract: The sub-prime mortgage crisis that started in the U.S. has led to worldwide losses, interbank credit crunch and turbulence in the financial markets. This paper analyzes the background, devolution and internal mechanism of the crisis; discusses the different impacts on China's real estate market through the interest rate, foreign investment, market expectations, industry policies and so on; and testifies the impact of the crisis with the event-study analysis. On the basis of the analysis, this article puts forward the corresponding policy recommendations.

[7]Zeng  Zhi-Jian, Li Jia-Li. Effect of family control on company’s investment-cash flow sensitivity: Evidence from China’s listed companies. Management, Information and Educational Engineering, 2014, (3): 163-166 [EI检索: 20160701929788]

Abstract:Based on the sample of Chinese A-share list companies for the time period 2010 to 2012 , this article empirically investigates the influence of the family control control on company invest-cash flow sensitivity. The empirically result is shown as follows: Companies that are not family controlled , investment is more sensitive to cash flow in family-controlled companies; the characteristic of family control rights such as its model selection, the way of realization, and management participation degree affect a family-controlled listed company’s investment-cash flow sensitivity at different levels.

[8]Zeng Zhi-Jian, Zhang Yi-Jun. Ultimate ownership structure and stock price crash risk: Evidence from China. Management, Information and Educational Engineering, 2014, (2): 1011-1014 [EI检索: 20160701929825]

Abstract:Using a sample of A-share listed firms in China for the period 2004~2013, this paper empirically investigates the effect of the ultimate ownership structure on stock price crash risk from the perspective of the second corporate agency cost theory. We provide strong evidence that the separation of control power and cash-flow right is positively associated with stock price crash risk. And there is a significant negative correlation between cash-flow right and stock price crash risk. We also find that stock price crash risk is related with the nature of the ultimate controlling shareholder. Compared with non-state-owned listed companies, the state-owned companies may face lower stock price crash risk.

[9] Zeng Zhi-Jian, Zhou Xing. Effects of excess cash holdings on firm value: Study from the perspective of corporate life cycle. 2nd International Conference on Education, Management and Social Science, 2014, (4): 172-175 [ISTP检索: 000346294900049]

Abstract:Based on the corporate life cycle theory, the effects of corporate excess cash holdings on firm value is conducted in this paper. The results show that a significant  inverse U-shaped relation exists between excess cash holdings level and firm value. It indicates that lots of companies face the problem of financing constraints. Moreover, the results also show that the optimal excess cash holdings level is discrepant at different corporate life cycle stages. Therefore, in order to ensure the corporate cash policy is reasonable, the corporate should make the cash policy according to which corporate life cycle stage it is at.

[10] Zeng Zhi-Jian, Yang Wei-Yi. A study on the impact of cash dividend distribution on earnings persistence of listed company. 2012 IEEE 19th International Conference on Industrial Engineering Management, 2013, (3): 15-23 [EI检索: 20140317205840]

Abstract: Cash dividend distribution transmits some information of earnings persistence of listed company, but the analysis on the influence of cash dividend distribution on earnings persistence is still not enough. Based on the data of Chinese listed companies from 2003 to 2009, this article tests the impact of cash dividend distribution on earnings persistence of companies. The empirical results are as follows: in general, cash dividend distribution has a negative effect on earnings persistence of company, so cash dividend distribution of listed company is more a tool for tunneling by controlling shareholders; but among companies which allocate cash dividend at the current term, the impact on earnings persistence varies with cash dividend payout ratio levels; relative to moderate levels of cash dividend payments, low levels of cash dividend payments have significant negative impact on earnings persistence, but high levels of cash dividend payments have no obvious effect on earnings persistence.

[11]Zeng Zhi-Jian, Xu Di. A study on the comovement between warrants and the underlying stocks based on a time-varying relevant bivariant normal copula model. In: The 2nd International Conference on E-Business and E-Government (ICEE2011), 2011, (5): 1962-1965 [EI检索: 20112914161136]

Abstract: The time-varying relevant bivariant normal copula model is applied to study the comovement between representative warrants and their underlying stocks in Mainland China’s stocks market. The results indicate that there’s a quite strong positive comovement between the call warrants and the underlying stocks during the entire duration, while this comovement weakens on the last trading day; As for the put warrant and the underlying stock, this comovement is weak  and negative, while on the last trading day, this negative comovement weakens.

[12]Zeng Zhi-Jian, Xie Chi. A study on the effect of macro economy on the liquidity comovement between stock and bond markets. In: The 6th International Conference on Management (ICM' 2007), 2007, (2): 729-734 [ISTP检索: 000252036001019]

Abstract: Liquidity comovement between financial assets is a fundamental issue of financial management. It’s important to asset pricing, asset allocation and risk management. This paper analyzes the effect of macro economy on the liquidity comovement between stock and bond markets from both theoretical and empirical perspectives. Results from empirical analysis indicate that the variation of the correlation between the liquidity of stock and bond markets mainly depend on the variation of industry added value, money supply, inflation, domestic credit beside of itself variation. 

[13]Xie Chi, Zeng Zhi-Jian. An empirical study on the comovement between stock market and treasury bond market. In: the 8th International Conference on Industrial Management (ICIM’2006), 2006, 786-796 [ISTP检索: 000242562600120]

Abstract: Return comovement and liquidity comovement of financial assets is a fundamental issue of financial management. With VAR models, comovement between Shanghai stock market and Shanghai Treasury bond market has been analyzed in this paper. The empirical findings are as follow: (1) the long-term cointegration between the close prices of Shanghai stock market and Shanghai Treasury bond market exists, and the close price of Treasury bond is the Granger causality of the close price of stock. (2) The long-term cointegration between the liquidity of Shanghai stock market and Shanghai Treasury bond market exists, and the liquidity of Treasury bond is the Granger causality of the liquidity of stock. 

[14]曾志坚, 岳凯文, 齐力. 基于复杂网络的新能源股票间联动性研究. 财经理论与实践, 2015, (6): 44-49 [CSSCI收录]

摘 要:运用复杂网络方法,建立无向无权网络,对新能源板块内88支股票间的联动性进行实证分析,结果表明新能源股票间的收益具有联动性;一些股票在网络中占据重要位置,对于信息在新能源股票网络中传递起重要作用;所构建的网络具有小世界效应和无标度特性,但是幂律指数与大多数现实网络的幂律指数存在差异。

Abstract: By using the complex network to establish an undirected and unweighted network, this paper analyzes co-movement among the 88 stocks within the new energy plate. The empirical results show that there is co-movement lies in the returns of the new energy; some stocks occupy the important position in the network, for information transfer plays an important role in new energy stocks network; the network constructed has small-world effect and scale-free properties, but the power-law index is not consistent with the power-law index of most real networks.

[15]曾志坚, 周星. 超额现金持有水平对企业价值的影响——基于企业生命周期视角的实证研究. 中央财经大学学报, 2015, (4): 107-112[CSSCI收录]

摘要:现金是收益性最差的资产,但许多公司却倾向于持有超过正常水平的现金。笔者以2007-2012年沪深两市全部A股上市公司为研究样本,考察了超额现金持有水平对企业价值的影响。实证结果显示:由于公司普遍同时面临委托代理和融资约束问题,其超额现金持有水平与企业价值之间呈现倒U型关系。这表明适度持有超额现金将有助于企业价值的提升,但超额现金持有过多将导致企业价值下降。笔者进一步深入研究了超额现金持有水平对企业价值的影响在生命周期不同阶段是否存在差异。研究结果显示对于处在生命周期不同阶段的公司,使其企业价值达到最大化的最优超额现金持有水平存在显著差异,成长期公司的最优超额现金持有水平最高,成熟期公司的最优超额现金持有水平最低。因此公司应根据自身所处的企业生命周期阶段来制定相应的现金持有决策,促使企业价值达到最大化。

Abstract: Many firms incline to hold large amount of cash, even though profitability of cash is lower than that of any other assets. Base on the financial date of the A-share listed companies during the period 2007-2012, the impacts of corporate excess cash holdings level on corporate value is studied by us. The results show that a significant reverse U-shaped relation exists between excess cash holdings level and corporate value。It is may caused by that companies always face the financing constraint problem and agency problem at the same time. Holding appropriate excess cash can exert beneficial impacts on improving firm value,but holding too much cash led to the decreasing in corporate value. Moreover, we investigate the difference of the impacts of excess cash holdings level on firm value at different corporate lifecycle stages. The results show that the optimal excess cash holdings level is discrepant at different corporate lifecycle stages. The optimal excess cash holdings level of firms at growth life cycle stage is highest. And the optimal excess cash holdings level of firms at maturity life cycle stages is lowest. Therefore corporate should make corresponding cash policy according to which corporate lifecycle stage it is at. 

[16]曾志坚, 张倩倩, 左楠. 基于模糊层次分析法的科技企业孵化器评价体系研究. 财经理论与实践, 2014, (6): 119-122[CSSCI收录]

摘 要:从综合服务能力、可持续发展能力、基础服务条件和孵化效益4个方面,构建了科技业孵化器评价指标体系,并运用模糊层次分析法确定各个指标的权重。结果表明科技项目申报资助额、经营服务管理水平、高素质员工比例和科技创新基金年平均投入量是衡量科技企业孵化器运营绩效的重要指标。

Abstract: The evaluation index system of science and technology enterprise incubator is constructed from comprehensive services, sustainable development ability, infrastructure, economy benefit and social benefit of incubator. Then we use the Fuzzy Analytic Hierarchy Process to evaluate the weight of the different indicators. The result shows that science and technology project support, the level of management and service, the proportion of high-quality staff and science and the rate of technology innovation fund investment are important indicators to measure the science and technology enterprise incubator’s operational performance.

[17]曾志坚, 唐述福. 股票市场系统流动性风险溢价牛熊市差异研究. 湖南大学学报(社会科学版), 2014, (1): 66-70[CSSCI收录]

摘 要: 从行业和市场行情变化出发研究了股票市场系统流动性风险溢价的差异。以沪深300指数和沪深300行业指数为对象,选取的样本期间横跨牛市行情和熊市行情,采用二元均值 GARCH(1,1)——Diagonal BEEK模型进行实证检验。结果表明,在混合市场行情下,总体样本和行业样本的系统流动性风险溢价都不显著,在牛市行情下,不存在系统流动性风险,而在熊市行情下,系统流动性风险显著存在,并且不同行业的系统流动性风险溢价存在一定的差异。

Abstract: Considering the industry factors and market condition, this paper studied the differences of stock market liquidity risk premium. Take the CSI 300 Index and CSI 300 Sector Index as sample period contains both the bull market and bear market, and the Binary mean model GARCH(1,1)--     Diagonal BEKK was used in empirical research. The results show that the overall samples and industry samples liquidity risk premium is not significant in the mixed market conditions, the systemic liquidity risk is not exist in the bull market but the bear market,furthermore,the systemic liquidity risk premium in different industries are different.

[18]谢赤, 张鹏, 曾志坚. 开放进程中人民币汇率间相依性研究——基于动态Coupla-GJR-t模型的分析. 金融经济学研究, 2014, (1): 79-99[CSSCI收录]

摘 要: 构建动态 Copula-GJR-t 模型对汇改后人民币兑美元、欧元和日元汇率间的相依结构进行考察。研究表明: 人民币兑美元与兑欧元、兑日元汇率间存在负相依性,人民币兑欧元与兑日元汇率整体上呈现正相依性; 在极端事件下,各汇率间相依性较正常时期发生很大变化,但不像股票市场那样呈现增强的正相依性; 人民币兑美元与兑欧元、兑日元汇率的上、下尾相依性基本为零,说明它们不存在同时大涨或大跌的可能性,而人民币兑欧元与兑日元汇率有波动较大的上、下尾相依性,说明两者存在汇率风险传染关系。

Abstract: This paper studies the impact of the interest rate marketization for large enterprises and small and medium-sized enterprises’independent innovation theoretically,and analyzes the innovation efficiency of large and medium -sized industrial enterprises in China’s 30 provinces with SFA method,especially focuses on the impacts of decline in lending rates on the efficiency of enterprise innovation. The results show that in condition of financial distortion,the development of finance has negative effect on innovation efficiency; the increase of the proportion of state -owned enterprises’industrial production value can promote the innovation efficiency; the release of loan limit which will make lending rates fell can do favor to the enterprise innovation efficiency; interest rate market is conducive to the change of the state of financial market segmentation,and conducive to the innovation capacity of SMEs.So we should continue to make policy in the reform of financial system especially the interest system.

[19]曾志坚, 张倩倩. 基于MF-DCCA方法的证券市场间交叉相关性研究. 财经理论与实践, 2013, (6): 45-49[CSSCI收录]

摘 要:运用多重分形去趋势波动交叉相关分析法(MF-DCCA),研究上海证券市场和香港证券市场之间的交叉相关关系。实证结果表明:上海证券市场和香港证券市场之间存在交叉相关性,且呈现出多重分形特征;当证券市场出现较大的波动时,上海证券市场和香港证券市场的交叉标度指数要大于其平均标度指数,即两个证券市场之间的交叉相关性要大于其自相关性。

Abstract: The cross-correlation between Shanghai securities market and Hong Kong securities market is examined using the multi fractal de-trended cross-correlation analysis method(MF-DCCA).The empirical results show that there exist cross-correlation between Shanghai securities market and Hong Kong securities market and posses multi fractal features. When the securities markets arise comparatively large fluctuations, the cross-correlation exponent between Shanghai securities market and Hong Kong securities market is larger than the average scaling exponents, which suggests that cross-correlation between the two securities markets are stronger than the individual market’s auto-correlations.

[20]曾志坚, 钟紫璇, 曾艳. 中国创业板和主板市场间溢出效应研究——基于小波多分辨分析. 财经理论与实践, 2012, (6): 43-47[CSSCI收录]

摘  要:运用小波多分辨分析及VAR-DCC-GARCH模型,研究了中国创业板与主板股票市场间的溢出效应。实证结果表明:从长期趋势看,中国创业板与主板市场之间存在双向的均值和波动溢出。从短期来看,在1到2天的短期交易周期中,两者之间不存在任何溢出效应。随着交易周期的增长,两者间的均值溢出效应是从无到单向,再到双向逐步体现出来的,而波动溢出效应的出现则没有规律性。

Abstract: The Spillover Effect between Chinese GEM and the main board market is examined using the wavelet multi resolution analysis and the VAR-DCC-GARCH molde. The empirical results show that: from the long-term trend, there exist bidirectional mean and volatility spillover between the GEM and main board market. From the short-term trend, in the cycle of 1-2 days, there do not exist any spillover effect between the two markets. With the growth of trading cycle, the mean spillover effect between the two markets is from nothing to ong-way, and then to two-way, while the appearance of volatility spillover effect has no regularity.

[21]曾志坚, 徐迪, 左楠. 金融危机对证券市场波动溢出的影响研究. 财经理论与实践, 2011, (6): 48-52 [CSSCI收录]

摘 要:不同证券市场之间的波动存在时变、非对称、非线性相关的特性,尤其是在极端事件影响下,证券市场之间往往会表现出尾部相关的特性。以次贷危机为背景,利用时变Capular模型研究了证券市场间的波动溢出。结果发现无论是金融安全时期还是金融危机时期,均存在美国证券市场对中国证券市场的波动溢出,并且在金融危机期间这种波动溢出效应有增强的趋势。

Abstract: Volatilities in different securities markets demonstrate the characteristics of time varying non-symmetrical as well as  nonlinear related,especially under some extreme circumstances,there are always some kinds of tail correlations among different securities markets. The volatility spillover among different securities markets is examined with time varying copula model in the context of subprime crisis.  The empirical results show there is volatility spillover from the U. S.  securities market to China's mainland securities market,at the same time,this volatility spillover is greatly strengthened during the financial crisis period.

[22]曾志坚, 陈川, 龙瑞. 证券市场危机预警研究. 湖南大学学报(社会科学版), 2011, (5): 59-63 [CSSCI收录]

摘  要:界定了证券市场危机状态的临界状态,选择宏观、微观和市场三层次指标,利用Logistic回归方法构建了证券市场危机预警模型。实证研究表明,中国证券市场发生危机发生的概率与通货膨胀率变动、市场利率、汇率变化幅度、香港证券市场指数收益率变化、市场平均市盈率、市场平均换手率、IPO平均抑价水平和ST企业比例显著相关,并且基于Logistic回归的证券市场危机预警模型能及时、迅捷地释放危机预警信号。

Abstract: On the basis of the definition of the security market’s crisis critical state, a security market’s crisis prediction model is constructed with the macro, market, and micro level indicators by logistic regression. The empirical results show that the burst probability of China’s security market significant related to the change degree of the inflation rate, market interest rate, exchange rate, the index return rate of Hong Kong security market, average market P/E ratio and turnover rate, average IPO under pricing level, and ST enterprise portion, thus the  security market’s crisis prediction model based on logistic regression can precisely and timely release the crisis signal of security market.

[23]曾志坚, 范丽, 周竞东. 基于互谱分析的权证与标的证券收益率波动溢出研究. 财经理论与实践, 2010, (6): 38-43[CSSCI收录]

摘 要:通过互谱分析实证研究了中国权证市场具有代表性的权证与其标的证券之间的波动溢出效应。结果表明,权证收益率波动与标的证券收益率波动之间的相干性较低,波动溢出效应不明显,但是二者之间存在一定的领先——滞后关系,在权证最后交易日存在从权证收益率波动到标的证券收益率波动的领先关系。

Abstract: The volatility spillover effect between representative warrants in China warrants market and the underlying securities is examined using cross-spectral analysis. The results show that low coherence between warrants volatility and their underlying securities volatility, the volatility spillover effect is not obvious. But there is a certain lead-lag relationship between them and in the last trading day there is lead relationship from warrants volatility to underlying securities volatility.

[24]曾志坚, 范丽, 左楠. 基于互谱分析的证券市场危机传染研究. 财经理论与实践, 2009, (6): 32-36 [CSSCI收录]

摘  要:以次贷危机为背景,通过互谱分析实证研究了美国和中国证券市场的危机传染效应。研究结果表明,次贷危机发生后美国和中国证券市场之间的关联性在短期内发生了显著性的加强,说明两个证券市场之间发生了危机传染。在危机传染中虽然中国证券市场在非常短的周期内会影响到美国证券市场,但主要是美国证券市场领先中国证券市场。

Abstract: The contagion effect of crisis between the United States and China’s securities markets is examined using the cross-spectral analysis in the context of subprime crisis. The relationship between the securities markets of United States and China is found to be significantly manifested in the short run after the occurrence of subprime crisis, which indicates a contagion for the two securities markets. The United States securities market is discovered to lead China’s securities market in the main time, although market of China will in a very short period affect the U.S. securities market.

[25]曾志坚, 江洲. 关于我国股票市场与债券市场收益率联动性的实证研究. 当代财经, 2007, (9): 58-64[CSSCI收录]

摘 要: 股票和债券的资产组合在证券投资领域是一种传统而常见的投资组合方式。为了从组合中获取最大收益和最大限度地规避风险,研究这两种资产之间的联动性问题具有重要意义。基于对股票市场与债券市场收益率联动性进行的实证分析,我们发现股票市场与债券市场收益率之间存在长期影响;股票市场与债券市场收益率之间存在领先-滞后关系;股票市场与债券市场收益率之间的月度相关性是时序变化的,可以用模型进行描述与预测。

Abstract: A mixed stock and bond portfolio is a traditional and widely used investment portfolio in the field of securities investment. In order to achieve maximum return with a minimum degree of risk, it is important to study the comovement between these two assets. This paper empirically studies the liquidity comovement between stock and bond markets. The empirical results show that the returns of stock and bond markets interacts in the long run, and there exists a leading and lag relation between them. The month correlation between the return of stock and bond markets is time-varying, which can be described and predicted with some models.

[26]曾志坚, 谢赤. 证券市场流动性的度量方法研究. 中国流通经济, 2006, (9): 61-64[CSSCI收录]

摘要:流动性是证券市场的血液。本文在综合多种单支证券流动性的度量方法和市场总体流动性的度量方法的基础上,构建了证券市场流动性指数,为进一步对各个市场流动性历史变化进行纵向比较和相互间的横向比较,进一步研究市场流动性与收益率之间的关系提供了基础。

Abstract: Liquidity is the blood of security market. Reviewing sorts of measure methods of individual security liquidity and market-wide liquidity, this paper establishes security market liquidity index which enables us to compare different markets liquidity and further study the relationship between market-wide liquidity and return.

[27]刘玲, 谢赤, 曾志坚. 股票价格指数与宏观经济变量关系的实证研究. 湖南师范大学社会科学学报, 2006, (5): 82-86[CSSCI收录]

摘 要: 从理论和实证两方面分析股票价格指数与宏观经济之间的关系,协整检验结果表明,股票价格指数与宏观经济变量之间存在长期均衡关系。具体而言,股票价格指数与企业景气指标、工业增加值之间呈正相关关系,而与利率、货币供给之间是一种负相关关系,与通货膨胀率之间的关系则不确定。

Abstract: This paper analyzes the correlation between stock market index and macroeconomic variables from both theoretical and empirical perspectives. The co integration method is employed in this paper to model the long run equilibrium relationship between stock market index and various macroeconomic variables. Results from empirical analysis indicate the positive correlation between stock market index and enterprise prosperity index as well as industry value added. The negative correlation between stock market index and interest rate as well as monetary supply is also identified. However, empirical results for relationship between stock market index and inflation rate is mixed and remains the open question.

[28]曾志坚, 谢赤. 利率波动对股票价格影响的实证研究. 科学技术与工程, 2006, (1): 98-103 [CSSCI收录]

摘要:就利率如何影响股票价格进行了理论分析,并利用上海证券交易所7天国债回购利率与上证指数数据进行了实证研究,发现中国的股票价格与利率之间存在共同的长期趋势,利率的日度波动领先股票日收益率的变动,对此现象给出了一些相应的经济解释和政策建议。

Abstract :Based on a theoretic analysis of the effect of interest rate on stock price,empirical study using the date of 7-day national debt repo rate and stock price index of Shanghai Security Exchange are made puce daily and stock interest rate exhibit a long run common trend and daily fluctuation of interest rate lead of. Stock change of return. Some reasonable explanation and policy suggestion are gaven.

[29]胡克嫚, 曾志坚. 基于主成分分析的股票流动性的度量. 财经理论与实践, 2005, (6): 49-52 [CSSCI收录]

摘 要:流动性是一个多维变量,因此要度量股票的流动性,必须采用一种多维的计量方法。以上证180指数成分股中的30只股票为研究样本,利用高频数据,运用主成分分析方法获得了一种新的流动性度量方法,该方法能够更好地描述中国股市的流动性。

Abstract: Liquidity is a multi- dimensional variable, so we should use a multi- dimensional liquidity measure to estimate stock liquidity. In this paper, based on principal component analysis, we get a new liquidity measure by using high- frequency data. It can better measure stock liquidity.

[30]曾志坚, 谢赤. 中国证券市场发展: 资本融合与股市互动. 科学时报, 2008-04-09, B2

 

3、研究项目

主持

[1]国家自然科学基金项目一般项目:基于时频分析的证券市场间风险溢出研究(71373072),2014.1-2014.12

[2]教育部人文社会科学研究青年基金项目:基于时频分析的权证与标的证券联动关系研究(09YJC630063),2010.1-2012.12

[3]湖南省哲学社会科学基金项目:基于宏观经济因素与时序数据重构的证券市场危机预警研究(09YBA037),2010.1-2011.12

[4]湖南省科技厅项目:湖南省科技企业孵化器发展战略研究(2012GK3162),2012.1-2013.12

[5]横向项目:长沙移动流程管理咨询项目,2011.6-2012.9

参与

[1]国家社科基金项目一般项目:贝叶斯面板数据分位回归模型及其应用研究,主持人:曾昭法,2013-2015

[2]国家自然基金项目一般项目:复杂金融网络动态演化行为与危机传染及其控制研究,主持人:谢赤,2014-2017

[3]国家自然基金项目一般项目:供应链中断风险管理与优化,主持人:舒彤,2012-2015

[4]湖南省自然科学基金项目:基于信息不对称视角的上市公司债务期限结构研究,主持人:熊正德,2006-2007

[5]湖南省科技厅项目:科技投融资及基金机制研究,主持人:谢赤,2007-2008

[6]国家科技部项目:国际金融危机的产生与传递及其对中国金融稳定和经济发展的影响,主持人:谢赤,2011.1-2011.12

[7]湖南省科技厅项目:基于电信平台的湖南省物联网运营系统开发及应用示范,主持人:喻建良,2010.1-2010.12

[8]博士点基金项目博导项目:藕合实体经济的金融市场风险评估与协同监管研究,主持人:谢赤,2014-2016

[9]博士点基金项目博导项目:行为金融基金及其投资策略研究,主持人:谢赤,2008-2010

[10]湖南省社科基金项目:以创业教育提升大学生职业胜任能力研究,主持人:甘露,2011-2014

[11]横向项目:财务管理、股利政策与内部控制咨询项目,主持人:谢赤,2012-2014

 

4、获奖

中国证券市场行为描述与预测研究,湖南省第十一届哲学社会科学优秀成果一等奖,中共湖南省委、湖南省人民政府,2010

 

EMBA MBA MPAcc EDP
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