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蒋海教授发表两篇A类论文

时间:2018-09-12    浏览量:294    

        近期,我院蒋海教授以第一作者在我校A类期刊发表2篇学术论文,分别是On Foreign Shareholdings and Agency Costs: New Evidence from ChinaEmerging Markets Finance and Trade20189 SSCI三区,与黄敏、James R.Barth合作)和商业银行尾部风险网络关联性与系统性风险---基于中国上市银行的实证检验 《财贸经济》2018年第8期封面文章,与张锦意合作)

      论文1内容摘要:This article examines the impact of foreign shareholdings on agency costs of Chinese firms from 2006 to 2012. The empirical results indicate that: (1) direct foreign shareholdings, in contrast to indirect foreign shareholdings, improve asset utilization, suggesting low agency costs; (2) qualified foreign institutional investors play a significant role in firms because they are less subject to political pressure, which is consistent with lower agency costs, but this effect could be eroded by government control; and (3) foreign shareholdings reduce the cost of equity and improve firm performance. The results contribute to the privatization of state-owned enterprises and the domestic/foreign ownership structure of firms.

      论文2内容摘要:利用中国上市银行2010819日至2017331日的股票交易数据,采用分位数回归和LASSO算法,构建了上市银行尾部风险网络,同时使用滚动时间窗口法,分析了网络的动态关联性和拓扑结构。在此基础上,实证检验了上市银行尾部风险网络的关联性对系统性风险的影响。结果表明,银行尾部风险网络关联性与系统性风险显著正相关。虽然个体银行的尾部风险溢出会降低自身的风险承担水平,但同时也显著增强了银行网络的关联性,从而提高了系统性风险的整体水平。同时,我国上市银行尾部风险网络存在较明显的时变特征,在风险积聚过程和经济下行期间,其关联性显著增强。另外,大型国有银行在整个银行网络中居中心地位,具有较强的尾部风险溢出效应。