中國股市和美國股市NASDAQ鏡像關(guān)系實證研究

1、中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 Will Chinese Stock Markets Mirror the Behaviour of the NASDAQ? -Where is the solution? Christopher Poll Chairman, Greater China Consultancy Ltd., 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 3 QUESTIONS RAISED HOW TO DEFINE A “WELL REGULATED MARKET”? WHAT RELEVANCE A PRICE/EARNINGS RATIO? IF IN

2、STITUTIONAL FUNDS ARE A STABILISING FACTOR FOR THE STOCK MARKET, WHY ARE DEVELOPED MARKETS SO VOLATILE? 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 HOW TO DEFINE A “WELL REGULATED MARKET”? 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 The Financial Markets are Dynamic Business is “Proactive” But Regulators are “Re

3、active” not “Proactive The System of Regulation and Enforcement can never be completely Flexible and Dynamic Importance of Fiduciary Responsibility 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 Financial Infrastructure MAIN FACTORS FOR FUNDS Government Financial Policemen Institutional Managers Centred around Public Inv

4、estors 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 23 Government Regulators and Central Bank Financial Policemen are advisors to (Follow and abide by Rules & Regulations) Investors Institutional Quoted CompaniesAccountants- Pensions on Stock MarketLawyers- Insurance Co.(life) and- Mutual Funds Privatised IndustriesMer

5、chant BanksPrivate Investor Previously NationalisedCommercial Banks- Direct - Indirect Stock Market 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 PRIVATE SECTOR LawyersAccountants Investment Bankers Stock Brokers Commercial Banks Conflict of Interest? 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 Conflict of Interest Who is the client? Who

6、are the Financial Policeman Responsible to? Can Regulation be Protect with Financial Policemen being Proactive? 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 INVESTORS InstitutionalPrivate PensionsInsuranceMutual Funds 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 InvestorsConfidence = InvestorsEducation Confidence Education I n v e s t o r

7、 s 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 InvestorProtection/Confidence Transparency Education Information/Reporting Analysis Accuracy of Data DisclosureTimeliness Competetion = Accountability 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 Easier and more effective enforcement. Increased efficiency reduces costs. Improved flexibility

8、of the infrastructure to respond effectively and competitively. Efficient Infrastructure Transparency Accountability Leads to: 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 A Chinese Tailor Made Solution for the Chinese Fund Industry Investors behaviour Stock Investors Fund Investors Securities Dealers Brokers Securitie

9、s Investment Advisors Fund Managers Securities Exchange OTC Futures Exchange SEC/CSRC CBC/PBC 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 WHAT RELEVANCE A PRICE/EARNINGS RATIO? 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 Chinese Quoted Stocks Corporate Profits ? NASDAQ Corporate Profits ? Confidence $ 1995 - 2000 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研

10、究 C $ IF CONFIDENCE IS LOW THEN MONEY FLOW IS MINUTE 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 CONFIDENCE $ IF CONFIDENCE IS HIGH THEN MONEY FLOW IS LARGE 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 What is the Criteria For Investing? 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 1. What do you think is the most important influence on the stock market in

11、China today? The historic balance sheets and profit and loss accounts of the quoted companies- 6 The future prospects for corporate earnings- 10 Government policy-62 Govt. investigation into mal practices15 The overall economic growth of the Chinese economy-27 Chinas entry into the WTO-8 中國股市和美國股市NA

12、SDAQ鏡像 關(guān)系實證研究 2. How do you as an investor analyse the fair value of the companies you buy & sell? Bypriceearningsratio-35 Byrelationshiptonetassetvale-5 Bythelatestrumour-58 Bythebusinesssectorthecompanyis involvedin-21 Bymultipleofsalesrevenue-9 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 3. What do you think should

13、 be the average prospective price earnings ratio for non- technology stocks? under15times-0 15to25times-18 above25-110 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 4. What do you think should be the average prospective price earnings ratio? under15times-0 15to25times-1 25to50-16 over50-111 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 5. H

14、ow do you measure investment risk? Bymeasuringthevolatilityofthestock-31 Bymeasuringthevolatilityofthestockmarket-42 Byestimatingtheaccuracyofdisclosed information-16 Byestimatingtheriskoffraud-17 Byanalysinghistoricreturns-13 Bycomparingwithandadjustingforariskfree measuresuchasadepositrate-8 中國股市和

15、美國股市NASDAQ鏡像 關(guān)系實證研究 At what level do you think the Shanghai A share market will be on 31st December 2001? most think it will be above 2500 Today it is 2140 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 At what level do you think the Shanghai B share market will be on 31st December 2001? mostthinkitwillbeabove200 Todayit

16、is183 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 IF INSTITUTIONAL FUNDS ARE A STABILISING FACTOR FOR THE STOCK MARKET, WHY ARE DEVELOPED MARKETS SO VOLATILE? 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 Factors Effecting Investment Time Horizons Confidence in Long Term Trends Confidence in Information Disclosure Volatility of Markets Li

17、quidity of Markets Profit Forecast Public Scrutiny of Performance 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 EACM100:EqualWeighted(RebalancedAnnually)IndexofHedgeFundIndicesdescribedonPreviousSlide Return and Risk Tradeoff: 1/1990-12/2000 EACM 100 Event Driven Relative Value S&P/Lehman Port. Global Macro Equity Hedge

18、 Lehman Bond S&P 500 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 0.0%5.0%10.0%15.0% Annualized Standard Deviation Annualized Return 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 Risk and Return of Stock, Bond and Hedge Funds: 1/1990-12/2000 100% EACM 100 50% S&P 500 and 50% Leh. Bros. Bond 100% Lehman Bond 100% S&P 500 0.00% 2.00% 4.00% 6.00% 8.00% 10.00% 12.00% 14.00% 16.00% 18.00% 0.00%2.00%4.00%6.00%8.00% 10.00% 12.00% 14.00% 16.00% Portfolio Annualized Standard Deviation Portfolio Annualized Return 中國股市和美國股市NASDAQ鏡像 關(guān)系實證研究 China versus