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This paper studies empirically the determinants of Chinese commercial banks' net interest margins from 1996 to 2003. It applies an extension to the Ho and Saunders (1981) model to identify the elements affecting net interest margins. The results indicate that the determinants of net interest margins in the Chinese market include market competition structure, average operating costs, degree of risk aversion, transaction size, implicit interest payments, opportunity cost of reserve, and management efficiency. [ABSTRACT FROM AUTHOR]

This paper discusses and examines the development of an Asian bond market, which serves as a bridge to establish financial cooperation in the region. The issues of currency denomination are discussed. In addition, the role that China may play in the establishment of the bond market is presented and analyzed. It is argued that cooperation between China and Hong Kong is desirable to further enhance the development of the market. [ABSTRACT FROM AUTHOR]

Revenue volatility poses challenges for fiscal policy makers. It can create risks to service provision, require borrowing, or entail sudden tax changes. This paper investigates the use of value-at-risk techniques to measure the fiscal risks caused by volatility as well as the sensitivity of measured risks to policies that may limit volatility. The revenue of Hong Kong's Special Administrative Region (SAR) is among the most volatile in Asia, and thus is a natural case for applying these techniques. Reflecting its revenue volatility, Hong Kong's SAR has traditionally held high fiscal savings (reserves), and the value of the self-insurance these savings provide is also discussed. [ABSTRACT FROM AUTHOR]

This paper examines the expropriation of tradable shareholders in rights-issuing firms with the split share structure in China. Using a sample of 444 rights issues from 1999 to 2004, we find that the change in wealth of tradable shareholders is negatively correlated with the change in wealth of nontradable shareholders, consistent with an expropriation effect. Additional evidence indicates that the expropriation effect in rights issues is exacerbated when the firm is not ultimately controlled by the government, the nontradable shareholders do not subscribe the shares of rights issues, or the firm has a large second-largest shareholder. [ABSTRACT FROM AUTHOR]

In this paper, the effect of China's imports on importing countries' inflation is examined. Using data from 1994 to 2003, it is argued that China's export surge is an important contributor to lowering inflation in importing countries. Using fixed and random effect models, we identify a statistically significant negative correlation between the share of a country's imports from China and its rate of inflation. [ABSTRACT FROM AUTHOR]

This study applies the ARJI-trend model in conjunction with the procedure proposed by Bai and Perron (2003) to investigate the coexistence of permanent and transitory components and time-varying jumps in the A and B stock market indices of the Shanghai and Shenzhen Stock Exchanges. Although the response to outside innovations is greater within the transitory component, it is short-lived; conversely, though there is a high level of persistence in the trend, new information has only a lesser effect on the permanent component. Jump variance can also affect total variance, though the effect is far lower than the variance for generalized autoregressive conditional heteroskedasticity. Accordingly, the market risk appears small. The reaction to news is heterogeneous within the Shanghai and Shenzhen indices; this may be the result of various market characteristics. During event periods, the permanent component, transitory components, and jump intensity are larger than their averages. After an upward trend, markets return to regular conditions over time. In sum, the total long-run risks within China's market seem low, though speculators can use the sizable transitory component of market fluctuation to engage in arbitrage activities. However, from the viewpoint of asset allocation regarding the trading noise in the Shenzhen B market, we suggest that rational investors deploy more funds in this market and less in the Shanghai A market to avoid a high degree of risk. [ABSTRACT FROM AUTHOR]

This study examines the government fiscal deficit and debt rates in China. We utilize a theoretical framework to develop the government budget identity and the public deficit-debt models. This approach gives a theoretical basis to analyze the fiscal deficit and debt rates in China. Using a vector autoregressive analysis, the study empirically investigates the relationship between deficit and debt rates and sheds light on their future values for the Chinese economy. [ABSTRACT FROM AUTHOR]

We study the establishment and development of the most successful futures market in China. We document the evolution of the market microstructures and the attempts by the Zhengzhou Commodity Exchange's management to improve the performance of the futures market. Our finding suggests that if other former centrally planned economies want to establish futures markets, they must think carefully not only of the design and microstructure of the futures market, but they also have to choose carefully what contracts to offer. [ABSTRACT FROM AUTHOR]

Using daily data from May 2000 to January 2004, this study examines the risk, return, securities selection, and market timing performance of China's securities investment funds (SIFs), in comparison with the performance of the SIFs in the United States. Our results indicate that China investment funds show superior market timing performance, while U.S. fund managers display stronger securities selection ability. These results imply that the potential synergy for Sino-U. S. joint venture investment funds could be tremendous. Additional analysis of the trading volume of closed-endfunds in China illustrates that investors' interests in SIFs are strongly and positively related to fund performance. Results also indicate that Chinese investors favor professionally managed funds more than direct investment in stocks during negative market conditions. [ABSTRACT FROM AUTHOR]

This study explains the conflict of interest between the majority stockholders, who have nonfloatable shares, and the minority stockholders, who have floatable shares in China's stock market. The growth of the Chinese financial markets is seriously constrained given the market segmentation of the two classes of stocks. This study provides a dynamic valuation model that motivates controlling stockholders to convert their nonfloatable shares to floatable shares and illustrates how a security design is able to float these shares. Issues on how to improve future corporate governance in China are also discussed. [ABSTRACT FROM AUTHOR]