Main Curriculums

• "Market Structure and Profitability of Chinese Commercial Banks"; (LU Yan, FUNG Hung-Gay, and JIANG, Xianfeng)(in English)
The Chinese Economy, 2007,40(5):100-113。
Abstract.The article uses a sample of four state-owned commercial banks, ten joint-share commercial banks, and all foreign banks in China to examine the changes in market structure and financial performance (profitability) of Chinese commercial banks. The market structure appears to have some influence on the performance of Chinese commercial banks. There are other factors affecting the performance of China’s bank market. Although the concentration ratios and the Herfindahl-Hirschman Index indicate the monopolistic nature of China’s bank system, which is in a state of monopolistic competition or moderately concentrated now, foreign banks seem to have had some marginal effects on the Chinese banking market.

• "The Roles of Margin Level Adjustment on Controlling Futures Market Risk and the Reform of Margin System:Empirical Analysis from Dalian Commodity Exchange" (Jiang Xianfeng, Shi Yongdong) (in Chinese)
2005 CSPS/IMS joint conference, Journal of Financial Research,2007, 2:74-88.
Abstract:This paper makes theoretical and ,empirical analysis of the roles of change of margin level on adjusting futures market risk based on the data from Dalian Comodity Exchange and method of VaR(Value-at-Risk). We draw conclusions that the impacts are asymmetric. Market risk decreases when margin lever is increased and doesn’t change when margin lever is decreased. The asymmetric impacts help to introduce the portfolio margin systems into China to effectively lower the investment cost without increase the market risk. Furthermore, we make suggestions on the reform of the margin system in futures market in China, complying with the basic principles in margin level settings.
• The Impact of Insider Trading on the Secondary Market with Order-Driven System (Jiang Xianfeng, professor Yongdong Shi)(in English)
Annals of Economics and Finance, 2006,7(1):129-143.
Abstract:  Combining Leland (1992), Madhavan (1992) and Repullo (1999) and under the framework of Rational Expectation Equilibrium (REE), the paper analyzes the impact of insider trading on the secondary market with order-driven system. We show that when insider trading is allowed, the average price will not change and there is a positive correlation between the future price and the current price. The volatility and liquidity change on uncertain directions with insider trading. With or without insider trading, the price will be efficient in some special cases. The insider is benefited by insider trading, while, the outsider and liquidity trader may be benefited or hurt by insider trading.

• Manipulation in the Treasury Security Auction Market (Shi Yongdong, Jiang Xianfeng)(in Chinese)
Quaterly Journal of Finance, 2005,1(1).
Abstract:  This paper analyzes the market manipulation in the Treasury auction market. There exist manipulation strategies for informed manipulation in both discriminatory auction (DA) and uniform price auction (UPA) in equilibrium. The manipulation degree is positively correlated with the potential manipulator's expected payoff, but negatively correlated with the manipulated and the social expected payoff, which implies that the market manipulation should be prohibited. The UPA seems to be more effective to prevent the market manipulation than the DA, while, the DA generates the least as much revenue for Treasury security as does the UPA in most cases. This leads to the Treasury Auction Paradox , which gives another view on the Milton Friedman's Proposal . The paradox is solved as for the uninformed manipulation, which provides strong proofs for the existent of DA for Treasury in many countries. The results also provide some predictions for the information content of the price in the when-issued market. When there is no informed participants, there will exist no manipulation strategy in equilibrium in either DA or UPA.

• Discrimination System about Illegal Actions in Chinese Security Market--Case Analysis on the Insider Trading and Manipulation (Shi Yongdong, Jiang Xianfeng)(in Chinese)
The Forecast, 2005, 24(3):376-80.
Abstract:  Based on the samples of insider trading and price manipulation in Chinese security market , we set up a dis2 crimination system about the infringements with the logistic model. The model makes some progress to the historical models. It also can indicate the degree of the severity of the regulation by selecting the cut2off point.

• Insider Trading, Volatility of Stock Price and Information Asymmetry (Shi Yongdong, Jiang Xianfeng)(in Chinese)
The Journal of World Economics, 2004,12
Abstract:  Based on the insider trading cases in China stock markets, we make empirical analysis on its’ characteristics, the effect of insider trading on the market price and the information asymmetry, as well as whether and how much the insider can get the abnormal return or the disgorgement. First, insider trading increases the average market price as well as the price volatility. Second, it makes the market information more asymmetric and breach the market equity, while;information dissemination contributes to cure this asymmetry. Third, the insider uses material information and gets actually positively abnormal return. The insider tends to end the transaction before the time of information dissemination. And, the insider will get more disgorgement if he manipulates the market price at the meantime. At last, we give forward interpretation as well as some suggestions against insider trading.

• The Roles of Government against Stock Market Manipulation (Shi Yongdong, Jiang Xianfeng)(in Chinese)
China Journal of Finance, 2003,3;Conference on China’s Security Market and Financial System Reform, in CCER (Beijing),2003,1;2004 China International Finance Conference (Shanghai), 2004.6.
Abstract:  Under the framework of game theory and information economics and based on Allen and Gale (1992), Aggarwal and Wu (2002), this article introduces dynamic transaction costs. So, we can comprehensively and theoretically discuss the major roles of government against stock market manipulation for the first time. First, the government should require all the relevant participants to disseminate great and true information in time. Second, the government should vigorously regulate the trading. Of course, the degree of information dissemination and regulation on trading should not be infinitely large. Last, the government should also increase the degree of investor education. At the same time, considering the facts and based on the samples of the history data of the stocks which happened manipulation, we find the stocks with high ratio of equity concentration, low ratio of turnover and low liquid equity tend to be manipulated. The stock will be more seriously manipulated if it has been manipulated for longer time.

• Analysis of the Effects of Changes in Stamp Duty on Security Market (Shi Yongdong, Jiang Xianfeng)(in Chinese)
The Journal of World Economics, 2003,12.
Abstract: Firstly, From the aspects of volatility of market and noise trading, tax revenue of government and commission incomes of security companies, the paper analyzes the effects of changes in stamp duty on security market. It indicates that the change in stamp duty to some extent affect the volatility of market and noise trading, and the pattern is that Lowering the rate will lower the volatility of market and noise trading, and rising the rate will lead high volatility of market and noise trading. The directions in changes in stamp duty are the same as the one of tax revenue. The changes in stamp duty seem to have nothing to do with the commission income. Secondly, Based on the results, we give some policy suggestions about the reform of the system of Chinese transaction tax on security market.

• JIANG Xianfeng, 2007, "The Option Parity under Jump-Diffusion Processes" (International Symposium on Financial Engineering and Risk Management '2007 (FERM2007)，Beijing, China. The Second International Conference on Asia-Pacific Financial Markets of the Korean Securities Association, Seoul, Korean)
• JIANG Xianfeng, 2007, "On the Amin Method and Its Applications in the Real Options with Interventions under Jump-Diffusion Processes" (The Second International Conferrence on Bio-Inspired Computing:Theories and Applications (BIC-TA 2007), Zhengzhou, China)
• JIANG Xianfeng, 2007, "American option pricing:constrained maximum-likelihood Monte Carlo approach" (the Fouth International Conference on Risk Management and the Fifth International Conference on Financial System Engineering, Tianjin, China)
• Manipulation in the Treasury Security Auction Market (Shi Yongdong, Jiang Xianfeng)(in Chinese)
2005 China International Conference in Finance (Kunming), 2005,7.
Abstract:This paper analyzes the market manipulation in the Treasury auction market. The UPA seems to be more effective to prevent the market manipulation than the DA, while, the DA generates the least as much revenue for Treasury security as does the UPA in most cases for informed manipula- tion. This leads to the Treasury Auction Paradox , which gives another view on the Milton Friedman's Proposal . The paradox is solved as for the uninformed manipulation, which provides strong proofs for the existent of DA for Treasury in many countries. The results also provide some predictions for the information content of the price in the when-issued market.
• Empirical Analysis of the Insider Trading in Chinese Stock Market (Shi Yongdong, Jiang Xianfeng)(in Chinese)
China Economics Annual, Fudan University, Shanghai, 2004.12.
Abstract: With the samples of stocks which has experienced insider trading in Chinese security market, this article analysis the current characteristics of the insider trading in Chinese security market. It makes empirical description of the insider trading in the follows:the effect of insider trading on the stock price, the abnormal return or disgorgement of insider traders, the impact of insider trading on the information asymmetry in trading. Based on the principle that attaches the first importance to the correct ratio of discriminating the insider trading and also care for the ratio of discriminating the Non-Insider-Trading, we set up a discriminant system. At the last, we develop the aggregate prevention system on stock price manipulation of Jiang Xianfeng, Shi Yongdong (2003).
• Empirical Analysis of the Behavior of Manipulation in Chinese Stock Market (Shi Yongdong, Jiang Xianfeng)(in Chinese)
National Advanced Financial Theoretical Seminar, Xiamen University, Xiamen, 2003.11;  .
Abstract: With the samples of stocks which has experienced manipulation in Chinese security market, this article analysis the current characteristics of the manipulation in Chinese security market. It makes empirical description of the behavior of manipulation in the follows:the mixture of the manipulation and insider trading, the factors affecting the degree of manipulation, the characteristics of the price during manipulation. Based on the principle that attaches the first importance to the correct ratio of discriminating the manipulation and also care for the ratio of discriminating the Non-Manipulation, we set up a discriminant system. At the last, we develop the aggregate prevention system against manipulation of Jiang Xianfeng, Shi Yongdong (2003).

• "Integration and Risk in the Chinese Government Bond Market and Monetary, Fiscal Policies" (with my supervisor, professor Shi Yongdong, 2005.10, The Research Center for Applied Finance of Dongbei University of Finance)
2006, Research Institute, Shenzhen Stock Exchange, No. 0137 Report.
Abstract:This paper constructs indices reflecting the degree of segmentation and risk caused by the segment in Chinese government bond market. Both the degree of segmentation and risk are decreased. This paper also analyzes the roles of monetary and fiscal policies on the segment and risk. Monetary policy has a much great effect on the segment and its effect on the risk can be offset by the one of fiscal policy. At last, we make some detail suggestions.
• "The Impact of Insider Trading on the Secondary Market in the Order-Driven System" (with my supervisor, professor Shi Yongdong, 2003.8, The Research Center of Financial Engineering of Dongbei University of Finance)
Abstract:Combining Leland (1992), Madhavan (1992) and Repullo (1999) and under the framework of Rational Expectation Equilibrium (REE), the paper analyzes the impacts of insider trading on the secondary market in the order-driven system. We show that when insider trading is allowed, the average price will not change and there is a positive correlation between the future price and the current price. The volatility and liquidity change without sure direction with insider trading. The price efficiency is a special case with and without insider trading. The insider is benefit by insider trading wherever the outsider and liquidity trader may be benefit or hurt by insider trading.

• Ph.D Thesis, The Real Options under Jump Diffusion Processes and Its Applications in Electricity Investment, 2007.6.
• Master Dissertation:"The Guarding System against Insider Trading and Market Manipulation in Chinese Security Market"
(2003.11)
Contributions:First, based on Wang(2002), I investigate the insider trading and manipulation cases for more details in Chinese security market, which will be the original materials for deeper research on these aspect. Second, with the illegal data, I make several empirical analysis earlier in the world.
• Bachelor Dissertation: "the Effect and Inspiration of Mixed Business to Finance in Our Country"
(2001.6)
Abstract: As the three carriages, PBC (the People’s Bank of China), CSRC (China Security Regulatory Commission), CIRS (China Insurance Regulatory Commission), came into being in 2000 . The situation of the separate business has been obvious. At the same time, mixed business has been the main trend of the development of finance in the world .A financial services act to 1999　, on the other bank of ocean ,.has completely ultimate the situation of separate business in the most developed areas , United State ,of finance, in 1999.Actually ,mixed business is possible in either law or practice in China and we can see a little of trace it. Mixed business is necessary as to the finance innovation deepening and finance developing in our country. While we seem not to understand mixed business clearly, even ambiguous in some degree. This article mainly covers the conception of mixed business, the effect of mi article mainly covers the conception of mixed business, the effect of mixed business on every work of life in China, the light that mixed business throw to the finance, especially the future of Assets Management Company (AMC), the offsea business of domestic bank, the development of insurance contracting with investment. I sincerely hope it will do a little favor to the development of domestic finance.

National Natural Science Foundation of China

Real Options Based on Market Condition and Investor's Behavior and Its Applications in Decisions on Investment and Crdit Risk(70801010)

Program of First Prize of the 43rd Batch of China Post-Doctor Science Fund

Financial Reform and Innovation in China: Analysis Based on Real Options under Jump Diffusion Processes(20080430058)

Humanities and Social Science Program by the Ministry of Education of China

Exchange Intervention by the Central Bank: Analysis Based on Real Options(07JA790075)

Social Science Program of Liaoning Province

Bank Goes to be Listed in Laioning: Analysis Based on Real Options(L07CJY054)

Research Program of Education Department, Liaoning

Rural Labor Migration: Analysis Based on Real Options under Jump Diffusion Processes(05W068)

Natioanl Natrual Science Foundation of China

Research on the Electricity Investment and Management Based on Real Options(70671019)

Program for New Century Excellent Talents in University of Ministry of Education of China

Research on the Electricity Investment and Management Based on Real Options(NCET-06-0294)

Great Research Programm of Humanities and Socian Science Base of Ministry of Eduvation in China

Theory on Pricing Credit Derivatives and Its Applications(06JJD910002)

Natioanl Sceince Foundation of China

Hot Money, Asset Bubbles and Their Impacts on Financial System

Grant from Education Department in Liaoning Proveince

Grant from Modern Research Center of Finance, Shanghai University of Finance and Economics

Optimal Timing and Equilibrium Pricing for the Eqity Restrucutre of State-Owned Firms--Theoretical and Empirical Analysis from Option

National Natural Science Foundation of China

Research on the Investment and Management in Electricity Market Based on Real Options（70671019）

Grant from the Great Base on Humanity and Social Science in Liaoning

14th Grant from Shanghai Stock Exchange Joint Reseach Programs

Ministry of Finance (China), Security Regulation Commission (China), Dalian Commodity Exchange joint program

8th Fok Ying Tung Education Foundation

• Excellent Paper in the Academy Forum of Ph.D. Student in Liaoning, 2005.
2005,12.  Manipulation in the Treasury Security Auction Market in the Quaterly Journal of Finance, 2005,1(1).

• Excellent Paper in the 7th Reasearch Program of Member of Shenzhen Stock Exchange and Fund Componies, 2005.
2005,3.  Analysis on the Distinguishing and Prevention from illegal Action in China Market-- Case Analysis on the Insider Trading and Manipulation

• Exellent Reward among All the Joint Programs of Shanghai Stock Exchange beofre September, 2003.

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