Research on Pre－trade Transparency and Market Liquidity

The transparency of the securities market reveals the extent of transaction information transmission to traders. According to the relative trading position, it can be divided into pre-trade transparency and post-trade transparency. Using Shanghai Stock market high frequency trading data, this paper builds an econometric model and analyzes the market effect of two important changing pre－trading transparency events. The empirical result hows that the pre－trade transparency changing has no significant effect on market liquidity. The expansion from 3－layer bid－and－ask price to 5－layer obviously lifts the stock price, leading to the U－shape change in volatility and trading volume. However, the 5－layer bid－and－ask price expansion to 10－layer in level 2 shows no significant effect.     

Electoral volatility and parties’ ideological responsiveness

For a number of decades now, scholars have been indicating that ties between citizens and parties are eroding. As a consequence, electoral behaviour has become more volatile and also more unpredictable. The consequences of this process of change on parties’ strategic behaviour have, however, received little attention. In this article, the impact of dealignment on parties’ strategic behaviour is examined, with the focus being on the extent to which parties are responsive to the mean voter. The expectation of dealignment allowing parties ‘to move around more freely’ leads to the hypothesis that parties are more responsive in a context of dealignment. The analyses provide evidence that is in line with this expectation. Ideological responsiveness is conditioned by the level of volatility in the electorate. The conclusion to draw from these results is that dealignment, which profoundly affects voters’ behaviour, leads parties to become more responsive to the mean voter.     

Do volatile voters vote less correctly? An analysis of correct voting among vote (intention) switchers in US presidential election campaigns

The literature on electoral volatility and the literature on electoral campaigns hold contradictory views on voters switching vote (intention) during the campaign. In this note, we shed new light on this contradiction, making two contributions. First, we investigate the extent to which stable and volatile voters choose the correct party. Second, we distinguish levels of correct voting and the impact of the act of switching on the correctness of the vote. Our analyses of vote-switching in American elections show that, while volatile voters are less likely to vote correctly, they are more likely to switch from an incorrect to the correct party than vice versa. Furthermore, we show that following the campaign more closely makes voters more likely to switch vote (intention) towards the correct party.     

Party convergence and vote switching: Explaining mainstream party decline across Europe

How can one explain the significant vote losses of mainstream parties across Europe in recent years? In this article, it is argued that mainstream party convergence is an important determinant of the recent political and electoral volatility in European party systems. More specifically, it is hypothesised that as mainstream parties converge on the left-right scale, voters will switch from supporting a mainstream party to a non-mainstream party in the next election as they look for an alternative that better represents their ideological views. To test these theoretical expectations, data is combined from the Comparative Study of Electoral Systems and the Manifestos Project for nearly 15,000 vote choices of individual voters in 30 elections in 16 West and East European countries from 2001 until 2013. The findings have important implications for understanding the recent rise of non-mainstream parties, the changing nature of party systems and the increasing complexity of cabinet formation across Europe.     

How (often) do voters change their consideration sets?

The consideration set model posits that in multi-party elections voters decide in two stages. We expect that in the consideration stage, when voters select viable options, ideological proximity is a key determinant, while in the choice stage election-specific factors become particularly important. This would imply that consideration sets are rather stable and that changes in voting preferences occur mainly within ideologically coherent consideration sets. This study examines both claims by analyzing panel survey data from Sweden and the Netherlands. Consideration sets were indeed rather stable, more so than voting intentions. After one year, voters still considered the same party in 81% of cases and only 13% of respondents shifted between ideological camps. This indicates that voters changed electoral preferences primarily within the boundaries of relatively stable consideration sets and ideological camps. These findings help to understand how elections can be volatile, despite the strong impact of highly stable ideological orientations.     

Federal Political Fragmentation in Mexico's 2015 Elections

The 2015 congressional, gubernatorial and mayoral elections in Mexico display the continuation of political changes that started 15 years ago. The most notorious change in 2015 is the electoral success of non-mainstream parties, which have increased their vote share vis-à-vis the mainstream parties, the Party of National Action (PAN), the Revolutionary Institutional Party (PRI), and the Party of Democratic Revolution (PRD). These mainstream parties lost important vote shares, although the PRI has shown itself to be more resilient to electoral volatility than the other parties. The increase of volatility in Mexico favours the alternation of the parties in power; however, it also increases political fragmentation. This article argues that in a context of growing electoral volatility and political fragmentation, presidential authority is weakened, giving rise to the dispersion of power to other levels of government. Furthermore, the article suggests that party volatility presents important territorial variation in Mexico.     

Democracy,interrupted: Regime change and partisanship in twentieth-century Argentina

Electoral volatility is much higher in new than in advanced democracies. Some scholars contend that weak partisan ties among the electorate lie behind this high volatility. Political parties in new democracies do not invest in building strong linkages with voters, they claim; hence partisanship is not widespread, nor does it grow over time. Our view is that democratic processes do encourage the spread of partisanship and hence the stabilization of electoral outcomes over time in new democracies. But this dynamic can be masked by countervailing factors and cut short by regime instability. We expect that, all else being equal, volatility will decline over time as a new democracy matures but increase again when democracy is interrupted. We use disaggregated ecological data from Argentina over nearly a century to show that electoral stability grows during democratic periods and erodes during dictatorships.     

Review of Uncertainty Economic Cycle Theory

Uncertainty shocks have significant impact on macroeconomic development, and it is the key factor for economic policymaking. The uncertainty economic cycle theory is the frontier macroeconomics research, using the time-varying volatility model to describe the uncertainty, and introducing the time-varying volatility model into dynamic stochastic general equilibrium model. This paper systematically reviews the definition and measurement of uncertainty, the solving of DSGE models with uncertainty shocks, the macroeconomic effects of uncertainty shocks and its micro-mechanisms, and puts forward the potential research direction of uncertainty shocks in China.     

关于波动率及其预测方法的文献综述

波动性研究已经渗透到整个现代金融理论体系，对波动性的精确测量和预测已经成为资产定价、金融衍生品的定价和交易策略设计的关键。多年来，国内外学者对波动率及其预测方法进行了大量细致的研究，取得了相关的重大成果，这将为今后进一步的研究奠定良好的基础。