曾志堅(湖南大學工商管理學院副教授)

人物經歷

教育經歷

2003.09-2006.07 湖南大學管理科學與工程博士

2001.09-2003.07 湖南大學金融學碩士

1997.09-2001.07 湖南大學國際金融學士

工作經歷

2008-至今湖南大學工商管理學院副教授

2006-2008 湖南大學工商管理學院講師

社會兼職

湖南省技術經濟與管理現代化研究會理事

行業領域

銀行、證券投資、料檔洪信託、保險、風險投資、實業投資等

企業合作

海南海藥財務管理、股利探笑府政策與內部控制諮詢、湖南電廣傳媒的管理諮詢、長沙移動流程管理諮詢、湖南斯倫貝謝通信設備有限公司價值評估、湖南省瀏陽市三星化工實業有限公司企業管理模式設計等

招收學生的基本要求

碩士研究生（學術型）：勤勉踏實，專注學術，具有創新精神，能夠根據老師的指套多導主動自發地完成課程學習樂漏充灶與論文撰寫。

碩士研究生（專業型）：有企業工作的實際經驗，具有較為明確的職業發展目標，善於均衡工作、家庭永姜員與學習的關係，能夠投入時間在管理理念學習和思想交流上。

研究領域

1. 金融工程與風險管理

2. 金融企業管理

3. 財務管理

講授課程

本科：金融市場學、金融風險管理、金融工程學、管理學

MBA & 碩士：金煮射廈和融創新與金融管理專題、金融風險度量與管理、衍生工具：定量方法、財務管理

研究成果

出版著作

曾志堅, 謝赤. 股票與債券市場間收益率及流動性聯動關係研究. 長沙: 湖南科學技術出版社, 2008

發表論文

[1] Zeng Zhi-Jian, Xie Chi, Yan Xin-Guo, Hu Jue, Mao Zhou. Are stock market networks non-fractal? Evidence from New York Stock Exchange. Finance Research Letters, 2016, (1): 1-7 [SSCI]

Abstract: In this paper, we investigate the fractal (non-fractal) property of stock market network by using the edge-covering with simulated annealing method. We choose the daily closing price of 2109 stocks traded on the NYSE during the period from 2011 to 2014 as dataset and construct the network by using minimal spanning tree (MST). The empirical results show that the degree of stocks obeys power-law distribution and the highly connected stocks connect with each other directly, i.e., the stock market network is non-fractal. Our work provides a new perspective on risk management, which can be used in other network-based financial systems.

[2]龍瑞, 謝赤, 曾志堅, 羅長青. 高頻環境下滬深300股指期貨波動測度——基於已實現波動及其改進方法. 系統工程理論與實踐, 2011, (5): 813-822 [國家自然科學基金委員會A類重點期刊]

摘要：作為中國唯一上市交易的金融期貨產品，滬深300股指期貨在資本市場價格發現和風險防範過程中扮演重要角色，科學準確地測度其收益波動對充分實現股指期貨避險功能具有重要理論和現實價值.在日內高頻信息環境下分別採用經典已實現波動率、已實現極差波動率和已實現雙冪波動率等三類方法對滬深300股指期貨的收益波動進行測度，通過籃盼定樣本內預測誤差指標對上述方法的測度性能進行比較.實證結果表明:滬深300股指期貨在上市交易後表現出由劇烈波動到漸趨平穩的波動特徵，已實現波動的改進方法在滬深300股指期貨收益波動的測度性能上具有較為明顯的優越性。

Abstract：As the only publicly launched financial futures contracts of China, CSI 300 stock index futures plays an important role in the process of price discovery and risk prevention of the capital market. The measurement of its return volatility is significantly important to achieve the risk aversion function of stock index futures. Under the intraday high-frequency data environment, the return volatility of Chinese CSI 300 stock index futures was measured by realized volatility methods including classical realized volatility, realized range-based volatility and realized bipower volatility. The in-sample prediction error indicators were introduced to distinguish the performance of the methods above. The empirical results indicate that the return volatility of CSI 300 stock index futures fluctuated fiercely at the beginning after listing while then changed to be stable, and modified methods of realized volatility show a better measurement performance of return volatility of CSI 300 stock index futures than classical realized volatility.

[3]陳君蘭, 謝赤, 曾志堅. 證券市場間信息傳遞效應實證研究——兼論金融危機的影響. 管理科學學報, 2010, 13(11): 112-120 [國家自然科學基金委員會A類重點期刊]

摘要: 2007年在美國開始爆發的次貸危機至今已蔓延為全球性金融危機，世界各國和地區證券市場均受到了不同程度的影響。本文對近年來，特別是這一輪金融危機下中國內地、香港以及美國三地證券市場的信息傳遞效應進行了比較分析。研究結果表明，2003年以後三地證券市場的聯動關係得到加強，它們之間存在長期協整關係；美國證券市場與中國內地和香港證券市場均存在Granger因果關係。同時，本文還通過事件研究法檢驗得出結論：中國內地證券市場對金融危機信息的反應能力和吸收信息的能力都不及香港和美國證券市場。究其原因，主要是中國內地證券市場發展尚不成熟,投資者自身素質還有待提升。

Abstract: The outbreak of subprime lending crisis has spread into global financial crisis since 2007. Securities markets indifferent countries and regions are affected to varying degrees. This paper comparatively studies information transmission among Chinese mainland securities market Hong Kong securities market and the US securities market in recent years, after this financial crisis in particular. The empirical results indicate that co-integration exists in the above mentioned markets since 2003 and the co-movement has been strengthened. The US securities market has Granger causality on Chinese mainland securities market and Hong Kong securities market. This paper also finds that Chinese securities market is inferior to HK and the US securities markets in reacting and absorbing information based on financial crisis by event study. That is because Chinese mainland securities market is not yet mature and investors' quality is supposed to need improving further.

[4]謝赤, 張太原, 曾志堅. 中國股票市場存在流動性溢價嗎? 管理世界, 2007, (11): 36-47 [國家自然科學基金委員會A類重點期刊]

摘要: 本文利用高頻數據，採用主成分分析方法構造了一種新的股票流動性度量方法, 並使用 LR兩階段截面回歸方法與似無關回歸估計法，檢查了股票流動性是否影響其預期收益率。實證結果表明，上海股票市場存在流動性溢價，股票流動性降低時，股票預期收益率會增加。研究同時發現，上海股票市場具有很強的價值效應，但不具有規模效應。

Abstract: Based on principal component analysis, this paper gets a new liquidity measure by using high-frequency data to measure the stock liquidity. Then, LR two- stage cross-sectional regression and seemingly unrelated regression method are taken to examine if liquidity affects expected return in stock market. The final empirical study shows that there is a liquidity premium in Shanghai Stock Market; stock expected return increases when its liquidity reduces. At the same time, the empirical results show that there is value effect, but not scale effect in Shanghai Stock Market.

[5]謝赤, 曾志堅. 股票市場流動性溢價的實證研究. 數量經濟技術經濟研究, 2005, (9): 143-154 [國家自然科學基金委員會A類重點期刊]

摘要：資產流動性的高低是否影響資產的價格一直是資本市場理論研究的熱點問題，也是投資者決策的重要理論依據之一。本文根據股票市場流動性溢價原理，選取換手率與Amivest流動比率作為股票流動性的衡量指標，採用LR兩階段截面回歸方法與似無關回歸(SUR)估計法，對上海股票市場的股票流動性與預期收益率的關係進行了實證研究。結果表明，上海股票市場存在顯著的流動性溢價，換手率低或Amivest流動比率低，流動性較差的資產具有較高的預期收益。研究同時發現，上海股票市場具有很強的規模效應和價值效應。

Abstract: Whether the degree of stock liquidity affects stock price is an important issue about capital market theory, and about investors' decision making. Ac-cording to stock market liquidity premium theory, selecting turnover ratio and Amives liquidity ratio to measure stock liquidity, using LR two stage cross sectional regression and seemingly unrelated regression method, this paper studies the relationship between liquidity and expected return in Shanghai stock market. The result shows liquidity premiums exist in Shanghai stock market—— assets with lower turnover ratios or Amivest liquidity ratio, hence lower liquidity have higher expected returns. This paper also finds that scale effect and value effect exist in Shanghai stock market.

[6]曾志堅, 徐迪, 謝赤. 金融危機影響下證券市場聯動效應研究. 管理評論, 2009, (2): 32-38 [國家自然科學基金委員會A類重點期刊]

摘要：2007 年在美國開始爆發的次貸危機至今已演變為全球性金融危機。本文在當前金融危機的背景下，研究了中國內地證券市場與世界主要證券市場的聯動效應。研究結果表明，隨著金融危機的爆發與深化，中國內地證券市場與世界證券市場的聯動效應也發生了相應的變化。尤其在金融危機深化時期，這種聯動效應明顯增強。此外，中國內地證券市場對德國與香港證券市場有顯著影響。

Abstract: The sub-prime mortgage crisis that started in the U.S. has led to worldwide losses, interbank credit crunch and turbulence in the financial markets. This paper analyzes the background, devolution and internal mechanism of the crisis; discusses the different impacts on China's real estate market through the interest rate, foreign investment, market expectations, industry policies and so on; and testifies the impact of the crisis with the event-study analysis. On the basis of the analysis, this article puts forward the corresponding policy recommendations.

[7]Zeng Zhi-Jian, Li Jia-Li. Effect of family control on company’s investment-cash flow sensitivity: Evidence from China’s listed companies. Management, Information and Educational Engineering, 2014, (3): 163-166 [EI檢索: 20160701929788]

Abstract：Based on the sample of Chinese A-share list companies for the time period 2010 to 2012 , this article empirically investigates the influence of the family control control on company invest-cash flow sensitivity. The empirically result is shown as follows: Companies that are not family controlled , investment is more sensitive to cash flow in family-controlled companies; the characteristic of family control rights such as its model selection, the way of realization, and management participation degree affect a family-controlled listed company’s investment-cash flow sensitivity at different levels.

[8]Zeng Zhi-Jian, Zhang Yi-Jun. Ultimate ownership structure and stock price crash risk: Evidence from China. Management, Information and Educational Engineering, 2014, (2): 1011-1014 [EI檢索: 20160701929825]

Abstract：Using a sample of A-share listed firms in China for the period 2004~2013, this paper empirically investigates the effect of the ultimate ownership structure on stock price crash risk from the perspective of the second corporate agency cost theory. We provide strong evidence that the separation of control power and cash-flow right is positively associated with stock price crash risk. And there is a significant negative correlation between cash-flow right and stock price crash risk. We also find that stock price crash risk is related with the nature of the ultimate controlling shareholder. Compared with non-state-owned listed companies, the state-owned companies may face lower stock price crash risk.

[9] Zeng Zhi-Jian, Zhou Xing. Effects of excess cash holdings on firm value: Study from the perspective of corporate life cycle. 2nd International Conference on Education, Management and Social Science, 2014, (4): 172-175 [ISTP檢索: 000346294900049]

Abstract：Based on the corporate life cycle theory, the effects of corporate excess cash holdings on firm value is conducted in this paper. The results show that a significant inverse U-shaped relation exists between excess cash holdings level and firm value. It indicates that lots of companies face the problem of financing constraints. Moreover, the results also show that the optimal excess cash holdings level is discrepant at different corporate life cycle stages. Therefore, in order to ensure the corporate cash policy is reasonable, the corporate should make the cash policy according to which corporate life cycle stage it is at.

[10] Zeng Zhi-Jian, Yang Wei-Yi. A study on the impact of cash dividend distribution on earnings persistence of listed company. 2012 IEEE 19th International Conference on Industrial Engineering Management, 2013, (3): 15-23 [EI檢索: 20140317205840]

Abstract: Cash dividend distribution transmits some information of earnings persistence of listed company, but the analysis on the influence of cash dividend distribution on earnings persistence is still not enough. Based on the data of Chinese listed companies from 2003 to 2009, this article tests the impact of cash dividend distribution on earnings persistence of companies. The empirical results are as follows: in general, cash dividend distribution has a negative effect on earnings persistence of company, so cash dividend distribution of listed company is more a tool for tunneling by controlling shareholders; but among companies which allocate cash dividend at the current term, the impact on earnings persistence varies with cash dividend payout ratio levels; relative to moderate levels of cash dividend payments, low levels of cash dividend payments have significant negative impact on earnings persistence, but high levels of cash dividend payments have no obvious effect on earnings persistence.

[11]Zeng Zhi-Jian, Xu Di. A study on the comovement between warrants and the underlying stocks based on a time-varying relevant bivariant normal copula model. In: The 2nd International Conference on E-Business and E-Government (ICEE2011), 2011, (5): 1962-1965 [EI檢索: 20112914161136]

Abstract: The time-varying relevant bivariant normal copula model is applied to study the comovement between representative warrants and their underlying stocks in Mainland China’s stocks market. The results indicate that there’s a quite strong positive comovement between the call warrants and the underlying stocks during the entire duration, while this comovement weakens on the last trading day; As for the put warrant and the underlying stock, this comovement is weak and negative, while on the last trading day, this negative comovement weakens.

[12]Zeng Zhi-Jian, Xie Chi. A study on the effect of macro economy on the liquidity comovement between stock and bond markets. In: The 6th International Conference on Management (ICM' 2007), 2007, (2): 729-734 [ISTP檢索: 000252036001019]

Abstract: Liquidity comovement between financial assets is a fundamental issue of financial management. It’s important to asset pricing, asset allocation and risk management. This paper analyzes the effect of macro economy on the liquidity comovement between stock and bond markets from both theoretical and empirical perspectives. Results from empirical analysis indicate that the variation of the correlation between the liquidity of stock and bond markets mainly depend on the variation of industry added value, money supply, inflation, domestic credit beside of itself variation.

[13]Xie Chi, Zeng Zhi-Jian. An empirical study on the comovement between stock market and treasury bond market. In: the 8th International Conference on Industrial Management (ICIM’2006), 2006, 786-796 [ISTP檢索: 000242562600120]

Abstract: Return comovement and liquidity comovement of financial assets is a fundamental issue of financial management. With VAR models, comovement between Shanghai stock market and Shanghai Treasury bond market has been analyzed in this paper. The empirical findings are as follow: (1) the long-term cointegration between the close prices of Shanghai stock market and Shanghai Treasury bond market exists, and the close price of Treasury bond is the Granger causality of the close price of stock. (2) The long-term cointegration between the liquidity of Shanghai stock market and Shanghai Treasury bond market exists, and the liquidity of Treasury bond is the Granger causality of the liquidity of stock.

[14]曾志堅, 岳凱文, 齊力. 基於複雜網路的新能源股票間聯動性研究. 財經理論與實踐, 2015, (6): 44-49 [CSSCI收錄]

摘要：運用複雜網路方法，建立無向無權網路，對新能源板塊內88支股票間的聯動性進行實證分析，結果表明新能源股票間的收益具有聯動性；一些股票在網路中占據重要位置，對於信息在新能源股票網路中傳遞起重要作用；所構建的網路具有小世界效應和無標度特性，但是冪律指數與大多數現實網路的冪律指數存在差異。

Abstract: By using the complex network to establish an undirected and unweighted network, this paper analyzes co-movement among the 88 stocks within the new energy plate. The empirical results show that there is co-movement lies in the returns of the new energy; some stocks occupy the important position in the network, for information transfer plays an important role in new energy stocks network; the network constructed has small-world effect and scale-free properties, but the power-law index is not consistent with the power-law index of most real networks.

[15]曾志堅, 周星. 超額現金持有水平對企業價值的影響——基於企業生命周期視角的實證研究. 中央財經大學學報, 2015, (4): 107-112[CSSCI收錄]

摘要：現金是收益性最差的資產，但許多公司卻傾向於持有超過正常水平的現金。筆者以2007-2012年滬深兩市全部A股上市公司為研究樣本，考察了超額現金持有水平對企業價值的影響。實證結果顯示：由於公司普遍同時面臨委託代理和融資約束問題，其超額現金持有水平與企業價值之間呈現倒U型關係。這表明適度持有超額現金將有助於企業價值的提升，但超額現金持有過多將導致企業價值下降。筆者進一步深入研究了超額現金持有水平對企業價值的影響在生命周期不同階段是否存在差異。研究結果顯示對於處在生命周期不同階段的公司，使其企業價值達到最大化的最優超額現金持有水平存在顯著差異，成長期公司的最優超額現金持有水平最高，成熟期公司的最優超額現金持有水平最低。因此公司應根據自身所處的企業生命周期階段來制定相應的現金持有決策，促使企業價值達到最大化。

Abstract: Many firms incline to hold large amount of cash, even though profitability of cash is lower than that of any other assets. Base on the financial date of the A-share listed companies during the period 2007-2012, the impacts of corporate excess cash holdings level on corporate value is studied by us. The results show that a significant reverse U-shaped relation exists between excess cash holdings level and corporate value。It is may caused by that companies always face the financing constraint problem and agency problem at the same time. Holding appropriate excess cash can exert beneficial impacts on improving firm value，but holding too much cash led to the decreasing in corporate value. Moreover, we investigate the difference of the impacts of excess cash holdings level on firm value at different corporate lifecycle stages. The results show that the optimal excess cash holdings level is discrepant at different corporate lifecycle stages. The optimal excess cash holdings level of firms at growth life cycle stage is highest. And the optimal excess cash holdings level of firms at maturity life cycle stages is lowest. Therefore corporate should make corresponding cash policy according to which corporate lifecycle stage it is at.

[16]曾志堅, 張倩倩, 左楠. 基於模糊層次分析法的科技企業孵化器評價體系研究. 財經理論與實踐, 2014, (6): 119-122[CSSCI收錄]

摘要：從綜合服務能力、可持續發展能力、基礎服務條件和孵化效益4個方面，構建了科技業孵化器評價指標體系，並運用模糊層次分析法確定各個指標的權重。結果表明科技項目申報資助額、經營服務管理水平、高素質員工比例和科技創新基金年平均投入量是衡量科技企業孵化器運營績效的重要指標。

Abstract: The evaluation index system of science and technology enterprise incubator is constructed from comprehensive services, sustainable development ability, infrastructure, economy benefit and social benefit of incubator. Then we use the Fuzzy Analytic Hierarchy Process to evaluate the weight of the different indicators. The result shows that science and technology project support, the level of management and service, the proportion of high-quality staff and science and the rate of technology innovation fund investment are important indicators to measure the science and technology enterprise incubator’s operational performance.

[17]曾志堅, 唐述福. 股票市場系統流動性風險溢價牛熊市差異研究. 湖南大學學報(社會科學版), 2014, (1): 66-70[CSSCI收錄]

摘要: 從行業和市場行情變化出發研究了股票市場系統流動性風險溢價的差異。以滬深300指數和滬深300行業指數為對象，選取的樣本期間橫跨牛市行情和熊市行情，採用二元均值 GARCH(1,1)——Diagonal　BEEK模型進行實證檢驗。結果表明，在混合市場行情下，總體樣本和行業樣本的系統流動性風險溢價都不顯著，在牛市行情下，不存在系統流動性風險，而在熊市行情下，系統流動性風險顯著存在，並且不同行業的系統流動性風險溢價存在一定的差異。

Abstract: Considering the industry factors and market condition, this paper studied the differences of stock market liquidity risk premium. Take the CSI 300 Index and CSI 300 Sector Index as sample period contains both the bull market and bear market, and the Binary mean model GARCH(1,1)-- Diagonal BEKK was used in empirical research. The results show that the overall samples and industry samples liquidity risk premium is not significant in the mixed market conditions, the systemic liquidity risk is not exist in the bull market but the bear market，furthermore，the systemic liquidity risk premium in different industries are different.

[18]謝赤, 張鵬, 曾志堅. 開放進程中人民幣匯率間相依性研究——基於動態Coupla-GJR-t模型的分析. 金融經濟學研究, 2014, (1): 79-99[CSSCI收錄]

摘要: 構建動態 Copula-GJR-t 模型對匯改後人民幣兌美元、歐元和日元匯率間的相依結構進行考察。研究表明: 人民幣兌美元與兌歐元、兌日元匯率間存在負相依性，人民幣兌歐元與兌日元匯率整體上呈現正相依性; 在極端事件下，各匯率間相依性較正常時期發生很大變化，但不像股票市場那樣呈現增強的正相依性; 人民幣兌美元與兌歐元、兌日元匯率的上、下尾相依性基本為零，說明它們不存在同時大漲或大跌的可能性，而人民幣兌歐元與兌日元匯率有波動較大的上、下尾相依性，說明兩者存在匯率風險傳染關係。

Abstract: This paper studies the impact of the interest rate marketization for large enterprises and small and medium-sized enterprises’independent innovation theoretically，and analyzes the innovation efficiency of large and medium -sized industrial enterprises in China’s 30 provinces with SFA method，especially focuses on the impacts of decline in lending rates on the efficiency of enterprise innovation． The results show that in condition of financial distortion，the development of finance has negative effect on innovation efficiency; the increase of the proportion of state －owned enterprises’industrial production value can promote the innovation efficiency; the release of loan limit which will make lending rates fell can do favor to the enterprise innovation efficiency; interest rate market is conducive to the change of the state of financial market segmentation，and conducive to the innovation capacity of SMEs．So we should continue to make policy in the reform of financial system especially the interest system．

[19]曾志堅, 張倩倩. 基於MF-DCCA方法的證券市場間交叉相關性研究. 財經理論與實踐, 2013, (6): 45-49[CSSCI收錄]

摘要：運用多重分形去趨勢波動交叉相關分析法(MF-DCCA)，研究上海證券市場和香港證券市場之間的交叉相關關係。實證結果表明：上海證券市場和香港證券市場之間存在交叉相關性，且呈現出多重分形特徵；當證券市場出現較大的波動時，上海證券市場和香港證券市場的交叉標度指數要大於其平均標度指數，即兩個證券市場之間的交叉相關性要大於其自相關性。

Abstract: The cross-correlation between Shanghai securities market and Hong Kong securities market is examined using the multi fractal de-trended cross-correlation analysis method(MF-DCCA).The empirical results show that there exist cross-correlation between Shanghai securities market and Hong Kong securities market and posses multi fractal features. When the securities markets arise comparatively large fluctuations, the cross-correlation exponent between Shanghai securities market and Hong Kong securities market is larger than the average scaling exponents, which suggests that cross-correlation between the two securities markets are stronger than the individual market’s auto-correlations.

[20]曾志堅, 鐘紫璇, 曾艷. 中國創業板和主機板市場間溢出效應研究——基於小波多分辨分析. 財經理論與實踐, 2012, (6): 43-47[CSSCI收錄]

摘要：運用小波多分辨分析及VAR-DCC-GARCH模型，研究了中國創業板與主機板股票市場間的溢出效應。實證結果表明：從長期趨勢看，中國創業板與主機板市場之間存在雙向的均值和波動溢出。從短期來看，在1到2天的短期交易周期中，兩者之間不存在任何溢出效應。隨著交易周期的增長，兩者間的均值溢出效應是從無到單向，再到雙向逐步體現出來的，而波動溢出效應的出現則沒有規律性。

Abstract: The Spillover Effect between Chinese GEM and the main board market is examined using the wavelet multi resolution analysis and the VAR-DCC-GARCH molde. The empirical results show that: from the long-term trend, there exist bidirectional mean and volatility spillover between the GEM and main board market. From the short-term trend, in the cycle of 1-2 days, there do not exist any spillover effect between the two markets. With the growth of trading cycle, the mean spillover effect between the two markets is from nothing to ong-way, and then to two-way, while the appearance of volatility spillover effect has no regularity.

[21]曾志堅, 徐迪, 左楠. 金融危機對證券市場波動溢出的影響研究. 財經理論與實踐, 2011, (6): 48-52 [CSSCI收錄]

摘　要：不同證券市場之間的波動存在時變、非對稱、非線性相關的特性，尤其是在極端事件影響下，證券市場之間往往會表現出尾部相關的特性。以次貸危機為背景，利用時變Capular模型研究了證券市場間的波動溢出。結果發現無論是金融安全時期還是金融危機時期，均存在美國證券市場對中國證券市場的波動溢出，並且在金融危機期間這種波動溢出效應有增強的趨勢。

Abstract: Volatilities in different securities markets demonstrate the characteristics of time varying non-symmetrical as well as nonlinear related，especially under some extreme circumstances，there are always some kinds of tail correlations among different securities markets. The volatility spillover among different securities markets is examined with time varying copula model in the context of subprime crisis. The empirical results show there is volatility spillover from the U. S. securities market to China's mainland securities market，at the same time，this volatility spillover is greatly strengthened during the financial crisis period.

[22]曾志堅, 陳川, 龍瑞. 證券市場危機預警研究. 湖南大學學報(社會科學版), 2011, (5): 59-63 [CSSCI收錄]

摘要：界定了證券市場危機狀態的臨界狀態，選擇巨觀、微觀和市場三層次指標，利用Logistic回歸方法構建了證券市場危機預警模型。實證研究表明，中國證券市場發生危機發生的機率與通貨膨脹率變動、市場利率、匯率變化幅度、香港證券市場指數收益率變化、市場平均市盈率、市場平均換手率、IPO平均抑價水平和ST企業比例顯著相關，並且基於Logistic回歸的證券市場危機預警模型能及時、迅捷地釋放危機預警信號。

Abstract: On the basis of the definition of the security market’s crisis critical state, a security market’s crisis prediction model is constructed with the macro, market, and micro level indicators by logistic regression. The empirical results show that the burst probability of China’s security market significant related to the change degree of the inflation rate, market interest rate, exchange rate, the index return rate of Hong Kong security market, average market P/E ratio and turnover rate, average IPO under pricing level, and ST enterprise portion, thus the security market’s crisis prediction model based on logistic regression can precisely and timely release the crisis signal of security market.

[23]曾志堅, 范麗, 周競東. 基於互譜分析的權證與標的證券收益率波動溢出研究. 財經理論與實踐, 2010, (6): 38-43[CSSCI收錄]

摘　要:通過互譜分析實證研究了中國權證市場具有代表性的權證與其標的證券之間的波動溢出效應。結果表明，權證收益率波動與標的證券收益率波動之間的相干性較低，波動溢出效應不明顯，但是二者之間存在一定的領先——滯後關係，在權證最後交易日存在從權證收益率波動到標的證券收益率波動的領先關係。

Abstract: The volatility spillover effect between representative warrants in China warrants market and the underlying securities is examined using cross-spectral analysis. The results show that low coherence between warrants volatility and their underlying securities volatility, the volatility spillover effect is not obvious. But there is a certain lead-lag relationship between them and in the last trading day there is lead relationship from warrants volatility to underlying securities volatility.

[24]曾志堅, 范麗, 左楠. 基於互譜分析的證券市場危機傳染研究. 財經理論與實踐, 2009, (6): 32-36 [CSSCI收錄]

摘要：以次貸危機為背景，通過互譜分析實證研究了美國和中國證券市場的危機傳染效應。研究結果表明，次貸危機發生後美國和中國證券市場之間的關聯性在短期內發生了顯著性的加強，說明兩個證券市場之間發生了危機傳染。在危機傳染中雖然中國證券市場在非常短的周期內會影響到美國證券市場，但主要是美國證券市場領先中國證券市場。

Abstract: The contagion effect of crisis between the United States and China’s securities markets is examined using the cross-spectral analysis in the context of subprime crisis. The relationship between the securities markets of United States and China is found to be significantly manifested in the short run after the occurrence of subprime crisis, which indicates a contagion for the two securities markets. The United States securities market is discovered to lead China’s securities market in the main time, although market of China will in a very short period affect the U.S. securities market.

[25]曾志堅, 江洲. 關於我國股票市場與債券市場收益率聯動性的實證研究. 當代財經, 2007, (9): 58-64[CSSCI收錄]

摘要: 股票和債券的資產組合在證券投資領域是一種傳統而常見的投資組合方式。為了從組合中獲取最大收益和最大限度地規避風險，研究這兩種資產之間的聯動性問題具有重要意義。基於對股票市場與債券市場收益率聯動性進行的實證分析，我們發現股票市場與債券市場收益率之間存在長期影響；股票市場與債券市場收益率之間存在領先-滯後關係；股票市場與債券市場收益率之間的月度相關性是時序變化的，可以用模型進行描述與預測。

Abstract: A mixed stock and bond portfolio is a traditional and widely used investment portfolio in the field of securities investment. In order to achieve maximum return with a minimum degree of risk, it is important to study the comovement between these two assets. This paper empirically studies the liquidity comovement between stock and bond markets. The empirical results show that the returns of stock and bond markets interacts in the long run, and there exists a leading and lag relation between them. The month correlation between the return of stock and bond markets is time-varying, which can be described and predicted with some models.

[26]曾志堅, 謝赤. 證券市場流動性的度量方法研究. 中國流通經濟, 2006, (9): 61-64[CSSCI收錄]

摘要：流動性是證券市場的血液。本文在綜合多種單支證券流動性的度量方法和市場總體流動性的度量方法的基礎上，構建了證券市場流動性指數，為進一步對各個市場流動性歷史變化進行縱向比較和相互間的橫向比較，進一步研究市場流動性與收益率之間的關係提供了基礎。

Abstract： Liquidity is the blood of security market. Reviewing sorts of measure methods of individual security liquidity and market-wide liquidity, this paper establishes security market liquidity index which enables us to compare different markets liquidity and further study the relationship between market-wide liquidity and return.

[27]劉玲, 謝赤, 曾志堅. 股票價格指數與巨觀經濟變數關係的實證研究. 湖南師範大學社會科學學報, 2006, (5): 82-86[CSSCI收錄]

摘　要: 從理論和實證兩方面分析股票價格指數與巨觀經濟之間的關係，協整檢驗結果表明，股票價格指數與巨觀經濟變數之間存在長期均衡關係。具體而言,股票價格指數與企業景氣指標、工業增加值之間呈正相關關係，而與利率、貨幣供給之間是一種負相關關係，與通貨膨脹率之間的關係則不確定。

Abstract: This paper analyzes the correlation between stock market index and macroeconomic variables from both theoretical and empirical perspectives. The co integration method is employed in this paper to model the long run equilibrium relationship between stock market index and various macroeconomic variables. Results from empirical analysis indicate the positive correlation between stock market index and enterprise prosperity index as well as industry value added. The negative correlation between stock market index and interest rate as well as monetary supply is also identified. However, empirical results for relationship between stock market index and inflation rate is mixed and remains the open question.

[28]曾志堅, 謝赤. 利率波動對股票價格影響的實證研究. 科學技術與工程, 2006, (1): 98-103 [CSSCI收錄]

摘要:就利率如何影響股票價格進行了理論分析，並利用上海證券交易所7天國債回購利率與上證指數數據進行了實證研究，發現中國的股票價格與利率之間存在共同的長期趨勢，利率的日度波動領先股票日收益率的變動，對此現象給出了一些相應的經濟解釋和政策建議。

Abstract ：Based on a theoretic analysis of the effect of interest rate on stock price，empirical study using the date of 7-day national debt repo rate and stock price index of Shanghai Security Exchange are made puce daily and stock interest rate exhibit a long run common trend and daily fluctuation of interest rate lead of. Stock change of return. Some reasonable explanation and policy suggestion are gaven.

[29]胡克嫚, 曾志堅. 基於主成分分析的股票流動性的度量. 財經理論與實踐, 2005, (6): 49-52 [CSSCI收錄]

摘　要:流動性是一個多維變數,因此要度量股票的流動性，必須採用一種多維的計量方法。以上證180指數成分股中的30隻股票為研究樣本，利用高頻數據，運用主成分分析方法獲得了一種新的流動性度量方法，該方法能夠更好地描述中國股市的流動性。

Abstract: Liquidity is a multi- dimensional variable, so we should use a multi- dimensional liquidity measure to estimate stock liquidity. In this paper, based on principal component analysis, we get a new liquidity measure by using high- frequency data. It can better measure stock liquidity.

[30]曾志堅, 謝赤. 中國證券市場發展: 資本融合與股市互動. 科學時報, 2008-04-09, B2

科研項目

主持項目

?[1]國家自然科學基金項目一般項目：基於時頻分析的證券市場間風險溢出研究(71373072)，2014.1-2014.12

?[2]教育部人文社會科學研究青年基金項目：基於時頻分析的權證與標的證券聯動關係研究(09YJC630063)，2010.1-2012.12

?[3]湖南省哲學社會科學基金項目：基於巨觀經濟因素與時序數據重構的證券市場危機預警研究(09YBA037)，2010.1-2011.12

?[4]湖南省科技廳項目：湖南省科技企業孵化器發展戰略研究(2012GK3162)，2012.1-2013.12

?[5]橫向項目：長沙移動流程管理諮詢項目，2011.6-2012.9

參與項目

?[1]國家社科基金項目一般項目：貝葉斯面板數據分位回歸模型及其套用研究，主持人：曾昭法，2013-2015

?[2]國家自然基金項目一般項目：複雜金融網路動態演化行為與危機傳染及其控制研究，主持人：謝赤，2014-2017

?[3]國家自然基金項目一般項目：供應鏈中斷風險管理與最佳化，主持人：舒彤，2012-2015

?[4]湖南省自然科學基金項目：基於信息不對稱視角的上市公司債務期限結構研究，主持人：熊正德，2006-2007

?[5]湖南省科技廳項目：科技投融資及基金機制研究，主持人：謝赤，2007-2008

?[6]國家科技部項目：國際金融危機的產生與傳遞及其對中國金融穩定和經濟發展的影響，主持人：謝赤，2011.1-2011.12

?[7]湖南省科技廳項目：基於電信平台的湖南省物聯網運營系統開發及套用示範，主持人：喻建良，2010.1-2010.12

?[8]博士點基金項目博導項目：藕合實體經濟的金融市場風險評估與協同監管研究，主持人：謝赤，2014-2016

?[9]博士點基金項目博導項目：行為金融基金及其投資策略研究，主持人：謝赤，2008-2010

?[10]湖南省社科基金項目：以創業教育提升大學生職業勝任能力研究，主持人：甘露，2011-2014

?[11]橫向項目：財務管理、股利政策與內部控制諮詢項目，主持人：謝赤，2012-2014

榮譽獲獎

?中國證券市場行為描述與預測研究，湖南省第十一屆哲學社會科學優秀成果一等獎，中共湖南省委、湖南省人民政府，2010

曾志堅(湖南大學工商管理學院副教授)

基本介紹

人物經歷

教育經歷

工作經歷

社會兼職

行業領域

企業合作

研究領域

講授課程

研究成果

出版著作

發表論文

科研項目

主持項目

參與項目

榮譽獲獎

科研項目

主持項目

參與項目

榮譽獲獎

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