i...1 CSMAR...3....4 1....4 2....8 3....9 4....10 5....12 6....13 7....14....15 1....15 2....17 3....18 4....19 5....20 6....22 7....23 8....25 9....26 10....27 11....29 12....35 13....37 14....40 15....41 16....42 17....44 18....45 19....46....49 1....49 2....53 3....57....60 1....60....64 1....64 2....66 VI....68
ii 1....68 VII....70 1....70 2....72 3....73 4....74 5....75 6....76 VIII....77 1....77 2....78 3....79 4....79 5....80 6....81 7....82 IX....84 1....84 2....85 3....86 4....88 X....89 1....89 XI....93 1....93 2....93 3....93 4....94 5....94 6....94 7....95 8....95 9....96 10....96 11. β...97 CSMAR...98.CSMAR...98....99....99....101...114
....114....114....114 iii
60% CRSPCOMPUSTAT A. B. C. D. A. B. - 1 -
C. CSMAR CRSPCOMPUSTAT Bloomberg - 2 -
CSMAR 系列研究数据库 二 CSMAR 系列研究数据库 CSMAR 系列研究数据库由中国股票市场研究系列 中国公司研究系列 中国基金市场研究 系列 中国债券市场研究系列 中国衍生产品研究系列 中国高频研究系列 中国经济研究系列 中国行业研究系列 中国货币市场系列 海外研究系列和专题研究系列十一个部分构成 -第 3 页-
. 1. CRSP 600601000002 % % 600601 20080701 4.86-0.056311-0.056311 21284.744996 21017.126330 600601 20080630 5.15-0.070398-0.070398 22554.830030 22271.242252 600601 20080626 5.54 0.018382 0.018382 24262.888882 23957.825233 600601 20080625 5.44 0.058365 0.058365 23824.938856 23525.381667 600601 20080624 5.14 0.032128 0.032128 22511.079690 22228.041996 000002 20080701 8.46-0.061044-0.061044 637.913888 511.676830 000002 20080630 9.01-0.003319-0.003319 679.386348 544.942287 000002 20080627 9.04-0.072821-0.072821 681.648740 546.756973 000002 20080626 9.75 0.007231 0.007231 735.185698 589.699479 000002 20080625 9.68 0.035294 0.035294 729.907735 585.465975 CRSP 15-4 -
20080702 A 0.015111 0.015063 0.002921 0.002895-0.001131-0.001137 20080701 A -0.022799-0.022993-0.032205-0.032551-0.031604-0.031854 20080630 A 0.004983 0.004969-0.001807-0.001999-0.004238-0.004321 20080627 A -0.071764-0.071795-0.062016-0.062181-0.053040-0.054435 20080626 A 0.013441 0.013441 0.005014 0.005014-0.002480-0.002480 20080702 B 0.009700 0.009700 0.007761 0.007761 0.007787 0.007787 20080701 B -0.015192-0.015192-0.015397-0.015397-0.016999-0.016999 20080630 B 0.001561 0.001561 0.002862 0.002862 0.003285 0.003285 20080627 B -0.048999-0.048999-0.042280-0.042280-0.045745-0.045745 20080626 B 0.007993 0.007993 0.006016 0.006016 0.006012 0.006012 20080702 A 0.015355 0.015355 0.011513 0.011513 0.011879 0.011879 / A B 000002 000002 19980710 01000 495943165 47806306 52650068 0 0 14106298 000002 20050629 03000 3410946136 237376431 0 0 259895745 0 A 0 0 270694005 0 0 0 0 0 0 2365775848 0 2565645 0 0 01000= 03000= ( ) -5 -
-6 - AB AB () A B H
A/B A/B ( ) ( ) 6 A/B A/B ( ) ( ) 6 A/B A/B ( ) ( ) 6 A/B A/B ( ) ( ) 6 A B A/B ( ) ( ) 6 A B A/B ( / ) ( ) 6-7 -
A B A/B ( / ) ( ) 6 A B A/B ( / ) ( ) 6 A B 30 180 A B 100 15 1990 1991 A B A B 1990 12 19 1992 02 21 1991 01 04 1992 02 28 2. A A 100000-8 -
10 11 21 10 101 110 101 110 45 10 101 110 101 1 10 101 110 63 10 101 110 101 1 10 43 A A 2003 09 08 2003 09 05 3. -9 -
(A B ) A B B A B B 10 (A B ) A B B A B B A B B A B B A B B 1~19 1~10 40 2003 01 10 2002 03 19 4. 1991 04 04 000019 20080701 601998 1 000019 20080701 601899 1 000019 20080701 601857 1 000019 20080701 601166 1 000019 20080701 601008 1 000019 20080701 601007 1 000019 20080701 600995 1-10 -
000019 20080701 600973 1 000019 20080701 600839 1 1= 2= 000001 A 000002 A 000003 PT A 1987-12-22 1991-04-03 1989-03-10 1984-05-30 1991-01-29 1988-12-28 ( ) 1988-11-09 1991-07-03 1989-02-28 000004 1986-05-05 1991-01-14 1989-12-23 000005 ST 1988-12-22 1990-12-10 1990-03-03 000006 A 000007 A 1989-05-25 1992-04-27 1989-08-01 1989-01-12 1992-04-13 1988-12-01 000008 ST 1989-10-11 1992-05-07 1989-10-01 000009 A 1991-06-00 1991-06-25 1991-06-14 000010 1988-12-31 1995-10-27 1993-06-01 AB A B H 1991 07 15 1991 04 04-11 -
5. B B () (%) () (%) () (%) () A -12 -
A A 2005 06 17 2005 06 28 6. A B A B 2003 01 02 2003 01 07 2003 01 02 2003 01 02-13 -
7. STSSTPT*STS*ST AB A B H A B A B 1998 04 28 1998 04 28 1998 04 27 1998 04 30-14 -
. 1. (Compustat) 2006 2007 B 2007-12-31 2007 2007-03-31 2007-01-01 2007 2007-12-31 000011 2001-01-01 A 287349286.93 2203895914.56 218448913.71 55412492.35 2719831834.77 000011 2001-12-31 A 294093999.24 1981288376.03 198419516.52 78988832.35 2448633703.29 000006 2004-06-30 A 507746220.38 3164899976.72 178882760.83 524696252.07 4105003944.29 600089 2007-03-31 A 1128151840.54 5281002575.58 1957938848.55 266440241.48 7993656717.21 000005 2005-09-30 A 52345169.99 482145388.55 239211569.49 0 1781712610.31 A= B= -15 -
2007 2007 000005 2007-06-30 A 269674928.72 155267767.06 777997536.95 0.00 777997536.95 000006 2007-06-30 A 601504990.31 245043885.06 1307231544.45 59395269.50 1366626813.95 000011 2007-06-30 A 29502688.92 62919127.11 579280492.10 860763.97 580141256.07 600089 2007-06-30 A 681125781.75 183524785.77 1953881078.86 591657891.15 2545538970.01 1 2007 2 000011 1995-12-31 A 2412505351.55 1580972533.91 2453074544.68 90830948.98 600089 2003-06-30 A 1849334065.57 1212261296.50 1496559046.37 490557527.93 000005 2003-09-30 A 456259722.39 1382232097.26 711324486.66 148000000.00 000006 2007-06-30 A 2737038679.17 502802868.17 758597562.49 1114617170.90-16 -
000001 2007-06-30 A 1873281000.00 20616491000.00 15819358000.00 461029000.00 000919 2007-06-30 A 239240324.10 0.00 50000000.00 5181463.93 5738663.04 17023233.84 600030 2007-06-30 A 2855870158.12 6088043904.93 0.00 75901112.24 600619 2007-06-30 A 7640585.60 114779781.04 0.00 15644496.19 0.00 17684925.25 A B A B 1990 12 31 1990 12 31 1991 12 31 1992 12 31 2. 3 CSMAR 26 397 17 14 18 6 12 13 G A 2005-17 -
CSMAR 000002 2005-12-31 1 353148007.06 91.5805 4171020.02 1.1811 359049630.87 92.2372 000002 2005-12-31 1 19123673.12 4.9593 956183.66 5.0000 5351936.45 1.3749 000002 2005-12-31 1 7520464.13 1.9503 1940541.99 25.8035 13000542.10 3.3397 000002 2005-12-31 1 5822674.38 1.5100 3499627.21 60.1034 11865435.45 3.0481 000002 2005-12-31 1 385614818.69 100.0000 10567372.88 2.7404 389267544.87 100.0000 000002 2005-12-31 2 424836989.16 89.0972 4248369.89 1.0000 570771585.21 77.2170 000002 2005-12-31 2 13720150.25 2.8774 686007.51 5.0000 122400022.24 16.5589 000002 2005-12-31 2 16717224.22 3.5060 835861.21 5.0000 12232500.30 1.6549 000002 2005-12-31 2 21549673.00 4.5194 8063755.46 37.4194 33774619.01 4.5692 000002 2005-12-31 2 476824036.63 100.0000 13833994.07 2.9013 739178726.76 100.0000 600629 2005-12-31 1 2 546487.62 0.15 437475.75 0.12 600629 2005-12-31 1 2 800000 0.22 800000 0.22 600629 2005-12-31 1 2 1500000 0.41 1500000 0.42 600629 2005-12-31 1 2 1500000 0.41 1500000 0.42 600629 2005-12-31 1 2 64539672 17.85 64539672 18.05 600629 2005-12-31 1 2 292959626.2881.02 288959626.28 80.79 A B A B 2003 12 31 2003 12 31 2003 12 31 2003 12 31 3. -18 -
/ / / 1990 000026 2000-08-10 2 1 7439500 7439477.55 2.36 2.19 0.0298 0.02983 000026 2001-08-09 2 1 16694960.22 16694960.22 2.42 2.32 0.067 0.06696 600000 2003-04-29 1 2 315625395.8 316827395.8 2.75 2.75 0.0806 0.0876 600000 2004-04-28 1 2 415617829.73 416793829.73 3.06 3.06 0.11 0.11 1= 2= 3= 4= 1= 2= 3= A B A B 1990 12 31 1994 12 31 1991 12 31 1993 12 31 4. -19 -
1 2 4 2002-04-18, 860000 CNY 880000 CNY 1740000 CNY A 2006-04-25, 730000 CNY 450000 CNY 1180000 CNY A 2004-04-08, 220000 CNY 180000 CNY 400000 CNY A A B A B 1990 12 31 1994 12 31 1991 12 31 1993 12 31 5. 8 117 2008 B -20 -
a b a b 000002 20041231 A 20.44335 23.79234 0.50233 0.551335 000004 20041231 A 1.446573 1.462328 2.620533 2.622354 000005 20041231 A 7.601773 7.550534 0.152978 0.196755 600601 20041231 A 13.69775 12.65978 11.625019 13.00208 600602 20041231 A 5.63125 6.047493 5.9134 6.859302 600603 20041231 A 141.049249 97.439208 3.992887 1.369395 600604 20041231 A 9.415989 9.621343 2.691846 2.60492 600605 20041231 A 6.120176 6.527475 2.858113 2.817094 600606 20041231 A 35.225149 31.027336 0.61288 0.819876 600607 20041231 A 5.779602 6.084541 5.083632 4.955804 A= B= a b 2 a b 2 A B A B 1990 12 31 1990 12 31 1991 12 31 1991 12 31-21 -
6. A 2001 7 A A 4 000001 2006-12-31 0.24 492800000 10219200000 000001 2006-12-31 0.51 19.12 999440000 11579110000 000002 2004-12-31 0.45 664000000 8005000000 000002 2004-12-31, 0.39 88580000 946300000 000002 2008-12-31 0.9 5.6 3581920000 24836950000 A 5 // 000002 2005-09-30 0.2607 13.770618 889093798.22 1275580434.43 1312384153.09 5556130655.42 000002 2005-12-31 0.3627 11.883099 1433425711.84 1992378809.20 2031753981.05 10558851683.83 000002 2006-03-31 0.1045 62.679426 389056646.94 581414704.15 594190987.55 2284328909.36 000002 2006-06-30 0.3296 17.14199 1226963029.67 1800313925.56 1849292064.03 6617683195.77 000002 2006-09-30 0.3435 22.037846 1363735879.79 2033358851.99 2095567746.49 8460029746.07 > 15% 5 ~ 000001 2004-03-29 15% ± 5% -5 ~ -15% < -15% -22 -
6 / 000001 2004-04-15 15% 5%15% 5% 5% 5% 000001 2004-04-15 6 10% 6-10%---10% 6 10% 000001 2004-05-31 N/A A A 2001 01 01 2001 01 01 7. A B % % -23 -
002035 20040901 8.19 9.02 8.19 8.54 113268885 19.17 6.10-0.026237 002036 20040903 7.35 7.59 7.23 7.34 126600417 20.65 5.82 0.001292 002037 20040908 7.50 8.00 7.49 7.93 184975490 28.54 6.55-0.014935 002038 20040909 12.08 13.30 12.05 13.21 161483242 29.21 7.93-0.029278 / 200761 1997 7 8 () () () () () () () 200761 19941231 A 1602361366 795958200 806403100 4413510700 3968936200 342008400 342888800 200761 19951231 A 1799636590 1046840600 752796000 4854210600 4465083400 282789900 298929600 200761 19961231 A 2145274837 1197791800 947483000 4975098900 4359946200 471536600 488153500 200761 19971231 B - - - 4649622000 4140941100 443423000 446269000 (%) () () (%) (%) (%) (%) (%) () () 342510700 334838400 1.22 0.63 49.67 12.86 11.63 41.52 0.54-298390400 287200800 1.36 0.82 58.17 10.48 12.31 38.15 0.47-488118900 375363400 1.37 0.57 55.83 11.37 10.22 39.62 0.61-444648000 377951000 - - - - - - - - A= B= 1. 2. 3. 4. 5. 6. 7. 8. A 9. 1. 2. 3. 4. 5. 6. 7. 8. B 9. A B A B 1990 12 19 1992 02 21 1990 12 10 1992 02 28-24 -
8. A600601 / % 600601 1 20030628 20030618-0.023660 600601 1 20030628 20030619-0.032311 600601 1 20030628 20030620 0.001669 600601 1 20030628 20030623-0.002500 600601 1 20030628 20030624 0.034252 600601 1 20030628 20030625-0.022618 600601 1 20030628 20030626 0.010743 600601 1 20030628 20030627-0.026983 600601 1 20030628 20030630 0.008403 600601 1 20030628 20030701 0.024166 600601 1 20030628 20030702 0.029292 600601 1 20030628 20030703-0.003163 600601 1 20030628 20030704 0.015860 600601 1 20030628 20030707 0.018735 600601 1 20030628 20030708-0.022223 600601 1 20030628 20030709-0.025496 600601 1 20030628 20030710-0.000925 600601 1 20030628 20030711 0.002775 600601 1 20030628 20030714-0.008303 600601 1 20030628 20030715-0.031628 600601 1 20030628 20030716 0.003842 600601 1 20030628 20030717-0.034450 600601 1 20030628 20030718-0.023786 1 2-25 -
CSMAR / / / / / / / / / / / / / / / / / / A 1992 06 10 B A B 1993 08 05 1993 06 21 1994 07 15 A A 1994 07 04 1998 08 04 9. -26 -
900950900955 900950 TI 20000607 1999 0.2 20000526 20000527 900955 CA 20010608 2000 0.38 20010406 20010407 20000601 20000609 20000606 20000612 0.18 0.2 20010605 20010612 20010607 20010608 1.736 1.91 CA= SD= TI= A B A B 1992 03 09 1993 03 29 1991 05 02 1993 05 17 10. / / 000633 20040723 5,14 3 3 2 2003 000736 20040708 5 3 3 2 2004 002016 20041025 4 3 3 1 2004-27 -
600186 20041022 5,14 2 1 2 2004 600503 *ST 20040907 5 2 3 2 2002,2003,2004 600746 20041021 5,14 2 3 2 2000,2001, 2002,2003, 2004 600752 *ST 20041008 5 2 3 2 2004 (2002), (2003), (2004) (2000), (2001), (2002), (2003), (2004) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 1 2 3 4 1 2 3 1 2 3 000594000750 000594 20020509 199904 200204 000594 20020509 199904 200204 000594 20020509 199904 200204 000594 20020509 199904 200204 000594 20020509 199904 200204 000750 20050907 2000 2003 000750 20050907 20000316 20030316 000750 20050907 20030526 20060526 000750 20050907 20000405 20030405 000750 20050907 20030500 2051200 000750 20050907 20000316 20030316 000750 20050907 20000316 20030316-28 -
/ / / / / / / A B A B 1996 04 19 2001 07 17 1994 10 20 1996 05 31 11. IRRC 600074 600074 20051231 1100000000 1 2 600074 20051231 1100000000 1 2 600074 20051231 1100000000 1 2 600074 20051231 1000000000 2 1 600074 20051231 1000000000 2 1 600074 20051231 1000000000 1 2-29 -
600074 20051231 1200000000 2 2 600074 20051231 1200000000 2 1 600074 20051231 1200000000 2 1 600074 20051231 2000000000 1 2 600074 20051231 2000000000 2 1 600074 20051231 2000000000 2 1 600074 20051231 00320000N0 1 2 600074 20051231 00323900NA,1 2 600074 20051231 00320000N0 1 2 600074 20051231 00320000N0 1 2 600074 20051231 00320000N0 1 2 600074 20051231 00320000N0 1 2 600074 20051231 00320000N0 1 2 600074 20051231 00320000N0 1 2 600074 20051231 00330000N0 1 2 600074 20051231 1 600074 20051231 2 600074 20051231 1 600074 20051231 2 600074 20051231 2 600074 20051231 2 600074 20051231 2 10 10= 11 12 13 14 20= 21 22 23 30= 31 32 33 34 35 36 37 CEO38 39 40 41 42 43 44 45 46 A B,C=,D= E F G H I= J K L= M N 0 10303300AN 1 2-9= 1= 2= -9666= 1 2 3-30 -
600074 600074 20060704 20060630 2 2 NULL 1 3 1= 2= 1= 2= 1= 2 3 4 5 6= 7 8 9 10 99= 12= -9666 2 NULL 1 2-9666= 1 2 3-9666= 600074 600074 20011231 8 2 3 600074 20021231 15 5 5 600074 20031231 13 4 3 600074 20041231 7 3 1 600074 20051231 11 2 2 600074 20021231 2 2 600074 20031231 3 2 600074 20041231 3 2 600074 20051231 3 1 :1= 2= 3= -9666= / 2002-31 -
, 600074 20050509,,, 1 1 57 58,, 1= 2= 3= 4= 5= 6= 7 8 9 10 11 12= 1&5&7 1= 2= 3= 4= 5 6 7 N/A / 000008 2.72 2 2.50 19980718 2 1 26.11 47.91 26.11 000008 2.49 2 3.09 19981119 2 1 26.11 47.91 26.11 000008 2.26 2 4.00 19990410 2 1 26.11 47.91 28.37 000008 26.11 2 3.10 19990410 2 2 26.11 47.91 26.11 000008 28.37 2 4.40 20020314 2 2 28.37 47.91 28.37-32 -
000008 6.88 2 1.00 20030920 2 1 28.37 47.91 28.37 000008 8.30 2 1.00 20031211 2 1 28.37 47.91 28.37 1= 2= 3= 4= 5= 6= 7= 8= 9= -9= 1= 2= 0= -9= 1= 2= 0= -9= A % 600074 20051231 109946232 29.29 600074 20051231 64818072 17.27 600074 20051231 ( )7524792 2 600074 20051231 4831974 1.29 A 600074 20051231 4241099 1.13 A 600074 20051231 1500000 0.4 A 600074 20051231 1461500 0.39 A 600074 20051231 566000 0.15 A 600074 20051231 516411 0.14 A 600074 20051231 467540 0.12 A A 600074 20051231 4831974 A 600074 20051231 4241099 A 600074 20051231 1500000 A 600074 20051231 1461500 A 600074 20051231 566000 A 600074 20051231 516411 A 600074 20051231 467540 A 600074 20051231 446600 A 600074 20051231 412430 A 600074 20051231 377688 A -33 -
CSMAR 19 32 7 18 18 6 18 6 6 8 11 6 8 20 23 9 6-34 -
A B A B 1999 12 31 1999 12 31 1999 12 31 1999 12 31 CSMAR 12. 600601 2004 600601 2004-12-31 2 7.02 68134336 2121 10.07 10.91 2000 2100 2110 2111 2112 2113 2114 2115 2120 2121 2130-35 -
19 ABH 12 9 8 7 11 Z S H 12 Z S H 12 1 10 14 17 7 23 A B A B 2003 12 31 2003 12 31 2003 12 31 2003 12 31-36 -
13. 2002 MA 2006 (%) 000017 2005-01-03 2004-12-29 B 3.73 15200000 000028 2005-06-22 2005-06-21 B 90 106731100 000613 2005-07-11 2005-05-14 I 21520804.53 000520 2005-10-20 2005-10-18 A 1281623900 000763 2005-11-15 2005-10-18 C 19.05 637500000 000910 2005-11-25 2005-11-24 A 144232900 A: B: C: D: E: F: G: H: I: J: K: L: M: -37 -
(%) (%) 000016 A 2005-08-27-477393528.57 7395326.93 1.06 0.79 36620894.33 000024 B 2005-12-13 481566550 11250215 4.74 4.72 52868098.67 000408 B 2005-04-06 80790001.45 216958.98-0.44-8.4 9654520.67 000546 I 2005-02-28 290220509.32-7331575.29 1.28 1.36 18639907.67 600283 C 2005-04-18 270346545.31 130766854.92 1.97 1.15 17781951.67 600760 A 2005-11-18 121091180.87 0-5.78 0.19 57629012.67 (%) -38 -
( ) / / / / / / / /, A B A B 1998 01 14 1998 03 18 1998 01 08 1998 05 28-39 -
14. / / 600601 600601 20041231 1 1 01 6335.04 03 600601 20041231 1 2 01 79513.34 03 600601 20041231 1 2 01 35825000 07 600601 20041231 1 2 01 297816.40 02 600601 20041231 1 2 03 36411531.46 03 600601 20041231 1 2 06 130000000 05 600601 20041231 1 2 07 9443800 05 600601 20041231 1 2 07 254973.60 03 600601 20041231 1 2 13 14020000 05 600601 20041231 1 1 13 10830000 03 600601 20041231 1 2 18 0 05 000002 20041231 2 3 02 339749862-1= 2= ; 1= 2= 3= -9 01= 02= 03= 04= 05= 06= 07= 08= -40 -
09= 10= 13= 15= 17= 18= 19= 20= 21= 9= 01= 02= 03= 04= 05= 06= 07= 08= 09= 10= 11= 12= - / / / A A 1997 12 31 1997 12 31 15. / / -41 -
000426 2001-12-04 002133 600221 600309 2007-06-21 2002-01-01 2004-06-21 600317 2006-01-00 600426 2005-11-30 CSMAR 150000000 13.000 2001-12-04 2014-12-04 6.21 202 320000000 9.95 2007-06-21 2017-05-30 7.2 203 44000000 33.02 2002-01-01 2035-01-01 0.2 5 250000000 5.750 2004-06-21 2010-03-21-9666 1 20000000 5.45 2006-01-16 2011-06-27 5.814 201 100000000 6 2005-11-30 2011-11-29 6.12 1 1 2 01-02- 03-3 04-- 05-- 06 07-- 4 08-09-- 10 5 A B A B 1997 11 01 2001 11 10 1996 12 12 2000 05 12 16. 2003-42 -
19 17 18 11 / % 22 8 8 8 7 A 2003 01 29-43 -
B A 2006 06 01 2003 01 27 17. 000006 2005-12-31 33704000000.00 6454106000000.00 157889000000.00 126405000000.00 000006 2006-12-31 48719000000.00 7509118000000.00 162058000000.00 212370000000.00 000010 2003-12-31 82043877.86 950443549512.82-798034474.01 22392195569.83 000011 2004-12-31 1930030750.89 455532286354.82 5569198507.88 26271408088.11 000022 2000-12-31 844000000.00 96325000000.00 1067898832.89 1906551350.39 000022 2001-12-31 853000000.00 122004000000.00 315382687.68-7847411028.11 000022 2002-12-31 776579000.00 168563861000.00 225742000.00 1219134000.00 3-44 -
2003 12 31 2003 12 31 18. 2007 1 0 600993 2004-12-31 1 1 2004-05-17 1 2 600993 2005-12-31 1 1 2004-05-17 2 2-45 -
600993 2006-12-31 1 1 2004-05-17 2 2 1= 2=, 1= 0= 1 2 3 4 5 6 7 8 N/A 1 2 3 4 5 6 N/A A A 2003 12 31 2003 12 31 19. WTO 5 538-46 -
(%) (%) (%) (%) (%) YZC 2007-12-31 NYSE USD 22.3 44.33 13.0181 2.43178 2.25899 SNP 2003-12-31 NYSE USD 14.7 31.57 6.2469 0.80496 0.35154 SHI 2007-12-31 NYSE USD 20.1 101.18 6.29721 1.08158 0.45243 WCC 2007-12-31 AIM USD 7.9 20.53 9.91256 1.30077 0.77434 SOLA 2007-12-31 AIM CNY 21.9 28.02 17.05126 1.66213 0.47602 SOHU 2004-12-31 NASDAQ USD 19.9 34.85 16.45288 4.18201 4.04707 SPRD 2007-12-31 NASDAQ USD 14.1-65.48 9.56266 4.36411 3.6511 SINA 2003-12-31 NASDAQ CNY 51.1 1550.13 14.9127 8.23481 8.05429 SG1S28927147 2005-12-31 SGX CNY 5 171.04 16.86247 1.83404 1.55408 SG1Q81923795 2006-03-31 SGX SGD 6.3 71.45 7.76774 1.28681 0.6402 SG1O08910935 2003-06-30 SESDAQ SGD 9.1 54.49 9.27926 2.10856 1.73642 8298 2005-12-31 HKEX HKD 9.28 0.35 8.7598 2.5782 2.1017 8049 2002-12-31 HKEX CNY 13.66 0.33 4.7225 4.3634 3.5447 NYSE= AIM= NASDAQ= SGX= SEADAQ=, HKEX= USD= CNY= SGD= HKD= / / 2000-47 -
2000 2002 2003 2002-48 -
. 1. 1997 CRSP Thomson Financial 150000000 1998-03-06 5 184688 1998-03-27 2000-03-15 1970 2 184688 2000-03-15 2002-03-14 1973 2 184688 2003-12-27 2005-06-29 1970 2 1= 2= - 49 -
(%) 184688 2004-12-31 000039 3440000 77400000 3.75 184688 2004-12-31 000063 2600000 68848000 3.33 184688 2004-12-31 000983 5380000 79677800 3.86 184688 2004-12-31 600005 14880000 60859200 2.95 184688 2004-12-31 600009 5700000 86640000 4.20 184688 2004-12-31 600018 4100000 62279000 3.02 184688 2004-12-31 600019 10500000 63315000 3.07 184688 2004-12-31 600028 28000000 122360000 5.93 184688 2004-12-31 600036 7200000 60336000 2.92 184688 2004-12-31 600900 14700000 129213000 6.26 % % % % % 184688 20041201-0.433526-0.433526 0.005374 0.005374 0.324574 0.324574 184688 20041202-1.161103-1.161103-1.453403-1.453403-0.040703-0.040703 184688 20041203 0.293686 0.293686-0.208014-0.208014-0.154414-0.154414 184688 20041206-0.146413-0.146413-0.133313-0.133313-0.038187-0.038187 184688 20041207-0.439883-0.439883 1.153417 1.153417 0.197117 0.197117 1 20041201-0.661077-0.661077-0.678032-0.678032 25 1 20041202-0.922537-0.922537-0.937418-0.937418 25 1 20041203 0.570041 0.570041 0.546833 0.546833 25 1 20041206-0.104082-0.104082-0.181813-0.181813 25 1 20041207-0.665385-0.665385-0.634208-0.634208 25 2 20041201-0.759615-0.759615-0.757170-0.757170 29 2 20041202-1.168203-1.168203-1.119618-1.119618 29 2 20041203 0.576251 0.576251 0.450164 0.450164 29-50 -
2 20041206-0.149089-0.149089-0.183820-0.183820 29 2 20041207-0.583698-0.583698-0.636599-0.636599 29 1 2 184688 20041201 0.692 1.384507 0.689000 184688 20041202 0.689 1.368431 0.681000 184688 20041203 0.681 1.372450 0.683000 184688 20041206 0.683 1.370441 0.682000 184688 20041207 0.682 1.364413 0.679000 184688 20041208 0.679 1.368432 0.681000 184688 20041209 0.681 1.382498 0.688000 184688 20041210 0.688 1.376470 0.685000 / / ; ; ; ; / ; / / / ; / ; / / / / - 51 -
- 52 - / / / / ; 11 ; 1 /3 /6 /1 /3 /5 / / / / / / / / / / / ; / / ; / / ; / / / ; / / / / ; / / / ; / / ; / / / / ; / / ;
/ / ; / / / / ; ; / / ; / / / ; ; ; / / / / ; / / ; 1998 04 07 1998 04 07 2. CRSP Thomson Financial - 53 -
150000000 1998-03-06 14,,,,,, 159901 2 2006-02-17 2006-04-08 1970-00-00 159901 2 2006-02-17 2007-12-28 1966-00-00 159901 1 2006-07-04 1900-00-00 1975-03-00 1= 2= % 159901 2007-09-30 3 000001 A 5458786 218242264.3 4.04 159901 2007-09-30 3 000002 A 18133313 547626052.6 10.15 159901 2007-09-30 3 000039 3251327 108919454.5 2.02 159901 2007-09-30 3 000527 3265462 120495547.8 2.23 159901 2007-09-30 3 000623 1676808 122574664.8 2.27 159901 2007-09-30 3 000858 5023590 213251395.5 3.95 159901 2007-09-30 3 000878 1269700 117802766 2.18 159901 2007-09-30 3 000898 3678393 132422148 2.45 159901 2007-09-30 3 000983 1977524 141373190.8 2.62-54 -
159901 2007-09-30 3 002024 3461280 237513033.6 4.4 LOFETF % % 159901 2006-04-25 0.727273 0.727273 1.108 1.108-0.0203 159901 2006-04-27 1.335708 1.335708 1.138 1.138-0.0096 159901 2006-04-28 1.933216 1.933216 1.16 1.16 0.0017 159901 2006-05-09 2.570481 2.570481 1.237 1.237-0.004 159901 2006-05-10 1.697656 1.697656 1.258 1.258 0.0032 / ; / / ; / / ; / ; ; / / ; / / / / ; / / - 55 -
- 56 - / / / / ; / / / / / ; ; ; ; / ; 1 /3 /6 /1 /3 /5 / / / / / / / / / ; ; / / / ; LOF,ETF / / / / / / / ; LOFETF / / / / / LOFETF / / / / / / / / / / / / ; ; / / ; ;
/ / / ; % 60 ()-90 % 90 ()-180 % 180 ()-397 () 30 % 30 ()-60 % 180 ()-397 () 397 % ; 0.25-0.5 % % % ; % ; / ; / / / / / / / / / / ; / / / / / / 2004 12 30 2004 10 14 2001 09 21 3. 2001-57 -
Sharp CL CL Beta Alpha 000001 20020823 0.0560 0.0864 0.0140 0.2015 0.2627 0.3254 0.0709 000001 20020826 0.0510 0.0778 0.0142 0.2026 0.2366 0.3208 0.0697 000001 20020827 0.0540 0.0825 0.0185 0.2024 0.2516 0.3244 0.0636 000001 20020828 0.0541 0.0827 0.0174 0.2021 0.2525 0.3237 0.0659 Sharp CL CL Beta Alpha 000001 20051209-0.1867-0.0893-0.1520 0.4594-0.4136 0.1162 1.0398 000001 20051216-0.1583-0.0756-0.1402 0.4810 0.3360 0.1805 0.9469 000001 20051223-0.1111-0.0529-0.117 0.5059-0.2262 0.2705 0.9704 ; / / ; ; ; ; / ; ; - 58 -
Sharp -Alpha Beta CL CL 40 Sharp -Alpha Beta CL CL 40 Sharp -Alpha Beta CL CL 40 Sharp -Alpha Beta CL CL 40 Sharp -Alpha Beta CL CL 40 Sharp -Alpha Beta CL CL 40 Sharp -Alpha Beta CL CL 40 Sharp -Alpha Beta CL CL 40 1998 03 27 1998 03 27 2001 09 21-59 -
. 1. 1994 000696 96 1 1996 01 19960614 20060614 101966 966 2 1996 01 19960614 20060614 100001 1 1998 05 19980803 20030802 125301 2 1998 05 19980828 20030827 129806 98 1 1998 03 19981224 20031223 129805 98 1 1999 03 19990118 20070117 120482 04 1 2004 03 20040331 20140330 125932 2 2004 05 20040716 20090716 125937 2 2004 05 20040811 20090811 100407 0407 2 2004 01 20040825 20110825 010407 04 1 2004 01 20040906 20110825 122004 07 G3 1 2007 02 20071225 20171225 1= 2= 01= 02= 03= 04= 05= Χ Χ Χ Χ Χ Χ Χ Χ Χ - 60 -
Χ 000696 000696 20041201 5.385 10.38 2.385 000696 20041202 5.399 10.39 5.399 000696 20041203 5.371 10.38 5.371 000696 20041206 5.366 10.39 5.366 000696 20041207 5.380 10.39 5.380 000696 120202 000696 20041201 1.073 1.042 2.198 000696 20041202 1.073 1.042 2.198 000696 20041203 1.073 1.041 2.200 000696 20041206 1.073 1.044 2.202 000696 20041207 1.074 1.044 2.201 120202 20041201 1.968 1.76 5.253 120202 20041202 1.972 1.766 5.258 120202 20041203 1.972 1.766 5.258 120202 20041206 1.971 1.766 5.261 120202 20041207 1.972 1.767 5.258 / / 41 48 / / - 61 -
- 62 - / / / / / / / / / / / / / / / / / / / / / / / / / / / /
.... 1995 03 21 1996 07 12-63 -
. 1. 2008-06-02 SR903 CZCE 1 37850 6061 2008-06-02 SR903 CZCE 2 13717 2783 2008-06-02 SR903 CZCE 3 3792 80 2008-06-02 SR903 CZCE 4 3623 209 2008-06-02 SR903 CZCE 5 2563 12 2008-06-02 SR903 CZCE 6 1992-129 2008-06-02 SR903 CZCE 7 1096 22 2008-06-02 SR903 CZCE 8 973-1 2008-06-02 SR903 CZCE 9 850 0 2004-12-31 13377 13709 C/A / SM 1-1/8 2004-12-31 19077 19410 / Giza 88 6 2004-12-31 11129 11462 / - 64 -
2 1-3/32 6 2004-12-31 11972 12035 / MID 1-3/32 2004-12-31 13741 14074 SJV / SM 1-1/8 2004-12-31 11279 11279 / 328 2004-12-31 11245 11245 / 328 2004-12-31 11170 11170 / 328 2004-12-31 11105 11105 / 328 2004-12-31 11200 11200 / 328 2004-12-31 11135 11135 / 328 2004-12-31 12010 12010 / 328 1. 2. 3. 4. 1. 2. 3. 4. 5. 6. 7. 1. 2. 3. 4 5. 6 7. 8 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 1. 2. CFTC CBOT 1. 2. 3. 4. 5.. - 65 -
1998 01 05 1983 02 16 2. 2005 8 22 Delta Theta 2005 8 22 2005 8 22 Delta Gramma Vega/Kappa Theta Rho 038001 Delta Gamma Vega Theta Rho 2.62991 038001 20070125 3.16 0.268493 0.649912 0.035-0.042368 0.050586 0-0.293638-0.069706 2.000000 038001 20070126 3.16 0.265753 0.649868 0.031-0.037901 0.045757 2.66834 1-0.273823-0.062446 2.000000 038001 20070129 3.16 0.257534 0.650041 0.024-0.030376 0.037754 2.71618-0.238271-0.049424 2.000000-66 -
8 2.64917 038001 20070130 3.16 0.254794 0.650548 0.027-0.033467 0.041769 7-0.255422-0.053064 2.000000 2.40767 038001 20070131 3.16 0.252054 0.650756 0.041-0.052234 0.064596 7-0.342587-0.077046 2.000000 E-mail / B Delta Gamma Vega Theta Rho 2005 8 22 2005 12 05-67 -
. 1. TAQ 2003 2003 000001 600000 20090202 132812 16.46 18200 299432 B 56800 29300 20000 18636 10500 16.49 16.48 16.47 16.46 600000 20090202 132815 16.44 4500 73980 S 83795 56800 29300 20000 14436 16.5 16.49 16.48 16.47 600000 20090202 132817 16.45 4400 72339 S 83795 56800 29300 20000 15936 16.5 16.49 16.48 16.47 600000 20090202 132823 16.44 2100 34544 S 25300 20000 15936 18000 3700 16.48 16.47 16.46 16.45 600000 20090202 132827 16.44 1000 16440 B 25300 20000 17136 18000 7100 16.48 16.47 16.46 16.45 16.45 4700 16100 9000 19000 171910 16.44 16.43 16.42 16.41 16.4 0.444 16.91 16.23 0.01 0.061 16.46 200 16100 9000 19000 172110 16.44 16.43 16.42 16.41 16.4 0.443 16.91 16.23 0.02 0.122 16.46 13900 9000 19000 172110 800 16.43 16.42 16.41 16.4 16.38 0.443 16.91 16.23 0.03 0.182 16.44 14200 9000 24000 172110 800 16.43 16.42 16.41 16.4 16.38 0.443 16.91 16.23 0.01 0.061 16.44 14200 9000 23000 172110 800 16.43 16.42 16.41 16.4 16.38 0.443 16.91 16.23 0.01 0.061-68 -
15153060 600000 5 600000 20041201 093000 7.22 7.22 7.22 7.22 10000 72199.998 600000 20041201 093500 7.24 7.26 7.27 7.24 33600 243528.998 600000 20041201 094000 7.25 7.24 7.26 7.24 21640 156879.999 600000 20041201 094500 7.24 7.24 7.24 7.23 33250 240601.996 600000 20041201 095000 7.24 7.25 7.25 7.24 38200 276775.996 600000 20041201 095500 7.24 7.23 7.25 7.23 35700 258560.994 38 9 2003 9 9 2000 01 01 2003 07 01 2000 01 01 2005 08 01 2006 07 01-69 -
. EXCELDBFTXT SAS SPSS 1. 18 204 2700-70 -
- 71 - / / / ( ) / / / / / / / / / /
/ / 1949 1994 03 1981 03 2. 16 105 1400 CEIC / / / - 72 -
/ / / / / / / 1949 1990 3. 39 714-73 -
/ / 1999 2001 01 4. 500 13 28 / / / 500 500-74 -
1970 5. GDP GDP 11 27 210 1990 1990 GDP - 75 -
1970 1970 6. 28 300 / SITC / 1978 2001 01-76 -
. 1. 25 49 1986 1986 2001 1990-77 --
1986 2. / / / / / / 1965 1978 1952 1993 1993-78 --
3. 1949 2002 03 1995 01 4. 1952-79 --
14 22 60 13 19 1949 1952 1978 1952 1985 5. 1996-80 --
7 23 46 34 1998 01 1996 12 2002 05 6. 1999-81 --
/ / 2000 1999 2000 2000 7. 2003 5-82 --
/ 32 2003 2003-83 --
. 1. 1994-84 --
1950 1954 1995 1994 2. 2002 2002 10 The London Gold Market Fixing Ltd. 2002 2002-85 --
3. O/N 1W 2W 1M 3M 6M 9M 1Y -86 --
2002 11 12 2002 11 12 1994 04 04-87 --
4. / / 1985 1994 03 1993 01 1994 01-88 --
. 1. A H SSAP IAS US GAAP Company Ordinance, Listing Rules H ; ; 0349 2007-12-31 43666354000 1005234000 15381167000 3313817000 20235806000 3119872000 0440 2007-12-31 11868465000 1919342000 30495807000 4500725000 2651668000 2794861000 0636 2007-12-31 7024601000 740990000 32544000 17230441000 1457845000 1593177000 0939 2007-12-31 967374000000 102393000000 29819000000 2171991000000 657034000000 39928000000 0998 2007-12-31 209399000000 55851000000 6500000000 153348000000 113002000000 12000000000 2356 2007-12-31 10025003000 1919342000 27715604000 4354181000 2651668000 2794861000 2388 2007-12-31 159065000000 53154000000 104653000000 165428000000 60599000000 2089000000 2000-89 --
0379 2008-06-24 0.445 0.450 0.415 0.420 2920000 0380 2008-06-24 0.066 0.066 0.058 0.059 4960000 0381 2008-06-24 0.510 0.510 0.480 0.495 3160000 0382 2008-06-24 0.330 0.330 0.310 0.320 2992000 0464 2008-06-24 0.285 0.285 0.285 0.285 60000 0467 2008-06-24 1.200 1.250 1.160 1.170 7051000 1170 2008-06-24 0.870 0.870 0.870 0.870 16000 1171 2008-06-24 13.600 13.860 13.380 13.700 4215370 1172 2008-06-24 0.240 0.240 0.240 0.240 458000 31 13 20 16 32 10 8-90 --
1954 09 15 2000 03 31 1991 01 02-91 --
. 1. 1990 2. 3 1990 3. β -93 --
1990 4. 1990 5. A B A B 1990 6. -94 --
1990 7. 1990 8.,,,,,,,, -95 --
,, 1990 9. A B H 1990 10. -96 --
1990 11. β β 1990 βσ 1990-97 --
CSMAR.CSMAR CSMAR C.S. CSMAR SQL SERVER 2000 ADO.NET Internet -98 --
DBFTXTXLSCSV. TAQ / GTA /. CDS 1990 CDS CDS -99 --
CDS CDS ACCESS CDS 1 2 3 1 3 2 3-100 --
3. www.gtarsc.com 1. 1 SASSPSS CSMAR 2 1 GTA ValueLine 2 K 6 10 Beta -101 --
CSMAR SASSPSS K 6 10 Beta 600600 2003-102 --
2005 2-103 --
2005 2 A 2005 2 A -104 --
0.72 3 1.71 6 2.07 1 2.25 2004-10-29 2 2.70 3 3.24 5 3.60 6 5.22 1 5.58 1-3 5.76 2004-10-29 3-5 5.85 5 6.12-105 --
20 3.33 3 3 6 3.78 2004-3-25 1 3.87 3.24 1.89 2002-2-21 1.62 2003-12-20 3 2. 1 TXTEXCELDBF -106 --
2 3. Internet IE http://www.gtarsc.com http://hk.gtarsc.com -107 --
http://hk.gtarsc.com www.gtarsc.com -108 --
1 2 3.txt 4-109 --
-110 --
-111 -- 1 2 3 PDF 6 30 30 T1 T2
and or andor T1 T2or T3 *.txt *.csv *.xls *.dbf 48 65500-112 --
.zip -113 --
. CSMAR. CSMAR. 1. 1 2 3-114 --
4 SURVEY 5 2. 1 service@gtadata.com gta@gtadata.com 86-755 - 83940070 http://www.gtafe.com http://www.gtarsc.com 2 3 4 5 E-maiFTP INTERNET 6 CSMAR -115 --