文澜金融论坛（第362期）

摘要：

How do global and domestic investors process institutional signals in emerging markets? We construct a high-frequency measure of marketization surprises by comparing China's refined-oil price adjustments with formula-implied benchmarks, yielding an objective indicator of reform intensity from 2013 to 2025. Using event-study approaches with Kalman-filter decomposition, we document three new facts. First, observable marketization surprises generate opposite responses across markets: a 1% marketization surprise triggers $3 billion in equity outflows and $1 billion in bond outflows from international investors, while domestic stock-index futures prices rise (e.g., CSI~300 by 0.06%). Second, latent institutional signals exhibit distinct information-processing structures: international flows load on two unobservable factors---a bond-dominant and a passive-dominant factor---whereas domestic markets load on a single factor, with near-zero cross-market correlation. Third, international responses amplify over quarterly horizons, while domestic effects dissipate immediately. Together, these results uncover persistent cross-market segmentation in how institutional reforms are interpreted and highlight the role of heterogeneous information processing in emerging-market asset pricing.

主讲人介绍：

杨子砚，马里兰大学农业与资源经济博士，厦门大学经济学院副教授、博士生导师。研究领域为制度经济学，研究成果发表于《管理世界》、Journal of Economic Behavior and Organization等国内外学术期刊,多次荣获省社科优秀成果奖。主持国家自然科学基金面上项目、青年项目、教育部人文社科青年项目和福建省社科规划马工程重点项目。独立撰写的政策建议曾多次被省委办公厅采纳，并获省部级领导肯定性批示。主持国家一流本科课程建设项目，曾荣获国家级教学成果奖一等奖、全国高校教师教学创新大赛三等奖和福建省高校教师教学创新大赛一等奖。