Most Down Articles

Published in last 1 year | In last 2 years| In last 3 years| All| Most Downloaded in Recent Month | Most Downloaded in Recent Year|

Most Downloaded in Recent Year

Please wait a minute...


For Selected: Download Citations EndNote Reference Manager ProCite BibTeX RefWorks Toggle Thumbnails

Select

Research on Human-machine Integration Complex Social System WANG Hong-wei, LI Jue, LIU Jian-guo, FAN Ying, MA Liang, HUO Hong, LIU Zuo-yi, DING Lie-yun Chinese Journal of Management Science    2023, 31 (7): 1-21.   DOI: 10.16381/j.cnki.issn1003-207x.2023.07.001 Abstract （1637）      PDF （1642KB）（1522）       Knowledge map    The deepening of the new round of scientific-technological revolution is profoundly affecting and transforming the way of social living and production. The social system is evolving into a complex system coupled with human social space, information systems, and the physical environment. In the social system, actors, social relations, social structure, and social functions are profoundly changing. Human beings are entering a new social form characterized by the integration of human and machine. Such changes have brought significant challenges to the understanding, research, and governance of social systems. The definition of the human-machine integration social system is expounded from the perspective of the social system theory. It analyzes the unique connotation of human-machine integration complex social system from the aspects of social constituent subjects and structures, communication and media, and social differentiation and evolution. On this basis, the basic problems that need to be solved urgently in the research of human-machine integration complex social systems are proposed: (1) Human-machine collaboration in human-machine integration complex social systems; (2) Social networks in the environment of human-machine integration; (3) Emergence mechanism and evolution law of human-machine integration complex social system. Finally, aiming at the difficulties faced by previous social science research methods in solving the integrity problem of complex social systems, a research paradigm of complex social systems based on the system theory is proposed. Reference | Related Articles | Metrics

Select

A Study on the Consumer Behavior in Electronic Commerce LI Zhi-cheng, LIU Mei-lian Chinese Journal of Management Science    2002, (6): 88-91.   Abstract （7587）      PDF （806KB）（20795）       Knowledge map    In this paper,it has been first described about the characteristics of the consumer behavior based on electronic commerce which are more segmented consumer market,strengthened service demand,expanded selection zone and perceptual consumer behavior and consumer joining in the direct cycle of the production and consumption;then the micro and macro factors that have effect on the consumer behavior have been analyzed;finally,a model based on TPB to measure consumer behavior has been established. Reference | Related Articles | Metrics Cited: Baidu(52)

Select

Artificial Intelligence and Management Transformation YANG Shan-lin, LI Xiao-jian, ZHANG Qiang, JIAO Jian-ling, YANG Chang-hui Chinese Journal of Management Science    2023, 31 (6): 1-11.   DOI: 10.16381/j.cnki.issn1003-207x.2023.06.001 Abstract （1386）      PDF （2837KB）（1379）       Knowledge map    Since the advent of deep learning, artificial intelligence has made tremendous progress, gradually moving from pure academic research to large-scale deployment. In particular, a series of application-level AI content generation algorithms such as text generation, image generation, and 3D model generation emerged in 2022, indicating that AI has first acquired the ability to produce digital content and is gradually breaking through many barriers, such as logical reasoning and common sense cognition, moving towards general AI. Based on a review of the development history and recent trends in AI, it focuses on exploring the impact of AI technology on the research paradigms of the natural and social sciences in this paper, analyzing the development laws of AI technology itself and its integration with domain-specific sciences. Finally, the transformative impact of AI on the management is analyzed. Reference | Related Articles | Metrics

Select

Supply Chain Resilience: Adapting to Complexity—Based on the Perspective of Complex System Thinking SHENG Zhao-han, WANG Hai-yan, HU Zhi-hua Chinese Journal of Management Science    2022, 30 (11): 1-7.   DOI: 10.16381/j.cnki.issn1003-207x.2022.11.001 Abstract （2135）      PDF （1038KB）（2392）       Knowledge map    Building a resilient supply chain has risen from a concern at the enterprise level to a strategy at the industry, regional and national levels, and has become an important means to cope with the complex situation of current social and economic development. It is also an important means to improve the national security and competitiveness. On the basis of expounding that supply chain is a complex adaptive system of social multi center sharing and co-governance, it is pointed out that supply chain resilience is a sign of the ability of the behavior and function of the supply chain system to adapt to the complex changes of the environment as a whole. The complex integrity attribute of supply chain resilience requires us to form new research paradigms and methodologies through the paradigm shift of complex system thinking. The academic value of supply chain resilience theory is not mainly aimed at conventional problems, but depends on whether it is effective and efficient in dealing with supply chain instability, risk, emergency, functional degradation and other resilience crises. Supply chain resilience has a specific real world. To explain, analyze and reveal the complex phenomena and objective laws of supply chain resilience, it is pointed to pay full attention to the uniqueness and discourse context of the supply chain. No two realistic supply chain resilience mechanisms are identical. Supply chain resilience is a big and difficult problem in the field of supply chain research today, which has important academic frontiers, reality and challenges. It should be oriented and rooted in the rich practical soil of supply chain management in China, and consolidate the research foundation from the basic academic system, theoretical system and discourse system, rather than being too tied by the “disruption” and “no disruption” in the initial definition of supply chain resilience. Reference | Related Articles | Metrics

Select

Supply Chain Management:Theory and Method SHEN Hou-cai, TAO Qin, CHEN Yu-bo Chinese Journal of Management Science    2000, (1): 1-9.   Abstract （5978）      PDF （2827KB）（13888）       Knowledge map    In the 1990s, supply chain management has become one of the most important methods to improve the competitiveness for the business organization in the intensive global competitive market. In this paper, we introduce the basic philosophy of the supply chain management, discuss the theoretical and practical background which facilitates the arising of supply chain management. After studying the supply chain management process, we review supply chain models for the management decision making and discuss their implications for our business management. Reference | Related Articles | Metrics

Select

The Model of Contributing Rate under Pay-As-You-Go System and Partially Accumulated System GAO Jian-wei, QIU Wan-hua Chinese Journal of Management Science    2002, (4): 82-85.   Abstract （2175）      PDF （809KB）（4021）       Knowledge map    Using the theory of life table,we establish the actuarial model of contributing rate under pay-as-you-go system,and analyze the potential crisis based on the coming of old age population.According to the concrete condition in China,we derive the actuarial model of contributing rate under the social plan as a whole and the individual account system by using life annuity theory,and finally present a practical example of individual account in this paper. Reference | Related Articles | Metrics Cited: Baidu(27)

Select

Weighted Realized Bipower Variation of Financial Volatility and Its Application LI Sheng-ge, ZHANG Shi-ying Chinese Journal of Management Science    2007, 15 (5): 9-15.   Abstract （2397）      PDF （2635KB）（3037）       Knowledge map    Volatility is a hottopic in financial research.People pay more and more attention to the high frequency data in finance because it contains more volatility information of intraday return than low frequency data does.Realized volatility is a completely new method to calculate volatility of high frequency data, which is applied widely in the study of high frequency data in finance.There are many methods to improve on the realized volatility for it has shortcomings of bigerror and non-robust ness.Among these,only the realized bipower variation overcomes the shortcoming of non-robust ness.The concept of weighted realized bipower variation which is put forward in this article,is not only robust but also unbiased and efficient. The theorem poof and the demonstration study also show the same conclusion:it can measure the volatility more precisely. Related Articles | Metrics Cited: Baidu(9)

Select

The Influence of New Energy Vehicle Consumption Promotion Policy on the Purchase Intention of Potential Consumers LI Chuang, YE Lulu, WANG Liping Chinese Journal of Management Science    2021, 29 (10): 151-164.   DOI: 10.16381/j.cnki.issn1003-207x.2019.1845 Abstract （968）      PDF （1412KB）（1962）       Knowledge map    How to improve the purchase intention of potential consumers is very important to promote the development of new energy vehicle market. Based on SOR theory, the influence of new energy vehicle consumption promotion policy on potential consumers is analyzed by using structural equation model through a questionnaire survey in four counties of Luoyang City, Henan Province. The results show that: ① The consumption promotion policies affect the purchase intention of potential consumers through perceived value and perceived risk, among which the charging policy has the largest impact, the right of way policy is the second, the publicity policy is the third, and the purchase policy has the smallest impact. Therefore, it is unlikely to happen that the sales volume of new energy vehicles will drop sharply after the cancellation of car purchase policy. ② Potential consumers pay more attention to the perceived value of new energy vehicles in the early stage and less attention to the use risk in the later stage. The more complete the publicity policy, car purchase policy and charging policy are, the higher the perceived value of new energy vehicles for potential consumers is, the more incentive they are to purchase. ③ Among different groups, the adjustment of income and education background on the purchase intention of new energy vehicles is more obvious. Potential consumers with high income and high education pay more attention to their use rights and interests after purchase, such as the right of way policy and charging policy, while potential consumers with low education and low income pay more attention to their consumption rights and interests in the early stage, such as the economic incentive of purchase policy. In terms of the impact path of every policy on perceived risk, the perceived risk of low-income and low educated groups is generally more significant than that of high educated and high-income groups. Finally, this paper proposes that the consumption promotion policy on new energy vehicle should pay attention to the improvement of the charging market, gradually transfer the economic subsidy policy to the charging infrastructure and the preferential policy of the right of way, and implement the differentiating and diversified promotion policies for the different potential consumers. Reference | Related Articles | Metrics

Select

Empirical Study of Influential Elements of E-loyalty DENG Ai-min, TAO Bao, MA Ying-ying Chinese Journal of Management Science    2014, 22 (6): 94-102.   Abstract （2608）      PDF （1439KB）（6291）       Knowledge map    Customer loyalty is an important factor for the network businesses to maintain market position and sustainable competitive advantage. However, the existing theoretical literature studies show that complexity and uncertainty of customer loyalty in the network environment have become a bottleneck to hinder further development of e-commerce. Therefore, on the basis of previous literature, structure equation model is built in this paper, regarding trust, online site characteristics, line logistics service quality, customer satisfaction, switching costs as external cause's latent variable, customer loyalty as endogenous latent variable. Questionnaire survey is used to collect empirical data, and factor analysis and structural equation model are introduced reveal influencing factors and action mechanism of customey loyalty in online shopping environment. The study turns out that in a network environment, trust can not only indirectly affect customer loyalty by customer satisfaction, but also can become the direct antecedent variables of customer loyalty. Online site characteristics and quality of logistics services commonly increase the customer satisfaction and indirect impact on customer loyalty accumulation; customer satisfaction and switching costs are the major factors with direct impact on customer loyalty in the network environment. The result reflects online shopping environment customer loyalty influencing factors and mechanism of action, there has very important reference value for network retailers to implement the plan of customer loyalty. Reference | Related Articles | Metrics Cited: Baidu(9)

Select

Blockchain-Based Dual-Channel Supply Chain Pricing Decision and Online Channel Selection Strategy LIANG Xi, XIAO Jin-feng Chinese Journal of Management Science    2023, 31 (5): 29-38.   DOI: 10.16381/j.cnki.issn1003-207x.2020.1755 Abstract （516）      PDF （1609KB）（904）       Knowledge map    Blockchain technology is widely used in various industries. In this paper, the application of blockchain technology to product certification in the supply chain can reduce the certification time and fidelity. In the two dual channel supply chain systems of online direct selling and online distribution, the Stackelberg game in which the manufacturer is the leader and the other participants are followers is considered. The sensitive coefficient of the consumer’s time for product inspection and evaluation, the false probability of the inspection result and the unit verification fee of the blockchain are introduced. The pricing and channel selection strategies of four dual channel supply chains are compared and analyzed. The results show that: when using the blockchain technology, the manufacturer’s profit under the direct selling mode is higher than that of the distribution mode, the traditional retailer’s profit under the direct selling mode is lower than that of the distribution mode, and the total profit of the supply chain under the direct selling mode is higher than that of the distribution mode; in the direct selling mode, the manufacturer’s profit, the traditional retailer’s profit and the total profit of the supply chain are higher than that of the distribution mode. In the distribution mode, when the fixed fee for manufacturers to introduce blockchain technology is small, the profits of manufacturers, traditional retailers, online retailers and the total profits of supply chain with blockchain technology are higher than those without blockchain technology. Reference | Related Articles | Metrics

Select

Pricing and Green Input Decisions of a Competitive Supply Chain with Consumers’ Product Preference and Different Channel Powers CHEN Ke-bing, KONG Ying-qi, LEI Dong Chinese Journal of Management Science    2023, 31 (5): 1-10.   DOI: 10.16381/j.cnki.issn1003-207x.2020.1924 Abstract （549）      PDF （1400KB）（895）       Knowledge map    With the increase of customers’ environmental awareness and the intensification of market competition, the right sales decisions are significantly important for any green product enterprises to enter, occupy, consolidate and expand their markets. For this, a supply chain system consisting of one traditional manufacturer, one green manufacturer and one retailer is developed. Depending on the channel powers of two manufacturers in the system, three supply chain game models, i.e., traditional-manufacturer-leader Stackelberg game model, green-manufacturer-leader Stackelberg game model and Nash game model between both manufacturers, are considered. How the different channel power structures and the consumers’ green preference affect the decisions of wholesale prices, retail prices, order quantities, green input and supply chain profits is mainly investigated in this study. Furthermore, a cost-sharing and two-part-tariff contract is proposed to coordinate such a supply chain, and the Pareto improvement condition for each supply chain member’s profit is given. Reference | Related Articles | Metrics

Select

Research on Government Subsidy Strategy of Low-carbon Supply Chain Based on Block-chain Technology Ling-rong ZHANG,Bo PENG,Chun-qi CHENG Chinese Journal of Management Science    2023, 31 (10): 49-60.   DOI: 10.16381/j.cnki.issn1003-207x.2020.2362 Abstract （536）   HTML （64）    PDF （907KB）（867）       Knowledge map    With the continuous progress of China's economy and society， green development has become a national strategy， and carbon emission reduction is an important measure. The government can promote the investment of enterprises' emission reduction technology and increase social welfare through moderate low-carbon subsidies to enterprises. The introduction of block-chain technology into the low-carbon supply chain can improve the coordination degree of low-carbon decision-making among the main bodies of the supply chain and promote the emission reduction of enterprises. Therefore， it is of great significance to study the government subsidy strategy of low-carbon supply chain based on block-chain technology. In this paper， a two-level low-carbon supply chain composed of a manufacturer and a retailer is taken as the research object， and the government subsidy strategy of the low-carbon supply chain is taken as the research topic. The government invests in the construction of the application platform of block-chain technology， and the supply chain enterprises pay to use the block-chain technology. Under this background， considering consumers' low-carbon preference and green trust， this paper set up before and after the application block chain technology under R&D investment subsidy policy or output subsidy policy of these four situations of three stages Stackelberg game models， in which the government takes the lead and manufacturers and retailers follow and the government to the social welfare maximization as the goal， manufacturers and retailers in order to maximize their own interests as the goal， through comparing the four kinds of situations of the optimal rate of social welfare， carbon reduction and low carbon product production， discusses the government low carbon subsidies strategy of optimal problem. And the validity of the results is verified through the analysis of examples. The results show that when the product of consumers' low-carbon preference coefficient and green trust coefficient is greater than a certain fixed value， the government can obtain higher social welfare through output subsidies， and promote enterprises to reduce emissions more effectively. Governments have been able to boost demand for low-carbon products through output subsidies. When the cost coefficient of emission reduction approaches infinity， the demand for low-carbon products when the government implements output subsidies is 4 times that when the government implements R&D investment subsidies. When the single-cycle cost sharing of block-chain platform and the unit cost of enterprises' application of block-chain technology are less than a certain threshold， the government's construction of block-chain platform can obtain higher social welfare， promote enterprises' emission reduction and improve consumers' demand for low-carbon products. Therefore， the government should increase investment in science and technology， and to make efforts to reduce the block chain platform construction cost and prolong the cycle of block chain platform， for low carbon green products to create a fair， just and open market environment， and control technology of enterprise application block chain unit cost within a reasonable range， encourage enterprises to actively application block chain technology， in order to obtain higher social welfare. Table and Figures | Reference | Related Articles | Metrics

Select

“Good Shopping Decisions” and “Bad Shopping Decisions”: Research on the Quality Issues and Governance of Internet Celebrity Live Marketing Yan-lu GUO,Gong-li LUO,Gui-sheng HOU,Xiao-tong WANG Chinese Journal of Management Science    2023, 31 (10): 162-174.   DOI: 10.16381/j.cnki.issn1003-207x.2020.1937 Abstract （420）   HTML （42）    PDF （1157KB）（765）       Knowledge map    With the development and expansion of short video live broadcast platforms， online celebrity live-streaming has become a new form of consumer shopping. However， in this process， the problems of poor quality of products with online celebrities and difficulty in protection have also emerged. Based on this background， a tripartite evolutionary game model is used to study the tripartite strategy selection and evolution of internet celebrities， short video live broadcast platforms， and consumers， and further discusses the impact of changes in live broadcast internet celebrities’ risk attitudes on their efforts to selling goods and select products. The innovations of this article are： ①The dual attributes of consumers and the live broadcast platform are considered. ②The benefits that consumers get from online celebrity products are divided into emotional benefits and functional benefits， which is more in line with the existing empirical evidence and facts， and the conclusion proves that emotional benefits will produce more “negative action” in certain situations. ③In the existing evolutionary game literature， few scholars discuss in detail the changes and transitions of equilibrium points under different parameter conditions， while parameter changes which leads to the transition of the equilibrium point often contains profound policy enlightenment.④The risk attitudes of Internet celebrities on the efforts to bring goods is also discussed，which further explains the causes of the quality problems of products brought by Internet celebrities. In addition， it is also found an interesting insight： consumers' strategy choices when facing the quality trouble of online celebrity live broadcast products will be affected by product types. The higher the functional benefit of the product， the more powerful consumers' motivation to defend their rights. This means that not all products are suitable for online celebrity live broadcast mode for sales.It is found that as the functional benefits that consumers obtain from online celebrity products increase， consumers are more inclined to choose active accountability， and as emotional benefits increase， consumers are more inclined to choose passive accountability， this kind of virtual intimacy on the emotional benefits brought by the products partly explain the phenomenon of the current proliferation of online celebrity product quality problems. Secondly， the influence of basic income parameters on the equilibrium state is far more significant than the influence of coefficient parameters. This should be the focus of supervision. Moreover， consumers’ strategy will be affected by product types when they face the quality problems of online celebrities’ live streaming products. The higher the product’s functional benefits， the greater the motivation for consumers to defend their rights. Finally， the risky attitudes of live streaming internet celebrities will affect their attitudes of product selection. And as the effort to bring goods， risk-averse Internet celebrities' efforts to sell goods and select products are lower than those under certain circumstances. Table and Figures | Reference | Related Articles | Metrics

Select

The Study on the Model and Management of Employee Satisfactory Degree YANG Nai-ding Chinese Journal of Management Science    2000, (1): 61-65.   Abstract （4330）      PDF （2380KB）（4912）       Knowledge map    On emphasizing the importance of employee satisfactory (ES) to an enterprise, a model of employee satisfactory degree (ESD) is put forward and explained in the paper. The necessity and principles of ESD management are also discussed in the paper. Reference | Related Articles | Metrics

Select

Supply Chain Management in E-commerce Era LAN Bo-xiong, ZHENG Xiao-na, XU Xin Chinese Journal of Management Science    2000, (3): 2-8.   Abstract （4937）      PDF （936KB）（9056）       Knowledge map    E-commerce has been making great influences over global economy. This paper disusses the significant changes of market environment of enterpirses, the core tasks of supply chain management in E-commerce era and the theories and methodologies of managing supply chain in such situation. Reference | Related Articles | Metrics

Select

Study on the Internal Risk Contagion Mechanism of Enterprise Groups Based on Network Structure LI Bing-qing, ZHANG Xiao-yuan Chinese Journal of Management Science    2023, 31 (5): 20-28.   DOI: 10.16381/j.cnki.issn1003-207x.2020.1263 Abstract （250）      PDF （1564KB）（659）       Knowledge map    It is devoted to studying the transmission mechanism of risk within the group in this paper. Based on the relationship between equity and related party transaction, a directed weighting network structure is formed, and the model of risk contagion mechanism within enterprise groups is built by combining SIRS model. It is found that the state of group members in steady state is closely related to the degree distribution of nodes. The greater the degree of the impacted nodes, the wider the scope of risk contagion. Furthermore, through the discussion of scale-free network, it is found that the influence of related factors on the risk contagion within the group, and learned that the recovery rate is the key factor affecting the risk spread within the group. The research shows that the group can make its operation more stable by reducing effective infection rate and increasing the possibility of eliminating crisis. Reference | Related Articles | Metrics

Select

Effects of Supplier's Store Brand on Manufacturer's Product Extension Strategy Ling ZHONG,Jia-jia NIE Chinese Journal of Management Science    2023, 31 (8): 151-161.   DOI: 10.16381/j.cnki.issn1003-207x.2020.2037 Abstract （213）   HTML （21）    PDF （729KB）（652）       Knowledge map    To better meet the rapidly changing demand of the consumers， manufacturers have been dedicated to introduce new products by extending their existed product line. However， extending product line inevitably requires more sources of critical components， which may have indirect effects on the upstream suppliers， especially when the supply of those critical components is highly concentrated thus the pricing power is controlled by suppliers. Moreover， besides supplying core components for the manufacturer， suppliers themselves may introduce their own store brands， which make the manufacturer facing the threats of substituted products competition in the demand market. At this point， whether to extend its product line when facing the supplier’s store brand threat may be an important issue for the manufacturer. Based on this point， by using game theory， under supplier’s two store brand strategies， i.e.， introduces store brand and forgoes introducing store brand， manufacturer’s two product line extension strategies models are build， solved and analyzed.In the rest of this paper， firstly， game theory is used to develop the manufacturer’s two product line extension strategies models under supplier’s two store brand strategies. Secondly， the equilibrium quantity and the optimal profits of both supplier and manufacturer are derived by the standard backward induction. Thirdly， the conditions for manufacture to extend product line under supplier’s two different store brand strategies are obtained. Finally， the impact of supplier’s two different store brand strategies on the manufacturer’s product line extension strategies is discussed.Through the above analysis， this study sheds light on the manufacturer’s product line extension strategies when facing the supplier’s store brand threat. Specifically， the supplier always introduces store brand when the marginal cost of critical components is low. Meanwhile， the introduction of store brand by the supplier may be detrimental to the extension of manufacturer’s product line. When the difference of quality level between the manufacturer’s new product and the supplier’s store brand is negligible， the introduction of supplier’s store brand makes the manufacturer unable to extend product line. When the difference of quality level between the manufacturer’s new product and the supplier’s store brand is remarkable， if the cost of core components is small， the manufacturer chooses to extend product line whether the supplier introduces store brand or not. Otherwise， the manufacturer foregoes to extend product line. What’s more， when facing the threats of supplier’s store brand threat， it is not always profitable for the manufacturer to extend product line. Table and Figures | Reference | Related Articles | Metrics

Select

Retail’s Decision and the Bullwhip Effect on Delayed Demand Information WANG Wei-jun, TANG Xiao-wo, NI De-bin Chinese Journal of Management Science    2008, 16 (4): 84-89.   Abstract （3729）      PDF （579KB）（1767）       Knowledge map    The bullwhip effect,a popular phenomenon in enterprise's business,has a very large impact on an enterp ri se.This paper considers a simple two-stage supply chain consisting of a single retailer and a single vendor.First,we build inventory and mixed decision(inventory and pricing decision) models for the retailer on the delayed demand information.Then we analyse the impact of decisions on the bullwhip effect.The result shows that we can get the expectation of both prancing and order-up-to which have nothing as the delayed period based on retail optimal policy,and the retailer's inventory policy can produce the bullwhip effect which will decrease as the delayed period increases when delayed demand information exfists,but whether its mixed policy can produce the bullwhip effect according to the demand self correlation parameter,not the delayed period,however,it will decrease as the delayed period increases.Morever, comparing to an inventory decision,the retailer's mixed decision will make the bullwhip effect change intensively as demand is less correlated,otherwise change weakly.Therefore,for a retailer,appropriate delayed demand information and pricing flexibility can reduce the bullwhip effect. Related Articles | Metrics

Select

Investor Sentiment, Order Flow Imbalance and Stock Liquidity YIN Hai-yuan, WU Xing-ying Chinese Journal of Management Science    2023, 31 (5): 60-70.   DOI: 10.16381/j.cnki.issn1003-207x.2020.1754 Abstract （197）      PDF （1035KB）（633）       Knowledge map    With the development of Web2.0, social media has gradually evolved into an online expression carrier. Different subjects, for their interests, using this channel to create and share content. Individual investors are more willing to express their true feelings through online platforms. This information has significant explanatory power to the stock market, but will not be reflected in the market data. In the process of continuous aggregation and fermentation, it intensifies the sentimental tendency of investors, fundamentally changes the information structure of the stock market. Reference | Related Articles | Metrics

Select

Research on the Uncertainty of Economic Policy and the Contagion of Tail Risk between Global Financial Networks GONG Xiao-li, LIU Jian-min, XIONG Xiong, ZHANG Wei Chinese Journal of Management Science    2023, 31 (7): 78-90.   DOI: 10.16381/j.cnki.issn1003-207x.2021.0849 Abstract （294）      PDF （1646KB）（618）       Knowledge map    Affected by the global COVID-19 epidemic in 2020, the economic downside risk and financial market uncertainty in various countries have increased significantly. In response to the impact of global emergencies, the Federal Reserve and the European Union have taken measures to “rescue the market.” With the synchronous follow-up of national policies, the degree of global economic policy uncertainty has deepened. EPU will affect the expectations of economic entities for the future, and the market expectation will affect the development of the real economy and the stability of the financial market through activities such as consumption and investment. Therefore, economic policy uncertainty (EPU) is playing an increasingly important role in global risk contagion, and will even accelerate the process of financial risk contagion. The impact of the global epidemic has prompted investors to pay more attention to the economic policy uncertainty and global market network characteristics as well as tail risk transmission mechanism. the model of risk spillover effects between economic policy uncertainty and global financial markets is constructed from the perspective of interconnected networks. And then the transmission route of tail risks in global stock markets, currency markets, foreign exchange markets, bond markets, and derivatives markets is investigated. Specifically, based on GED-GJR-GARCH model, the volatility of EPU index and international financial market from February 2003 to October 2020 is calculated. And after incorporating the non-normal distribution caused by the tail risk shock into the model, the variance decomposition spillover index based on TVP-VAR is used to construct the financial network tail risk spillover model. The model is used to describe the dynamic characteristics of the global EPU index and the tail risk contagion of the international financial network. Compared with previous studies, the main contributions of this paper include several aspects. (1) The tail risk factor is taken into account into the international financial network risk spillover model in the form of non-normal distribution of returns on assets; (2) Variance decomposition spillover index based on TVP-VAR can describe the dynamic of the global structure of the high-dimensional network; (3) Elastic Net method is used to optimize the estimation algorithm of time-varying high-dimensional parameters, and solve the “dimension disaster” problem faced in the current financial network risk measurement; (4) By measuring a series of indicators to measure the stability of the network topology, a more in-depth analysis of the tail risk contagion between the international financial network structure and the uncertainty of global economic policies is carried out. The research results show that stock market and derivative market are the sources of tail risk, and their volatility will induce the EPU to rise. The rise of economic policy uncertainty intensifies the spillover effect of tail risk between the markets, so EPU has become an important node in the transmission path of tail risk. With the opening of capital accounts of different countries, the foreign exchange market has become an intermediate bridge for the contagion of tail risks. The results of the global risk spillover network show that during the financial crisis, the risk linkage between markets has increased significantly. And it has formed the tail risk contagion path with EPU and foreign exchange market as the hub, stock market and derivatives market as the source of risk. The comparison of risk spillover networks in different periods shows that the tail risk contagion mechanism between international financial markets is time-varying. The research conclusions are helpful to prevent financial market risk contagion under the background of uncertain economic policies of different countries, and provide new ideas for improving national financial security. Reference | Related Articles | Metrics