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30 December 2011, Volume 19 Issue 6 Previous Issue    Next Issue

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Study on the Spillover Effect of the Volatility of Chinese Closed-end Fund Price Indices——Case of Shenzhen Closed-end Fund Index ZHAO Xiu-juan, ZHU Kai-yu, WANG Shou-yang 2011, 19 (6):  1-9.  Abstract ( 1642 )   PDF (487KB) ( 1247 )   Save As a kind of discounted fund traded in exchanges,closed-end funds attract many institutional investors and individual investors.However,the study on closed-end funds market volatility is limited.Few studies always hardly capture the effect of extreme risk of the closed-end funds market on the conditional volatility of other market.In this paper,CGARCH model and Granger Causality Test are applied to examine the relations between Shenzhen closed-end fund index and other 13 indices of fund,A share market,B share market,simulated stock index futures and bond markets with respect to both the conditional volatility and extreme risk spillover effect.The results show that the closed-end funds index is correlated with B share market,simulated index futures and bond markets greatly,and it is capable of leading the fluctuation of B share market,simulated index futures and bond's markets.On the other hand,it is somewhat vulnerable to the risks from fund,simulated stock index futures,share and bond markets.Our conclusion helps to guide the regulators and investors to recognize the influence of closed-end fund market properly and be conscious of risk control. Related Articles | Metrics

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Double Beta Distribution Model of Recovery Rate in Credit Risk WANG Guo-dong, ZHAN Ruan-rui 2011, 19 (6):  10-14.  Abstract ( 2674 )   PDF (421KB) ( 2610 )   Save In this paper,the distribution of random recovery rate is studied,and double Beta distribution density model is established.This model has a characteristic of two peaks,which meets the new findings of Moody company,and improves the result that the present models all have only one peak.By using the sequential optimization algorithm based the NT-net to estimate parameters and the tools of kernel density estimation,the demonstration study is made.The result shows that the fitting error of double Beta model is quite little and far less than that of Beta model,so double Beta model is an ideal model to denote the distribution of recovery rate.The method is given to draw the random numbers from double Beta model at the end of the paper. Related Articles | Metrics

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Study on Dynamic VaR Measurement with Hyperbolic Memory GARCH LIN Yu 2011, 19 (6):  15-24.  Abstract ( 2696 )   PDF (660KB) ( 1996 )   Save This paper applies Fractional Integrated Autoregressive Moving Average(ARFIMA)model and Hyperbolic Memory Generalized Autoregressive Conditional Heteroscedasticity(HYGARCH)model, Fractional Integrated Asymmetric Power Autoregressive Conditional Heteroscedasticity(FIAPARCH) model and Fractional Integrated Exponential Generalized Autoregressive Conditional Heteroscedasticity (FIEGARCH)model to capture some stylized facts of conditional volatility and conditional return of financial markets,and apply Skew Student t Distribution(SKST)to capture return distribution,and then measure dynamic risk of financial markets.At last,we use Likelihood Ratio Test(LRT)and Dynamic Quantile Regression(DQR)to test accuracy of risk measurement model as well.Our results show that all risk models used in this paper has no significant difference on accuracy for Chinese stock markets;ARFIMA(1,d,1)-FIAPARCH(1,d,1)-SKST model is no excel to ARFIMA(1,d,1)–HYGARCH(1,d,1)SKST model in developed market;ARFIMA(1,d,1)-FIEGARCH(1,d,1)-SKST model can not measure risk accurately for developed market. Related Articles | Metrics

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Pricing Convertible Bonds with Default Risk in the Fractional Brownian Environment LIU Shan-cun, SONG Dian-yu, JIN Hua 2011, 19 (6):  25-30.  Abstract ( 2369 )   PDF (517KB) ( 1935 )   Save By applying equilibrium approach,this paper studies the pricing of convertible bonds with default risk when underlying assets follow the fractional Brownian motion.A mathematical pricing model for convertible bonds has been developed and an analytical solution has been proved by quasi-martingale method.An analysis on a numerical example is presented in the end of this paper.The conclusion is that the default risk and the long-range dependence of underlying asset are key factors for pricing convertible bonds. Related Articles | Metrics

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Study on Volatility Risk Contagion Effects between China’s Stock Market and Circumferential Stock Markets CHEN Wang, WEI Yu, CHUN Wei-de, HOU Xian-ping 2011, 19 (6):  31-39.  Abstract ( 2252 )   PDF (672KB) ( 2136 )   Save The conditional volatility of financial asset returns is an important measurement of market risk, and it often shows an asymmetric leverage effect.So in this paper,using LGARCH(Leverage GARCH) model to estimate the volatility of stock markets,we analyze the contagion effects of volatility risk between China's stock market and its circumferential stock markets by Granger-causality test method.The empirical results show a weak risk link between Shanghai stock market and the others in the entire sample period.Hongkong stock market affects Shanghai stock market at the 5% significance level while evidence of such contagion effect doesn't exist between Shanghai and Tokyo,Singapore stock markets.However,after China's stock market are open for QFII(Qualified Foreign Institutional Investors),contagion effects of volatility risk are found to be much more significant between China's stock market and its circumferential stock markets. Related Articles | Metrics

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Loan-pricing Model Based on Repayment Ability and Repayment Willingness PENG Hong-feng, YE Yong-gang 2011, 19 (6):  40-47.  Abstract ( 2891 )   PDF (522KB) ( 2767 )   Save The possibility of default for a corporation depends on the combined effects of its ability and willingness to repay.The conventional methodologies for credit risk measurement view repayment ability and repayment willingness as two separate objects,which evaluates them separately and then makes the risk decision.This method has ignored the intrinsic relationship between them,so as to hamper the scientificity and rationality of the credit risk decision.The repayment willingness is quantified by comparing the cost of repayment and the opportunity cost of default for a corporation and an N-period model is established to quantify the borrowers'dynamic repayment willingness.On this basis,this paper analyzes the interactive influences on the pricing of credit risk between repayment willingness and repayment ability for a corporation,and establishes a loan pricing model considering the repayment ability and repayment willingness comprehensively. Related Articles | Metrics

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Pricing and Coordination in Supply Chain under Different Coupon Offering Mode MU Yin-ping, TANG Xiao-wo, NIU Yang 2011, 19 (6):  48-56.  Abstract ( 2309 )   PDF (524KB) ( 2140 )   Save The paper analyzes the optimal coupon offering mode and the optimal product price,coupon face value and coupon valid period for a two-echelon supply chain with one manufacturer and one retailer.Also we provide the optimal policy for the supply chain coordination.By comparing two coupon offering mode, we find that the retailer offering mode can improve the profit of manufacturer and supply chain.However, the profit of the retailer will decrease with this mode under certain condition.We provide the cost allocation based contract to achieve the supply chain coordination,which is with retailer offering mode,the winwin can be achieved by manufacturer sharing part offering cost.The results show that by adjusting the cost sharing rate the cost allocation contract can improve the profit of the manufacturer and the whole supply chain while ensure the benefit of the retailer. Related Articles | Metrics

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Joint Decision for Supply Chain Inventory Model LI Qun-xia, MA Feng-cai, ZHANG Qun 2011, 19 (6):  57-64.  Abstract ( 2217 )   PDF (852KB) ( 1958 )   Save The paper investigates two-echelon supply chain consisting of one vendor and multiple customers,and establishes two different optimization methods based on the joint and independent decisions.The best production interval of the vendor and the order times of each customer are well estimated correspondingly.In order to make saving for all members in the supply chain,the subsidy is applied into the joint decision method.Numerical example and sensitivity analysis show that the joint decision using the subsidy is better than the independent decision because all members gain significant savings. Related Articles | Metrics

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Optimal Design of Reverse Logistics Network for Trade-in Acquisition Method XIONG Zhong-kai, FANG Yan, ZHANG Cong-yu 2011, 19 (6):  65-72.  Abstract ( 2344 )   PDF (502KB) ( 2180 )   Save In order to enhance the collecting initiative,we formulate,in this paper,a new mixed-integer nonlinear facility location model of reverse logistics network for the trade-in acquisition method to find out both the optimal location of facility and the optimal rebate for trade-in,as so to maximum net profits of collection centers.We also propose a heuristic method to solve the large-sized instance for our model and the computational result of the instances illustrate the efficiency and feasibility of the above models and methodsFinally,we analysis the influence on net profits of collection centers respectively by numerical simulation examples from two aspects:the leading enterprise's Brand differences and adopting two strategies(Uniform incentive strategy and quality-dependent incentive strategy). Related Articles | Metrics

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The Analysis of Dynamic Pricing and Service Model of Retailer LIN Zhi-bing, ZHANG Qi-shan 2011, 19 (6):  73-78.  Abstract ( 2198 )   PDF (484KB) ( 2339 )   Save It is assumed that the demand is a linear function of price and service level.firstly use the optimal control method is used to solve the optimal price function and service level function.Then the effects of the time decay factor on optimal price as well as the characters of demand elasticity are analyzod.Finally,this paper recurs to numerical calculation to research the trajectories of control variables and the state variables along with the effects of parameters of model on objective function. Related Articles | Metrics

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Research on the Effect of Private Label Introduction on Channel Competition FAN Xiao-jun, CHEN Hong-min 2011, 19 (6):  79-87.  Abstract ( 2455 )   PDF (718KB) ( 2051 )   Save In order to strengthen the negotiation power and improve the self special competition advantage, retailer began to provide private brand.Private label introduction intensifies channel competition.This paper analyzes the channel competition decision under the channel structure with two symmetric manufacturers and one retailer.We reach some findings:Private label introduction will result in the decline of national brands profit under any channel power structure.The decline of imitated national brand is evident under manufacturer Stackelberg and vertical Nash structure.But under retailer Stackelberg,the decline of other national brand is evident.Manufacturer Stackelberg will improve the retailer profit under no private label. On the contrary,manufacturer Stackelberg will depress retailer profit.Under retailer Stackelberg and vertical Nash structure,private label introduction will increase the retailer profit.But under manufacturer Stackelberg structure,private label introduction will increase the retailer profit only when the competition between two national brands is weak. Related Articles | Metrics

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Hierarchical Emergency Facility Location Model and Its Application WANG Zheng, LIAO Bei-yu, SUI Wen-juan 2011, 19 (6):  88-91.  Abstract ( 2352 )   PDF (336KB) ( 1817 )   Save The particularity of emergency facilities determines that emergency facility location,as a special type of facility location problem,must pay more attention to timeliness.According to the levels of emergency services,different factors are taken into account when modeling emergency facility location.Actually,there are often several levels of emergency facilities in our real life.This article proposes a hierarchical emergency facility location model based on a hybrid model of p-center and p-median model,in which a pcenter model is applied to the lower level services and a p-median model is applied to the higher level services.In accordance with the real situation of emergency services,this model improves the distance measurement by replacing the Euclidean distance with transport network distance.Finally,the hierarchical emergency facility location model is applied to the medical facilities location in Putuo District of Shanghai. Related Articles | Metrics

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Decomposition of Total Store Purchase When Purchase Payment and Inter-Purchase Time are Interdependent DONG Song-ting, ZHAO Ping, WANG Gao, LIU Rui-ming 2011, 19 (6):  92-101.  Abstract ( 2296 )   PDF (557KB) ( 2614 )   Save The assumption that single purchase payment and inter-purchase time are independent is inconsistent with real purchase behaviors.The interdependence between the two variables may be concealed by a seemingly insignificant correlation coefficient.Therefore,the decomposition of the total store purchase based on the independence assumption could not represent the real purchase pattern accurately.Based on the analysis of consumer purchase behaviors,we develop a decompositional model which takes in the interdependence between single purchase payment and inter-purchase time,and the impact of marketing efforts. Our empirical analysis shows the effectiveness and managerial implications of the model in analyzing customers'total store purchases. Related Articles | Metrics

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Research on the Interaction between the Environment and Organizational Design Based on Agent-Based Simulation WANG Huan-huan, HU Bin, JIANG Guo-yin 2011, 19 (6):  102-111.  Abstract ( 2138 )   PDF (1618KB) ( 1899 )   Save Firstly,based on existing works,the interactions between organizational design and environment are analyzed.Secondly,a model of task environment is proposed which can model the environmental uncertainty from complexity and dynamic state of task information.In the model,the complexity of environment is modeled according to Aldich's theory and NK model.Furthermore,the multi-agent modeling and simulation is used to model the task environmental turbulence.Then through a set of simulation experiments, how the design variables are matched so as to adapt the environment is researched and an analysis framework of interactions between organizational design and environment is outlined.At last,the implications of the results for the practice are put forward in the conclusion. Related Articles | Metrics

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The Indirect Mechanism of Information Sharing Among Supply Chain Partners on Operational Performance-the Mediating Role of Relational Capital. YE Fei, XUE Yun-pu 2011, 19 (6):  112-125.  Abstract ( 2308 )   PDF (908KB) ( 2513 )   Save The theoretical model of relationship between supply chain information sharing and operational performance with the mediating role of relational capital(trust and commitment)in a supply chain is proposed and empirically tested using data collected from 141 manufacturing companies in Pearl River Delta. The results show that there are two indirect paths in the relationship between information sharing and operational performance,the first one is "information sharing-trust-operation performance",the other one is "information sharing-trust-relationship commitment-operation performance",which provide evidence that there is indirect positive impact of information sharing on operation performance with the mediating role of trust and commitment constructs in relational capital theory. Related Articles | Metrics

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Research on the Satisfaction Degree and Criteria Weight Obtaining for Multiple Criteria Decision Making Problem LIU Jian, LIU Si-feng, ZHOU Xian-zhong, XUE Li 2011, 19 (6):  126-132.  Abstract ( 2519 )   PDF (405KB) ( 2005 )   Save This paper mainly focuses on this situation in the Multiple Criteria Decision Making(MCDM) problems with interval number that decision makers always have a basic expectation on some criteria. Firstly,we filter off the useless alternatives and find out the useful criteria that can arrive to the basic satisfaction degree of the decision makers on all criteria.By using the useful alternatives construct a new data table and select out the best alternative from the new table.Secondly,we propose a new definition of tolerance relation for criteria value and use the tolerance degree of criteria value to obtain the criteria weights. Thirdly,we also propose a new definition for satisfaction degree of alternatives.The best alternative(s)in decision making found by the traditional ranking methods does not have an equivalence relation with the alternative(s)that have the biggest combinatorial satisfaction degree of decision makers.Finally,an interval number example shows that the method is scientific and effective as well as feasible. Related Articles | Metrics

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A Method for Consensus Analysis in Hybrid Multiple Attribute Group Decision Making YAN Qin, LIANG Ji-ye 2011, 19 (6):  133-140.  Abstract ( 2433 )   PDF (451KB) ( 2150 )   Save An approach of consensus analysis among group opinions is proposed considering the problem of hybrid multiple attribute group decision making which involves real numbers,interval numbers and linguistic assessments.In calculating the degree of group consensus,the proposed approach obtains the degree of group consensus by spotting the difference of any pair of experts according to their evaluattion information with respect to each attribute.In the process of calculating,data type does not need any conversion,which,in turn,secures no information losses.When the group is not in consensus,a feedback mechanism is developed on the attribute level to prompt the experts to revise the evaluation information of relevant attribute,thus to reach the group consensus.Experts target revising the relevant attribute of evaluation information making the group agree each other as soon as possible.At the same time,excessive modification of evaluation information can be avoided.Finally,an example is given to illustrate the feasibility and validity of the proposed method. Related Articles | Metrics

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A New Combination Weighting Method and Its Application Based on Maximizing Deviations SUN Ying, BAO Xin-zhong 2011, 19 (6):  141-148.  Abstract ( 2286 )   PDF (499KB) ( 2071 )   Save Rough set method weights the attributes according to the significance degree,which overcome the shortage of common weighting methods that overly relied on the expert's transcendental knowledge. But the autologous improtance of the attributes may always be neglected.In this paper,Analytic Hierarchy Process(AHP)is used together with rough set weighting method to put forward a new combination weighting method based on maximizing deviation principle.This new combination weighting method may integrate the merits of both subjective and impersonal weightiing methods,maximizing deviation improves the traditional combination weighting method,and may lead to a more reasonal weighting result and easy decision.Finally,an applied example proves the feasibility of the new combination weighting method. Related Articles | Metrics

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Research on Method of Analyzing the Posterior Weight of Experts Based on New Evaluation Scale of Linguistic Information LIU An-ying, WEI Fa-jie 2011, 19 (6):  149-155.  Abstract ( 2330 )   PDF (393KB) ( 2041 )   Save A new evaluation scale of linguistic information is given and a new concept of uncertain extended linguistic information is developed in this paper,with high uncertainty in large and complicated project program,difference and fuzziness in the evaluations of experts.Based on the developed evaluation scale, some straightforward formulas to determine the posterior weights of experts are given respectively with certain linguistic information,uncertain linguistic information and uncertain extended linguistic information,and the first two are considered as particular cases of uncertain extended linguistic information.Finally,the effectiveness of the method and the rationality of the evaluation result are proved by apractical example. Related Articles | Metrics

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Fuzzy Super-Efficiency DEA Model with Assurance Regions ZHOU Zhong-bao, LV Si-ya, MA Chao-qun, ZOU Lin, LIU Wen-bin 2011, 19 (6):  156-162.  Abstract ( 2310 )   PDF (424KB) ( 1792 )   Save Fuzzy DEA models is used to assess decision making units(DMUs)with fuzzy data.However previously proposed fuzzy DEA model may result in more than one efficient DMUs.In order to solve this problem,a fuzzy super-efficiency DEA-AR model is proposed.An algorithm to determine the lower and upper bounds of fuzzy efficiency scores at given α levels is proposed.The proposed model and solution approach are applied to evaluate the performance of banks in the end. Related Articles | Metrics

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Option-Game Approach to Analyze Technology Innovation Investment With Cost Asymmetry Under the Fuzzy Environment TAN Ying-shuang, HENG Ai-min, LONG Yong, WU Hong-wei, JIANG Li-mei 2011, 19 (6):  163-168.  Abstract ( 2438 )   PDF (354KB) ( 1840 )   Save Basing on the asymmetric duopoly option-game model with investment cost asymmetry,this research discusses the present value of profit flows and the sunk investment costs for the trapezoidal fuzzy number,and Firms'technology innovation investment strategy is analyzed.It constructs followers,leaders of investment value and investment threshold of fuzzy expressions under the fuzzy environment to conduct numerical analysis.And it is concluded that there is still existing the best increasing investment strategy under fuzzy environment,with the development of the trapezoidal fuzzy number of the sunk cost of expected investment,the investment value of business declines,but the critical value for the investment ascends.This offers a kind of explanation to the investment strategies under the fuzzy environment. Related Articles | Metrics

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Barrier Option Pricing Method of Supplemental Medical Expense Insurance and its Application ZHENG Hong, YOU Chun 2011, 19 (6):  169-176.  Abstract ( 2299 )   PDF (414KB) ( 2432 )   Save Option theory is introduced and applied to the field of medical insurance,to overcome the traditional medical insurance loss distribution limitation,and to provide a innovative analysis tools and a new research perspective in this paper.Using supply and demand of general equilibrium analysis,the option pricing and actuarial pricing are unified in the medical field,and supply and demand balance principle of medical insurance are put forward,and use the pareto optimal insurance pricing formula to derive classic Black-Scholes option pricing model,alleviating option pricing model in medical insurance area of application obstacles;using barrier option pricing idea,derivation thought of standard option pricing model and ratchet option pricing model to derive the supplementary medical insurance option pricing model containing deductibles,limit of compensation and pay aproportion.Finally,the academic research is applied to China's medical reform and practice of medical insurance,to calculate the pure premium of supplementary medical insurance,and to enrich the research of our supplementary medical insurance pricing method. Related Articles | Metrics

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Research of Manager Stock Option Incentive Optimal Contract Based on Inequity Aversion and Risk Aversion SUN Zi-yuan, HUANG Yuan-yuan, DONG Jing-jing 2011, 19 (6):  177-184.  Abstract ( 2212 )   PDF (470KB) ( 1964 )   Save All traditional principal agent models are ground on absolute selfish agent.In this paper introduces inequity aversion and risk aversion factor on the basis of principal-agent theory to study how motivators,risk aversion as well as inequity aversion effects manager stock option incentive.The result reveals,risk aversion tendency leads management to reduce the proportion of shares acquired,motivators lead them to add share proportion of shareholding and equity preference makes their shareholding ratio about 1/2.When the managers are not contracted and they are risk aversion and inequity aversion managers,in order to encourage managers'investment,shareholders must give the proportion of equity to them to balance the profits between managers and shareholders.It can reduce the cost of inequity averse,thereby reducing the principal-agent cost. Related Articles | Metrics

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The Impact of Openness on Scientific Innovation and Technological Innovation：Evidence from National Key Laboratories of China LV Ping, LIU Xie-lin 2011, 19 (6):  185-192.  Abstract ( 2320 )   PDF (444KB) ( 1978 )   Save Taking National Key Laboratory as an example,this paper investigates the openness of research organizations and its impact on scientific innovation and technological innovation,and develops two negative binomial models.Based on data of 204National Key Laboratories in China during the period 20062009,the empirical results indicate that the openness has significant effect on scientific innovation performance,and both the linkages with enterprises and the proportion of non-permanent researchers have a Ushape relationship with scientific publication performance,while the international cooperation has an inverted U-shape with scientific publication performances.The openness measured by international cooperation and proportion of non-permanent researchers has significant effect on technological innovation performance,and international cooperation has an inverted U-shape with patent performances,while the proportion of non-permanent researchers has a negative relationship with patent performance. Related Articles | Metrics