Table of Content

30 June 2013, Volume 21 Issue 3 Previous Issue    Next Issue

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Chinese Stock Investors' Disposition Effect Testing and Reference Price Choosing REN De-ping, GONG Xu, WEN Feng-hua, YANG Xiao-guang 2013, 21 (3):  1-10.  Abstract ( 2775 )   PDF (2230KB) ( 2180 )   Save The disposition effect is a typical irrational behavior. Based on the linear regression model of volume-price, a new variable named "capital gain overhang"[1]is introduced into this model to test whether Chinese stock investors show "disposition effect" when they are engaged in stock trading. And then, by comparing with the two common reference prices (the 5-year weighted average price and the 52-week high price), six new reference prices in our empirical model are put forward to find a more appropriate reference price in Chinese stock market. Meanwhile, through choosing different reference prices in empirical analysis, "disposition effecting" Chinese stock market on the whole is also checked. The research results show that Chinese stock investors present "disposition effect" on the whole. And the proposed new reference price (the 5-week weigted moving average price) is better than the previous commonly used reference prices in our empirical study. Therefore, using this price as a reference price is more reasonable when studying the disposition effect of entire stock market investors. References | Related Articles | Metrics

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Measurement of Commercial Bank’s Operational Risk Based on Extreme Value Theory and Multivariate Copula Functions LU Jing, ZHANG Jia 2013, 21 (3):  11-19.  Abstract ( 2826 )   PDF (1700KB) ( 2365 )   Save Owing to the fat tail of operation risk and based on the requirement of Basel Accord, marginal distributions of several operational risk cells are measured with the Peaks-Over-Threshold model of extreme value theory, dependency of operational risks is analyzed with multivariate copula functions and the accumulated VaR is calculated. By using the data of Chinese commercial banking from 1990 to 2010, it is shown that Clayton Copula can better reflect the dependent frame of operation risk and the VaR calculated with Clayton Copula is about 32.3% less than the one calculated by directly summing VaRs of all operation risk cells. Therefore, consideration on dependency of operation risk cells with Copula functions can meet the risk dispersion effect of asset portfolio, greatly reduce required operation risk capital and provide commercial banks with a better way to get more profits. References | Related Articles | Metrics

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Systematic Jumping Risk and Time-varying Features of Beta JIAN Zhi-hong, LI Cai-yun 2013, 21 (3):  20-27.  Abstract ( 2938 )   PDF (1207KB) ( 1978 )   Save In order to investigate the features of time-varying betas in terms of systematic jumping risk, mcp(mean-cross products) is adopted to test stock markets’ systematic jumps, more robust TBV estimator is used to estimate the contribution of systematic jumps, realized method is applied to decompose daily betas into continuous betas and jumping betas, and then, specifically their stability is tested. The results indicate that significant systematic jumps exist in the stock market in China. The threshold revised TBV estimator has better small-sample properties. The continuous betas are generally stable in medium and long term, but unstable in short term. Jumping betas are relatively poor in short, medium and long term. These results reflect that the main reason of time-varying betas in short term is continuous betas’ instability. But the instability of betas in medium and long term is caused by systematic jumping risk. References | Related Articles | Metrics

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Analysis of Publicly Traded Companies’ Cash Holdings Based on Macro-economic Perspective XIAO Ming, WU Hui-xiang, ZHANG Qun, YAN Rui 2013, 21 (3):  28-34.  Abstract ( 3147 )   PDF (863KB) ( 2005 )   Save In the existing literature, various models have been developed to analyze the impact of company-level factors on companies’ cash holdings and how companies will dynamically adjust their cash holdings accordingly.Although there are some researches which explain the impact of single macroeconomic factor on companies’ cash holdings, there is almost no research on following-up dynamic adjustments. By reconstructing a static model and a dynamic model, with not only company-level variables but also three macro economic variables, and with a sample of 843 public companies in China over the period of 2001-2011, the analysis shows that all three macroeconomic variables are significantly correlated with companies’ cash holdings. Cash holdings’ correlations with the economic cycle and fiscal policy are negative, while correlation with monetary policy is positive; adjustment speed’s correlations with the variation in economic cycle and the change in monetary policy are positive, while with the change in fiscal policy it is significantly negative. It is also found that compared with state-controlled companies, cash holdings in non-state-controlled companies are more sensitive to the macroeconomic variations, and their adjustment speed is also faster. This research offers a more comprehensive view of corporate cash holdings’ behavior. References | Related Articles | Metrics

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Research of Chinese Stock Index Futures Regression Prediction Based on Support Vector Machines SAI Ying, ZHANG Feng-ting, ZHANG Tao 2013, 21 (3):  35-39.  Abstract ( 3289 )   PDF (1239KB) ( 1897 )   Save According to the characteristics of the stock index futures prediction, the indicators that have great influence on the development trend of stock index futures are selected and the support vector machines are firstly used to the regression prediction of stock index futures. Besides, genetic algorithm (GA) and particle swarm optimization algorithm (PSO) are employed to optimize the support vector machine (SVM) with four different kernel functions and eight different programs are attained. By comparing the accuracy and the time complexity of all the programs, the empirical study shows that the linear kernel function SVM optimized by PSO is the best model for regression prediction of Chinese stock index futures. References | Related Articles | Metrics

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Evolution Model of Herding Behavior in Stock Market and Its Simulation Based on the Strategy of Neighbor Preferred in Network BIAN Yue-tang, LI Jin-sheng, HE Jian-min, ZHUANG Ya-ming 2013, 21 (3):  40-49.  Abstract ( 2633 )   PDF (3965KB) ( 2047 )   Save Considering the inherent characteristics of investors’ imitation, herding behavior evolution model in stock market is developed from two dimensions of investors’ self-psychological preference and the effect of neighbors’ behavior based on the behavioral finance theory and complex network theory. By applying theoretical and simulation analysis of the dynamic characteristics of the evolution of herding behavior in stock market, some critical conclusions are drawn as follows. First, the evolution of investor’ behavior is affected by the network structure of stock market and the effect of neighbors preference. Second, the stability of equilibrium states of investors’ behavior dynamics is directly related with the concavity and convexity of the neighbors preference function. Third, connectivity and heterogeneity of the network plays an important role in the evolution of the investment behavior in stock market. Fourth, the evolution equilibrium is barely affected by the initial state of the investors’ behavior. It can be seen that, to some extent, the model and the conclusions effectively elaborate the factors which affect investor’ behavior and describe the internal law of the evolution of herding behavior, so as to offer the supportive theoretical evidence for financial management department to develop policies. References | Related Articles | Metrics

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Jump Estimation, Stock Market Volatility Forecasting and Prediction Accuracy Evaluation YANG Ke, TIAN Feng-ping, LIN Hong 2013, 21 (3):  50-60.  Abstract ( 3350 )   PDF (1106KB) ( 2210 )   Save Based on the theory of corrected realized threshold multipower variation(C_TMPV), the jump components of the realized volatility are estimated, and two newly developed realized volatility model allowing for jump, the AHAR-RV-CJ model and MIDAS-RV-CJ model, are proposed to predict realized volatility of Chinese Stock Markets. The forecast accuracies of several volatility models are also evaluated and compared. Our findings demonstrate that the jump components of the realized volatility estimated by C_TMPV have positive and significant impacts on daily, weekly and monthly volatility prediction, and the AHAR-RV-CJ model and MIDAS-RV-CJ models with the continuous and jump components of the volatility are the best models for future volatility prediction in different prediction horizons. These results hold up for both the in-sample and out-of-sample forecasts, especially the logarithmic models. It is also found that the out-of-sample forecasting performance of MIDAS model is better than HAR model with the same regressor and the out-of-sample predictive power of AHAR-RV-CJ and MIDAS-RV-CJ models is better than Jump-GARCH, SV-CJ and SV-IJ models in the medium and long prediction horizons. References | Related Articles | Metrics

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Supply Chain Decision with Asymmetric Information When Demand and Production Cost Disrupt Simultaneously ZHOU Jian-zhong, CHEN Xiu-hong 2013, 21 (3):  61-70.  Abstract ( 2266 )   PDF (913KB) ( 1846 )   Save Based on the supplier-leader Stackelberg game, optimal policies for a one-supplier -one-retailer supply chain with asymmetric information when demand and production cost disrupt simultaneously are studied with the assumption of line and nonline demand functions. First, the profit functions of supplier and retailer are given under asymmetric information. Then, the expressions are developed for optimal supply price, optimal retail price, optimal supplier profit, optimal retailer profit and total profit of supply chain. Finally, the some variation tendencies of the supply chain members with two disruptions via numerical simulation are discussed, and the robust of optimal production under some conditions is obtained. The results show that two disruptions have a strong influence on supply chain with asymmetric information. References | Related Articles | Metrics

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Study on Strategies of Preorder Financing in a Supply Chain under the Bank’s Risk Limit WANG Wen-li, LUO Jian-wen, ZHANG Qin-hong 2013, 21 (3):  71-78.  Abstract ( 2844 )   PDF (1146KB) ( 1794 )   Save In this paper, the optimal operational strategies in preorder financing model of a supply chain under the bank’s risk limit are studied. The impact of the bank’s risk limit on the supplier and the retailer’s optimal decisions are analyzed. It is shown that the bank’s risk limit equals to the loan limit, and the bank’s loan limit is increasing in the retailer’s preordering quantity. There are two ways to realize the supplier’s classical optimal production quantity: one is increasing the bank’s risk limit and the other is enhancing the retailer’s preordering quantity. It is also found that the retailer has two incentives to offer preorders: one is increasing sales for himself and the other is enhancing loan limit for the supplier. These two incentives can be transformed into each other under certain conditions. Finally, a numerical study is given to demonstrate the conclusions. These results can be used as the reference of banks when designing proper preorder financing products and reference of enterprises when choosing proper banks for applying for preordering financing services. References | Related Articles | Metrics

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The Revenue-sharing Mechanism: Coordinating the Multilocation Lateral Transshipment Problem CHEN Jing-xian, WANG Guo-hua, LIANG Liang 2013, 21 (3):  79-87.  Abstract ( 2536 )   PDF (1393KB) ( 1858 )   Save It this paper the revenue-sharing contract for coordinating the multilocation lateral transshipment is studied. It includes two contract parameters, which are designed and implemented by an independent transshipment corporation. A non-cooperative game model is established to describe the transshipment system behavior and the necessary and sufficient condition for the contract to coordinate transshipping behavior is constructed. Taking a two-location system as an example, the analytical results of transshipment price are derived and the necessary conditions of revenue-sharing ratio under which the system is coordinated by the contract are proposed. Moreover, a heuristic algorithm is developed to calculate the retailer’s optimal order volume, transshipment price and expected profits. Furthermore, numerical results verify the theoretical conclusions and examine sensitivity of some parameters. It is found that: (1) Under symmetric case, revenue-sharing strategy is a dominant choice for retailers which involved in transshipping; (2) Under asymmetric case, higher transshipment costs can make retailer’s expected profits decreasingly; (3)Matching lower transshipment price, higher salvage value can make retailer’s expected profits increasingly; (4)With higher transshipment price, higher marginal value can make retailer’s expected profits increasingly. Sensitivity analysis results show the significant influence of contract parameters (transshipment price and revenue-sharing ratio) on retailer’s profits under asymmetric case. References | Related Articles | Metrics

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The Optimal Output of Incumbent Firm in Limit Pricing Strategy YE Ze, YUAN Wei-zhi, ZHANG Xin-hua, WANG Ya-li 2013, 21 (3):  88-95.  Abstract ( 2427 )   PDF (1447KB) ( 1477 )   Save Milgrom-Roberts model and related researches prove that the existence of limit pricing strategy equilibrium under the condition of incomplete information, but they do not show the specific results.Through further research of Milgrom-Roberts limit pricing model, it is pointed out that the strategy equilibrium can exist in an output interval under the condition of incomplete information of different cost type of incumbent to prevent potential competitors. Because of the principle of profit maximization, actually the only strategy equilibrium that the incumbent product optimal output is formed, i.e. profit maximizing output between the equilibrium output interval that is prevented from entering,and the potential competitors do not enter. Due to the potential threat of entry, if the incumbent want to implement the limit pricing strategy successfully, the optimal output can only be equal to or greater than the monopoly output,while profits only less than or equal to the monopoly profit. References | Related Articles | Metrics

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Research on Pricing and Producing Policy of Closed-Loop Supply Chain Based on Product Life-Cycle in Manufacturer Competing Settings HUANG Yong, SUN Hao, DA Qing-li 2013, 21 (3):  96-103.  Abstract ( 2387 )   PDF (1026KB) ( 1569 )   Save Pricing and producing policy is studied on the closed-loop supply chain based on product life cycle in manufacturer competing settings, in which completely new products are produced by single manufacturer by using raw material in the first product life cycle. However besides new products, used products are recycled and remanufactured from the second period on. And at the same time, alternatives manufacturer arises. A two-period duopoly supply chain model is established and its optimal pricing and producing policy is derived. And then it is expanded to cases of multi-period and infinite-period. Results show that the different pricing policy will be employed according to the saving of remanufacturing unit product in two-period model, the same pricing policy will be utilized in all periods except the first period and the last in multi-period model, and the identical pricing policy will be implemented when the competition arises in infinite-period model. For all the three cases above, in order to decrease manufacturer’s cost and obtain advantages when facing competition, a lower price in the first period will be adopted to collect more cores. As the cost saving of remanufacturing increases, manufacturer’s profits and sales increase, and competitor’s profits and sales decrease. Finally a numerical example is given to prove the above conclusions. References | Related Articles | Metrics

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The Study on Inventory and Pricing Strategy between On-line and Physical Channels JIN Lei, CHEN Bo-cheng, XIAO Yong-bo 2013, 21 (3):  104-112.  Abstract ( 2352 )   PDF (1362KB) ( 1691 )   Save Motivated by the two basic problems that physical retailers have to face when they plan to build the on-line channel, the inventory problems are explored.The two problems are whether the online channel uses its own stock or shares stock with the physical store to fulfill the demand from the online channel, and how to solve the channel conflicts between physical and online channels because the price of online usually is lower than physical store which may influence the demand of physical store. Also the dynamic pricing strategy is brought in to solve the channel conflicts based on previous research on dynamic stock admission policies. The relative inventory decisions are also studied by comparing the two scenarios that whether the stock is shared with physical channel or not. Furthermore the inventory pooling effect is evaluated, which is aimed at making the retailer gain the better results. The result shows that the policies of sharing the inventory with physical channel is better because of the inventory pooling effect. The dynamic pricing can make better results, and also the analysis of the structure characters of the dynamic pricing policies is carried out when the policies are tested. References | Related Articles | Metrics

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How does Government Replacement-Subsidy Influence the Closed-Loop Supply Chain with Different Grades of Products MA Wei-min, ZHAO Zhang 2013, 21 (3):  113-117.  Abstract ( 2462 )   PDF (658KB) ( 2030 )   Save The rapid development of science and technology makes the government’s subsidy policy meet the demand of energy saving and the development of circular economy, and the change of product upgrading will have a significant impact on its closed-loop supply chain. This paper focuses on how the replacement influence the closed-loop supply chain with different grades of products, and reaches a series of propositions: (1) The prices of the new products increase after the government subsidizes the replacement, and the government subsidy can promote the closed-loop supply chain to a bigger scale; (2) After the government provides subsidies, the primary consumers are sufferers, and the replacement consumers are beneficiaries; (3) "After the government subsidizes the replacement,the unit profits of the manufacturers have increased,and the impact of low-end manufactures's decision on the high-end manufacturer's profit is strengthened." References | Related Articles | Metrics

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Method for Determining the Controlling Path in Repetitive Project by Delayed Step Function ZHANG Li-hui, ZOU Xin, QI Jian-xun 2013, 21 (3):  118-126.  Abstract ( 2352 )   PDF (2252KB) ( 1497 )   Save Determining the controlling path is of great importance to the repetitive projects scheduling. Although several methods for determining controlling path are proposed, none of them is commonly accepted. This paper presents a convenient and correct way to identify the controlling path by the delayed step function. Ferstly, various types of activities and constraint lines in repetitive projects are expressed by the delayed step function. Then the controlling path is identified by a forward tracing and a backward tracing. Through the forward tracing, the potential controlling points are calculated and determined. Through the backward tracing the controlling path is determined. A highway project is presented to demonstrate its validity. Compared with the existing methods, the proposed method is more suitable for the engineering situations, and provides a mathematical foundation for the computer processing. References | Related Articles | Metrics

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Revenue Sharing Contract Forn-echelon Supply Chains with Fuzzy Demand SANG Sheng-ju, ZHANG Qiang 2013, 21 (3):  127-136.  Abstract ( 3260 )   PDF (839KB) ( 1590 )   Save The revenue sharing contract mechanism for n-echelon supply chains in fuzzy demand environment is researched is this paper. The models of decentralized decision, centralized decision and revenue sharing contract are built by the method of fuzzy cut sets theory, and their optimal policies are also proposed. It is shown that the optimal order quantity of retailer locatihg in left or right side of the center of the fuzzy demand, is affected with the changing of the retail price and the unit cost.The optimal order quantity also and increases with the raise of the retail price. The wholesale price does not vary with the changing of the retail price. The optimal fuzzy expected profits for the actors in supply chain increase with increasing of the retail price.Finally, a numerical is given to illustrate and validate the models and conclusions. References | Related Articles | Metrics

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A ranking Model According to Overall-coordinating Relative Efficiencies of Decision Making Units Based on Cross-evaluation Strategy LI Chun-hao, SU Hang 2013, 21 (3):  137-145.  Abstract ( 2478 )   PDF (873KB) ( 1577 )   Save In the field of data envelopment analysis (DEA), methods for ranking decision making units (DMUs),which are based on crass-efficency, only give evaluation-score (CEES) of DMUs by such a definition of cross-efficency. As for this method-construction pattern, this paper has pointed, by reference to the theoretical concept of efficiency in the domain of management and the theory of multiple attribute decision-making, that the CEES of DMUs not only doesn’t match the managerial concept of efficiency, but also does make no sense to reflect the goodness or badness of DMUs. In order to overcome these problems mentioned above, a new concept of DEA overall-coordinating relative efficiency is proposed based on a cross-evaluation strategy and the managerial concept of efficiency. According to this new concept, based on the optimization theory, a new model is presented in this paper to measure the DEA overall-coordinating relative efficiencies of DMUs, which can be applied to rank DMUs. Theoretical and numerical analysis also shows that the new model has several comparative advantages over current methods for ranking DMUs. References | Related Articles | Metrics

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The Method of Scale-Group Evaluation Based on Distribution Information of Attribute-Value and Its Application CHEN Ji, SU Wei-hua, ZHANG Chong-hui 2013, 21 (3):  146-152.  Abstract ( 2017 )   PDF (636KB) ( 1513 )   Save In the face of some problems in scale-group evaluation,such as how to aggregate the information of individual to group information effectively, how to reflect the affection of group consensus in comprehensive evaluation, a method of group evaluation based on distribution information of attribute-value is proposed in this paper. Firstly, distribution-interval variable is used to describe group information by construct the distribution of every attribute, and the interval variable weighted average algorithm operator(IWAA) based on the definition of algorithms of distribution-interval variable is put forward. Secondly, design the rank method of distribution-interval variable is designed. Finally, a numerical example shows the validity for the proposed method. References | Related Articles | Metrics

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Research on Group Recommendation in E-commerce Recommender Systems LIANG Chang-yong, LENG Ya-jun, WANG Yong-sheng, QI Xiao-wen 2013, 21 (3):  153-158.  Abstract ( 2707 )   PDF (920KB) ( 1643 )   Save Although the traditional e-commerce recommender systems have achieved great success in recommending products to individuals, they are not suitable for group recommendation. As the number of groups increases rapidly in the virtual communities, building group recommender systems to provide personalized services to groups becomes more and more imperative. Therefore, a group recommendation algorithm combined with domain expert imputation is proposed in this paper. The proposed algorithm is designed based on the framework of item-based collaborative filtering. It first identifies group preferences according to every member’s preferences, and then generates recommendations based on the group preferences. Especially, domain expert method is used to impute values for members’ unrated items in the recommendation process. In addition, the proposed algorithm considers the effects of member similarities on recommendation quality. The experimental results show that the proposed algorithm is effective. References | Related Articles | Metrics

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Research on KIBS Employees’ Cooperate and Conflict Behavior Based on Prospect Theory and Multi-Agent Simulation FU Di-li, HU Bin 2013, 21 (3):  159-168.  Abstract ( 2264 )   PDF (3108KB) ( 1831 )   Save Along with the globalization of knowledge economy,knowledge-intensive business service(KIBS) has become the focus of industrial restructuring in the major western developed countries and regions as well as a hot topic in management research recently. This paper investigates the generating mechanism and evolutionary law of KIBS employees’ cooperate and conflict behavior. A behavior model of KIBS employees’ cooperate and conflict is proposed in accordance with theories of personality psychology, prospect theory and game theory. Then Anylogic 6.5.0 is used to implement this multi-Agent simulation model. Parameters of income and group communication are analyzed in the later simulation experiment. The result shows that they affect the cooperate and conflict behavior of KIBS employees in different ways. References | Related Articles | Metrics

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Access Rights,Organization Control and the Specific-Investment Incentives of Transnational Coporations HONG Lian-ying, LIU Bing-quan, ZHANG Zai-mei 2013, 21 (3):  169-177.  Abstract ( 2496 )   PDF (1214KB) ( 1394 )   Save In this paper, the "access rights" theory of Rajan and Zingales[1] and the international production and trade models are combined to study the relationship-specific investments for transnational corporations(TNC) from the perspective of production organization. It is found that TNC incentives the suppliers to provide more exante customized investment, transfer investment and optimal ex post specialization investment, which captures the suitable inputs and profit by restricting the access to suppliers and substitute competitor. The results show that China should build up China’s international production networks and its organization control mechanism to deal with this paradox of Chinese FDI and OFDI. References | Related Articles | Metrics

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A Study on the Impact of Individual Acquiring Knowledge and Contributing Knowledge Capability on Organizational Citizenship Behavior in Companies CHEN Guo-quan, ZHANG Zhong-xin, ZHAO Hui-qun 2013, 21 (3):  178-184.  Abstract ( 2905 )   PDF (818KB) ( 1660 )   Save Many researchers have paid a lot of attentions on the way by which individual acquires and contributes knowledge in business organizations and the relationships among acquiring and contributing knowledge, their antecedents and consequences. However, at least two kinds of researches should be improved as follows. First, the impact of acquiring and contributing knowledge on organizational citizenship behavior has not been studied yet. Second, few researches integrate both acquiring and contributing knowledge in one study. The purpose of this paper is to solve the above research questions and explore the impact mechanism of acquiring and contributing knowledge capability on organizational citizenship behavior in business organizations. The empirical study on 216 samples shows that individual acquiring knowledge capability can significantly improve organizational citizenship behavior, and contributing knowledge capability plays a complete mediating role in the relationship between individual acquiring knowledge capability and organizational citizenship behavior. The study makes contributions to theoretical development in the field of individual and organizational learning. The study also provides some new ideas for improving organizational learning in companies. Both acquiring knowledge and contributing knowledge should be emphasized in order to increase organizational citizenship behavior, promote learning organization and therefore develop sustainable and healthy organization. References | Related Articles | Metrics

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Research on Pricing Strategy of Online Group Buying in Two-sided Network TANG Fang-cheng, CHI Kun-peng 2013, 21 (3):  185-192.  Abstract ( 2720 )   PDF (1108KB) ( 1901 )   Save Online group buying is a business model characterized with two-sided market. The challenging problems that group buying firms face are how to meet the needs of consumers and suppliers and how to develop the right bilateral price structure and pricing level. According to the nature of two-sided markets group purchase site, this paper constructs the pricing models by considering multi-homing of consumers and suppliers. Furthermore, the pricing models under the monopoly pattern and competition equilibrium are presented. This study investigates the effect of some key factors of platform fixed cost, search matching, degree of service differentiation and cross-group network effects change on pricing mechanism. Finally, a case study of Lashou is employed to test the proposed pricing mechanism and tactics. References | Related Articles | Metrics