Table of Content

20 June 2014, Volume 22 Issue 6 Previous Issue    Next Issue

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Analyzing the Jump Dynamics of Asset Price in Jump-GARCH Model with Variable Intensity HUANG Ran, TANG Qi-ming 2014, 22 (6):  1-9.  Abstract ( 1841 )   PDF (955KB) ( 1442 )   Save Recently, the unexpected events, such as the US financial crisis, the EU debt crisis and the earthquakes, constantly shock China's financial markets. Under these impacts, almost all sorts of financial assets suffer frequent jumps in their prices, which then cause much higher risk in the short period of time. In order to describe both of the normal volatility and the jump change in financial asset, a mixed jump-GARCH model,that is TSD-ARJI-GARCH model,is constructed in this paper. It extends the existing models to make the jump intensity not only driven by internal idiosyncratic factors, but impacted by external state variables. This model takes into account time variation, clustering and threshold-based state-dependence of jump change as well as asymmetry and clustering of normal volatility. Then, stock price data of listed companies in China's stock market is used to test these different models. Both goodness of fit and forecast evaluation show TSD-ARJI-GARCH model performs better. Therefore, it can provide relatively better theoretical and technological support for monitoring and managing the jump-risk of financial assets in practice. References | Related Articles | Metrics

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Evolutionary Game Analysis of the Allocation Rules and IPO Price Formation in Bookbuilding JIANG Ting 2014, 22 (6):  10-16.  Abstract ( 1409 )   PDF (845KB) ( 1394 )   Save At present, the essence of allocation rules in bookbuilding is that the one who offers the highest price obtains the stock. In this work, another principal is proposed that the one who offers the closest price obtains the stock. A one-group replicator dynamic model for the inquiry institution investors is established based on evolutionary game theory, and institutional investors' bidding behavior, IPO price formation in bookbuilding under the present highest price principle and the proposed closed pricing principal are investigated. Additionally, China SME Board IPO data from June 2009 to October 2010 are selected for subsequent numerical analysis of the ESS (Evolutionary stable strategy) under the two principles. It is shown that, when the expected mean of IPO underpricing is large enough, the inquiry institution investors will tend to choose high bidding under the highest pricing principle, and reasonable bidding under the closest principle. Thus proposed principle in this paper is then potentially capable to increase the efficiency of IPO bookbuilding if the current IPO allocation rule is changed. References | Related Articles | Metrics

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The Efficiency and Risk Detection of Stock Markets Based on Wavelet Leaders (WL)Multifractal Analysis ZHANG Lin, LI Rong-jun, LIU Xiao-long 2014, 22 (6):  17-26.  Abstract ( 1517 )   PDF (875KB) ( 1520 )   Save Most research about efficiency measurement and risk detection in stock markets are based on the Efficient Market Hypothesis (EMH). From the Fractal Market Hypothesis (FMH), wavelet leaders (WL) multifractal analysis is firstly employed to measure the market efficiency by describing the multifractal properties of market fluctuations. And then a new method is put forward to detect and measure the financial crisis by the fractal dimension (D(hmin)) and singularity (hmin) evolutions of the largest fluctuations in the stock markets. The empirical results show that the efficiencies of China, United States and Japan stock markets differ from each other apparently during the different periods. The efficiency of China stock market has been improved gradually, while the efficiencies of United States and Japan stock markets are more related to the financial crisis. Through the analysis, the method is found to have the power not only on correctly locating the time point of financial crisis, but also measuring the financial crisis precisely by the evolution of the multifractal parameters. Empirical results can provide some revelation about how to improve the stock market efficiency and the financial risk management ability for the investors of different investment horizons. References | Related Articles | Metrics

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Study Optimal Portfolio Choice：Integrating Work, Retirement, and Investment Decisions with Lifetime Payouts WANG Yun-duo 2014, 22 (6):  27-33.  Abstract ( 1535 )   PDF (847KB) ( 1366 )   Save For a person who can select her hours of work and also her retirement age, optimal life cycle portfolio asset allocations as well as annuity purchases trajectories are derived in this paper. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, the investment universe is extended to include not only purchase stocks and bonds, but also purchase annuities. The results show that making labor supply endogenous not only raises older peoples' equity share and substantially increases work effort by the young, but also markedly enhances lifetime welfare. Furthermore introducing annuities leads to earlier retirement and higher participation by the elderly in financial markets. Finally, if an age-dependent leisure preference parameter is considered, it shows lower work hours and smaller equity holdings at older ages. References | Related Articles | Metrics

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Pricing, Efficiency, and Coordination in MT-CLSC Considering Differences in Customer Demand and Differences Channel Power Structures WANG Yu-yan, SHEN Liang 2014, 22 (6):  34-42.  Abstract ( 1427 )   PDF (874KB) ( 1171 )   Save Compared with other recycling model of closed-loop supply chain, closed-loop supply chain of manufacturer taking-back (MT-CLSC) is more effective in saving the cost and increasing the system profit. According to the power structure differences of MT-CLSC channel, and considering customers' different preferences and its influence to new products and remanufactured products, four types of MT-CLSC models are constructed in this paper, which are the centralized cooperative decision-making model of manufacturers and retailers, the decentralized decision-making model of either manufacturers power greater than retailers, or less than retailers, and the decentralized decision-making model of manufacturers power equaling to retailers. According to the characteristics of each model, optimal pricing strategies, recovery strategies and corresponding profits and channel efficiency are calculated and compared then by numerical analysis method. The following conclusions are given: (1) in each model, channel profit and MT-CLSC members profits decreases with the increase of the customer preference coefficient; (2) under decentralized decisions, the profits of manufacturers and retailers were associated with their power. Greater the power is, more is the profit; (3) under decentralized decisions, when the power of manufacturers is equal to retailers, the channel efficiency is the highest, and when the power of retailers is greater than manufacturers, the channel efficiency is the lowest; (4) the centralized cooperative decision-making model of manufacturers and retailers is the optimal model. In this model, the prices of the new products and remanufactured products are the lowest, and the recycling-demand rate of the waste is the lowest, while the channel profit is the highest. However, this model can only be achieved through coordination mechanism. Therefore, an effective coordination mechanism which can achieve the centralized mode is further designed. The conclusions would be helpful to enrich the closed-loop supply chain theory and popularize the application of closed-loop supply chain in reality. References | Related Articles | Metrics

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Research on Security Analyst Follow-up Behavior under the Conflicts of Interest——An Exemplified Study Based on Panel Data YAO Lu-shi, HE Fang, WANG Li-na, LEI Xiao-jie 2014, 22 (6):  43-49.  Abstract ( 1396 )   PDF (837KB) ( 1632 )   Save The securities analyst are in the interests chain of the securities market all the time, which makes the independence and objectivity of the research influenced by the behavior of conflict of interest. A total of 12 quarters of 8432 groups which come from the 1171 listed companies in the A-share market from January 1st, 2008 to December 31st, 2010 are chosed as the research sample based on the theoretical analysis of the relationship between conflicts of interest and analysts' follow-up behavior. By building the fixed-effect intercept model of panel data, the empirical study shows that: the higher the proportion of institutional investors holding, that is, the greater the pressure from the internal conflict of interest, the more the number of analysts' follow-up. What's more, the effect of executive ownership changes on analysts' follow-up behavior is not significant. This study not only enriches the theoretical research of the analysts' follow-up behavior, but also provides a new decision-making reference for the introduction of the related policies by regulatory authorities in order to promote the development of the analyst industry. References | Related Articles | Metrics

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Research on Production and Distribution Collaborative Mode Based on Supply-Hub MA Shi-hua, LV Fei 2014, 22 (6):  50-60.  Abstract ( 1540 )   PDF (922KB) ( 1111 )   Save A production and distribution collaborative decision model of two-suppliers and one-manufacturer is established based on Supply-Hub under stochastic demand, through comparing the model with a production and distribution collaborative decision model that does not have the Supply-Hub in the supply chain. It is proved we prove that Supply-Hub can reduce the total cost of supplier, manufacturer and supply chain. In the final part of this paper, the influence of demand uncertainty on production and distribution collaborative mode through data analysis are discussed. The analytical result shows that, the advantage of Supply-Hub is more obvious if the demand is more uncertain, and Supply-Hub can limit its delivery lot size even though demand uncertainty is very high. When demand uncertainty exceeds a certain extent, suppliers will deliver parts to Supply-Hub in small volume and multi-batch. References | Related Articles | Metrics

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Computing the Optimalstationary Strategy of Stochastic Demand Inventory Routing Problem with Direct Deliveries ZHAO Da, LI Jun, MA Dan-xiang, LI Yan-feng 2014, 22 (6):  61-68.  Abstract ( 1417 )   PDF (874KB) ( 1298 )   Save The stochastic demand inventory routing problem with direct deliveries (SDIRPDD) is a classic and focused issues in logistics and supply chain optimization filed because its demand uncertainty, long-term decision-making and the type of optimal strategy of reference value for solving other kinds of IRP. In this paper, it is proved that optimal stationary strategy's type of SDIPRDD without any restrictions is (s,S) policy, and optimal stationary strategy's type is given,which subject to restrictions of the number of vehicles and customer's inventory capacity through analyzing the influence on one-period expected cost function. Then an approximate algorithm is proposed to compute an optimal stationary strategy under above two restrictions, and efficiency of the algorithm and significance for engineering are analysed through a numerical example. The conclusions of this article have guiding significance for the study of more complex IRP. References | Related Articles | Metrics

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Dynamic Optimization of Distribution Density of New Product CHEN Kun, PENG Yi, ZHANG Lei 2014, 22 (6):  69-77.  Abstract ( 1282 )   PDF (856KB) ( 1352 )   Save Issue of planning distribution density during the new product commercialization process for manufactures is discussed in this paper to diagnose the evolution of distribution density and therefore optimize the profit of new products. Based upon control theory, distribution density is set as a control variable, and sales as a state variable. Then, the optimization issue of new product distribution density is solved based on dynamic programming method. Further the optimization procedure for sales data of two electronic apparatus is applied to get the optimization trajectory. The type of sales data is time series which records distribution density, sales, and sales cost. The numerical result indicates that the optimization trajectory of new product distribution density can substantially improve the profit of new products and the shape of the optimization result is contingent on the parameters of the optimization procedure. As the impact coefficient of distribution density on sales increases, the optimization trajectory of distribution density will eventually converge to a straight line. Thus, if the assumptions of this paper are valid, the deduced optimization trajectory can uncover the dynamic regularities of distribution density and be a quantitative decision criterion of distribution density planning for manufactures. References | Related Articles | Metrics

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Method for Hybrid Stochastic Multiple Attribute Decision Making Considering Decision Maker’s Psychological Behavior JIANG Guang-tian 2014, 22 (6):  78-84.  Abstract ( 1608 )   PDF (875KB) ( 1310 )   Save In this paper, a method considering decision maker's (DM's) psychological behavior is proposed to solve the hybrid stochastic multiple attribute decision making problem. In the method, the attribute values in the form of discrete random variables, grey random variables or linguistic assessment terms are first unified into interval. Then, the aspiration levels proposed by DM with respect to attributes in different phases are regarded as the reference points, and the loss and gain matrix is built by calculating the distance between attribute values and reference points. Further, the gain and loss values of alternatives concerning different attributes are calculated according to cumulative prospect theory. Moreover, the overall prospect values of alternatives are determined by aggregating the values of concerning different attributes in different phases, and a ranking of alternatives can be determined according to the obtained overall prospect values. Finally, a numerical example is used to illustrate the validity and feasibility of the proposed method. References | Related Articles | Metrics

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DEA-based Evaluation on City Innovation in China DU Juan, HUO Jia-zhen 2014, 22 (6):  85-93.  Abstract ( 1437 )   PDF (868KB) ( 1662 )   Save According to the background of application to city innovation performance, a set of indices are established for evaluating innovation performance of key cities in China. The innovation process is divided into two individual stages——talent training and sci-tech creation. Two-stage data envelopment analysis (DEA) models are proposed to assess and differentiate the overall and individual-stage innovation performance for 52 Chinese key cities. It is demonstrated that the Yangtze River Delta region and Pearl River Delta region have done an excellent job in city innovation, while quite a number of cities in central, southeast and northeast China still have a lot to improve in that aspect. The results provide important implications and suggestions for those cities to effectively enhance their innovative development. References | Related Articles | Metrics

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Empirical Study of Influential Elements of E-loyalty DENG Ai-min, TAO Bao, MA Ying-ying 2014, 22 (6):  94-102.  Abstract ( 2611 )   PDF (1439KB) ( 6295 )   Save 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. References | Related Articles | Metrics

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Economic Growth and Energy Intensity：An Empirical Research Based on Panel Smooth Transition Regression Model ZHAO Xin-gang, LIU Ping-kuo 2014, 22 (6):  103-113.  Abstract ( 1352 )   PDF (886KB) ( 2080 )   Save By using the panel data of nine countries over the period of 1960-2009, this article studied the relationship between the economic growth and energy intensity is studied based on the panel smooth transfer regression (PSTR) model. Empirical results, on one hand, not only effectively verify the inverted U-shaped relationship between economic growth and energy intensity, but also show the linear effect plays a dominant role in improving the energy intensity at different levels of economic growth, and in various stages of economic development, there is a continuous smooth transfer regime between economic growth and energy intensity that influences the economic variables transfer from one regime to another regime bounded by the threshold. On the other hand, at present, China's economic growth and energy intensity is in the up-moving period of the inverted U-shaped, and when the GDP per capita reaches $ 13208.48, the value of China's energy intensity will be at a turning point. References | Related Articles | Metrics

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Modeling and Forecasting the Volatility of China Stock Market Considering the Impact of Jump and Overnight Variance SUN Jie 2014, 22 (6):  114-124.  Abstract ( 1648 )   PDF (886KB) ( 1783 )   Save Daily volatility of Shanghai Stock Exchange Composite Index and Shenzhen Stock Exchange Component Index are decomposed into three components, which are the continuous sample-path variation, the discontinuous variation due to jumps and the overnight variance. Then HAR-CJN model is proposed to study the interaction of the three components and their impact on forecasting. The results show that the continuous variation has positive impact on each of the three components and contributes the most in forecasting, while the impact from jump variation is generally weaker than that from continuous variation and varies in direction and size as the length of lag-period changes. The out-of-sample forecast results show that HAR-CJN model outperforms traditional GARCH model considerably, and also outperforms the popular realized volatility model HAR-RV in the one-day-ahead and one-month ahead forecast. References | Related Articles | Metrics

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Long-term Fluctuation Effect of Electricity Consumption in Energy-Intensive Industries LIU Rui-yu, YE Zi-wan 2014, 22 (6):  125-133.  Abstract ( 1382 )   PDF (869KB) ( 1046 )   Save To analyze the interaction and continuing impact of impulse response between factors and electricity consumption, electricity consumption of energy-intensive industries is studied from combination of macroeconomic and microcosmic level, and SVAR model is applied to analyze dynamic relationship between electricity consumption and micro-macro variables based on times series data from 1985 to 2009. Through GIRF, the two-way dynamic effects generated by the shock of macro and micro variables and electricity consumption are also explained.Further,through the application of VD technology, the contribution rate of electricity consumption is estimated as structural impact from variables fluctuations. The results of this paper indicate that firstly,long-term fluctuation effect exists between China's energy-intensive electricity consumption and GDP, industrial output value and investment.Secondly, external variables, the investment structure, the level of urbanization, are not highly related to electricity consumption, which has obvious long-term effect on GDP. At last, as rigid variable of inner energy-intensive industry sector, the impact on electricity consumption by investment is weaker than output, though there is a certain continuity. The contributions of microeconomic variables are relatively prominent to the changes of electricity consumption. References | Related Articles | Metrics

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Group Decision-Making Method with Uncertain Preference Information on Alternatives by Interval Number Relative Entropy LIU Xiao-di, ZHU Jian-jun, LIU Si-feng 2014, 22 (6):  134-140.  Abstract ( 1394 )   PDF (865KB) ( 1297 )   Save The problem of multiple attribute group decision making with interval numbers and preference information on alternatives is studied in this paper. Firstly,he relative entropy matrix for the deviation between objective preference and subjective preference value on each alternative is obtained. Then a mathematical model based on the relative entropy of objective and preference information on alternatives is constructed to obtain the attribute weights. Furthermore,a new probability degree formula for the comparison between two interval numbers is presented. Based on the formula, a method for ranking alternatives is given. Finally, a numerical example is given to verify the proposed method and to demonstrate its feasibility. References | Related Articles | Metrics

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Land Auction in China WU Kang-ping, ZHANG Xue-feng, Ni Li-jie 2014, 22 (6):  141-148.  Abstract ( 1358 )   PDF (865KB) ( 1433 )   Save Different parameter space is discussed under the influence of the control variable chosen by the mechanism designer. The space would be different constraint to each agent and different mechanism has its implementation condition based on Bayesian equilibrium. The sufficient and necessary condition of dual equivalent mechanism is presented. As an application of this study, the efficiency and welfare of China's land auction mechanisms are compared under truth-telling implementation. The result shows that choosing limited housing price auction or limited land price auction was dual equivalent when the government revenue is maximized. The balance between the government revenue and consumer surplus depends on the comparison between the efficiency of the market mechanism and non-market mechanism. There is a tradeoff between the profit of developer and consumer surplus, but the social welfare cannot be improved by truth-telling implementation. References | Related Articles | Metrics