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Table of Content

    30 June 2009, Volume 17 Issue 3 Previous Issue    Next Issue
    Analysis of Sub-Prime Loan Crisis Contagion Based on Change Point Testing Method of Copula
    YE Wu-yi, MIAO Bai-qi
    2009, 17 (3):  1-7. 
    Abstract ( 2774 )   PDF (857KB) ( 2220 )   Save
    The analysis of financial contagion is always an important problem in international finance field. When testing the existence of financial contagion,the dependence method is usually adopted.However,all those methods can only reflect partial relation among contagious countries,and can not give the contagious degree. In this paper,the existence of contagion is verified by Archimedean Copula change point testing method,by which the dependent character can be described more generally,and the tail dependence is considered as the representation of the contagious degree. At last,an empirical analysis of financial contagion of sub-prime Loan Crisis between indexes of five main countries (or regions) and S &P500 index is presented.
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    Research on Change-Points in Shanghai Composite Index Based on Bayesian Inference
    WANG Wei-guo, WANG Xia
    2009, 17 (3):  8-17. 
    Abstract ( 2275 )   PDF (1668KB) ( 2293 )   Save
    Subjected to a variety of outside factors,change-point appears easily due to the imperfect legal system and market mechanism as well as psychologically immature investors and other reasons in the stock market of China. This paper determineds the locations of changepoints by introducing the method which is based on the theory of Bayesian inference,constructing a likelihood function,while using prior information and sample information,as well as adopting Gibbs sampling. In addition,Which considers the problem for the number of change-points as a problem of selection for the model,is determined by utilizing the posterior odds. After the introduction of the method,determined the number and locations of change-points in the sequence of Shanghai Composite Index. It was found in the study that,from January 1993 to May 2008,Shanghai Composite Index had four change-points as follows:about December 1994,January 2000 (or July 2001),April 2006 and November 2007.
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    Levy Tempered Stable Distributions for Financial Assets Return and Its Method of Estimation by Characteristic Function Based on GMM with a Continuum of Moment Conditions
    LIU Zhi-dong, CHEN Xiao-jing
    2009, 17 (3):  18-26. 
    Abstract ( 2661 )   PDF (1203KB) ( 1955 )   Save
    This paper introduces a type of Levy tempered stable distributions for financial assets return,and some properties of those distributions along with the advatages in applying them to finance assets prices process modeling will be discussed. Direct maximum likelihood estimation is usually impossible for most of continuous-time models in finance except some special cases since it is hard for these models to have analytical form for probility density function. Because characteristic function is equivalent to probility density function,estimation conducted by characteristic function based on GMM with a continuum of moment conditions(CF-CGMM) is developed in this paper. According to the data of HANG SENG INDEX,SSE Composite Index and S &P500 Index,emperical research on these Levy tempered stable distributions are done with the estimations by the CF-CGMM methods,and then statistics measuring and goodness of fit for the models are completed. Moreover the paper also gives some realistic interpretations about the price process of HANG SENG INDEX、SSE Composite Index and S &P500 Index based on the different parameters in Levy tempered stable distribution and emperical results.
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    The Premium of Stochastic Compound Risk
    MAO Ze-chun
    2009, 17 (3):  27-33. 
    Abstract ( 2406 )   PDF (723KB) ( 1711 )   Save
    Stochastic compound risk has been applied widely in insurance claim theory,finance,economics and management. Mathematically,a stochastic compound risk can be expressed by a random sum. Risk premium is a very important concept in insurance economics and finance economics. It depends on the severity of risk and on the agency's risk attitude defined by utility function. In this paper,the premium of introducing stochastic compound risk has been studied on the expectation utility theory. The premium induced by compound numbers randomicity is measured. Moreover,introduing stochastic Poisson compound and stochastic Poisson-Geometric compound under some special utility functions,the premium has been analyzed and calculated.
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    Stochastic Innovation Power Options Pricing Based on the Measure Transformation Methods
    ZHAO Wei, HE Jian-min
    2009, 17 (3):  34-39. 
    Abstract ( 2264 )   PDF (796KB) ( 1537 )   Save
    Stochastic Innovation Power Options are popular to investors for their simple structure and controllable risk. Faced to the difficulty of stochastic options,a new method named measure thansform is used to solve the pricing models of stochastic innovation power options. Inspired by the essence of martingale pricing,the equivalent measure is gotten by the extending numeraire,and the measure transformation equation with general payment functions is derived under the stochastic rate.Then by choosing long-term bond as the numeraire and considering the correlation between bond price and stock price,the pricing models of stochastic power options can be given conveniently. By the numerical simulation analysis on the risk characteristics of our model,the advantages of the power options can be showed The issuers and investors of financial derivaties can learn more from our conclusions.
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    Markov-Regime Switching and Stochastic Volatility Model of Short-Term Interest Rate in China
    WU Ji-lin, TAO Wang-sheng
    2009, 17 (3):  40-46. 
    Abstract ( 2433 )   PDF (781KB) ( 1226 )   Save
    In view of nonlinearity,policy impacts,big volatility and possible structural changes in Chinese short rate,this paper extends the Markov-regime switching and stochastic volatility model proposed by Smith (2002) and introduces nonlinearity to drift and markov switches to all coefficients in stochastic volatility equation. Using Chinese 7-day interbank offered rate data,we find there exists obvious nonlinearity,regime switching and level volatility effects in the rate,and obvious volatility persistence reduction after taking the regime switching into account. Additionally,high-regime probabilities imply high volatility and high inflation rate,low-regime probabilities imply low volatility and low inflation rate.
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    Asymmetric Effects of China’s Monetary Policy:Evidence from a Nonlinear VAR Model
    LIU Jin-quan, SUI Jian-li, LI Nan
    2009, 17 (3):  47-55. 
    Abstract ( 2793 )   PDF (1534KB) ( 2293 )   Save
    Based on the China's data from 1990:0l to 2008:12. This paper investigates whether there are asymmetric effects of monetary policy in China's economy. We use logistic smooth transition vector autoregression (LSTVAR) model to focus on the nonlinearity of the whole system varying over the transition variables. The results of estimation and generalized impulse response function imply that the effects of out-put and inflation vary with the sign of monetary shocks,the size of monetary shocks,and the phase of the business cycle. Furthermore,the relationship between the aggregate supply and the aggregate demand is nonlinear and the aggregate supply curve is convex.
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    Multi-Systematic Risk Factors CreditRisk+Model Based on Sector Character
    PENG Jian-gang, LÜ Zhi-hua
    2009, 17 (3):  56-64. 
    Abstract ( 2748 )   PDF (856KB) ( 1185 )   Save
    We proposed the multi-systematic risk factors CreditRisk+model based on sector character.The assumption of independence between different sector risk factors is a drawback of the original Credit-Risk+model.The amended model such as the single factor model,the compound gamma CreditRisk+model and the two stage CreditRisk+model still have their own problems. In this paper,we introduced multi-systematic risk factors,and denoted the shape parameter of sector risk factor. by a product of linear combination of systematic risk factors and a parameter that reflects and inner character of sector risk factor,that is a expansion to the CreditRisk+model. The developed model overcame the problem that inner character of sector risk factor is neglected in the two stage CreditRisk+mo del,and derived compatible combination of two-fold systematic and sector risk factors. The new CreditRisk+model can adopt general covariance matrix of sector risk factors into the framework of the model,thus overcame the drawback that covariances between different sector risk factors are required to be equal in the compound gamma CreditRisk+model.We proved in this paper that all those original Credit Risk+model,compound gamma CreditRisk+model and two stage CreditRisk+model are just extreme situations of the new model,and in those extreme situations the covariance matrix of sector risk factors can not be adopted into those models properly,thus will influence the accuracy for calculating unexpected loss.
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    Price Competition and Equilibrium Analysis in Supply Chain with Double Hybrid Distribution Channels
    GUO Chun-rong, CHEN Gong-yu
    2009, 17 (3):  65-71. 
    Abstract ( 2729 )   PDF (771KB) ( 1422 )   Save
    The distribution channel decision is the determinant of the most profitable ways to reach the market.Therefore the distribution channel has always been a hotly contested spot for trade companies. With fast development of network information technology the scramble for distribution channel has escalated into virtual distribution channel.Concerning the structure of double hybrid distribution channels in which manufacture and retailer have brick and click distribution channels simultaneously,game models are set up to study the price competition policy between manufacture and retailer based on decentralized and centralized control policies. Finally by numerical experiments,we analyze the variation tendency of equilibrium price,sales volume and profit at different conditions and reach enlightening conclusions.
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    Study on the Pricing and Coordinating Mechanism with Incomplete Information in Remanufacturing Reverse Supply Chain
    LI Feng, SUN Hao, DA Qing-li
    2009, 17 (3):  72-80. 
    Abstract ( 2224 )   PDF (462KB) ( 1192 )   Save
    This paper discusses pricing strategies of aremanufacturing reverse supply chain consistod of one manufacturer and two retailers with random collection quantity. Feasible solutions and strategy sets are obtained under Stackelberg game and cooperative game with complete information; Then two optimal pricing contracts are achieved by signal screening method and incentive compatibility constraints with incomplete information. The research shows that the contract could avoid adverse selection effectively and make the market stable. Both the manufacturer and the retailers can earn more profits under the contracts. The manufacturer can control collection quantity by observing retailers. performance and punish the retailer who fails to finish the collection task. The retailer with higher-cost prefers to reduce the cost and gain more profit.
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    Optimal Production Policy with Emission Permits and Trading
    DU Shao-fu, DONG Jun-feng, LIANG Liang, ZHANG Jing-jiang
    2009, 17 (3):  81-86. 
    Abstract ( 2504 )   PDF (352KB) ( 1126 )   Save
    The paper focuses on the impact of emission perm its and trading on the production policy for emission dependent firms.The firm might obtain emission permits in three different ways,i.e.government quota,market trade and purifying,and making atradeoff between them.The characteristic of purifying cost is analyzed,based on it the cases of deterministic and variable purifying levels are investigated respectively.Then,an optimal production model with emission permits and trading is established.Additionally, a sufficient and necessary condition that the firm would prefer purification to trading is proposed,i.e.the so called purifying domain is nonempty.Moreover,the existence and uniqueness of the optimal policy is guaranteed.Finally,a typical numerical example is employed to show the application of the model.
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    A Study on Risk-based Vehicle Scheduling Problem under the Cost Constraints and Allowing for Waiting
    MENG Qing-chun, ZHANG Jiang-hua
    2009, 17 (3):  87-92. 
    Abstract ( 2256 )   PDF (654KB) ( 1514 )   Save
    This paper studies the vehicle scheduling problem of minimization of the transportation risks varied with time,taking into account the case of the cost constraints and allowing for waiting at the nodes of the network. That is, an integrated risk-based path-selection problem together with the determination of the departure and waiting time each node on the selected path in the time-dependent networks. After a mixed integer programming model is proposed,a novel algorithm is given. The computational complexity of the algorithm is also analyzed. Finally,a numerical example is presented to show the effectiveness and feasibility of this algorithm.
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    Hazardous Materials Transportation Path Problem in Stochastic, Time-varying Network with Constrain of Time Windows
    WEI Hang
    2009, 17 (3):  93-100. 
    Abstract ( 2387 )   PDF (1015KB) ( 1151 )   Save
    The paper discussed hazardous materials transportation in stochastic time-varying with soft and hard time windows(HTSTTW).Firstly we defined a sector to describe the time-varying and stochastic character for a feasible path and then developed the models for HTSTTW. Because of the multi-objective function in the model,the definition of efficient path in time-varying and stochastic network was given. In order to develop the algorithm,the dynamic and multi-dimension label was defined. Then,the algorithm for selecting for HTSTTW based on the label was developed. The complexity of the algorithm was discussed. By this algorithm,the non-dominated paths in the hazardous materials transportation were provided. Then,series of property were proved. At last,a case was studied.
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    Competitive Analysis for the Online Multistage Leasing Problem
    WANG Yang, DONG Yu-cheng, XU Yin-feng, XU Wei-jun
    2009, 17 (3):  101-106. 
    Abstract ( 2183 )   PDF (512KB) ( 1150 )   Save
    Based on the single stage leasing problem,we present the multistage leasing problem (MLP) in the paper. The techniques to solve the off-line MLP are firstly discussed,and then the equal interval leasing strategy(EILS) for the on-line MLP is also proposed We prove that the EILS is the unique optimum leasing strategy for MLP. Moreover,we analyze some desired properties for risk leasing strategy,which can be used as a base to construct risk-reward model for the MLP. The results in this paper are helpful for enriching the researches on the online leasing problem.
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    Social Groups Multi-Dimensional Deprivation Model and Its Application
    FU Yun, Niu Wen-yuan
    2009, 17 (3):  107-114. 
    Abstract ( 2271 )   PDF (917KB) ( 1724 )   Save
    The study on relative deprivation has an important theoretical and practical significance for building a harmonious society. Firstly,this paper reviews the social individual single dimensional deprivation model(SISDM),the social individual multi-dimensional deprivation model(SIMDM) and the social group single dimensional deprivation model (SGSDM),which are the three main models in the field of social deprivation. And then,on the basis of SIMDM and SGSDM,this paper establishes the social group multidimensio nal dep rivation model(SGMDM)which considers horizontal deprivation and vertical deprivation comprehensively. Finally,empirical results indicate that the new model can roundly and objectively reflect the actual situation of social groups and provide objective deision basis for building harmonious society.
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    The Impacts of Small Worlds On Innovation
    CHEN Zi-Feng, GUAN Jian-Cheng
    2009, 17 (3):  115-120. 
    Abstract ( 2352 )   PDF (672KB) ( 1755 )   Save
    Small-world networks have been widely recognized to promote creativity and improve performance theoretically. Yet empirical studies and evidence of their benefits remain scarce. We construct patent collaborate networks for nine innovative countries to find their small-world features. We use negative binomial models to study the impact of small-world on innovation output. The empirical results show that both short path length and higher small-world quotient correlate with increased innovation. Finally we discuss the implications of our findings for national and regional industry and innovation policies as well as corporations location.
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    The Effect of Product Modularity on Organization Performance:An Empirical Study in Chinese Context
    CHEN Jian-xun, ZHANG Ting-ting, WU Long-zeng
    2009, 17 (3):  121-130. 
    Abstract ( 2324 )   PDF (1175KB) ( 1460 )   Save
    Abstract:Product modularity has been paid more attention by academic field and corporations in recent years,but how product modularity influence organizational performance is still not clear in theory. Through theoretical induction,we test the hypothesis using Chinese firm data and try to explore the different mechanism of influence from product modularity on organizational performance. The conclusion inferred that product modularity can influence short-term performance directly and through the mediating role of threshold capability and critical capability indirectly. On the other hand,product modularity would increase the level of technological innovation which improved corporate competitive capability and long-term performance. The creative point in the paper is that we integrate the previous model and explore the different mechanism of product modularity on short-term and growth performance. Finally,we talked about the implication for the managerial practice and future research.
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    A New Method of Ascertaining Attribute Weight Based on Rough Sets Conditional Information Entropy
    BAO Xin-zhong, ZHANG Jian-bin, LIU Cheng
    2009, 17 (3):  131-135. 
    Abstract ( 2492 )   PDF (563KB) ( 2269 )   Save
    Attribute weighting is an important approach in management decision and evaluation. The common weighting methods are always relied on the expert's transcendental knowledge. In rough set weighting method,no transcendental knowledge about the disposing data sets is needed,which reflects the objectivity of the data. So this method is more and more applied in management decision,with the shortage that redundant attribute weight could not be ascertained in current studies. Based on the characteristic that the information expression of rough set is more comprehensive than the algebraic expression,attribute importance represented by rough set information entropy is studied deeply in this paper,and a new method of ascertaining attribute weight is put forward based on rough set conditional information entropy,and it's rationality is proved. Finally,a case is used to prove that new weighting method could solve the existing problem and is more applicable and explicable.
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    Study on the Sequence of Weakening Buffer Operators Based on Back Cumulative-Sum Method
    WU Zheng-peng, LIU Si-feng, MI Chuan-min, WANG Jian-ling, CUI Li-zhi
    2009, 17 (3):  136-141. 
    Abstract ( 2241 )   PDF (475KB) ( 1344 )   Save
    Based on the present theories of buffer operators and the back cumulative-sum method,this paper proposed a kind of buffer operators,which all have the universality and practicability. First, proved it to be weakening buffer operator,and at the same time,gave an example to illustrate our theory, which is very useful in qualitative analysis in some extent.
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    Research on Modeling of Sponsored Search Auctions and Comparison Between Two Ranking Mechanisms
    JIANG Hui, WANG Huan-chen, GUAN Shu-yong
    2009, 17 (3):  142-149. 
    Abstract ( 2419 )   PDF (855KB) ( 1975 )   Save
    Based on the latest research on sponsored search auctions by the methodology of static games theory,this article builds a common model of sponsored search auctions by concluding on the value function of advertisers and settling the auctions rules as well.After stating the Nash equilibrium condition,the envy-free equilibrium condition and the relations between the two,it proves that while ranking by income better off than ranking by bids in terms of equilibrium,it does not necessarily bring an increase to the search engines. An arithmetic example is given in the end.
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    Study on the Financing Structure of Listed Companies Based on Enterprise Life Cycle
    CAO Yu, CHEN Xiao-hong, WAN Guang-yu
    2009, 17 (3):  150-158. 
    Abstract ( 2424 )   PDF (1340KB) ( 2882 )   Save
    This article takes the data of 354 listed companies in China from 2002 to 2007 as sample,and uses the classification of industry by growth rate in industry economics for reference to define the life cycle stage of listed companies,and then through the statistical analysis and econometric model studyies the differences of financing structure of listed companies in different stages of the life cycle and the factors which cause the differences. Research result shows that the financing structure of listed companies is significantly different among different stages of enterprises' life cycle. The long term debt ratio is higher in the growing stages,and the short term debt ratio is higher in the maturity stage comparing with the growing and recession stages,but has a smaller difference with the growing stage. Through further discussion we find that in the perspective of the companies themselves,the long term debt ratio is closely related to the secured-assets and the short-term debt ratio is closely related to its performance,growth,size and internal governance.
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    The Game Analysis on Financing Guarantee Contract with Debt Exceeding
    SUN Yan, GUO Ju-e, WANG Le
    2009, 17 (3):  159-165. 
    Abstract ( 2266 )   PDF (974KB) ( 1326 )   Save
    Debt exceeding refers that the guarantor obtains the credit claim from the guaranteed party when the guarantor pays off the debt at the maturity in the default of the borrower. The paper analyzes the three stages of the loan guarantee financing contract under the debt exceeding including the signature of the contract,the maturity of guaranteed debt and the maturity of exceeding debt,and analyzes the necessary conditions for the successful debt exceeding. The paper gives out the Nash game equilibrium of the guarantee contract at the signing moment. At the same time,the paper gives the profound analysis of the sub-game equilibrium in the debt exceeding stage. The results show that the guarantee premium has a positive and negative relation with the risk of project and the liquidity of the project respectively,the guarantee proportion has a negative relation with the investment cost,these can be some scientific ground for the guarantee practice.
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    Research of Optimal R&D Subsidy Strategic with Product Differentiation
    FANG Hai-yan, DA Qing-li
    2009, 17 (3):  166-172. 
    Abstract ( 2293 )   PDF (644KB) ( 1298 )   Save
    This paper constructs a three-stage game model of duopoly firms with product differentiation. The government chooses the R &D subsidy rate at the first stage,firm determines its R &D expenditure at the second stage,and firm sets its price under Bertrand competition at the third stage. According to whether the duopoly cooperates in R &D and price stage,this paper gives the government's optimal R &D subsidy rate under five different cases which are competition R &D,cartel R &D,joint lab,technology sharing cartel and research joint venture respectively. It is showed that the subsidy rate under noncooperation R &D case is smaller than that under cartel R &D case while the technology spillover and product differentiation are lower;the subsidy rate under noncooperation R &D case is larger than that under cartel R &D case while the technology spillover and product differentiation are higher. After the government gives the optimal R &D subsidy rate,the strategic Joint Lab is the worst and the strategies of Technology Sharing Cartel and Research Joint Venture are the best in the five strategies through the perspectives of technology progress,output of the firms and the total welfare.
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    Research on Restraining Role of Potential Risks in Pursuing Private Benefits of Control——An explanation of paradox of private benefits of control
    RAN Rong, LIU Xing, CHEN Qi-an
    2009, 17 (3):  173-182. 
    Abstract ( 2187 )   PDF (1218KB) ( 1117 )   Save
    Based on information asymmetry,a model of pursuing private benefits of control was presented to study restraining role of potential risks. The main conclusions of the paper are as follows. First,controlling shareholder will choose a level within given interval,namely private benefits tolerance interval to compensate benefits for controlling cost and to maintain the sustainability of the benefits with restriction of potential risks. Second,rational private benefit of control will not only inspire controlling shareholder,but also protect the interests of minority shareholders and corporation value. Third,excessive private benefits of control have the nature of infringement on minority shareholders,which will reduce the benifit of minority shareholders and the value of corporation. Finally,an explanation about paradox of private benefits of control is presented,some conclusions and suggestions based on the theoretical analysis are given.
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    The Ecosystem Evaluation Model Based on Correspondence Analysis and the Empirical Research on 14 Provinces in China
    CHI Guo-tai, SHEN Yi-xia, QIN Xue-zhi
    2009, 17 (3):  183-192. 
    Abstract ( 2277 )   PDF (1291KB) ( 1317 )   Save
    In this paper,we construct the framework of ecosystem comprehensive evaluation index system using Driver-Pressure-State-Impacts-Response (DPSIR) conceptual model. The evaluation model is established using the correspondence analysis method,maximizing deviations methods and grey relational method The contributions of this paper come from four aspects. Fusty,we constructed index system using DPSIR conceptual framework,and bring human demand,economic development and social progress into the system. It is much better than the existing researches which only consider the status of environment and resources or the status of environmental protection and pollution treatment. Second,based on the correspondence analysis,we apply the R and Q factor analysis simultaneously to the provinces and the indicators,using the least dimensions to show most of the information. Third,through the graph of correspondence analysis,we acquired a distinctive ecosystem project. To reach the aim which enhances the level of environment effectively,different provinces should improve different indicators. And we analyze the affinitive indicators is good or bad for each province. Fourth,through adding natural disaster index into the pressure layer of the index system,the paper described the effect of natural disaster on ecosystem. This improved the existing DPSIR model which only considered the effect of human activity on ecosystem.
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