Table of Content

30 April 2009, Volume 17 Issue 2 Previous Issue    Next Issue

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Analysis of ETF’s Arbitrage with High Frequency Data LIU Wei, CHEN Min, LIANG Bin 2009, 17 (2):  1-7.  Abstract ( 4083 )   PDF (694KB) ( 3973 )   Save Most of the recent works on ETF are based on daily data,thus the strategy of instantaneous ar bitrage could not be carefully studied.In this paper,two ETFfunds in Chinese stock market are examined based on high frequency data.We investigate the extent and properties of the premiums and discounts of ETF from their market value.The cost of arbitrage is carefully studied.In the last part of our work,the Autoregressive Conditional Duration (ACD) is used to study the dynamic structure of ETF transactions; we introduce a statistical method to forecast the time cost to realize the arbitrage chance. Related Articles | Metrics

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Loan-Pricing Based on Capital Supervision and Repayment Willingness PENG Hong-feng, YE Yong-gang 2009, 17 (2):  8-14.  Abstract ( 2718 )   PDF (660KB) ( 1164 )   Save How to reasonably determine loan prices under the condition of borrowers moral hazardis a difficult problem for both the theoretical andpractical circles.This paper considers the impact of borrowers re payment willingness on commercial bank loan pricing,integrates repayment willingness into the structural model of credit risk pricing and establishes the commercial bank loan pricing model under capital supervi sion.The results show that the larger the ratio of loans to banks supervision capital is or the higher the bank deposits interest rates are,the higher the loan prices are;the weaker repayment willingness the firms have,the higher the loan prices offered by banks are.Conversely,the stronger repayment willingness the firms have,the lower the loan prices offered by banks are. Related Articles | Metrics

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Empirical Analysis of Impact of Institutional Ownership on Corporate Operating Performance WANG Xue-rong, DONG Wei 2009, 17 (2):  15-20.  Abstract ( 2763 )   PDF (672KB) ( 1546 )   Save With the arriving of all-circulation of Chinese capital market in late 2007,the Chinese corporate governance had experienced change either essentially or formally.The domination of State-held shares of the listed companies had relived and every holder got the real right based on the shares.The various insti tutions such as fund have emerged to the capital market,where had been experienced tremendous revoludon,with the capital from retail andprivate investors.This paper,under the background of post-non-trad able share period,focuses on the relationship between institutional investors whio have the strength and a bility andperformance of firms and empirically examines the efforts of institutional monitoring on corporate governance thus provides the scientific evidence for decision layer and regulation layer. Related Articles | Metrics

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Cross-sectional Research on the Contributions to the Price Discovery Process of the Cross-listings CHEN Xue-sheng, ZHOU Ai-min 2009, 17 (2):  21-28.  Abstract ( 2465 )   PDF (188KB) ( 1719 )   Save Based on the nonlinear co-integration theory,were deduce the information share model proposed by Hasbrouck(1995) again,and capitalize it on measure the information share of A share market and H share market on the price discovery process.And then we analyze the cross-sectional characteristics of the companies.price discovery ability and their influencing factors.Empirical tests show that(1) prices of A share and H share stocks are different from each other,but they are nonlinear or nonlinear co2integrated and mutually adjusting.Averagely,A share market makes more contributions to the price discovery; (2) stocks.contributions to the price discovery among the companies are different;(3) liquidity,stability of market,and the information asymmetries to various extends affect the A and H stocks.contmbutions to the price discovery. Related Articles | Metrics

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Impact of the Substitution Rate of Individual Account Based on Linkage Between Individual Account Pension and Individual Income Tax CHEN Shou, QIU Xiao-yan, LI Shuang-fei 2009, 17 (2):  29-35.  Abstract ( 2229 )   PDF (832KB) ( 1419 )   Save This paper gives the proposal that,considering the poor incoming of pension funds,a part of in dividual income tax can be transferred into individual pension account.That not only can raise pension funds,but also improve peoples enthusiasm to pay personal income tax,which lead to smoothly implemen tation of the reform of government organizations and institutions pension insurance.This paper builds an actuarial model based on the present calculation and issuing approach,then comparative analysis of the transferred and non transferred cases of different wage levels and growth rates,different accumulation rates of funds,different retirement age for individual accounts that affect the level of pension insurance. Related Articles | Metrics

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An Optimal Investment Model for Mineral Resources Based on Real Option Theory ZHU Lei, FAN Ying, WEI Yi-ming 2009, 17 (2):  36-41.  Abstract ( 2261 )   PDF (781KB) ( 2025 )   Save Traditional NPV approach has limitations in evaluating mineral resources investment because of the long cycle,large amount and high uncertainty of mineral investment.This paper applies real option theory to establish an optimal strategy model for mineral resources investment,discusses how to evaluate overseas mineral resources under the uncertainties of mineral prices and exchange-rate.An overseas mineral project has also been taken as an example,to examine the validity of the model.The results show that: Compared to NPV approach,real option approach can better consider the uncertainties effect on mineral resources evaluation,the volatility of exchange-rate has great impact on overseas mineral investment,the quality of mineral resources also affect the value of mineral resources. Related Articles | Metrics

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Analysis of Classification Model of Companies’ Financial Performance Based on Integrated Support Vector Machine JIANG Yan-xia, XU Cheng-xing 2009, 17 (2):  42-51.  Abstract ( 2154 )   PDF (1200KB) ( 1496 )   Save In order to forecast the corporate finance performance,we must choose the appropriate forecast method.The forecast model used widely lacks generalization ability.In this paper,we propose a modified version of support vector machines (called AdaBoost support vector machine) to forecast financial perform ance of Chinese listed companies.In the choice of kernel function of support vector machine,forecast re sults are measured for each kernel function and its associated parameters with a view of identifying the most appropriate forecasting model.The experiment results show that our AdaBoost-support vector ma chine model with rbf kernel function compares favorably to probabilistic neural network and decision tree model.We also construct sub-industry financial performance prediction model for different industry.We find that the test accuracy of different industry varies and estimating separate models for each industry do not result in models with a higher predictive accuracy than the global model. Related Articles | Metrics

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Consumer-Driving Decision of Safety Responsibility of Manufacturer-Retailer Supply Chain MENG Jiong, TANG Xiao-wo, NI De-bing 2009, 17 (2):  52-58.  Abstract ( 2643 )   PDF (888KB) ( 1260 )   Save Starting from one perspective of the corporate social responsibilities-the product safety and its influence on the consumers,applying the basic idea of game theory,the essay studies consumer-driving de cision for safety responsibility of manufacturer-retailer supply chain.The results show that it can heighten consumer's pay desire to g product that gmanufacturer-retailer alliance fulfills safety responsibilities bet ter,thereby achieves higher profit.The situation will incentive gmanufacturer-retailer alliance to fulfill safety responsibilities better further.Consumer will drive gmanufacturer-retailer alliance to fulfill safety responsibilities better with punishing ways if gmanufacturer-retailer alliance fulfills safety responsibilities badly,the punishing ways comefrom consumer's boycott,which will make gmanufacturer-retailer alli ance a loss of profits.The perfect decision of gmanufacturer-retailer alliance is fulfilling safety responsibil ides better on the basis of controlling cost.The study will provide avaluable guidance to the decision of supply chain. Related Articles | Metrics

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Study on Capability Coordination in Logistics Service Supply Chain with Options Contract CUI Ai-ping, LIU Wei 2009, 17 (2):  59-65.  Abstract ( 2627 )   PDF (854KB) ( 1502 )   Save Logistics service supply chain(LSSC) is different from finished goods inventory supply chain,in which supplier-buyer coordination is approached only through logistics capability adjustment and optimization for it is a capability chain.In this paper,a coordination mechanism through option contracts on logistics capability investment and reservation between logistics service integrator (LSI) and logistics service subcontractor (LSS) under Stackelberg game model is developed to increase the parties' expected profit.The effectiveness of coordination mechanism and the proposed mechanism for the allocation of surplus system expected profit is verified through a numerical study.Results show that option contracts designed can coordinate LSSC perfectly and increase the partied expected profit.Furthermore,the negative linear rela tionship exists between option price and option execute price,and the value of option price must be located in a certain scope as the core element of contract parameters under channel coordination. Related Articles | Metrics

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Manufacturer’s Procurement Decision Based on CVaR for Supplier with Default Risk AN Zhi-yu, ZHOU Jing 2009, 17 (2):  66-70.  Abstract ( 2370 )   PDF (698KB) ( 1321 )   Save Considering the suppliers with both default risk and uncertain demand,this paper proposes a model for procurement decision based on the conditional value-at-risk (CVaR) model.The impact on the procurement decision from the supplier's reliability,the manufacturer's parameter of risk,the price and the losing of opportunity is analyzed. Related Articles | Metrics

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A DEA-Based Efficiency-Measuring Model for Two-Stage Production Systems with Constrained Resources BI Gong-bing, LIANG Liang, YANG Feng 2009, 17 (2):  71-75.  Abstract ( 2275 )   PDF (617KB) ( 1320 )   Save The original Data Envelopment Analysis (DEA) models regard the DMUs as black boxes,that is,ignore the internal process for each DMU,which surely overrates the efficiency scores of DMUs.This paper advances a DEA-based efficiency-measuring model for two-stage production systems with constrained resources.The approach considers the internal process and its impact on the total performance.In reality the model is a special network DEA model,but differs from the previous network DEA models.The ap proach is helpful to offer information for managers to determine the inefficient originations and improve ment directions.The demonstration study approves the rationality of our approach. Related Articles | Metrics

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Study on Complex Network Model for Adaptive Supply Chains ZHANG Ji-hui, XU Jun-qin 2009, 17 (2):  76-79.  Abstract ( 2706 )   PDF (682KB) ( 2282 )   Save With the economic globalization,diversity of customer requirement and many uncertain factors,a traditional supply chain must be transformed to an adaptive supply network.Adaptive supply network has gained more and more attentions from both enterprises and academic areas.A primary study of adap tive supply network is given.Learning is emphasized as an important way to implement the transformation from traditional supply chain to adaptive one.A framework for adaptive supply chains is proposed based on complex system theory.Finally,a complex network model for adaptive supply chains is established.Several important statistical characters are given.Simulation results show this model is useful to understand the complex evolution behaviors of complex supply chains. Related Articles | Metrics

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Multi-Objective Order Allocation Model under Fuzzy Weight PAN Wei, WANG Shou-yang, HUA Guo-wei, ZHANG Jin-long 2009, 17 (2):  80-85.  Abstract ( 2720 )   PDF (585KB) ( 1605 )   Save Within a supply chain,purchasing plays a key role in achieving competitiveness.Hence,the right order allocation is a vital component of the strategies.In practice,supplier selection is a multi-objective programming problem with vagueness and imprecision of the input data.In spite of the importance of the problem,the literature on this subject is relatively scarce.In this paper,a fuzzy multi-objective linear model is developed to overcome the vagueness of the information.At the same time,fuzzy weight and sto chastic demand are applied to enable the decision-makers to select the right supplier.The model is illustra ted by a numerical example. Related Articles | Metrics

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Agent-Based Simulation Research on Collaboration Strategy for Dynamic Coalition of Service Providers Based on the Evolution Game JIANG Guo-yin, HU Bin, WANG Huan-huan 2009, 17 (2):  86-92.  Abstract ( 2455 )   PDF (793KB) ( 1311 )   Save Based on the evolution game theory,the multi-agent systems is implemented,the system can be used to supporting collaborative management for dynamic coalition.Extended the traditional symmetric game to the discrete evolution game,which includes collaborative coefficient and punishment parameter,then designed evolution learning rules including historical information and neighbor characters,and applied java to programming the group evolution game agent simulation system based on Repast.Simulation analyt ical and numerical results lend insight into how impacts on the profit expectations in the several different size of individuals,different proportion of individual distribution,different communication mode and pun ishment parameters,which contribute some decision support for dynamic alliance under the environment of e-commerce or mobile commerce. Related Articles | Metrics

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A Model of Relational Contract of Farm Produce Supply Chain Based on GNBS & Formal Fixed Price Contract ZHANG Chun-xun, LIU Wei, LAI Jing-sheng 2009, 17 (2):  93-101.  Abstract ( 2338 )   PDF (1086KB) ( 1422 )   Save By introducing the GNBS&formal fixed price contract into the two-stage farm produce supply chain relational contract,the paper analysed the roles of NBS&formal price contract(as the way to deal with disputation) in inspiring the farmer's relational specific investment,and the formal price contract's roles under relational specific investment's different impacts on the product value on external markets.The results show that,when GNBS as a way of solution to the disputation,the self-enforcement condition of relational contract relates to the value of product,the specificity of the product and the share of the residual of farmer;the formal fixed price contract is contributive to the self-enforcement of relational contract under specifically condition. Related Articles | Metrics

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The GERT Network Model Study of Disaster Evolution Based on Bayes Inference FANG Zhi-geng, YANG Bao-hua, LU Zhi-peng, LIU Si-feng, CHEN Ye, CHEN Wei, YAO Guo-zhang 2009, 17 (2):  102-107.  Abstract ( 3100 )   PDF (1205KB) ( 1494 )   Save The interaction between disasters,derived disasters and secondary disasters may make the disas ter situation worse and hard to control.Rush emergency,risk avoiding and controlling for the process of disaster rescue,as countermeasures to the disaster,should play their role in turning the damage caused by the disaster as low as possible.The paper focuses on describing the dynamic evolutionary process,before establishing a GERT(Graph Evaluation and Review Technique) network model,taking the natural evolu tion of disaster and the action of emergency rescue into consideration,based on the Bayes reasoning.After that,by means of combining of GERT network methods and Bayes reasoning tools,according to the receiv,d new information,the paper makes dynamic modification to active parameters in GERT network,and measures like dynamic prediction,earlyvarning and evaluation have been taken against different probalili ties and time of revolution in different situation.In the end,the paper gives qualitative and quantitative a nalysis to the influence to systematic revolution caus,d by external actions,like deriv,d disaster and see ondary disasters.In award,this paper provides the framework and tools for the disaster evolution in the way of qualitative and quantitative analysis,which reveals the mechanism of disaster evolution,at the same time,it offers a new method and idea for the forecasting,early warning and evaluation of the disaster evolutionary tendency. Related Articles | Metrics

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Pricing and Compensation on Heterogeneous Sales Forces for Multi-Products under Asymmetric Information XU Hong-yan, HUANG He 2009, 17 (2):  108-116.  Abstract ( 2142 )   PDF (290KB) ( 965 )   Save In this paper,we investigate the pricing decision and the compensation strategy of a manufactur er with heterogeneous sales force.The manufacturer hires the sales-agent to sell multi2products.The sales-agent usually has better information of his selling ability than the manufacturer does and he will dis tribute his efforts according to the products.compensation contracts,while the selling ability and effort distribution will both influence the demand.As there is asymmetric information before the manufacturer offers the contracts,the manufacturer has to pay extra cost to get the sales-agent's private information a bout selling ability.And by applying principle-agent theory,we find that the manufacturer can control the agent's effort distribution through setting the optimal prices. Related Articles | Metrics

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Fuzzy Super-Efficiency DEA Model WANG Mei-qiang, LIANG Liang, LI Yong-jun 2009, 17 (2):  117-124.  Abstract ( 2495 )   PDF (824KB) ( 1808 )   Save In the fuzzy DEA model whose inputs and outputs are fuzzy and efficiency score is precise,all DMUs could not be ranked when the number of efficient units is no less than two.To that end,we devel op a fuzzy super-efficiency DEA model by using a ranking method based on the comparison of α-cuts,our approach can be seen as an extension of the super-efficiency DEA model that can fully rank fuzzy DMUs.In the end,an empirical example is illustrated. Related Articles | Metrics

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Validity Analysis of Several Kinds of Combination Evaluation Methods GUO Ya-jun, MA Zan-fu, ZHANG Fa-ming 2009, 17 (2):  125-130.  Abstract ( 2845 )   PDF (209KB) ( 1381 )   Save Although it is an etfctive method for combination evaluation to solve the inconsistency from dif ferent evaluation conlcusions,different results will still be caused汕en adopting different combination evaluation methods,and this is a new inconsistency.On the basis of introducing the definition of validity and four assumptions,the paper shows an idea comparing different combination evaluation methods.validity through an example,and provides a way to solve the new inconsistency mentioned above. Related Articles | Metrics

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Evaluation and Comparative Analysis on Regional Technology Innovation Capability Based on Consistency Combination Evaluation LI Mei-juan, CHEN Guo-hong, XIAO Xi-feng 2009, 17 (2):  131-139.  Abstract ( 2419 )   PDF (779KB) ( 1621 )   Save We carry out overall evaluation and sub-item evaluation to 31 regions in China,covering a time period of 2005-2007,by using regional technology innovation capability evaluation indicator system and combination evaluation method based out consistency to get objective and scientific evaluation conclusions.We carry on comparative analysis in order to know the advantages and disadvantages of each region. Related Articles | Metrics

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A Study of Civil Aviation Customer Loyalty Based on PLS-SEM LING Yuan-chen, CAO Li, BAI Jing 2009, 17 (2):  140-145.  Abstract ( 2362 )   PDF (813KB) ( 2088 )   Save Keeping the old customer is so important for the civil aviation corporation development that all corporations pay a lot of attention.The influencing factors of customer loyalty can help to improve the civil aviation corporation service level.Based on Partial Least Square-Structural Equation Model(PLS-SEM),the paper proposes a Civil Aviation Customer Loyalty Model (CACLM).The influence on customer loyal ty of different variables iss analyzed through loyalty indexes by the practical collecting data.It provided a way to test customer loyalty efficiently so that the service level could be improved.The research results shows that safety,corporation image andperceived quality are the first three factors affecting the customer loyalty. Related Articles | Metrics

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Study on Job Evaluation Based on Structural Equation Model GU Xiao-yan 2009, 17 (2):  146-151.  Abstract ( 2587 )   PDF (717KB) ( 1936 )   Save Job evaluation is the foundation of salary design.The factor-point method is the most common approach usedfor job evaluation.The main difficulty of this method is the objectivity of index weight.Mo reo ver,some evaluation elements are not directly measured.In this paper,the weights of evaluation ele menu are determined on the basis of structural equation model.First of all,the structural equation model of job evaluation is set up,and the relationship among the latent variables is measured by the measurement variables.Secondly,in order to enable the results of job evaluation external equity,the idea of benchmarking is used and the original industry data are acquired through the benchmarking method.Finally,through calculating the structural equation model,the path coefficient of every variable is obtained.Then,the weights of evaluation elements are decided.In the paper,the job evaluation method avoids the uncertainty brought by direct expert estimation,and reduces the subjectivity of evaluation.Therefore,the result of job evaluation is more accurate,reasonable and credible. Related Articles | Metrics

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Study on Risk Alert of Enterprise Industry Transition Strategy Based on Cloud Model Association Rules WANG De-lu, SONG Xue-feng 2009, 17 (2):  152-159.  Abstract ( 2059 )   PDF (869KB) ( 1083 )   Save According to data characteristics of the evaluation index,the quantitative association rules mining algorithm is improved and applied to the risk alert of enterprise industry transition strategy based on cloud model.Firstly,evaluation variables are reduced through cloud model.And then,in order to transform quantitative association rules to qualitative ones,the definition fields of quantitative attributes are divided with an attributes space partition method,and the stencil-plate is extracted Lastly,the association rules are mining to identify strategy risk using Apriori algorithm with rule restrictions.Positive analysis results show that in comparison with BP neural network the model is an efficient and practical risk alert tool. Related Articles | Metrics

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A Study of the Evolution Route of Supervising Safety in SME Production MEI Qiang, MA Guo-jian, DU Jian-guo, LIU Zhong-cai 2009, 17 (2):  160-168.  Abstract ( 2526 )   PDF (1298KB) ( 1257 )   Save To find out the evolution principle of control SME production safety,this article constructed a payment matrix between SME and production safety control agency by the methods of evolutionary economics.Authors disclosed the effect of individuals’choice of policy on group behavior based on analyzing evolution model of interacting process.This paper showed the influence of diversity of decision-making parameters and variation of initial condition on evolution result through reliable numerical simulation.This research found that the evolution of SME' production safety control system converges in two patterns:anideal status and a "locked" status.Through adjusting parameters,the system may jump out of the "locked" status and the supervision of route can be optimized Results implied that SME' production safety control system based on evolutionary economics facilitates to improve the effect of control and guide the microcosmic individual evolving to the expectative direction. Related Articles | Metrics

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An Algorithm to Choose Reduction of Attributes of Variable Precision Dominance Rough Sets LUO Gong-zhi, YANG Xiao-jiang 2009, 17 (2):  169-175.  Abstract ( 2387 )   PDF (336KB) ( 946 )   Save The disadvantages of the current conditional information entropy are analyzed when conditional information entropy is used to measure reduction of attributes.Variable precision rough sets theory is used as a basis for proposing a new cxndition information,with another parameter chosen.Finally,a new algo rithm is designed based on new conditional information entropy to choose reduction of attributes of arialble precision dominance rough.Theoretical analysis and experimental results show the eff,ctiveness of the algorithm proposed. Related Articles | Metrics

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Tendency of Legislature,Investor Litigation and Improvement of Corporate Governance YU Jin-song, CHEN Qi-an 2009, 17 (2):  176-184.  Abstract ( 2390 )   PDF (967KB) ( 1006 )   Save Improvement of corporate governance is the effective way to improve the quality of the listed companies and promote the stock market to develop healthily.On the basis of expanding the LLSV basic model,this paper sets up an appropriate game theory model to analyse the effects of the tendency of legis lature of Securities Law and investor litigation on the improvement of corporate governance research think ing of LLSV model,and makes impirical test of hypothesizes drawing from the theoretical model by using relevant data samples from 75 countries and regions.The following two major findings are obtained:First1y,the tendency of legislature of Securities Law should be focused on the investor suit rights,while the mandating disclosure and directors' liability don't have significant influence on the corporate governance.Seco ndly,among those law enforcement factors,the impartiality of courts are most important to the improvement of corporate governance,the duration of a lawsuit also has positive effect,but that effect is very weak.while the direct cost in a lawsuit does not matter. Related Articles | Metrics

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Research Progress on Supply Chain Management Based on the Funding of National Natural Science Foundation of China LIU Zuo-yi 2009, 17 (2):  185-192.  Abstract ( 2834 )   PDF (793KB) ( 1910 )   Save Based on statistically analyzing the recent projects which focus on supply chain management (SCM),funded by the Division of Management Science,NSFC,this paper provides a comprehensive analysis of research progress in this hot field and its application.Five hotresearch subjects are specially intro duced,and some research characteristics of SCM in China are concluded in the end of this paper. Related Articles | Metrics