Table of Content

28 April 2005, Volume 13 Issue 2 Previous Issue    Next Issue

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Tests for the Bounced Effects in the Stages of Soft Expanding of China’s Economy LIU Jin-quan, LIU Zhi-gang 2005, (2):  1-7.  Abstract ( 2073 )   PDF (2374KB) ( 1351 )   Save After the realization of soft landing,China’s economic growth is very stable and always keeps accumulating the energy for bouncing up.In 2003,the growth rapidly climbed to 9.1%,and this means the beginning of new business cycle with the characteristics of soft expanding.We used the Markov regime switching model to describe the dynamics of the stage of soft expanding,and found the evidences supporting the existence of bouncing effects in current situations.At the same time,we measured the duration of bounced effects and the asymmetry in the business cycle.The implications of tests are that we should still keep the procyclical policy and ensure the complete realizations of bounced effects.This is very helpful to the stage of soft expanding to be formed,solidified and finished. References | Related Articles | Metrics

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Portfolio Analysis with An Asymmetric Risk Measure HU Zhi-jun, HUANG Deng-shi 2005, (2):  8-14.  Abstract ( 1984 )   PDF (1998KB) ( 1761 )   Save Based on Jia & Dyer’s risk-value framework,this paper proposes an asymmetric risk measure model.The measure of risk is a weighted sum of below-target deviations and above-target deviations,where downside risk is supplemented with the "upper partial moment",we also setup the quadratic programming portfolio optimization model with this new measure;Consistency of the proposed optimal portfolio model with the third degree stochastic dominance is proved and finally an empirical study using data from Shanghai stock market is given in order to describe its application. References | Related Articles | Metrics

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A New Method for Stock Investment Value Analysis Based on the Attibute Synthetic Evaluation System and Vague Sets HAO Yi, ZHANG Qiang 2005, (2):  15-21.  Abstract ( 2003 )   PDF (2287KB) ( 1854 )   Save In this paper,based on the concepts such as vague sets and attribute measurement,stock investment value analysis is studied with attribute synthetic evaluation system.The approach has achieved quite successful application to the practical problem of forecasting of stock price trend. References | Related Articles | Metrics

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Empirical Study on Volatility Timing Ability of China’s Investment Funds MA Chao-qun, FU An-li, YANG Xiao-guang 2005, (2):  22-28.  Abstract ( 2023 )   PDF (2311KB) ( 2857 )   Save Timing ability is an important index to evaluate an investment fund’s performance.In this paper,we introduce the return timing factor into Busse’s volatility timing model,and employ the model to investigate China’s investment funds.Our empirical results shows that,not only China’s investment funds have significant volatility timing abilities,in particular for the open-end funds,but also the modified models are superior to classical models. References | Related Articles | Metrics

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A Study on Spilover Effect between Ordinary and ADRs of Chinese Mainland Companies LOU Ying-jun 2005, (2):  29-34.  Abstract ( 2150 )   PDF (2308KB) ( 1621 )   Save The purpose of this article is to analyze the spillover effect on stock return volatility between Original Shares and ADR of 20 Chinese listed companies,so as to know the interaction between Chinese mainland capital market,Hong Kong capital market and American capital market.Imposing GARCH(1,1)-MA(1) model,the results show that H Shares have limited significant bidirectional influence but B Shares have obvious single directional influence in spillover effects on stock return volatility with ADR.We think that possible reasons are the different in markets structure,the exchange rate between dollar and HK dollar and insufficient of market openness. References | Related Articles | Metrics

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A Method of Clustering Analysis Based on Consensus of Group Judgment JIANG Wen-qi, HUA Zhong-sheng 2005, (2):  35-39.  Abstract ( 2000 )   PDF (1519KB) ( 1407 )   Save For a group decision problem in production planning which regards production quantity as a triangle fuzzy number,a consensus measure is proposed based on products’ priorities and decision makers’ important weights.When the group judgment doesn’t reach consensus on a production planning,it is suggested that decision-makers to be clustered according to the consensus measure for the convenience of aggreating the group’s decision,the aggregation approach for each cluster of decision-maker is also described.At last,an example is given to illustrate the process of our approach. References | Related Articles | Metrics

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Extension of Super-efficiency Data Envelopment Analysis to Interval Case GUO Jun-peng, WU Yu-hua 2005, (2):  40-43.  Abstract ( 2204 )   PDF (1760KB) ( 2367 )   Save When the input and output data of the modified DEA-SE-DEA[1] are interval numbers,the SE-DEA model was extended to interval SE-DEA.An order relation between interval numbers which can express the decision-maker’s satisfaction degree was defined.Based on this definition the inequality constraints of interval SE-DEA can be transformed into exact constraints at a certain satisfaction degree.Another meaning of the satisfaction degree was also studied,viz.the preference to the DMUs except the DMU being evaluated.Based on those anlysis the equality constraints and objective function of interval SE-DEA can be transformed into exact ones.As a result,the interval SE-DEA was transformed into an exact SE-DEA at a certain satisfaction degree of the decision-maker and we could gain its solution.And the method was applied in efficiency forecasting on four research institues of Tianjin. References | Related Articles | Metrics

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The Application of Structural Equation Model with Latent Variables in the Emergency Management YAO Jie, CHI Hong, JI Lei 2005, (2):  44-50.  Abstract ( 2192 )   PDF (1971KB) ( 2427 )   Save How to associate certain emergency with certain unit is a key problem in the emergency management;through the structural equation model with latent variables,we can establish quantitative relationship between emergency and unit,and lay foundation for further evaluation and the decision of setting up criteria to units. References | Related Articles | Metrics

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Single Machine Scheduling with Precedence Constraints and Processing Time Dependent on Starting Time WANG Ji-Bo 2005, (2):  51-55.  Abstract ( 2175 )   PDF (2112KB) ( 1371 )   Save This paper deals with the total weighted completion time single machine scheduling with constraints of series-parallel digraph and processing time dependent on starting time.We apply Lawler’s algorithm which is used to solve the total weighted completion time single machine with constraints of series-parallel digraph to our problem by proving the following theorem.Under the condition that job processing time being a linear function of the starting time,jobs in the ρ-maximal initial set I of module M should be processed prior to other jobs in module M,and the schedule is the optimal if the jobs in set I aren’t be preempted by the jobs in N/I. References | Related Articles | Metrics

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Leadtime-Contingent Pricing under Response Time Uncertainty YANG Wen-sheng, LI Li 2005, (2):  56-62.  Abstract ( 2127 )   PDF (2032KB) ( 2039 )   Save As information asymmetry and many random factors exist in the process of production and delivery in supply chain,the order responding time is uncertain frequently and deliveries are often delayed.Therefore,it is important for supply chain how to signal responding capacity through leadtime-contingent pricing policy.At first,this paper builds a model of quality-contingent pricing under price-sensitive demand and analyzes the existence of the optimal solution.Through numerical example,the paper studies the optimal price strategies that supply chain can use when market has different estimated probabilities of responding capacity,and then discusses the impact of parameters in the model on optimal decision.These results are helpful to the decision-making of leadtime-contingent pricing for supply chain in competition. References | Related Articles | Metrics

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Vertical Cooperative Advertising Model under Retailers’ Competition WANG Lei, LIANG Liang, WU De-sheng, XIONG Li 2005, (2):  63-69.  Abstract ( 1949 )   PDF (2250KB) ( 1620 )   Save The previous research of the cooperative advertising question mainly concentrates on the situation of single manufacturer and single retailer.This paper expands studying to the situations of single manufacturers and multiple competitive retailers.The retailer’s commodity demand volume is influenced by competitor’s advertising input as well as by one’s own advertising inputting.In this case,cooperative advertising issue is different from single retailer case.Then under the new situation,how are the retailer’s advertising input tactics?How do manufacturers make the replenishing policy to different retailer?Which factor influence and how influence choice of marketing channel?These questions are the main contents of this paper. References | Related Articles | Metrics

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Research on Sales Funnel Model that Supporting Customer Identification and Retain CAI Shu-qin, YU You-ping, WANG Qing-guo 2005, (2):  70-75.  Abstract ( 2197 )   PDF (864KB) ( 2696 )   Save This paper analyses the problems that exist in current research of identification and retain of customers,proposes the sales funnel model(SFM)that can well consider the dynamic environments and integration of relative functions,brings forward the description of the model and framework of the supporting system.A case study was given and ended with discussion. References | Related Articles | Metrics

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Simulation on the Order Point of an Blood Inventory System GAO Bao-jun, XUAN Hui-yu, ZHANG Li 2005, (2):  76-80.  Abstract ( 2086 )   PDF (981KB) ( 2099 )   Save Blood is a type of deteriorating items.This paper has built a discrete event simulation model for blood inventory system of a big hospital in china.Based on the real-time data,the optimal order point is determined by repetitious computer simulation.The paper will be helpful to the determination and modification of blood inventory systems’ order point,and the management of other inventory systems with deteriorating items. References | Related Articles | Metrics

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A Decision Support Model of Enterprise Based on CBR Technique LU Yun, WU Ying-yu, DA Qing-li 2005, (2):  81-87.  Abstract ( 1939 )   PDF (1224KB) ( 1877 )   Save A model of decision support based on Case-based Reasoning technique is present in this paper,after searching the management index of enterprise in the case storehouse,we can find the most similar source enterprise case with the target enterprise.We can give some helpful advice to the target enterprise by analysis the result of source enterprise.We use a new case retrieval measure-hybrid measure in the model to further the traditional techniques. References | Related Articles | Metrics

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Bullwhip Effect and Inventory Variance Based DE-APIOBPCS Policy LUO Wei, ZHANG Zi-gang, OU YANG Ming-de 2005, (2):  88-94.  Abstract ( 2080 )   PDF (1218KB) ( 1584 )   Save From a control theory perspective,based on a generic replenishment rule that is APIOBPCS policy,the paper derives an analytical expression for bullwhip effect.It clearly shows that bullwhip effect can be reduced by increasing gain of the discrepancy in the inventory position and pipeline position,and by increasing the average age of the forecast and reducing the production lead-time.Then this paper also derives an analytical expression for the variance of inventory position.When this analytical expression is applied together with the bullwhip expression,the balance between both bullwhip effect and inventory variance for a range of weightings is discussed.According to these balances,the production and inventory controllers can design suitable supply chain system. References | Related Articles | Metrics

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Customer Segmentation Based on Integration of Dynamic and Static Attributes YAN Xiang-bin, LI Yi-jun, ZOU peng, LU Tao 2005, (2):  95-100.  Abstract ( 1881 )   PDF (1164KB) ( 1566 )   Save A novel customer segmentation method based on integration of customer’s static and dynamic attributes is developed.A weighted method of customer’s time series is proposed and statistical features of time series are adopted for customer clustering,which make each group of customers have similar sequence feature.A genetic algorithm approach is adopted to improve the clustering quality.Clustering result is combined with the static attributes of customer for further segmentation.Experimental result indicates that compared with traditional segmentation methods,the proposed method improves the accuracy of segmentation. References | Related Articles | Metrics

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An State-space Model Measuring Customer Equity XIE Jia-ping 2005, (2):  101-107.  Abstract ( 1957 )   PDF (1544KB) ( 1484 )   Save On the base of analyzing customer life cycle,the chart describing customer state evolution is set up.With the help of state-space model,state shift probability is introduced in order to reckon up the expectation of current customer value.The expectation of underlying customer value could be worked out after shifting to probability and putting in decisive variables.By this,we can get not only the expectation of customer value in any year but also the customer life-time value(customer equity),which will benefit to quantify the gain and loss of customer estate investment in an enterprise. References | Related Articles | Metrics

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The Disclosure of Information Forecasts and the Earnings Management YANG De-ming 2005, (2):  108-112.  Abstract ( 2060 )   PDF (1231KB) ( 2171 )   Save This study from viewpoint of information disclosure with a model of client-agency investigates the relation between information disclosure and earnings management.Our analysis indicates that information forecasts can decrease the information asymmetry between managers and owners;managers should take on an additional cost for their deliberate forecasting of inaccurate information.So information forecasts of managers can (reduce) the possibility of earnings management.Our empirical analysis proves the view. References | Related Articles | Metrics

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Study of Value at Risk Based on Event Risk ZHANG Li-bing, LIANG Yu, PAN De-hui 2005, (2):  113-117.  Abstract ( 2108 )   PDF (1244KB) ( 1519 )   Save A VaR method based on event risk is investigated in this paper,and empirical study on the index of Shanghai security market is made.In this method, event risk is described by random jumps,and the return series can be described by a jump-GARCH process whose parameters can be estimated by simulated annealing algorithm.By simulation method,the distribution of intending return and the VaR can be obtained simply.The empirical study on index of Shanghai security market shows it’s reasonable and necessary to incorporate event risk to VaR models. References | Related Articles | Metrics

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Research On The Relationship Between Foreign Direct Investment and Technological Progress in the Three Industries XU Chun-qi, ZHOU Jian, XU Wei-xuan 2005, (2):  118-123.  Abstract ( 1956 )   PDF (2280KB) ( 1677 )   Save The utilization of foreign direct investment (FDI) has been a hot issue for both scholars and managers in recent years.The existing literatures focused mainly on the promotive effect of FDI to economic increasing,but little on the quantitative relation between FDI and technological progress.This paper improves firstly the measurement of technological progress.Then systematically studies the correlation between FDI and technological progress.Finally,based on related statistical data given by the State Statistical Bureau,this paper analyzes the degree and characteristics of FDI’s impact on the technological progress in three industries,i.e., primary industry,secondary industry and tertiary industry. References | Related Articles | Metrics

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The Study on Qualitative Simulation of R&D Professional Individual Incentive GONG Xiao-guang, LI Zhi-cheng, HU Bin 2005, (2):  124-129.  Abstract ( 2071 )   PDF (1151KB) ( 1273 )   Save Process knowledge based qualitative simulation method is designed firstly,with the prototype to realize the method constructed.The qualitative simulation model of research and development(R&D)professional individual incentive and the corresponding knowledge database is established,with the corresponding qualitative causality and the knowledge database designed secondly.Finally,the following situations are analyzed through simulation:when the R&D performance matches to the variation of rewards value;when the rewards values fluctuate;and when the R&D professionals’ self-achievement is considered,and it is regarded that to get better effects of incentive,the R&D professionals’ self-achievement demand should be stimulated at the same time of making rewards value match with R&D performance. References | Related Articles | Metrics

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The Application of Relative Performance and Portfolio Idea in Option Pay Design ZHONG Mei-rui, HUANG Jian-bai 2005, (2):  130-136.  Abstract ( 1812 )   PDF (1661KB) ( 1874 )   Save Traditional option incentive contracts measure manager performance with stock price,but stock price in capital market really is affected by system risk,which leads to reversed incentive.That is to say,it incorrectly punishes capable manager or bounteously award incapable manager.In allusion to the limitation of traditional stock option,a few academicians removes the effects of market and industry noise on option incentive contract through the link of the exercise price of option incentive contract and some index.But the absolute index option can’t change the structural shortcoming of index option incentive contract,that is to say,they can’t incomplete remove the effects of market and industry noise on option incentive contract.Accordingly,this paper anew designs the exercise of stock option in line with relative performance and portfolio idea,that is to say,the paper complete removes the effects of market and industry noise on option incentive contract through changing beneficial structure of expect and designing based performance portfolio with exercise price. References | Related Articles | Metrics

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A Research on Incentive Mechanism of Learning Hidden Information in Vertical Communication YE Zhi-gui, YAN Guang-hua 2005, (2):  137-141.  Abstract ( 2097 )   PDF (528KB) ( 1791 )   Save To obtain the hidden information from subordinate is a basic factor for higher level authorities to make decision,researches have been done cannot solute the dilemma between efficiency and budget balance.In this article,having recognized the role of decision maker,and introducing the cost of decision maker,the authors put forward a new mechanism,which can not only solve the question of obtaining the hidden information,but also settle the questions of budget balance,profit maximum and shifting the lose to subordinate. References | Related Articles | Metrics

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Performance Measurement of Chinese Textile Industry Based on Data Envelopment Analysis Model with Preference Information WANG Xin-yu, WU Rui-ming 2005, (2):  142-148.  Abstract ( 2254 )   PDF (2340KB) ( 1817 )   Save In this paper,a data envelopment analysis model with preference information about input and output targets is set up to evaluate the economic operational efficiency of the textile industry of Chinese 31 regions.A general framework embracing CCR and BCC models is put forth.The phenomenon that because of a lot of zero weights and overestimating DEA efficiency of decision making units in ordinary DEA model can be avoided by using the model.We also analyze what causes the differences among the efficiency of the textile industry of Chinese 31 regions.Then the stochastic production frontier function of Chinese textile industry is obtained with the data set of all decision making units’ projection points on the production frontier face by regression analysis model.Finally we find that three economic factors:sale incomes,asset per person,Foreign Direct Investment,have important effects on the efficiency of China textile industry by an econometric regressive model. References | Related Articles | Metrics