Table of Content

29 June 2012, Volume 20 Issue 3 Previous Issue    Next Issue

ARTICLES

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Measuring and Allocating VaR and CVaR Based on Copula-AL Method DU Hong-jun, WANG Zong-jun 2012, (3):  1-9.  Abstract ( 3246 )   PDF (1865KB) ( 2886 )   Save The actual distributions of asset returns are always characterized by steep peaks, heavy tails and asymmetry.In this paper,asymmetric Laplace distribution is used to describe these features, study the VaR and CVaR of market portfolio and their allocation by combining with Copula function technique in describing the relationship between assets.The portfolio risk and their allocation with portfolio of Shanghai Composite Index and Shenzhen Component Index are also calculated. The results show that VaR and CVaR based on t-Copula-AL model are more simple and precise, and could be easily used to calculate risk allocation. References | Related Articles | Metrics

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Stock Market Transparency, Information Share and Price Discovery Efficiency ZHANG Xiao-fei, LI Yan 2012, (3):  10-19.  Abstract ( 3530 )   PDF (898KB) ( 2771 )   Save Stock market transparency is one of the important aspects in trading design because it determines the realization of price discovery function in capital market. On December 8, 2003, the number of disclosed publicly prices in limit order is increased from three to five in Shenzhen Stock Exchange, which means the stock market transparency increases. Based on the information content model, the information contents of limit order book and its change are studied, and the increased transparency’s impact on price discovery efficiency is analyzed. The results show that the two new prices have margin information content, which is helpful for investors to make decisions. Also, the pricing error of transaction price deviates from efficient price and the return autocorrelation decreases significantly, so the price is more efficient. All in all, the increased transparency improves price discovery efficiency, enhances the price discovery function realization, and improves the market quality. Some good suggestions are also given for the reform of trading designs in the future. References | Related Articles | Metrics

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The Empirical Study of China’s Stock Market Risk in Extreme Situations WANG Yi-xin, ZHOU Yong 2012, 20 (3):  20-27.  Abstract ( 3051 )   PDF (1022KB) ( 2016 )   Save Accurate measure of risk is a prerequisite for effective risk management and a basis for investors to make rational decisions, but the traditional method of calculating VaR is invalid when extreme events occur frequently.Luckily, extreme value theory can solve this problem effectively. Risk measurement of China's stock market against the background of subprime crisis is studied. Considering the extreme co-movements and impacts, extreme value theory and POT model are used to fit the tail distributions of daily returns of Shanghai Composite Index, and then calculate VaR and CVaR. By comparing the risks before and after the crisis, it is shown that with the advent of the financial crisis, risks in China's stock market have been released to a certain degree. References | Related Articles | Metrics

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Dynamic Model of Exchange Market Based on Heterogeneous Interacting-Agent Models HUI Xiao-feng, ZHANG Shuo 2012, (3):  28-34.  Abstract ( 2776 )   PDF (2266KB) ( 2029 )   Save The impact of the market caused by investors’ heterogeneity is usually neglected in the traditional exchange rate model. With the development of the research on the high frequency dynamic behavior of the exchange market, heterogeneous investors models show a powerful interpretation of laws governing the operation of financial markets. Based on the heterogeneity of the investment strategy, a nonlinear dynamics model describing the isolated exchange market and dominated by supply and demand is proposed in this paper. Some research results are obtained by simulation. In the exchange market dominated by investors, the investment behaviors of the fundamentalists make exchange rate vibrate,and the investment behaviors of the chartists amplify the amplitude of exchange rate. References | Related Articles | Metrics

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Modeling the Quantile of Oil Futures Return and Analyzing the Dynamics of Quantile CHEN Lei, ZENG Yong, TU Anthong H. 2012, 20 (3):  35-40.  Abstract ( 3183 )   PDF (1049KB) ( 2098 )   Save The quantile of oil futures return can reveal the character of distribution and measure extreme riskso, so it is necessary to model the quantile of oil futures return and analyze the dynamics of quantile. Considering the shortage of current research and the asymmetric influences of positive and negative oil return on quantile, threshold CAViaR model is developed and adopted to analyze the quantile of oil futures return. Using daily data of Brent crude oil futures price spanning from 1998 to 2009, the results show the quantile of oil futures return has autoregressive effect and is affected by lagged oil return. Besides, the positive return has stronger influence on quantile than the negative return. Oil price movement will affect the quantile of left tail, but only the decrease of oil price will make the quantile of right tail change. Moreover, the quantile is related to VaR, so the results can reveal the character of oil price risk and have important implications in risk management. References | Related Articles | Metrics

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An Empirical Analysis on Periodic Fluctuations of Real Estate Price Based on EMD RUAN Lian-fa, BAO Hong-jie 2012, (3):  41-46.  Abstract ( 2579 )   PDF (1967KB) ( 2995 )   Save Real estate price is formed in the circumstance of many factors since real estate market is a complex system. Empirical mode decomposition, an effective tool to deal with nonlinear and non-stationary data, is applied to analyze the time series of real estate price and reveal inherent characteristics. Weekly price series of the new residential housing traded in Hangzhou during the last four years is decomposed, and six intrinsic mode functions and one residue are obtained. The six IMFs are reorganized according to their characteristics. It is concluded that the time series of real estate price are constituted by three parts, i.e., long-term trend determined by economic fundamentals, low frequency vibration brought by major events, and random fluctuations caused by short-term market disequilibrium. Besides, it is revealed that new residential housing market in Hangzhou has a large cycle of three-year and also small cycles of 14 months and 7 months. References | Related Articles | Metrics

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Study on Portfolio Model Based on Investor Sentiment CHEN Qi-an, ZHU Min, LAI Qin-yun 2012, (3):  47-56.  Abstract ( 3392 )   PDF (1707KB) ( 3397 )   Save Under the hypothesis that investors are risk averters whose risk aversion degree is affected by the sentiment, taking the utility maximization as the investors’ decision objection,the effect mechanism of investor sentiment on the portfolio structure and the return-risk relationship of portfolio by setting up a portfolio model based on the investor sentiment theoretically is studied in this paper. The results show that investors will buy the excess risk asset by bank lending when they are over-optimistic, distribute the proportion of the free-risk assets and risk assets reasonably when they are relatively rational, and short risk assets when they are pessimistic. In addition, the expected excess return of portfolio is positively related to its risk when investors are over-optimistic or relatively rational, and negatively related to its risk when investors are pessimistic.All in all,in this paper,the previous relevant research conclusions are modified, and the traditional portfolio theory is expanded and deepened in a certain degree. References | Related Articles | Metrics

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Interval Quadratic Programming for the Portfolio Selection without Short-Selling XU Xiao-ning, HE Feng 2012, (3):  57-62.  Abstract ( 3067 )   PDF (916KB) ( 1965 )   Save Based on the Markowitz M-V theory, interval quadratic programming model of portfolio investment is proposed in this paper. In the case of no short sales of assets, this model is solved by applying approaches to compare any two intervals and introducing acceptability and possibility degree of interval number. Thus uncertainty model of portfolio investment is coverted into certainty quadratic programming model of portfolio investment. In addition, for the solution of interval quadratic programming, three solutions of the model given in this paper are compared with the traditional one. References | Related Articles | Metrics

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Return Predictability and Strategic Asset Allocation: Theory and Evidence from China Stock Market YANG Chao-jun, CHEN Hao-wu, YANG Wei-qin 2012, (3):  63-69.  Abstract ( 2555 )   PDF (1055KB) ( 2845 )   Save In this paper, thorough research is conducted both theoretically and empirically on predictability in asset returns affecting optimal portfolio choice for investors with long horizons. Based on China stock market data, it is found that: the returns of China stock market have predictability in long horizon, and differ from the classical theory, the long-term investors should allocate more risk assets than the short-term investors. It is suggested that in China, the long-term investors such as social security funds, occupational pensions and insurance companies, could increase their allocation shares for stocks. References | Related Articles | Metrics

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Multivariate Stochastic Contagion Model and Its Application in the Copper and Other Metal Futures Markets ZHOU Wei, HE Jian-min, YU De-jian 2012, 20 (3):  70-78.  Abstract ( 2764 )   PDF (1430KB) ( 1844 )   Save To appropriately measure the overall contagion effect in different financial markets, a multivariate stochastic contagion model according to multivariate GARCH model including the mean spillover equation, the fluctuation spill equation and the contagion equation is proposed. The new contagion equation is proposed by combining the real financial contagion phenomenon which is different from the fixed coefficient contagion variable and the general covariance contagion variable. Then, a whole solution method based on the MCMC iterative algorithm is given out. In the end, the contagion effect in copper and other metal futures markets using the new contagion model are fitted and forecasted. The empirical results verify some conclusions from previous literatures and give out some new conclusions such as the contagion accumulative effect, the risk alternately phenomenon between the copper and aluminum futures markets, the slow market change in the contagion phenomenon and so on. Moreover, the empirical result also shows the effectiveness, practicality and superiority of this new contagion model. References | Related Articles | Metrics

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The Measure on Relative Valuation Efficiency of Industries Based on DEA: Theory and Empirical Study YI Rong-hua, LIU Yun, LIU Jia-peng 2012, (3):  79-85.  Abstract ( 3194 )   PDF (1141KB) ( 2173 )   Save A comprehensive, relative, and dynamic model of valuation efficiency is put forward and an inefficient index of market valuation based on DEA from the integrated valuation factors and relative valuation perspective is constructed in this paper. It is reflected that each stock should have a reasonable valuation in the efficient market. The model can be used to analyze the efficiency of market valuation, the preferences of market valuation and other timing features and evolution pattern with cross-sectional data and panel data. The empirical analysis on industries index shows that this indicator is more comprehensive in reflecting the characteristics and trends of relative valuation efficiency of the market and the internal industries than the traditional P/E indicator. References | Related Articles | Metrics

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Integrated Joint Replenishment and Distribution Model Using Hybrid Differential Evolution Algorithm WANG Lin, DUN Cai-xia, ZHANG Jin-long 2012, (3):  86-93.  Abstract ( 2458 )   PDF (978KB) ( 2493 )   Save Considering joint replenishment and distribution decision when stock out is allowed, a model integrating multi-buyer joint replenishment and distribution with stochastic demand is analyzed. A hybrid differential evolution (HDE) algorithm is designed to solve the proposed model. An example shows the performance of the HDE is more stable and efficient compared with genetic algorithm and typical differential evolution algorithm. In addition, a two-stage model with replenishment and delivery uncoordinated is designed. The numerical experiments illustrate the fact that the replenishment cost is higher, distribution cost is lower and total cost is lower under supply chain collaboration. Finally, the sensitivity analysis on relevant parameters is addressed and the results show the influence of variations in demand rate and inventory holding cost on the total cost is far greater than that of variations in minor ordering cost on the total cost. References | Related Articles | Metrics

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Optimal Inventory and Production Decisions for an ATO System with Variable Capacity GUO Jia, FU Ke, CHEN Gong-yu 2012, (3):  94-103.  Abstract ( 2520 )   PDF (5870KB) ( 2210 )   Save Motivated by the practice of an ATO manufacturer, a single-period ATO system with subassembly and uncertain future demand is considered.To cope with the challenges of long component procurement lead times and limited assembly capacity, the manufacturer may need to procure components,and assemble some quantities of subassembly or the final product before the actual order quantity is confirmed.Since there is subassembly in the product BOM as an intermediate production, the assembly capacity is variable with respect to assembly with components or subassembly over different time slots.A profit maximization model to analyze the optimal inventory and production decisions under the above ATO environment is presented.Structural properties of optimal solutions is estabilished and efficient solution procedures for the proposed problem is developed. References | Related Articles | Metrics

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The Dynamic Pricing Model for Airline Parallel Flights LUO Li, XIAO Bai-chun 2012, (3):  104-111.  Abstract ( 2652 )   PDF (954KB) ( 3597 )   Save In the current circumstance of fierce competition market in air passenger industry, there are a few correspondingly monopoly routes for airline company. Moreover, the multiple flights in the same leg every day are named as parallel flights. How to make dynamic pricing policy in order to maximize total revenue of all the flights of the leg? With the stochastic control theory,dynamic pricing continuous time model for two parallel flights of a monopoly airline is developed, the properties of the value function and the threshold point of time of optimum control are discussed. Numerical examples show that this control policy is not only prone to implement, but also more profitable than that of the policy for independent demand. References | Related Articles | Metrics

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Analysis on Performance and Evolution of Mass Stimulation under Project Quality Optimization LI Zhen, MENG Qing-Feng, SHENG Zhao-han, LI Qian 2012, (3):  112-121.  Abstract ( 2832 )   PDF (3142KB) ( 1951 )   Save In this paper,one owner and many contractors construction system is studied, in which the owner uses menu contract, including unit price contract and revenue sharing contract, to stimulate contractors on project quality optimization and coordination. Two basic models are built up, one is single-stage incentive model and the other is multi-stage incentive model as contractors having fairness perceptions.Performance and evolution under different compensation structures are also analyzed by computational experiment. Results show that: Any compensation structure can not maintain it's efficiency when it is executed in multi-stage incentives; Compensation structure performing well in single-stage model can not keep good performance when applied to multi-stage incentive process; Individual fairness perception has negative influence on incentive performance; Every motivational factor in compensation structure has impact on incentive efficiency, and perfect incentive effect can not be achieved if cooperation among all incentive factors are ignored. References | Related Articles | Metrics

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Incentive Contract between Manufacturer and Dealers with EPR BAI Shao-bu, LIU Hong 2012, (3):  122-130.  Abstract ( 2657 )   PDF (891KB) ( 1887 )   Save According to the Extended Producer Responsibility (EPR) rules, a principal-agent relationship involving product supply, marketing, and recycling between a producer and his dealers is formed. By introducing the impact factor which indicates the impact on product sales by used product recycling, a principal-agent incentive contract model with the EPR system is proposed. Based on the model, the manufacturer works out an optimal incentive contract to maximize his expected benefit utility. To reap the optimal incentive benefit provided by the manufacturer, the dealers optimize their levels of selling effort and recycling effort, thus maximize their expected benefit utility. References | Related Articles | Metrics

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Supply Chain Coordination under Uniformly Distributed Market Demand ——A Dual Contract based on Both Bonus and Penalty LI Kai, ZHANG Ying-dong, YNA Jian-yuan 2012, (3):  131-137.  Abstract ( 2749 )   PDF (6456KB) ( 2226 )   Save The channel coordination mechanism of the supply chain composed of producers and distributors under uniformly distributed market demand is studied in this paper. A bonus-penalty mixed contract model is designed with the coordinating factor: bonus, penalty, bonus ratio and penalty ratio. The mixed channel coordination mechanism is also discussed. An example verifies the coordination of four factors in channel coordination. Also some findings are proposed based on the result of the example. References | Related Articles | Metrics

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Models and Efficiency Boundary Analysis of Green Logistics Networks HE Bo 2012, (3):  138-144.  Abstract ( 3292 )   PDF (1250KB) ( 2790 )   Save Green logistics is of importance for environmental protection, saving resources and carrying out the strategy of sustainable development. When designing logistics networks, not only cost, environmental impact of logistics activities also needs to be considered in green logistic. So, how to get a balance between logistics cost and environmental quality is a key problem. In this paper, a decision framework and conception model for designing logistics network is proposed. By taking logistics cost and environmental quality as optimization objectives, the efficiency boundary through multi-objective optimization method can be attained. The properties of efficiency boundary are also analyzed. At last,an example is used to illustrate the findings. It is verified that the proposed method is an effective decision-making tool for enterprise to implement green logistics. References | Related Articles | Metrics

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The Optimization of Hub and Spoke Logistics Network Design based on Tabu Search Algorithm FU Shao-chuan, HU Meng-fei, TANG Fang-cheng 2012, (3):  145-151.  Abstract ( 2966 )   PDF (1545KB) ( 3274 )   Save With the development of economy, hub and spoke network has gained many attentions from researchers and practitioners since it can improve transport efficiency, optimize resource allocation and result in economies of scale.In this paper, hub and spoke network is optimized and analyzed, and based on the classical model of multiple allocation problem for p-hub location problem in the hub and spoke network, an improved model which is a mixed integer linear programming model for uncapacitated single allocation of p-hub median location problem is put forward. Then, tabu search intelligent algorithm is used to solve the problem. At last, a numerical example shows that the tabu search algorithm can efficiently solve the single distribution of multi-hub median problem. References | Related Articles | Metrics

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Improvement Target of Energy Efficiency and Its Design CAI Sheng-hua, DU Li-min, BI Qing-hua 2012, (3):  152-160.  Abstract ( 3016 )   PDF (888KB) ( 2215 )   Save In this paper, the main forces of China’s energy efficiency evolution are analyzed based on both the static and dynamic panel data models, and the potential of energy saving in the 12th five-year period is forecasted based on the regression model selected by in-sample and out-of-sample model selection criteria. The results demonstrate that per capita income, industry structure, urbanization level, governmental expenditure for research, technology progress, energy price and capital adjustment speed all have great impacts on China’s energy efficiency. The further results of scenario simulations show that the potential of energy saving in the 12th five-year period is about to reach roughly 14%, but seems hard to surpass 17%. References | Related Articles | Metrics

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The Influence of Economic Development and Industrial Structure to Carbon Emission Based on China’s Provincial Panel Data WU Zhen-xin, XIE Xiao-jing, WANG Shu-ping 2012, (3):  161-166.  Abstract ( 4290 )   PDF (1318KB) ( 4094 )   Save Based on environmental Kuznets curve, the structual adjustment factor is added to study the effects of Chinese economic development and industrial sructure to carbon emission. Panel data of China’s 30 provinces between 2000 to 2009 is used and the entity fixed effects model is established. The main findings are as follows: there is a long equilibrium cointegration relationship between carbon emission, economic development and industrial structure respectively. An inverted U curve is presented between carbon emission and economic development, if per capita GDP is 64585 yuan, the curve will meet its knee point. A direct ratio exists in carbon emission by the secondary sector, when it decreases by 1%, the per carpita carbon emission decreases by 0.3217% on the condition of per capita GDP unchanged, which means that industrial structure adjustment is an important factor affecting the low carbon economy development. In order to develop low carbon economy, it is good to start from the high carbon industry and use technology to change it into the low carbon industry. In addition, to develop the third industry is a good way to decrease the dependence on the second industry gradually. References | Related Articles | Metrics

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Empirical Study on the Theoretical Model of Brand Overlap Measurement HU Feng, ZHAO Hong, WANG Yan, ZHAO Yu-tong 2012, (3):  167-174.  Abstract ( 2706 )   PDF (1374KB) ( 2123 )   Save The definition and types of brand overlap are given based on the theoretic summary. Then dimensions are built based on brand personality, and an empirical research on perceived-intangible brand overlap in the Chinese mobile phone market is conducted from the perspective of perceived brand positioning. In the quantitative analysis, the similarity matrix based on error identification rate is introduced to improve the MDS analysis, after that a graph of the similarities on the dimensions among the seven mobile phone brands is given. On the basis of this graph, four categories are attained by fuzzy C-means clustering, which are high functional class, high emotional class, middle emotional and low functional class, low emotional and low functional class respectively. At last, conclusions and future research directions are given. References | Related Articles | Metrics

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On the Value of Reactive Capacity under Demand Substitution YE Tao-feng, DA Qing-li 2012, 20 (3):  175-184.  Abstract ( 2582 )   PDF (1503KB) ( 2153 )   Save Certain extensions of the competitive newsvendor model are presented in this paper in an attempt to investigate the value of using reactive capacities under demand substitution. Two demand structures are considered here: the former denotes total demand as a piece-wise linear function of inventory levels for the two firms, and the latter holds that the mean of the total demand is an arbitrary function of stocking quantities for the two firms. In accordance with demand structures, two inventory-based competition models are formulated and corresponding equilibrium inventory policies are developed. Then, based on the relevant equilibrium results, values of reactive capacity are derived. It is identified that the firm can simultaneously lower its inventory level and increase the customer service level by applying reactive capacity. Besides, under different demand structures, the value of applying reactive capacity increases along with the reactive capacity level and the unit shortage penalty cost, but decreases with the unit cost of reactive capacity. References | Related Articles | Metrics

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Co-evolutionary Mechanism of Social Network Structure and Strategy in Mass Emergency with Maintain Legal Rights LIU De-hai, WANG Wei-guo 2012, (3):  185-192.  Abstract ( 3995 )   PDF (2228KB) ( 3170 )   Save The evolutionary mechanism of mass emergency with maintain legal rights is revealed from the viewpoint of social network, and co-evolutionary model of social network structure and strategy is built in this study. Firstly, considering the changing of player’s mental model and game environment, the five-phase dynamic game model is built. And then the co-evolutionary model of social network structure and strategy is discussed based on the three phases developing course. Secondly, the co-evolutionary model of social network structure and strategy is built according to the social network characteristics of vulnerable group. The minimum number of protesters is obtained in the rational social network, altruism social network and opportunism social network. It is shown that there is less minimum number of protesters in the altruism social network, and the core members need undertake the higher protest cost in the opportunism social network. Lastly, the theoretical results are validated by the Netlogo social network simulation and a case study of boiler room enlargement in some residential district. References | Related Articles | Metrics