Table of Content

20 November 2014, Volume 22 Issue 11 Previous Issue    Next Issue

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Credit Risk Contagion Model Based on Complex Network CHENG Ting-qiang, HE Jian-min 2014, 22 (11):  1-10.  Abstract ( 2383 )   PDF (2228KB) ( 3611 )   Save The process of credit risk contagion based on the perspective of psychology and behavior of credit risk holders is analyzed firstly. A network model of credit risk contagion is given in which effect of agent behaviors of credit risk holders and financial market regulator and network structure are considered. By introducing the stochastic dominance theory, respectively driving mechanisms of credit risk contagion are discussed based on the relationships between of individuals, individual risk attitude, the individual ability to resist risk, the monitoring strength of financial market and social network structure, then the derived and proofed some propositions are verified by computer simulation. References | Related Articles | Metrics

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To Study the Model of Financial Contagion Risk Base on Complex Networks DENG Chao, CHEN Xue-jun 2014, 22 (11):  11-18.  Abstract ( 2489 )   PDF (1737KB) ( 5256 )   Save The failing bank can lead to the potential collapse of the whole financial system,sophisticated financial instruments based on the assumption of stable equilibria in economic systems was seen as a major cause of the 2008 financial crisis. Contagion risk and the scale of systemic breakdown in the financial system are the key concern for effective macro prudential oversight. Recently these insights from the study of complex networks have been applied to the financial system. Some simulation-based studies of financial contagion risk on the framework of complex networks models are mainly concerned in this paper. Banks are the nodes, inter-connected if financial flows and exposures exist among them. One of the key problems in this paper is that of understanding the role of the network structure in relation to the contagion effect. We apply techniques from cascade dynamics on complex networks of Watts, which gives a degree distribution pk and the average degree of the networkz.An bank is called vulnerable if their threshold φ is smaller than the inverse of their degree k, i.e.φ≤1/k, such that one infected neighbor suffices to attain the threshold. Starting from a small number of failed banks, the aim is to characterize the probability that failures propagate at the systemic level as a function of some relevant parameters, like the connectivity of the network and the net capital of banks. In numerical simulations, it can be found that while greater connectivity helps lower the probability of contagion, it can also increase its spread in the event of problems occurring. Greater connectivity does not only create more channels through which contagion can spread but also improves counteracting risk-sharing benefits. Most importantly, the proposed methodology can be employed in many segments of the entire financial system, providing a useful tool in the hands of regulatory authorities in assessing more accurate estimates of systemic risk. It is investigated that how several new mathematical modeling approaches represented by the analytical framework of Gleeson may be applied. Overall goal will be to develop a comprehensive toolkit of computational algorithms that will include network simulation methods, analytic results for several models, plus statistical and graphical methods. References | Related Articles | Metrics

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The Measurement of Strategic Change and Its Impact on Performance From the Perspective of Resource Allocation LI Chuan-guo, CHEN Shou, MAO Chao, LIU Duan 2014, 22 (11):  19-26.  Abstract ( 2024 )   PDF (4041KB) ( 1837 )   Save Notwithstanding that strategic changes significantly affect performance, there are conflicting results regarding the measurements of strategic changes and trajectory sketched. In this paper, a feasible way to measure strategic changes using a key strategic resource allocation vector is proposed. the angle, amplitude and total amount of strategic changes are approximated by the angle variation, norm variation and radians variation of the vector respectively. Our sample contains 1317 listed companies in China. The data of their annual report from 2005 to 2012 is collected, and the relationship between strategic changes and performance is examined. The results are intuitive. We suggest that strategic changes affect performance in an adaptive and disruptive way. We find that as the level of strategic changes increases, the adaptive effect declines and the disruptive effect increases. Last but least, the inverted U-shaped relationship between strategic changes and performance is also found. Our findings can be interpreted as a theoretical evidence for further exploring functional relationship between strategic changes and performance, and a reference for optimal decision-making in strategic changes. References | Related Articles | Metrics

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The Dynamic Relevance of Inflation Expectations and Actual Inflation: an Analysis Based on the Macro-finance Model ZHOU Sheng-bao, WANG Xue-biao, GUO Jun-fang 2014, 22 (11):  27-35.  Abstract ( 1887 )   PDF (1560KB) ( 2053 )   Save Market inflation expectations are very important for market participant and of particular interest to central banks, especially when we are experiencing the baptism of the recent subprime and financial crisis. Using the financial market bond yields data and macro economy data, and an affine no-arbitrage model which incorporates macro and latent factors, the nominal and real yields are modelled jointly and the inflation compensations are decomposed into inflation expectations and premiums. Combining a macro economic structure and a micro financial model for estimating the term structure yields the advantage of evaluating the influence of macro factors on the complete term structure and capture the accurate inflation expectations. It is found that the short and medium expectations and the real inflation have strong influence each other, however the long term expectations and the real inflation have influence relatively weak each other. All term expectations are not the rational expectations, but the medium and long expectations are adaptive expectations. Further, the CPI is the most important influencing factor and its effect will increase with time. Meanwhile, the influence of the deposit rate takes the second place and it has the positive effect to short and medium expectations, and the negative effect to long expectations, but the impact of M2 is not significant. The short and medium expectations have the better predictive power of ex ante and ex post than the investigation expectations of the depositor-survey of People's Bank of China, so the method in this paper can be used as a useful supplement for obtaining inflation expectations. References | Related Articles | Metrics

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An Empirical Study on the Mode of the Day-of-the-week Effect in China's Futures Market DAI Xiao-feng, LIU Li-fang 2014, 22 (11):  36-43.  Abstract ( 1916 )   PDF (894KB) ( 2228 )   Save In this paper, relatively active contracts in China's futures market are selected from January 2002 to June 2011 as the samples, to test their day-of-the-week effect of the rate of return, conditional volatility, trading volume and open interest. In order to test the existence of the day-of-the-week effect and mode of existence more comprehensive, three kinds of distribution assumptions are introduced to portray the disturbance term, such as normal distribution, Student-t distribution and generalized error distribution(GED), to modify the traditional GARCH model. The empirical results show that the day-of-the-week effect of China's futures market is affected by its investor structure, especially individual investors, and its test results is associated with the research methods, in which the error term distribution directly affects the results. It also shows different futures in different sample periods has different day-of-the-week effect modes. But in the early stages of rectification in the futures market, the day-of-the-week effect has no found, and subsequently showed the positive Monday effect or reversal of the Monday effect. If the rate of return is different, the day-of-the-week effect mode is not the same. References | Related Articles | Metrics

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The Game Analysis of Carbon Reduction Technology Investment on Supply Chain under Carbon Cap-and-Trade Rules LUO Rui-ling, FAN Ti-jun, XIA Hai-yang 2014, 22 (11):  44-53.  Abstract ( 2465 )   PDF (2276KB) ( 3944 )   Save Considering two conditions of whether carbon reduction technology is invested or not, two-stage dynamic game model is discussed in a supply chain consisting of a single manufacturer and a retailer under the Carbon Cap-and-Trade Rules. The influence of consumer's sensitivity coefficients on carbon footprint, carbon emission cap and carbon abatement cost coefficient on enterprises' decisions and carbon reduction is studied under the condition of integrated manners, decentralized manners and cooperative policy. The results show that when the carbon trading price depends linearly on the carbon cap, manufacture and supply chain's profits are not linear with the carbon cap, and the government can make enterprises reduce carbon emissions by formulate a reasonable carbon cap. When consumer's willingness to pay for low carbon product depends on "carbon footprint", the enterprise can reduce the carbon emission as well as obtain greater profits, through investing carbon emission reduction technology, and then realize coordinated development between environment and economy. Carbon emissions can be reduced significantly when manufacturer and retailer make joint decisions on carbon reduction levels through channel coordination. References | Related Articles | Metrics

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Research on the Mechanism of Sponsored Search Auction with Advertiser Reputation——Equilibrium, Revenue and Efficiency Analysis YIN Hong 2014, 22 (11):  54-61.  Abstract ( 1888 )   PDF (1443KB) ( 2227 )   Save Profit-driven of keyword auction mechanism induces huge amounts of network fraud information, which greatly damages the interests of users.Through analyzing the optimum equilibrium bidding strategies and comparing with GSP auction mechanism which is widely used, found the ranking rule considering reputation is more conducive than the simple rule of competitive ranking to improve advertising auction's profit and efficiency, when the difference between credibility of advertisers is large. Further, through analyzing the quilibrium realization path and numerical simulation, the conclusion is also verified under a dynamic circumstance. References | Related Articles | Metrics

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An Adaptive Group Evaluating Method for Cross-Efficiencies of Decision Making Units ZHANG Qi-ping, LIU Ye-zheng, JIANG Yuan-chun 2014, 22 (11):  62-71.  Abstract ( 1838 )   PDF (1398KB) ( 2213 )   Save Traditional cross efficiency evaluation method lacks maneuverability due to that the preferential weight system is always not unique for some or all DMUs, and it lacks acceptability due to using the ultimate average cross efficiency scores to rank all DMUs. Current studies typically target deterministic distribution of index weights and ultimate cross efficiency scores assembling based on elimination of the assumption of average as two independent decision making problems and solve them respectively. In this paper, the evaluation model which combines self-evaluation and peer-evaluation is seen as a group decision making process, in which each DMU is treated as an "expert" and an opinion object simultaneously, and then an adaptive DMUs cross efficiency group evaluating algorithm is proposed. According to the close degree of evaluation results which are from each DMU and DMUs group, the algorithm gets "expert" weight for each DMU and deterministic preferential index weight systems for each DMU, which are used to evaluate themselves and other DMUs, in a single decision making process by iterative adjustments. The experimental verification and empirical research illustrate that algorithm proposed in this paper can efficiently converge, which can get objective and stable ultimate efficiency scores to rank all DMUs deterministically. References | Related Articles | Metrics

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Systematic Approach Construction Building of the Selection,Combination and Evaluation of Activity Cost Driver LIU Xue-wen, OUYANG Mei-chen, XU Jie 2014, 22 (11):  72-78.  Abstract ( 2234 )   PDF (1142KB) ( 1757 )   Save In present academia,study for the selection and combination of activity cost drivers is lack of discuss about its choice and the choice of driver numbers and there have no research on the evaluation of cost driver selection and combination. The relevant classes of cost drivers is obtained by cluster analysis model, combining principal component analysis to guide to choose the number of drivers, ultimately determine the cost drivers, and the principal component analysis model for the evaluation of the quality of driver selection and combination is set up at the first time. The empirical analysis shows that, this systematic approach betterly solved the problem of the selection and merged cost drivers,and under the same data, results of this approach are better than the matrix theory and distance cluster analysis, the complexity of the ABCM system and information costs are significantly reduced. The contribution of this article is providing a systematic approach for the choice,merging, and evaluation of activity cost drivers. References | Related Articles | Metrics

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Combination Weight Model of Emergency Ability Evaluation with Minimum Deviation LIU De-hai, YU Qian, MA Xiao-nan, YIN Dan, WANG Wei-guo 2014, 22 (11):  79-86.  Abstract ( 2261 )   PDF (904KB) ( 2594 )   Save Emergency ability evaluation has a problem with the result conflict among the different evaluation methods, that is to say, the evaluation result of group decision depends on the evaluation method adopted. Emergency ability evaluation of accident occurred on expressway is studied in this paper. There have some problems that deserve some special consideration. Because the emergency rescue time gets tight, and road needs to be cleared as soon as possible, the index system of emergency ability evaluation in accident occurred on expressway should consider those factors. The evaluation method should deal with the linguistic information of expert evaluation. Furthermore, considering result differences among various evaluation methods, there has an optimization problem among various evaluation methods. A combination weight model of emergency ability evaluation is built, which is constituted of the linear combination of series of evaluation methods including 2-tuple linguistic AHP, G1 subjective weighting method, and 2-tuple linguistic entropy evaluation method, according to the minimum deviation principle. Along with the research idea of "the index system of emergency ability evaluation-various evaluation methods and corresponding combination weight model-case analysis", the paper mainly contains the following three parts. Firstly, the emergency ability in accident occurred on expressway is systematically analyzed and the index system of emergency ability evaluation in accident occurred on expressway is built based the idea of process management, Which includes the criterion layer with four first-level indexes and the index layer with 22 second-level indexes. Secondly, based on the linguistic assessment indexes, 2-tuple linguistic AHP, G1 subjective weighting method, and 2-tuple linguistic entropy evaluation method are used to compute the index weights, and then the linear programming model of combination weights with minimum deviation is built, which integrates above evaluating methods, to compute the optimal composite weight of the criterion layer. So the emergency ability evaluation value is obtained in accident occurred on expressway. Shanghai expressway emergency ability of "9·14" major road traffic accident is evaluated by the above model, and the different results derived from four evaluation methods are compared. In addition, the sensitivity analysis of evaluation indexes is discussed. Results show that the combination weight model with the minimum deviation principle achieves the maximum degree of consistency among different evaluation methods, and reduces "the polarization effect" of various evaluation methods in group decision, which can be applied into the field of emergency ability evaluation. The combination weight model with the minimum deviation principle can be not only applied to optimization problem among other various evaluation methods, but also other types of multiple attribute group decision making problems. References | Related Articles | Metrics

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Evolutionary Game and Propagation Mechanism of Public Opinion in Emergency Li Yong-jian, Wang Zhi-ying 2014, 22 (11):  87-96.  Abstract ( 2522 )   PDF (1739KB) ( 3939 )   Save Few of existed studies pay attention to the public opinion in emergency from the perspective of emergency attributes. The dynamic mechanism of public opinion's generation and propagation is firstly analyzed in the view of attributes by applying structural description of emergency. And structural description frameworks are constructed respectively for decision behavior and game relationship among propagation bodies. Then, cognitive differences are considered in different propagation bodies, and its utility function is introduced. Next, the game relationship is studied among the public, and the game relationship between the public and government departments through the approach of evolutionary game theory. Results show that the evolutionary equilibrium of the two kinds of game systems are respectively affected by the return functions of two game parties under different strategies combinations; both the systems have different evolutionary equilibrium under different constraints, and the government departments should choose the right moment when implementing their intervention strategies; the central government can conduct the related government departments to perform their duties better by taking appropriate rewards and punishments to them. Furthermore, numerical examples are taken to verify that cognitive differences have great influence on the game equilibrium. Finally, a case study of public opinion propagation is investigated to verify the validity of the conclusion. The results of this study can not only provide theoretical support for revealing the public opinion's generation mechanism and propagation law, but also provide reference for the government to guide or control the evolution direction of public opinion. References | Related Articles | Metrics

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Research on Consumption Acceptance Evolutionary from Online to Mobile Environment: Based on Computational Experiment JIANG Guo-yin, MA Fei-cheng, LIU Xing-jun 2014, 22 (11):  97-104.  Abstract ( 2156 )   PDF (3068KB) ( 2133 )   Save Computational experiment platform is built based on empirical data driven multi-Agent to research dynamic evolutionary process of consumer adoption from online to mobile environment. The experimental results show that better fineness are existing between experimental data and classic diffusion equation, which indicates the experimental model can be used to simulate real behavior evolutionary process. Brand have significant effect on consumer adoption at the primacy stage, with the increased of advertising intensity, the effect is not evident. When market is with high level of consumption dormancy, even using high-wake strategy, its mobile services is also low levels of consumer adoption. When dormancy rate is much larger than wake rate, the adoption mobile products/services will decline after the stage of market maturity, but adoption of online products/services will recovery. When wake rate is much larger than dormancy rate, adoption of mobile products/services can reach maximum level, and then remain stability. The provided computational models and results will give some reference for decision-making and technical support to regulators. References | Related Articles | Metrics

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Study on the Spatial Spillovers of Provincial Entrepreneurship in China YANG Yong, ZHU Qian, DA Qing-li 2014, 22 (11):  105-113.  Abstract ( 2042 )   PDF (1258KB) ( 2398 )   Save Spatial conditions have an influence on the entrepreneurial activity in regions. Spatial dependence has been largely ignored by the empirical regional entrepreneurship literature. In this paper, spatial feature of the China's provincial entrepreneurship from 2000 to 2009 is studied based on the ESDA method. The spatial spillover effects of provincial entrepreneurship in China are investigated by introducing the geographic and economic type's spatial weight matrixes into the spatial panel models. The results indicate that there exists global spatial autocorrelation all over the country. Meanwhile, the local spatial correlation is gradually being shown that there exists the spatial agglomeration of provincial entrepreneurial activities. The empirical analysis shows that there exists the spatial spillover effect of inter- provincial entrepreneurship. Increased provincial entrepreneurship has positive effect on neighbouring provincial entrepreneurship. The conclusion also makes some policy implications about how to establish feasible policies such as accelerating spatial entrepreneurial resource mobility to foster provincial entrepreneurship. References | Related Articles | Metrics

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Ruin Probability Estimation for Modern Risk Model with Heavy-Tailed Claims and Multiple Insurance-Types BAI Jian-ming, YIN Xiao-ling, CHEN Yun 2014, 22 (11):  114-121.  Abstract ( 2141 )   PDF (1308KB) ( 1859 )   Save Ruin probability is the core theme of non-life insurance risk theory. Compared with the classical Cramér-Lundberg Model, the modern risk model presented by Li Zehui et al is more fully considerate for the main characteristics of non-life insurance operation and has a more suitable description to realistic insurance business. Based on the modern risk model, a more realistic situation with multiple types of insurance and aggregate risk is studied. Asymptotically equivalent estimations for ruin probability are derived when the claim sizes from different insurance types have regular-tailed distributions. It can be found that, under the conditions of multiple insurance-types with large claims, the extreme claim risk faced by the company will be determined inherently by those insurance types with the heaviest tail of claim size distributions, while the effects of other insurance types which have not too heavy distributed tails are vanished. The effectiveness of results is remarkably verified by a MATLAB numerical simulation. This work is a valuable promotion for insurance risk model study. It provides a convictive evidence for risk management and initial capital setting of practical insurance businesses with multiple insurance types. References | Related Articles | Metrics

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Research on Industry Side Linkage Networks CHEN Xiao-zhen, ZHAO Bing-xin, XIAO Wen-wen 2014, 22 (11):  122-130.  Abstract ( 2021 )   PDF (3380KB) ( 2187 )   Save In the course of studying the roles of the leading sectors in economic take-off, Rostow used side effects to represent various changes in the surrounding caused by the varying of leading sectors. However, due to lacking of feasible technologies, the studies on side effects are often qualitative. On the basis of industry networks, the concepts of synergy and competition side linkages are proposed in this paper according to the meanings of side effects, two types of networks are constructed, and the four types of side effects are analyzed. Exemplification indicates that industry side linkage networks can describe side linkages among industry sectors, relationships among behavioral agents and structural features of economies. They can provide quantitative references for analyzing side effects, studying the key sectors and industry clusters or generating disequilibrium strategy etc. References | Related Articles | Metrics

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The Path Analysis of The Dual Principal-agent Problem Affects the Over-investment of Listed Companies: Based on the Two-tier Heterogeneity Stochastic Frontier Model LI Chun-hong, WANG Yuan-ping, ZHENG Zhi-dan 2014, 22 (11):  131-139.  Abstract ( 2744 )   PDF (1235KB) ( 2412 )   Save Two-frontier heterogeneity stochastic frontier model is used to measure the over-investment level of listed companies of China, and Structural equation as well as path analysis are exert to research the mechanism and effects that dual principal-agent problem affects the over-investment of companies. The conclusions are as follows.(1)In China, over-investment and under-investment are both existed in the listed companies. Over-investment which is caused by agency cost makes investment cost have a 31.4% plus over the best level, and occupies 42.8% of the sample.(2)Managerial stockholding incentive would ease the over-investment of listed companies through the paths of free cash flow, capital structure and dividend payment. On the contrary, the control of large shareholders would aggravate over-investment through the paths of free cash flow and capital structure.(3) 77.38%of company investment effect caused by dual principal-agent problem is brought about through the path of free cash flow. The rest 21.24% is contributed by the path of debt. The path of dividend is not remarkable, and does not produce remarkable constraint efficiency. References | Related Articles | Metrics

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A Study on the Time-lag Effect of Competitive Strategy on the Enterprise Performance The Impulse Response Analysis Based on VAR Model LEI Hui, OUYANG Li-ping, NIE Shan-shan, CHEN Shou 2014, 22 (11):  140-148.  Abstract ( 2191 )   PDF (1065KB) ( 1884 )   Save In this paper, the time-lag effect of competitive strategy on the enterprise performance has been theoretically and empirically analyzed by using quarterly financial data of Chinese listed companies from 2003 to 2012 in medical biological industry. Confirmatory factor analysis method is used to construct differentiation and low-cost to be the proxy factors to reflect competitive strategy, and the types of strategies and the performance after implement these strategies are studied. Further, the time-lag effect of these strategies are studied. The results show that the enterprise performance is generated after the implementation of the specific competitive strategy, and there is an interval of time between the performance generation and the implementation of the strategy. This time-lag effect are differently characterized by the differentiation strategy and low cost strategy, both the lag period and sustainability of the differentiation strategy is longer than that of the low cost strategy. Meanwhile, compared to the low cost strategy, the differentiation strategy is more difficult to be successfully implemented and suffers more risk and lower success rate in medical biological industry. References | Related Articles | Metrics