Table of Content

31 August 2008, Volume 16 Issue 4 Previous Issue    Next Issue

Select

The Optimum Seeking and Overall Planning Model of the Reconstructions of Private Enterprises in Wen Chuan Post-Earthquake XU Jiu-ping, MA Yan-lan, DUAN Xue-ling 2008, 16 (4):  1-11.  Abstract ( 3646 )   PDF (2120KB) ( 2178 )   Save After deeply investigated and analyzed the disaster damage of private enterprises, it concluded the key issues in the course of restoration and reconstruction.Under the guidance of the scientific concept of development, according to the thought and method of "Co-ordination, Co-optimization, Transport Combining, Precision Statistics, Quality Grasping, Data Rationale, Systems Building, Policy Development, Tools Utility, Smart Calculation, Practice, Under standing Truth", it constructed the basic framework of post-disaster reconst ruction of private enterprises and proposed the optimum seeking and overall planning model of redevelopment.The model achieved three levels of optimum seeking and overall planning management such as strategy, tactics and implementation in the post-earthquake reconstruction of private enterprises by vertical and horizontal logical structure.It included two parts such as rapid and development reconstruction: the rapid reconstruction is including the assessment system, emergency management mechanism and implementation system; the development reconstruction is including disaster emergency defensing system, the enterprise's own sustainable development, social resources protection. Related Articles | Metrics

Select

The Semiparametric Test for Aggregated Effect of Long Memory Property in Stock Markets Volatility HE Jian-min, ZHAO Wei 2008, 16 (4):  12-17.  Abstract ( 3842 )   PDF (786KB) ( 1510 )   Save Based on semiparametric methods,the aggregation effect of long memory property in stock markets volatility has been researched from two aspects:On one hand,stock returns are aggregated firstly, then the long memory property of aggregated series is considered;on the other hand,stock returns are convened to volatility series firstly,then the long memory property of aggregated volatility series is considered.The former considers the aggregated property of long memory parameter in volatility series,whilte the latter studies the influence of data frequency on long memory parameter in volatility.Starting from the real situation of Chinese stock markets andintegrated consideration of the two facts,the aggregation invariant effect of long memory property is found in volatility,which can also show the good effect of semiparametric methods. Related Articles | Metrics

Select

Dynamic VaR Risk Measures Based on EVT-BM-FIGARCH XIAO Zhi, FU Xiao-xiao, ZHONG Bo 2008, 16 (4):  18-23.  Abstract ( 2428 )   PDF (708KB) ( 1354 )   Save This article uses FIGARCH model to handle the heteroscedasticity and long memory behavior in return's volatility.At the same time,it transfers return series into standard residuals and uses EV T-BM method to capture the fat tails of standard residuals Thus it deals with return's fat-tails trait in this way.Then,the paper constructs a dynamic VaR risk measure based on EV T-BM-FIGARCH and applies it to daily returns of composite index of Shanghai stock market.The empirical analysis indicates that the risk measure can describe the index return's dynamic VaR risk more exactly and reasonably. Related Articles | Metrics

Select

Research on the Long Memory in International Stock Returns YU Jun, FANG Ai-li, XIONG Wen-hai 2008, 16 (4):  24-29.  Abstract ( 2687 )   PDF (288KB) ( 1659 )   Save It is of great significance for the study of long memory in stock market returns to test the effident market hypothesis.The methods in common use to study long memory are classical R/S analysis, modified R/S analysis and log-periodogram.In 2003, Giraitis proposed a new more robust V/S analysis method.In this paper, long memory of stock indices of the 31 countries or regions in the world is studied with the modified R/S and V/S analysis methods.The results show that long memory doesn't exist in most developed countries such as America and it exists in developing countries such as China.In particular, long memory in China stock market is the strongest.But there are exceptions, some European countries such as Germany show long memory while some South American countries such as Brazil do not show long memory.Furthermore, the V/S analysis is more robust and efficient than the modified R/S analysis. Related Articles | Metrics

Select

The Comparison between Mean-Variance and Mean-VaR Portfolio Models without Short Sales ZHANG Peng 2008, 16 (4):  30-35.  Abstract ( 2140 )   PDF (273KB) ( 2867 )   Save The paper studied mean-variance and mean-VaR models without short sales respectively, then used pivoting algorithm and sequence of quadratic programming method to solve those models.The algorithms were proved efficient by the empirical research.The result indicated that the efficient frontiers of mean-VaR model were the subset of the efficient frontiers of mean-variance model.The smaller the credit value was, the more the investors were interested in the portfolio that the expected return and variance were all big. Related Articles | Metrics

Select

Study on Contagion Effect between Chinese Stock Market and Other International Stock Markets LIN Yu 2008, 16 (4):  36-43.  Abstract ( 4025 )   PDF (582KB) ( 1442 )   Save It is a key issue for some government to study on risk contagion effect among different interna tional financial markets.In this paper we construct standardized residuals of indices loss based on some stylized facts in stock market, and then measures dy namic extreme risk based on stylized facts and EVT, at last, we use Granger-Causality method to test contagion effect of dynamic extreme risk of Chinese stock market and other international stock markets.Our results show that extreme dynamic risks transmit from Chinese stock market to other three international stock markets through Hong Kong stock market.Extreme dynamic risks transm it form Hong Kong stock market to Tokyo stock market, and then transmit form Tokyo stock market to New York stock market.There exists bidirectional contagion effect between Tokyo and New York stock markets. Related Articles | Metrics

Select

The Day-of-the-Week Effect on Stock Return and Volatility in China：Empirical Evidence from Modified GARCH Model CHEN Xiong-bing, ZHANG Zong-cheng 2008, 16 (4):  44-49.  Abstract ( 2396 )   PDF (709KB) ( 2340 )   Save This paper investigates the day-of-the-week effect on stock return and volatility in China during the period of 2000 to 2006.Under modified GARCH framework,we find that the lowest and the highest return are present on Thursday and Tuesday for both Shanghai and Shenzhen markets,respectively.The lowest volatility is observed on Tuesday for both markets,whereas the highest volatility occurs on Monday for Shenzhen and on Wednesday for Shanghai.We also find there is significantly positive relationship between expected returns and market risk.Two explanations for the day-of-the-week effect are provided in the end of the paper. Related Articles | Metrics

Select

Research on Robust Stochastic Optimization of Multi-Retailers Competition under Demand Uncertainty YAN Ni-na, HUANG Xiao-yuan, MA Long-long 2008, 16 (4):  50-54.  Abstract ( 4195 )   PDF (651KB) ( 2373 )   Save In this paper,the supply chain system with one manufacturer and multi-retailers is constructed under demand uncertainty.The stochastic optimization models with retailer competition are established under the consideration of products substitutability.Using robust optimization method,the absolute robust problems,robust deviation problems and relative robust problems are studied under demand uncertainty, respectively.Finally,these three optimal solutions are compared with different product substitutability through numerical examples. Related Articles | Metrics

Select

Determine Optimal Marketing Investment Level and Lot Sizing Policy for Deteriorating Products under the Condition of Permissible Delay in Payments XIA Hai-yang, HUANG Pei-qing 2008, 16 (4):  55-61.  Abstract ( 2612 )   PDF (777KB) ( 1215 )   Save This paper deals with the problem of determining the firm's optimal marketing investment level and ordering policies simultaneously for deteriorating items under the condition of permissible delay in payments,in order to maximize its annual net profit.In this article we develop an algorithm to solve this problem.Also,the effect of sensitivity of demand on marketing investment,credit period length and deteriorating rate on the firm's optimal strategy and profit is examined. Related Articles | Metrics

Select

Research on Pricing and Capacity Planning Coordination Based on Reimbursement Contracts SHAO Xiao-feng, JI Jian-hua 2008, 16 (4):  62-68.  Abstract ( 2682 )   PDF (889KB) ( 1474 )   Save This paper analyzes the pricing and capacity planning coordination problem in supply chains with uncertain and price-dependent demand.The manufacturer purchases a kind of key component from the supplier and manufactures the final product.The potential demand for the product is a random variable, and the final demandfor the product is determined by the selling price.The manufacturer can purchase the key component from other sources with a higher price if the supplier's capacity is constrained.The selling price and capacity are respectively determined by the manufacturer and the supplier.We analyze and compare the strategies made in centralized and decentralized supply chains.We design a kind of reimbursement contract to effectively coordinate the decision behaviors of the manufacturer and the supplier.Finally,numerical examples are presented to show the effectiveness of the contract. Related Articles | Metrics

Select

Research on Crew Rostering Problem in Airline Company Based on the Crew’s Flight Quality Performance ZHAO Yu, XU Bao-guang 2008, 16 (4):  69-76.  Abstract ( 2719 )   PDF (710KB) ( 1203 )   Save With the development of China's airline business, every air line company does their best to enlarge the scale of their coverage rate on airlines and enhance their control ability.But airline business considers the safety as the most important thing above all the other activities for the high risks of the business that made the crew rostering work more complicated.This paper gives a combination idea that immerges the data of flight quality performance and production record to make a more safe rostering plan.Given some rules and regulations, we can limit the poor performance pilots to fly together for the safety.An initial classification method was given to distinguish the good performance and 2002 performance pilots according to the work-age and events permillage-rate and column-generation was adopted to solve the weekly crew rostering problem.Although this is still a primary attempt in terms of the combination of production and safety, it makes sense for the airline companies' production and safety management. Related Articles | Metrics

Select

Model for Negotiating Supply Chain Contract Based on Bi-level Programming and Its Solution LI Ying, YANG Shan-lin 2008, 16 (4):  77-83.  Abstract ( 3839 )   PDF (590KB) ( 1524 )   Save The paper constructs a model for negotiating supply chain contract based on bi-level programming,and proposes solution method based on fuzzy theory.Taking the optimal price-discount contracts for example,three contract-making strategies are studied:Stackelberg game,centralization-based cooperation,and negotiation-based cooperation.The data comparing and analysis shows that strategy of negonation-based cooperation is better then others for its good effect and high applicability. Related Articles | Metrics

Select

Retail’s Decision and the Bullwhip Effect on Delayed Demand Information WANG Wei-jun, TANG Xiao-wo, NI De-bin 2008, 16 (4):  84-89.  Abstract ( 3861 )   PDF (579KB) ( 2194 )   Save The bullwhip effect,a popular phenomenon in enterprise's business,has a very large impact on an enterp ri se.This paper considers a simple two-stage supply chain consisting of a single retailer and a single vendor.First,we build inventory and mixed decision(inventory and pricing decision) models for the retailer on the delayed demand information.Then we analyse the impact of decisions on the bullwhip effect.The result shows that we can get the expectation of both prancing and order-up-to which have nothing as the delayed period based on retail optimal policy,and the retailer's inventory policy can produce the bullwhip effect which will decrease as the delayed period increases when delayed demand information exfists,but whether its mixed policy can produce the bullwhip effect according to the demand self correlation parameter,not the delayed period,however,it will decrease as the delayed period increases.Morever, comparing to an inventory decision,the retailer's mixed decision will make the bullwhip effect change intensively as demand is less correlated,otherwise change weakly.Therefore,for a retailer,appropriate delayed demand information and pricing flexibility can reduce the bullwhip effect. Related Articles | Metrics

Select

Trade-Offs between Cost and Customer Service in Reverse Logistics Network Design HE Bo, YANG Chao 2008, 16 (4):  90-95.  Abstract ( 2451 )   PDF (765KB) ( 1864 )   Save Reverse logistics network design is a strategic decision for company.This paper addresses the analysis of reverse logistic networks for post-sale service.A multi-objective integer programming which optimizes the cost and service level simultaneously is developed to determine the numbers and locations and capacity levels of service centers and the assignment of customer areas to service centers.A hybrid multiobjective evolutionary algorithm is proposed to solve the model.Through analysis of the example,so me conclusions about the network design are obtained.Finally,we compared the hybrid multi-objective evolutionary algorithm with the ε-constraints.The results show our algorithm is very efficient for median-larger scale problem. Related Articles | Metrics

Select

Regulation Model of Supply Chain Cooperative Conflict—The Case of Coal and Eletric Power Enterprises ZHAO Xiao-li, QI Jian-xun 2008, 16 (4):  96-103.  Abstract ( 2520 )   PDF (757KB) ( 1347 )   Save Cooperative conflict will take place during the process of supply chain cooperation due to the different aim between cooperation enterprises,less inspiration of profit distribution,and the environmental uncertainty.It would affect the stability of cooperation relationship,if the problem of cooperative conflict can't be resolved effectively.The performances and reasons of cooperative conflict of supply chain are analyzed at first,then we pay more attention to studying how to resolve the cooperative conflict by self-regulation and government regulation.It is considered that the self-regulation should be finished by self-enforcing agreements and the model of maximization of relationship rent.While the government regulation should be finished by establishing proper benefit distribution proportion in order to turn prisoner's game to deerstalking game to realize benefit consistent inspiring. Related Articles | Metrics

Select

R&D Investment Decision with Technology Licensing Alliance XUE Ming-gao 2008, 16 (4):  104-110.  Abstract ( 2432 )   PDF (807KB) ( 1159 )   Save This paper considers the market structure which is affected by firm's licensing decision.We develop and apply a real option modeling framework where the underlying state variable can be described by continuous time threshold autoregressive process.We derive the value of R & D project and investment rules,and use numerical analysis to discuss these effect of growth rate and uncertainty of the R & D project revenue and licensing arrangement on the value of R & D project and investment rules. Related Articles | Metrics

Select

The Influence Factors and Performance Consequence of Budget Slack for Listed Enterprises in China PAN Fei, CHENG Ming, WANG Qing 2008, 16 (4):  111-119.  Abstract ( 2514 )   PDF (978KB) ( 1725 )   Save Some subsistent empirical researches indicate that budget slack is prevalent in organizations.There are two reasonable theories for explaining budget slack:agency theory and contingency theory.At the same time,it is one important character in our transitional economics that state-owned enterprises are influenced administratively by the government.We select budgetary data from the enterprises listed in Shanghai or Shenzhen to research budget slack.Empirical results illuminate:1.Ownership property,ownership structure andfirm size are important expository variables for budget slack.Therefore,agency theory and government influence provide more explanation than contingency theory.2.Tight budget does not have effective incentive effect,but improve manager's motivation to manage earnings. Related Articles | Metrics

Select

Payoff Externality and Effectiveness of BOT Scheme SHI Lei, WANG Dong-bo, DAI Da-shuang 2008, 16 (4):  120-126.  Abstract ( 3782 )   PDF (358KB) ( 1504 )   Save This paper examines the moral hazard issues arising-from the pay-off ext ernalities and the private monitoring in infrastructure projects, and also investigates the effectiveness of BOT project by introducing penalty clauses and competitive tendering.The payoff externality refers to a situation that the level of effort exerted by the private sector in the construction period influences the cost occurring in the operation period.The moral hazard can not be deterred by the penalty clauses and competitive tendering, if the project is carried out by the traditional scheme.On the other hand, the moral hazard can be efficiently deterred by the BOT concession contract with a single agent internalizing the pay-off externality, as far as the project company is forbidden to quit from the contract throughout the contract periods.However, the efficiency of the BOT scheme is flawed if the breach of the contract can be made by the limited-liability company under limited recourse principle.The paper is concluded by the remark that the social efficiency is accomplished by applying deposit system which is valid to deter the moral hazard. Related Articles | Metrics

Select

Open System Game Pricing Model for Enterprises with Different Cost LI Sen, GAO Ming 2008, 16 (4):  127-131.  Abstract ( 2263 )   PDF (521KB) ( 1529 )   Save Based on the different cost of enterprises,a competitive game pricing model as well as a cooperative game pricing model are established and compared between the two enterprises with different costs under a closed system.Then an analysis is conducted and results come out that a rational enterprise would not choose the competitive game price because of the low profit,nor will they choose cooperative game pricing,for the high price might lead to more potential competitors.In addition,a pricing model under open system is established with the conception of margin prices Factors that influence the margin price are identified.The reasons why competitive price can keep the company with a comparatively higher profit are also clarified.A numerical example is given to illustrate the model at last. Related Articles | Metrics

Select

Study on the Propagation of Financial Distress along a Supply Chain XU Xiao-yan, SUN Yan-hong 2008, 16 (4):  132-139.  Abstract ( 2610 )   PDF (1055KB) ( 1304 )   Save Firms in a supply chain are interdependent so that one firm's financial distress may have impacts on its upstream and downstream enterprises and even cause their financial distresses.For a simple supply chain which is composed of one upstream manufacturer and one downstream retailer,this paper investigates how the financial distress propagates along the supply chain.The impacts of the retailer's financial distress on the manufacturer's operation and financial status are firstly investigated from the operational perspective.Then combined with the manufacture's decision behavior,the propagation characteristics of financial distress from the retailer to the manufacturer are analyzed Numerical analyses further illustrate the influence of operational parameters of the supply chain on the propagation. Related Articles | Metrics

Select

The Comparison on the Impacts of R&D and Advertising on Technical Efficiency of Chinese and Japanese Household Appliance Enterprises HE Feng, CHEN Rong 2008, 16 (4):  140-147.  Abstract ( 3418 )   PDF (920KB) ( 1388 )   Save Based on SFA and DEA approaches and on the sample of dozens of Chinese and Japanese household appliance listed companies during 2001 to 2005, this paper makes a comparative study on the firm's market power efficiency and profitability efficiency.Then makes an exploratory research on the effect of R & D and advertising to the two types of firm technical efficiencies by DEA-TOBIT and Battese & Coelli (1995) SFA models.The empirical results show that R & D impact significantly and positively the two technical efficiencies in long-term in highly competitive household appliance industry, however the similar relation between advertising and the two technical efficiencies cannot be verified. Related Articles | Metrics

Select

A Study of Multi-Level DEA Models and Applications MENG Wei, ZHANG Da-qun, LIU Wen-bin 2008, 16 (4):  148-154.  Abstract ( 2695 )   PDF (374KB) ( 1607 )   Save In practical evaluation, people usually prefer to select a set of indicators or establish indicator system with hierar chical structure to present a relative comprehensive evaluation, and the importance of indicators in different level is of ten different.However, it is hard for standard DEA models to handle too many inputs and outputs indicators directly because of discrimination power.Meanwhile, standard DEA models also cannot handle hierarchical indicators directly.Based on the preference and measurement implied in DEA models, this study presents multi-level DEA models, which can deal with the indicators with hierarchical structure directly.Additionally, value judgments of the decision makers are well incorporated, and discrimination power of DEA model is much enhanced when many indicators are used.A practical evaluation of 15 institutes for basic research institutions is provided at the end. Related Articles | Metrics

Select

Bounded Rationality and Stability of Weakly Efficient Solution Set of Multiobjective Optimization Problems WANG Hong-lei, YU Jian 2008, 16 (4):  155-158.  Abstract ( 3593 )   PDF (359KB) ( 1451 )   Save In this paper, we define rationality function for multio bjective optimization problems and prove that most of the multio bjective optimization problems are structurally stable and robust. Related Articles | Metrics

Select

The Optimization of Background Value in Non-Equidistant GM(1,1) Model WANG Ye-mei, DANG Yao-guo, WANG Zheng-xin 2008, 16 (4):  159-162.  Abstract ( 2457 )   PDF (405KB) ( 1989 )   Save As the background value is an important factor affecting the precision of grey system model, this paper makes a research on the background value in non-equidistant GM (1,1) model.Based on index characteristic of grey model and the definition of integral, we use the discrete function with non-homogeneous exponential law to fit the accumulated sequence to propose a new method to optimize the background value in non-equidistant GM (1,1) model.The example indicates the precision of simulation and forecast by this optimized background value is obviously higher.This new formula of background value is motonly suitable in non-equidistant GM (1,1) model, but also in equidistant GM (1,1) model, and has high precision and wide applicability. Related Articles | Metrics

Select

Study on SMEs’ Investment Behavior and Financing Problems Based on Mixed Game Theory YAN Tai-hua, WANG Xin 2008, 16 (4):  163-169.  Abstract ( 2932 )   PDF (793KB) ( 1432 )   Save This paper analyses the problems of SMEs financing as viewed from scientific investment decision-making of enterprises, discusses the variables influencing SMEs financing under information asymmetry.Based on this, it constructs a standard credit model of banks and SMEs based on mixed game theory, analyses the influence of investment decision-making of enterprises on their financing problems.The result shows: as SMEs make fault investment decisions, deviating from scientific development strategy, they don't achieve Pareto optimum of resources allocation.And the high degree of homogeneity between the owner and manager of SMEs makes this defect more serious.Based on the limitations of SMEs' investment decisions and their inherent defects of corporate governance structure, the authors propose a solution to the current financing problems for SMEs——the establishment of cooperative organizations. Related Articles | Metrics

Select

Study on Antecedents of Firm Growth Based on Knowledge Innovation PAN An-cheng 2008, 16 (4):  170-174.  Abstract ( 2352 )   PDF (628KB) ( 1234 )   Save Knowledge innovation may drive organizational evolution and revolution.In terms of new knowledge, there are two drives for organizational evolution and change, one is internal innovativeness, and the other is marketing change.Existing literature, however, mainly focuses on either drive to explore firm growth.This paper argues that the evolution of organizational knowledge is within an open system involving firm and environmental context.First, this paper establishes the nonlinear model of organizational knowledge system (OKS), and discusses the evolution of OKS.Second, based on the above model, it is illust rated that organizational evolution and change facilitating firm sustained growth may resulted from the general path of organizational knowledge innovation.Last, a simulation is further discussed. Related Articles | Metrics

Select

Research on the Incentive Mechanism for Technological Innovation Diffusion Based on Enterprise Cluster ZHAO Hua, DING Li-ying, FENG Tie-long 2008, 16 (4):  175-181.  Abstract ( 2319 )   PDF (810KB) ( 1399 )   Save Analyzing the characters and activities of technological innovation diffusion within the enterprise cluster, this paper reveals the barrier factors in maintaining innovation diffusion process, and establishes the analytical framework of incentive mechanism for technical innovation diffusion by using the theory of principle-agent,then using the "rank-order to urnament" for reference to establish and analyze the incentive mechanism model.These analyses deduce a relevant incentive mechanism and provide a theoretical basis for enterprise clusters in taking effective measures to encourage technological innovation diffusion. Related Articles | Metrics

Select

Review on Finance Market Durations Model Based on the UHF Data GENG Ke-hong, ZHANG Shi-ying 2008, 16 (4):  182-192.  Abstract ( 2574 )   PDF (1169KB) ( 1771 )   Save Because modeling forultra-high frequency data can not only make up the shortcoming of modeling for data which have the same interval traditionally, but also discern microstructure of financial market.So, in recent years, it has become a bran-new field to research the ultra-high frequency data of financial market.This paper surveys and assesses the development and main fruits of finance market durations models and estimation methods of these models in the recent 10 years.Then, durations models and its estimation methods are compared with each other.In the end, we also point out the new areas of future research along these lines. Related Articles | Metrics