Table of Content

30 April 2011, Volume 19 Issue 2 Previous Issue    Next Issue

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New Models for Measuring the Liquidity Risk of Stocks WANG Ming-tao, ZHUANG Ya-ming 2011, 19 (2):  1-9.  Abstract ( 2477 )   PDF (471KB) ( 2215 )   Save This paper first probes the intrinsic characteristics of liquidity risk of stock and puts forward a concept of target liquidity.Two new models for measuring the liquidity risk of stocks are set up by using risk measuring theory.One is using the expectation of liquidity shortfall to target liquidity to measure liquidity risk of stocks.The other is a synthetic measuring model for liquidity risk of stocks by combining the liquidity shortfall with its volatility.We test the models by employing a sample of the listed 40stocks'in Shanghai Stock Market.The results show that the models can measure liquidity risk of stocks scientifically. Related Articles | Metrics

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Estimation on Portfolio Risk via Time-varying T-copula and Monte-carlo Method GAO Yue, WANG Jia-hua 2011, 19 (2):  10-15.  Abstract ( 2619 )   PDF (362KB) ( 1902 )   Save A time-varying t-copula model is used to investigate the dependence between return series of Dow Jones Industrial Average Index and S&P 500INDEX.The difficulty of time-varying t-copula model is how to specify evolution equation of time-varying dependence parameters.A new evolution equation have been established to describe time-varying parameters including time-varying related correlation coefficient and degree of freedom.Moreover,stimulated portfolio return series is generated by monte-carlo method in order to get VaR of different portfolios.Next,a simple analysis on the risk trend of these portfolios is given here.The VaR results are tested by backtesting method,the result of these tests shows that VaR series calculated by time-varying copula model have a good coverage rate to factual lost. Related Articles | Metrics

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Extreme Zero Recovery Rate Analysis Based on Family of Logistic Models CHEN Mu-zi, HUANG Yi-qiu, CHEN Min, YANG Xiao-guang 2011, 19 (2):  16-23.  Abstract ( 2575 )   PDF (684KB) ( 1608 )   Save Whether the non-performing loan is zero recovery rate or not is one of the most important things for its pricing,management and disposal strategy.Macroeconomic factors and disposal effects will both affect the recovery rate.Based on LossMetrics TM,this paper use family of logistic models to analyze the hazard rate of zero recovery non-performing loans from 2001 to 2008.We analyze the relationship between macroeconomic factors and the zero recovery loans for the whole sample,and we divide the time of disposition into four subsamples,that is less than 12 months,12-22 months,23-60 months and more than 60 months,and contribute models for the four different subsamples.The results show that the relationship between GDP growth and zero recovery rate is negative,collateral factors are significant in most models for subsamples,but in the models the effects are different.Analyzing the relationship between macroeconomic factors and disposal effect will help us to develop effective recovery strategy Related Articles | Metrics

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Test for Financial Market Stability Based on Quantile Regression Method SHI Jin-feng, LIU wei-qi, YANG wei 2011, 19 (2):  24-29.  Abstract ( 2457 )   PDF (711KB) ( 1432 )   Save Based on the angles of the volatility,this paper gives a definition of financial market stability, proposes the test based on quantile regression method,and then tests the stability of Shanghai Market using the method.The empirical results show that the Shanghai stock market developed from unstable to stable,and particularly after the global financial crisis triggered by the U.S.subprime mortgage crisis,it has entered a stable state in relatively fast manner.The test method performs robust to the selections of systematic shock and periods of volatility.Meanwhile,the change of stock market stability indicate that a good range of policies for global financial crisis play a role in promoting a stable and healthy development of financial market. Related Articles | Metrics

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Money Supply Mechnisiam and Multiplier Effects of Fiscal Expenditures： A DSGE-based Analysis JIAN Zhi-hong, LI Shuang, LU Juan 2011, 19 (2):  30-39.  Abstract ( 2726 )   PDF (1021KB) ( 3157 )   Save This paper investigates the multiplier effects of China's government purchase and public investment based on an extended DSGE framework in which monetary policy is characterized by an endogenous money supply mechanism.It shows that both kinds of government expenditures have crowding out effect on private consumption and private investment.Sensitive analysis finds that the main contribution to fiscal crowding out effect is relative lower output elasticity of government capital.In the case of less negative response of money supply to inflation or stronger positive reaction to output in China's monetary policy,the government purchase and public investment will lead to a rise in private consumption and private investment. Related Articles | Metrics

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A Long-short Portfolio Selection Model with Liquidity Constraints and Margin Purchase LIU Hong-Chen, XU Jiu-ping, WU Meng, HUANG Nan-jing 2011, 19 (2):  40-48.  Abstract ( 2527 )   PDF (875KB) ( 1879 )   Save In this paper,by defining the security price as trapezoidal fuzzy number,we establish a longshort portfolio selection model with liquidity constraints,margin,transaction costs and different borrowing and lending interests.By using the theory of nonlinear programming and maximum entropy methods, we give an algorithm to solve this model.Finally,an example is given to illustrate our main results and analysis of the interaction of the portfolio efficient frontier with liquidity constraints,margin,transaction costs and different borrowing and lending interests. Related Articles | Metrics

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Equity Refinancing, Earnings Management and the Performance Decline of China Listed Companies： Viewpoint from Accruals and Real Activities Manipulation LI Zeng-fu, ZHENG You-huan, LIAN Yu-jun 2011, 19 (2):  49-56.  Abstract ( 3005 )   PDF (440KB) ( 2460 )   Save This paper investigates both the accrual and real-based earning management activities around seasoned equity offerings(SEOs),and their effects on firm performance in China.The results show that both accrual and real manipulations are used around SEOs,but their effects are different.In specifically,the accruals manipulation leads to performance decline in short run,while the real activities manipulation may hurt long-run performance.In comparison,the company's poor performance post SEO is more attributable to real earnings management.Our findings contribute to the literature by showing that the post-SEO performance decline due to the real activities management is more severe than that due to accrual management. Related Articles | Metrics

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The Volatility Features of Shanghai Composite Index Between Bull and Bear Markets ZU Lei, CUI Zhi-wei, LI Zi-ran, ZHAHG Jin 2011, 19 (2):  57-62.  Abstract ( 2407 )   PDF (347KB) ( 1639 )   Save Based on the market index trend,the sample data is divided into four bulls and three bears,and each is examined by CGARCH model.The empirical results show that the volatility persistence is relatively lower in bear markets than that in bull markets.In contrast to some previous findings of high volatility persistence in US bear stock market,our results imply that the cause of China's bear stock market is not attributable to the change of volatility persistence.We prefer to explain the observed differences of volatility dynamics across bull and bear markets in terms of investor sentiment. Related Articles | Metrics

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Ordering Strategy Research Based on Financial Supply Chain under Conditions of Stochastic Demands XU Xian-hao, DENG Chen, PENG Hong-xia 2011, 19 (2):  63-70.  Abstract ( 2685 )   PDF (668KB) ( 1559 )   Save This paper applies the supply chain financial management to deal with the cash constraints of the newsboy model under conditions of permissible delay in payments.In the new model,shortage is allowed, the sales of the product,financing interest and credit period are also considered.Then,we solve the model and obtain a series of useful management conclusions through sensitivity analysis and comparison with the classical newsboy model.The proposed model provides a new method for the retailers to administrate the cash and inventory. Related Articles | Metrics

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Optimizing Interrupted Multi-Stage Production with Lot Streaming YE Tao-feng, DA Qing-li 2011, 19 (2):  71-78.  Abstract ( 2093 )   PDF (636KB) ( 1407 )   Save This paper presents a model to optimize the interrupted multi-stage production system in which the production lot size is constant but the sublot can be equal and/or unequal.And the number of sublots at each stage can be different.We firstly model such a system by minimizing total variable costs,and the corresponding heuristic procedure is also developed.The computational process using the heuristic is illustrated by an example.Furthermore,the effects of restarting and idling costs and the sublot-attached setup cost on the problem are discussed. Related Articles | Metrics

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Research on Multi-suppliers’ On-time Delivery Model in Context of Stochastic Demand Time GUAN Xu, MA Shi-hua, ZHOU Qi-chao 2011, 19 (2):  79-87.  Abstract ( 2240 )   PDF (782KB) ( 1351 )   Save This paper studies at the single period on-time delivery model of multi-suppliers,which is based on the Supply Hub.Under the stochastic demand time,suppliers choose the optimal delivery time by themselves in purpose of cost minimization This paper analyzes the optimal delivery time of different suppliers in the situation of information sharing and information isolation.By comparing the effect of optimal delivery time at the cost of suppliers and service level to manufacturer,We demonstrate that it could effective reduce the cost and improve the service level when suppliers adopte cooperation.We find out the optimal delivery policy of suppliers in context of information sharing and also a policy raised by Supply Hub. Related Articles | Metrics

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Optimal Dynamic Pricing for Perishable Assets in Competitive Markets with Strategic Consumers LI Hao, XIONG Zhong-kai, PENG Zhi-qiang 2011, 19 (2):  88-98.  Abstract ( 2361 )   PDF (1060KB) ( 1690 )   Save ation of strategic consumers.We first consider the basic zigzag competition model where the retailers can satisfy the entire market demand.We provide equilibrium optimality conditions for both consumer and seller,and prove monotonicity results for special cases.We further extend the model to the situations where the retailers cannot satisfy the entire market demand.We demonstrate the effect of strategic consumer behavior on the performance of pricing policies through numerical examples and show that strategic customer behavior exerts significant pressure on prices,resulting with a substantial decline in profit. We also find that when the retailers cannot satisfy the entire market demand,strategic customer behavior need not always be detrimental to the seller. Related Articles | Metrics

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A Modified Variable Neighborhood Search Algorithm for the Multi Depot Vehicle Routing Problem with Time Windows WANG Zheng, ZHANG Jun, WANG Xu-ping 2011, 19 (2):  99-109.  Abstract ( 2702 )   PDF (859KB) ( 2675 )   Save The Multi Depot Vehicle Routing Problem with Time Windows(MDVRPTW)is an important variant of the Vehicle Routing Problem(VRP),which is extremely complex and still not resolvedr well.To solve the problem,mathematical model of the MDVRPTW is constructed and a modified variable neighborhood search algorithm is proposed.In the algorithm,a clustering algorithm is utilized to allocate customers in the initial solution construction phase,a hybrid operator is applied in the local search phase to come up with a local optimal solution,apost optimization procedure is incorporated to further improve the best found solutions,the idea of simulated annealing is introduced to take control of the acceptance of new solutions.The performance of the proposed algorithm is tested on the benchmark instances proposed by Cordeau and compared with other algorithms in the literature.The results indicate that the proposed algorithm is effective in solving the MDVRPTW and showes some advantage both in stability and runtime.And finally most of the old optimal solutions are updated. Related Articles | Metrics

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Application of Fuzzy Clustering Based on Particle Swarm Optimization in Vehicle Driving Cycle SHI Qin, WANG Nan-nan, QIU Duo-yang 2011, 19 (2):  110-115.  Abstract ( 2336 )   PDF (830KB) ( 1205 )   Save Fuzzy clustering based on particle swarm optimization method in vehicle driving cycle is tested in this paper.Principal component analysis is used to reduce the characteristics of the whole kinematic segments,which represents road running characteristics.The scores of the first three principal components of the kinematic segments are classified by using fuzzy clustering based on particle swarm optimization method.Programming with Matlab,the above theory is used to construct and analyze the typical roads in Hefei,and the representative driving cycle is obtained by selecting proper segments according to the ratio of time.The representative driving cycle and driving cycle obtained from k-means clustering and fuzzy cmeans clustering method are compared with the experimental data respectively.The research results shaws that fuzzy clustering based on particle swarm optimization method which is used to construct driving cycle can improve construction precision effectively. Related Articles | Metrics

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Research on the Lead Time Bullwhip Effect Measurement Based on Stochastic Petri Nets HAN Wen-min, YUAN Li-li, YE Tao-feng 2011, 19 (2):  116-124.  Abstract ( 2288 )   PDF (1053KB) ( 1588 )   Save Using stochastic Petri nets and triangular fuzzy parameters,this paper measures the fluctuation of the three stages of production cycle,and it conforms that the deviation of preceding production cycle leads to a greater deviation of the next production cycle.The fluctuation transfers from a stage to a subsequent stage in the whole production process,and it is amplified gradually.The phenomenon is similar to the bullwhip effect in supply chain.This paper provides a new way of thinking and method about measuring the fluctuation of production cycle caused by uncertainty factors. Related Articles | Metrics

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Performance Evaluation of Supply Chain Based on SCOR Model： An Innovative Parameter OFE TONG Jian, WEN Hai-tao 2011, 19 (2):  125-132.  Abstract ( 2543 )   PDF (390KB) ( 2602 )   Save As a core component of Supply Chain Management,supply chain performance evaluation plays an important role in the successful operation for supply Chain and enterprises.Based on the existing standard evaluation indicators of SCOR model and a large number of supply chain practices aimed to quantify the competitiveness of the supply chain,it is derived a new innovative performance evaluation parameter,i.e. Order Fulfillment Efficiency(OFE).This parameter combines qualitative and quantitative performance in the order fulfillment process and reflects the correlation between the invested resources and related output. OFE has multidimensional,practical and operational characteristics.OFE can be used for assessment of all parts of the supply chain,it also can serve as a secondary parameter of supply chain management performance indicator. Related Articles | Metrics

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Short Term Electricity Price Forecasting of Combined Chaotic Method ZHANG Jin-liang, TAN Zhong-fu, LI Chun-jie 2011, 19 (2):  133-139.  Abstract ( 2363 )   PDF (709KB) ( 1381 )   Save In electricity market,the price changing presented as a nonlinear、dynamic opening process,it is difficult to improve the accuracy of price forecasting by applying traditional methods.Hence a combined chaotic method for short-term electricity price forecasting based on wavelet transform、econometrics time series models and radial basis function is presented in this paper.First,electricity price series is decomposed and reconstructed into approximate series and detailed series.Then,different models are built to forecast the future values for different sub-series.The final forecasted prices are the sum of the predicted approximate prices and detailed prices.This proposed method is applied to forecast the short-term electricity prices in Spanish electricity market,and the results show that it can provide more accurate forecasted prices. Related Articles | Metrics

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The Optimal Strategies of China’s Strategic Petroleum Reserves in Emergency WU Gang, WEI Yi-Ming 2011, 19 (2):  140-146.  Abstract ( 2364 )   PDF (809KB) ( 1469 )   Save This paper simulates the optimal strategies of China's strategic petroleum reserve in emergency based on a dynamic programming model.We include the GDP loss cause by oil supply shortages in the reserve cost function,and use monthly decision instead of annual basis to provide more realistic simulation of the optimal SPR strategy.Model results show that:In sudden natural disaster scenario,the optimal strategy is to rapidly draw down about 12～36 million barrels SPR to stabilize oil prices and ease supply shortages.In financial crisis scenario,the optimal strategy is to sell some SPR(about 6～18 million barrels)at high oil prices,and then quickly stockpile while the oil prices are relatively low so as to reduce the total cost of reserves.In local armed conflict scenario,the optimal strategy is to continuously and rapidly draw down about 36～77 million barrels SPR to protect the security of oil supply. Related Articles | Metrics

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Study on Strategy of Early Supplier Involvement in the Inter-organizations Collaborative Pproduct Development MA Wen-Jian, LIU Wei, LI Chuan-zhao 2011, 19 (2):  147-154.  Abstract ( 2250 )   PDF (636KB) ( 1371 )   Save Involvement time of supplier and information communication among activities is important factors that influence product development time and cost in the inter-organizations collaborative product development.The knowledge accumulation function and rework function are presented based on innovation of activity and importance of downstream activity information.Next,a model is presented about Early Supplier Involvement(ESI)aim for involvement time of supplier and information communication frequency,and a variable of global gain is constructed considering trade-off between product development time and supplier's cost,the existence of maximum of global gain is proved.Based on this,the computing formulas of optimal involvement time and communication frequency is respectively given,and the strategy for Early Supplier Involvement(ESI)is presented.Finally,an example is given to verify the result. Related Articles | Metrics

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Study on the Effectiveness of Contract Model on Cooperative Innovation in Complex Product System SONG Yan-qiu, JIA Chuan-liang, GAO Tian-hui 2011, 19 (2):  155-160.  Abstract ( 2038 )   PDF (473KB) ( 1271 )   Save Cooperative innovation is the key method for modular manufacturing of Complex Product System (Short for CoPS).However,there could be moral hazard by cooperative units that will damage project value on the process of modular research ascribe to payoff externality and private monitoring.Based on the constructing and analyzing of incomplete contract incentive model,this paper explors the motivating restriction mechanism effectiveness for cooperative units in module outsourcing and jointly developing.It states that in module outsourcing model,the cooperative units do not have to undertake systematic integrated risk so punishment and complete competing couldn't inhibit moral hazard.What's more,jointly developing model may internalize payoff externality to guarantee the effectiveness of cooperative innovation in order to avoid the risk mentioned above. Related Articles | Metrics

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The Study on Random Rationing Strategy Based on Heterogeneous Consumers JI Guo-jun, YANG Guang-yong 2011, 19 (2):  161-168.  Abstract ( 2417 )   PDF (651KB) ( 1147 )   Save This paper considers three types of consumers:strategic consumers,inertia consumers,and bargain-hunters,in which strategic consumers are perfect rational and risk neutral,inertia consumers are bounded rational and implicit risk averse.Strategic and inertia consumers choosing inter-temporal purchase timing deteriorate mismatch risk between capacity and demand.We study the value of random rationing strategy by decreasing product availability to inducing more strategic and inertia consumers to purchase product early.Our results show that when strengthen of inertia of inertia consumers is lower,it's optimal strategy for seller to creating rationing risk to segment market under the former cases,whereas whether seller adopts random rationing strategy depends on both strengthen of inertia and flexible price discount under the latter cases.Then we compare these two operation management mechanisms through numerical study and find that value of flexible discount price mechanism is generally much greater when discount price is lower. Related Articles | Metrics

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A Method for Proposal-reviewer Assignment in Proposal Review Based on the Match Degree of Research Discipline CHEN Yuan, FAN Zhi-ping 2011, 19 (2):  169-173.  Abstract ( 2256 )   PDF (485KB) ( 1661 )   Save In this paper,a method for the proposal-reviewer assignment problem is proposed.Firstly,a model is built for measuring the match degree of reviewer's research discipline and proposal's research discipline.Secondly,a network model for proposal-reviewer assignment is constructed.Thirdly,a solution method for such network model is discussed.Finally,a numerical example is provided for illustrating the feasibility of the proposed method. Related Articles | Metrics

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Effect of Information Asymmetry and Embeddedness on Organizational Learning LIAO Lie-fa, WANG Kan-Liang 2011, 19 (2):  174-182.  Abstract ( 2293 )   PDF (745KB) ( 1473 )   Save Using simulation research method,this research considers how information asymmetry and embeddedness influence the formation of learning network and organizational learning performance.The results indicate that,low embeddedness facilitate exploration learning while high embeddedness facilitate exploitation learning in information symmetry network.On the contrary,information asymmetry inhibit exploration learning,furthermore,the inhibit effect is stronger in embeddedness network than in random network.According to network structure,embeddedness network is higher stability than random network,information asymmetry positive to cluster coefficient.We discuss the implications and future research direction in the end. Related Articles | Metrics

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A Simulation Study on Multi-level Learning in Organization and Its Overall Coordinating Optimization under Changing Environment CHEN Guo-quan, ZHAO Chen 2011, 19 (2):  183-192.  Abstract ( 2265 )   PDF (1048KB) ( 1180 )   Save From the view of individual learning,this study explores the overall coordinating optimization mechanism of multi-level organizational learning by agent-based simulation.It shows the best strategy to allocate limited resources between individual learning,team learning,and organizational learning so as to improve organizational learning efficiency and adapt to the changing environment well.We find that enhancing individual learning from individual and team,while weakening individual learning from organization can help to enhance organizational learning efficiency under high-level changing environment.In middlelevel changing environment,moderate level of individual learning from individual,and weakening individual learning from team and organization can help to enhance overall organizational learning efficiency.Under low-level changing environment,enhancing individual learning from individual and organization,while weakening individual learning from team,can help to promote overall organizational learning efficiency. Related Articles | Metrics