Table of Content

28 August 2004, Volume 12 Issue 4 Previous Issue    Next Issue

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Risk Analysis of Foreign Exchange Markets by Copula WU Zhen-xiang, YE Wu-yi, MIAO Bai-qi 2004, (4):  1-5.  Abstract ( 2507 )   PDF (1701KB) ( 3066 )   Save In this paper risk analysis of two-assets portfolio is investigated using Archimedean Copula.The least VaR portfolio of two-assets portfolio can be found by selecting proper Copula.In the practice of foreign exchange markets,the least VaR portfolio of European dollar and Japanese yen is gotten.Also the sensitivity of VaR to the combination coefficients is given. References | Related Articles | Metrics

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Further Analysis of Chinese Investment Funds’ Herding Behavior WU Fu-long, ZENG Yong, TANG Xiao-wo 2004, (4):  6-11.  Abstract ( 2121 )   PDF (1286KB) ( 2358 )   Save Based on the investment specifics in every fund’s semiannual and annual statement as data,this paper adopts the testing method of Wermers(1999),makes a more practical extension of the assumptions and an empirical test of Chinese security funds’ herding behavior.It finds that Chinese security funds’ herding is more significant on the only-buy side than American mutual funds’ corresponding herding while Chinese security funds’ herding on the two other sides is less significant than American mutual funds’ buy herding.Chinese security funds flock into the large-capitalization stocks,small-capitalization stocks,IT stocks and newly-listed stocks on the only-buy side while not on the two other sides.The investment focus of Chinese security funds are in the medium- and large-capitalization stocks,which is beneficial to the stability of the stock market.The fund investment is highly related with the market trend. References | Related Articles | Metrics

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A DFA Study on the Persistence of Fluctuations in China Stock Market WEI Yu, HUANG Deng-shi 2004, (4):  12-19.  Abstract ( 2186 )   PDF (1593KB) ( 2545 )   Save The persistence of fluctuations in Chinese stock market is studied by DFA and R/S techniques.A new persistence pattern and the characteristic time scales of the existence of persistence are also found.Such new tools and empirical results are useful to study the nonlinearity and complexity of Chinese stock market. References | Related Articles | Metrics

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The Relationship between Conjectural Variations in Quantities and Conjectural Variations in Prices in Oligopoly Market CHU Rong-wei 2004, (4):  20-23.  Abstract ( 2199 )   PDF (929KB) ( 1875 )   Save It is shown that a general integrated model including conjectural variations will range from complete competition to monopoly in a homogeneous market.Then,the relationship between conjectural variations in quantities and conjectural variations in prices in differentiated product market is illustrated.Finally,some theoretical arguments are presented,as well as possible firm’s competitive behaviors. References | Related Articles | Metrics

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Standardized Method of Defining Significant Fringe of Stock Combination SUN Fu 2004, (4):  24-27.  Abstract ( 2372 )   PDF (1913KB) ( 2159 )   Save On the basis of the symbol system,this thesis reasons and proves the standand expression of deviation quadratic form of stock combination and gets the general epression under linear substitution. It also expounds the way to find a solution of stock combination and illustrutes with some examples. References | Related Articles | Metrics

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Game Analyseis on R&D Policy of Upstream Firm TIAN Ying, PU Yong-jian 2004, (4):  28-32.  Abstract ( 2196 )   PDF (1789KB) ( 1977 )   Save When an upstream and a downstream firm exist in the market,vertical integration can increase the upstream R&D expenditure,the downstream output,and the industry profit.This paper studies the problem whether the upstream and downstream firms can sign a contract to increase the upstream R&D expenditure,the downstream output,and the industry profit to the level after the vertical integration.It is shown that,if the upstream and downstream firms play two-stage dynamic game,the contract is not a perfect Nash equilibrium.If the upstream and downstream firms play infinitely repeated game,the contract can be signed and abided. References | Related Articles | Metrics

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The Strategy of Profit Allocation among Partners in Dynamic Alliance Based on the Shapley Value DAI Jian-hua, XUE Hen-xin 2004, (4):  33-36.  Abstract ( 2346 )   PDF (1302KB) ( 3573 )   Save The dynamic alliance is considered as the most promising organizational structure of the 21st century.It enhances competitive forces and makes enterprises respond to unpredictable changes of the market better.But as a new organizational form,it also has many problems to be studied.One of those is profit allocation.This paper introduces the Shapley Value algorithm and applies it to the profit allocation among cooperation partners in the dynamic alliance.Besides these,some good qualities and shortcomings are also analyzed in the paper.A modified method based on venture is presented to improve the algorithm in the end. References | Related Articles | Metrics

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Using CAPM to Calculate the Cost of Capital of China’s Real Estate Industry LIAO Li, SHEN Chao 2004, (4):  37-42.  Abstract ( 2701 )   PDF (2193KB) ( 4447 )   Save Calculation of cost of capital for an industry,especially for China’s real estate industry is very critical.This would provide an important benchmark for both investors of the industry and the firms in the industry.This paper firstly reviews the theory of cost of capital,and uses CAPM to achieve the result that the cost of capital of real estate industry in China is around 12.44%.Based on this outcome,we tentatively try to answer whether there are "bubbles" in China’s real estate development:if the real return is less than 12.44%,but cash flow is still rushing into the industry,we could tend to think there exist "bubbles". References | Related Articles | Metrics

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A New TOCO Based Tool for Supplier Selection Deeision Making WANG Zhe, RONG Yi-hong, YU Bo, XU Dian-guo 2004, (4):  43-49.  Abstract ( 2149 )   PDF (1398KB) ( 1654 )   Save According to the concept of Total Cost of Ownership(TOCO),the supplier selection criterion of international procurement can be classified into two levels,namely macro decision-making level and micro decision-making level.In this paper,in order to solve the problem of supplier selection in international procurement,a new quantitative method——TOCO total assessment tool is put forward to accomplish the task of total assessment on the micro decision-making level.It can calculate the direct cost and the indirect cost conveniently and can help to evaluate the performance of candidate suppliers.In this paper,the supplier selection related factors are discussed;the method of using the tool is illustrated in detail.It is shown that scientific usage of the TOCO toal assessment tool can make the decsion-making processes of supplier selection in international procurement transparent,easily calculated,and objective.At the end,a practical case is given to clarify the procedure of using the tool. References | Related Articles | Metrics

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A Coordinating Contract of Supply Chain with Sale-Effort Dependent Demand ZHANG Ju-liang, CHEN Jian 2004, (4):  50-56.  Abstract ( 2263 )   PDF (1191KB) ( 2345 )   Save In this paper,the newsvendor model is revisited,and the mechanism of designing contract to ensure the supply chain coordination is investigated.Based on this,a general model of designing contract is proposed.Then we analyze the framework of designing contract ensuring coordination for the supply chain with sale effort dependent demand.And a contract to ensure coordination for the supply chain with sale effort dependent demand is presented. References | Related Articles | Metrics

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Optimal Retailer’s Order policy for Perishable Products with Wholesale Price Updating CHEN Xu 2004, (4):  57-63.  Abstract ( 2168 )   PDF (1487KB) ( 2105 )   Save Supply chain management for perishable products is an important branch of supply chain management,and is focused on more and more.One of key problems of supply chain management is how the manufacturer attracts the retailer to order as early as possible,and how the retailer makes an optimal order according to the manufacturer’s attractive measures?In this paper,the optimal retailer’s order policy for perishable with wholesale price update is studied.The supply chain gains co-win for both manufacturer and retailer via the manufacturer providing two ordering chances for the retailer.Based on the models for the system at the beginning time and after the wholesale update,some analysis and discussion are processed,the condition that the two different wholesale prices should be met and the optimal ordering policy that the retailer should be taken are proposed. References | Related Articles | Metrics

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A Study on the Relationship Between Production Function and Cost Function NI De-bing, TANG Xiao-wo 2004, (4):  64-68.  Abstract ( 4331 )   PDF (1288KB) ( 3990 )   Save This paper gives the general relationship between production function and cost function,and proves that there exists a homogeneous correspondence,that is a firm’s cost-maximizing decicsion transforms a homogeneous production function into a homogeneous cost function while a homogeneous cost function results certainly from a homogeneous production function. References | Related Articles | Metrics

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Study on Vital Edges of Shortest Paths in Traffic and Transportation Network LI Yin-zhen, GUO Yao-huang 2004, (4):  69-73.  Abstract ( 2182 )   PDF (872KB) ( 2359 )   Save It often exists that roads or railway lines are broken,stations or hubs are blocked because of natural calamity or improper transportation organization.In the paper,the transportation network model and vital edges are studied.An algorithm of calculating vital edges is given.It provides scientific basis for raising transportation efficiency and reducing the loss caused by vital lines broken. References | Related Articles | Metrics

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Study on Flexibility of Financial Management of High-Tech Enterprises ZHAO Xiang-liang, HAN Yu-qi 2004, (4):  74-79.  Abstract ( 2326 )   PDF (1171KB) ( 1894 )   Save The paper analyses the character and uncertainty of the financial management of high and new technology enterprise from the system angle.It defines the flexibility of financial management of high and new technology enterprise on this foundation,and constructs the method for measuring the flexibility of financial management and its net profit and variation range.It uses expecting picture to monitor dynamic flexibility of the financial management.The calculation of example shows that the approach is easy to operate. References | Related Articles | Metrics

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The Defining of the Catastrophe of Nonlinear One-Dimensional Function of Organizational Scope of Enterprises DONG Xiao-bo 2004, (4):  80-84.  Abstract ( 2075 )   PDF (946KB) ( 1731 )   Save The paper studies catastrophe phenomena,focusing on the form of catastrophe point.Through discussion about the factors that affect the enterprise scope,the paper puts forward the nonlinear normal function of organizational scope of enterprises,explores approximate problem on the function of nonlinear one-dimensional function of organizational scope of enterprises.With the combination of examples and catastrophe theory,the paper studies the difining of folding forms and cusp forms,and it also gives conclusion about the methods of finding of catastrophe points. References | Related Articles | Metrics

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Case-based Heuristic and Learning Method and its Application in Information System Modeling XU Xiao-min, GAN Ren-chu 2004, (4):  85-88.  Abstract ( 1973 )   PDF (488KB) ( 1845 )   Save Case-based heuristic and learning method is a further investigation for the case-based method.The intellectual combination of people and computer is considered to solve the problem of complicated system in this method.In this paper,the main thought,concept and feature of the case-based heuristic and learning method are introduced.At the same time,an application example of information system modeling is presented. References | Related Articles | Metrics

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Multi-Criteria Fuzzy Decision Making Based on Inclusion Degree of Vague Sets LIU Hua-wen 2004, (4):  89-93.  Abstract ( 2194 )   PDF (1977KB) ( 2182 )   Save The concept of inclusion degree of vague sets is applied to multi-criteria decision making in fuzzy environment.First,inclusion degree of vague sets is defined and a series of specific formulas of inclusion degree are presented by means of the norml implication operators.Some formulas of inclusion degree of fuzzy sets are generalized to vague sets by defining the cardinal number of vague sets.Then,we give multi-criteria fuzzy decision-making method based on inclusion degree of vague sets.Finally,we illustrate the effectiveness of the method proposed in this paper by an example. References | Related Articles | Metrics

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Study on Semi-Qualitative Simulation for Teamworks’s Performance and Cooperation Game XIA Gong-cheng, HU Bin, Li Zhi-cheng 2004, (4):  94-98.  Abstract ( 2044 )   PDF (999KB) ( 1615 )   Save In this paper,cooperation degree is regarded as a main factor,which influences teamwork’s performance.A two-person teamwork is taken as an example to establish a game model concerning individual’s effort degree and cooperation degree under certain allocation rules.Nash equilibrium of this game is studied.Based on qualitative simulation algorithm,a semi-qualitative simulation algorithm is designed by integrating quantitative calculation with qualitative reasoning.Comparing with the naive mathematical analysis method in the game theory,the semi-qualitative simulation algorithm developed in this paper can resolve some game problems without precise mathematical models. References | Related Articles | Metrics

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An Application of Logit Model in the Market Performance Evaluation of Corporate Merger REN Jian-xin 2004, (4):  99-104.  Abstract ( 1912 )   PDF (1823KB) ( 1627 )   Save Adopts Post-Chicago School’s definition of monopoly,this paper designs a consumer demand function based on Logit model,computes the market performance of differentiated products firms merger by a numerical simulation approach,finally tests the whole evaluation process by a group of simulated data.The result shows that merger which induces concentration soaring wouldn’t raise price level,meanwhile, sharply increases post-merger firm’s profit and competitiveness for the reason of marginal cost reduction.Consequently,such merger is harmless to consumer and doesn’t give rise to monopolistic effects. References | Related Articles | Metrics

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Study of Strategy on Contract Risk in Virtual Alliance GUO Yan, ZHANG Shi-Ying, GUO Bin, Leng Yong-Gang 2004, (4):  105-110.  Abstract ( 1988 )   PDF (2388KB) ( 2156 )   Save Contract risk in virtual alliance,i.e.moral hazard with hidden action,depends on both combining explicit and implicit incentive mechanisms and considering insurance function of comparisons of relative achievement.The risk in short period cooperation is settled down by optimal incentive contract (explicit contract),which includes internal or external monitoring variables.When designing the incentive scheme,the sponsor should consider not only consistency of the cost of incentive alliance member and his profit but also equilibrium of himself in income and cost.It is only when the observing cost is less than the reducing of agent’s cost that the sponsor can write monitoring variable into contract.For a long period corporation of alliance,the effect of implicit incentive mechanism should be exerted.With the effect of present effort on output,the judgment of market to ability is improved,strengthens reputation effects,weakens ratchet effects,and boosts up incentive and monitoring mechanism,then further the contract risk in virtual alliance will be effectively resolved. References | Related Articles | Metrics

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Structure Design and Cost Optimization for Firms in Early Merger and Acqusition LIU Chun-cao, SHEN Feng-wu 2004, (4):  111-114.  Abstract ( 2220 )   PDF (593KB) ( 2381 )   Save The paper studies the application of transition structure in merger and acquisition.It demonstrates that such application enlarges the management range recessively and thus decreases the organization cost. References | Related Articles | Metrics

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Analysis and Optimization of Harmony Situation of Strategic Alliance ZHU Ai-min, YU Li-juan, ZHANG Qing-shan 2004, (4):  115-118.  Abstract ( 1858 )   PDF (1497KB) ( 1997 )   Save Based on the harmony theory,using the disharmony analysis matrix,it analyzes the present situation of strategic alliance,it can realize the ideal harmony situation through the system evolution optimization model,then it can guide the strategic alliance units to take the corresponding strategic measures. References | Related Articles | Metrics

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Analysis on Creation Probability of the HTVC System——The Mutilation Solution Strategy Case HOU He-yin, WANG Huan-chen 2004, (4):  119-123.  Abstract ( 2079 )   PDF (2248KB) ( 1697 )   Save It’s very necessary to study the relationship between the High-tech industry and the venture capital industry according to the system theory.From the micro-view,the system,which is composed by venture(or entrepreneur),venture capitalists and venture capital,can be called the HTVC system.Creation is the beginning of evolvement for the HTVC integration system,and in fact,is the process during which entrepreneurs and venture capitalists search for each others.Under the model’s assumption,though the entrepreneur adopts opposability solution strategy,if there was at least one venture capitalist who adopts the mutilation solution strategy,the HTVC integration system determinedly can’t get created. References | Related Articles | Metrics

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An Empirical Analysis of Human Capital Investment in China’s 35 Large and Medium Cities LI Tao 2004, (4):  124-129.  Abstract ( 2042 )   PDF (2256KB) ( 1652 )   Save City is an iimportant place for human capital converging and diverging, a main destination of human capital investment. This paper constructs the index syslem for urban human capital investment, carries out a comparison study on human capital investment in china’s 35 large and medium cities by principal component analysis, and obtains a result of score and order for these coties. References | Related Articles | Metrics

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Information Content of Insider Trading in China Securities Market and a Comparison with Market Manipulation WANG Gui-pu, CHI Ren-yong, CHEN Wei-zhong 2004, (4):  130-136.  Abstract ( 2209 )   PDF (1992KB) ( 2855 )   Save Based on insider trading and manipulations in China securities market during 1993 to 2000,using event studies,adjusted model proposed by Meulbroek(1992)and cross section test,the paper compares information content of insider trading with market manipulation.It is found that aggregate econometric result of insider trading is different from sub-sample’s,and Meulbroek(1992)overrates the information content of insider trading.Meanwhile the information content of manipulation is very significant.Moreover,different data and more detailed trades are used in order to get robust result.We find that insider buying cannot get abnormal earning and insider selling gives wrong signal to the market.We also find pure market manipulation and manipulation buying based on insider information cause significant response in the market.At the end,some policy suggestions of regulation on insider trading and manipulation are put forward. References | Related Articles | Metrics

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Demonstrative Study on Fabricated Governance Mechanism of China Listed Companies ZHANG De-ming, CAO Xiu-ying, ZHANG Guo-chun 2004, (4):  137-143.  Abstract ( 2036 )   PDF (2301KB) ( 1551 )   Save Generally,according to base of exerting function,corporate governance mechanism can be dividedinto internal governance mechanism based on corporate governance structure,market governance mechanism based on market, and society governance mechanism based on society environment.These governance mechanisms result in corporate performance.By using data mining technique,this paper demonstrated 29 of 305 listed companies whose 2002 annual report have already issued until 26 March,2003, and obtained corresponding relationship between fabricated mechanism of corporate governance and corporate governance.This research provides reference for constructing legitimate fabricated mechanism and improving corporate performance. References | Related Articles | Metrics

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An Improved Algorithm of Decision Trees by Using the Convex Function GAO Xue-dong, YIN A-dong, ZHANG Jian, GONG Yu, WU Sen 2004, (4):  144-148.  Abstract ( 1912 )   PDF (1512KB) ( 2165 )   Save In this paper,we research deeply the theory of decision trees induction.According to the character of expected information and the quality of convex function,we propose a new algorithm to raise the efficiency of calculating expected information in the process of inducing the decision trees.By using the theory of consistency and special consistency,we also prove that the accuracy of decision trees constructed by the improved algorithm is equal to the one of ID3 algorithm.At the same time,through the experiment of testing the large datasets,we find that the new algorithm has higher calculative efficiency than the old one in the same datasets.Moreover with the larger scale of datasets,the calculation of expected information has more rapid efficiency. References | Related Articles | Metrics