Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets

We apply a multivariate asymmetric generalized dynamic conditional correlation GARCH model to daily index returns of S&P500, US corporate bonds, and their real estate counterparts (REITs and CMBS) from 1999 to 2008. We document, for the first time, evidence for asymmetric volatilities and correlations in CMBS and REITs. Due to their high levels of leverage, REIT returns exhibit stronger asymmetric volatilities. Also, both REIT and stock returns show strong evidence of asymmetries in their conditional correlation, suggesting reduced hedging potential of REITs against the stock market downturn during the sample period. There is also evidence that corporate bonds and CMBS may provide diversification benefits for stocks and REITs. Furthermore, we demonstrate that default spread and stock market volatility play a significant role in driving dynamics of these conditional correlations and that there is a significant structural break in the correlations caused by the recent financial crisis.     

Coping with Job Insecurity: The Role of Procedural Justice, Ethical Leadership and Power Distance Orientation

This study examines the relationship between procedural justice and employee job insecurity, and the boundary conditions of this relationship. Drawing upon uncertainty management theory and ethical leadership research, we hypothesized that procedural justice is negatively related to job insecurity, and that this relationship is moderated by ethical leadership. We further predicted that the moderating relationship would be more pronounced among employees with a low power distance orientation. We tested our hypotheses using a sample of 381 workers in Macau and Southern China. The results support all of our hypotheses. The implications of these results for research and practice are discussed.     

基于低碳经济的区域发展模式探讨

在低碳经济条件下,区域经济发展支撑要素已由传统的经济要素,向碳排放权、交易权等生态环境要素、区域公平与发展共享等民生、民权要素转变;区际关系由传统的基于产业链分工合作的垂直式关系,转向基于创新合作的水平式关系;区域发展由资源能源等要素投入主导向创新主导转变。区域低碳发展路径具有多样性,包括全球行动,经济发展方式转变,地域系统优化,区域治理模式创新等方面。     

国外低碳经济研究动向分析

进入21世纪,低碳经济成为国内外学者关注热点。首先简要分析经济地理学研究的四个转向:制度转向、文化转向、关系转向和生态转向,探讨低碳经济发展的理论基础,认为低碳经济是区域可持续发展思想、生态文明思想的具体深化,其实质是区域社会经济发展模式的转变。对国外低碳经济研究内容进行总结分析,归纳为不同类型区域碳排放评估预测、不同尺度的能源与碳排放评估模型应用研究、碳补偿机制及其治理研究、低碳经济的政府治理机制、碳税体系研究、碳足迹的界定与评估、低碳城市的发展模式等7个不同方面,在此基础上,对国外低碳经济研究进行了简要评价,认为国外低碳经济研究注重实践研究,研究方法上注重数理模型的应用,但同时存在模型、政策、机制的适应性问题。最后提出对未来低碳经济研究的初步建议:研究设计符合发展中国家国情的区域碳排放评估预测模型,能源与气候变化政策关系模型等数量模型;以多学科、多角度综合集成的视角研究低碳经济对区域发展模式的影响,以及影响的机制及途径。     

水性轮转凹印油墨在PET和BOPP基材上印刷的对比研究

采用凹印机（最大速度500m／min）在PET（聚对苯二甲酸乙二醇酯）和BOPP（双向拉伸聚丙烯）承印物上进行印刷试验,以研究高速凹版印刷下油墨的转移情况和印刷适性。将水性油墨用酒精稀释后,在特定的印刷速度、印刷压力和网穴尺寸等多种印刷设备条件下对柔性承印物进行印刷。采用光学显微镜、UV可见光谱仪和原子力显微镜（AFM）测量印刷图像和油墨转移率。通过对界面张力、黏度以及油墨与承印物之间润湿角的测量与评价,定量分析它们对印刷特性的影响。实验结果表明,影响印刷特性的最重要的因素是油墨黏度、表面张力和界面张力。稀释后的油墨在PET和BOPP薄膜上的铺展系数都小于零,也就是说油墨难以在二者上顺利铺展,因此,扩散可能是由于剪切力导致油墨流动。显微镜或光谱仪测量表明,在各种试验印刷设备条件下,印刷速度不会对PET薄膜上印刷图像的均匀性和色度产生很大影响,而BOPP薄膜上的图像质量则在很大程度上依赖于转速。两者存在差异的主要原因在于BOPP薄膜多孔表面的毛细管堵塞导致油墨的铺展能力降低。此外,网穴尺寸（网点百分比）增大导致色度增大,其原因在于油墨和承印物间的接触面积变大。尤其对于BOPP薄膜来说,其印刷图像的色度会随着网点百分比的增大而线性增大。应该指出,在相同的稀释条件和设备条件下,较之PET薄膜来说,BOPP薄膜上的印刷图像的色度与墨层厚度远远高于PET薄膜。BOPP与PET薄膜在油墨转移率上的较大差异也许可以在一定程度上解释两者在界面张力上的差异,以及BOPP承印物上的吸收现象。     

A stochastic dominance analysis of yen carry trades

Yen carry trades have made headline news for over a decade. We examine the profitability of such trades for the period 2001–2009. Yen carry trades generated high mean returns and Sharpe ratios prior to the recent financial crisis. They continued to outperform major stock markets for the full sample period. Given the non-normality of carry trade returns, we apply non-parametric tests based on stochastic dominance (SD) to evaluate whether the high returns of yen carry trades are compatible with risk as reflected in returns on US and global stock market indices. We apply a general test for SD developed recently by Linton, Maasoumi and Whang (2005) to six currencies as well as portfolios of these currencies. For a large class of risk-averse investors, profits from yen carry trades cannot be attributed to risks.     

Public or private gatekeepers in non-consensual debt restructurings in emerging jurisdictions

In advanced jurisdictions, the choice of a non-consensual debt restructuring is between a public or a private gatekeeper model where either the court or the licensed insolvency professional respectively approves a restructuring plan that binds dissenting creditors. In the United States, the only gateway is found in Chapter 11 of the Bankruptcy Code 1978, which requires court approval and gives the debtor a significant say in the outcome. In contrast, in the United Kingdom, there exist four gateways, only two of which require court approval (scheme of arrangement and restructuring plan), while the remaining two (administration and company voluntary arrangement) give significant powers to the insolvency practitioner to decide on the outcome. In emerging jurisdictions such as Mainland China and India, due to path dependency and lack of institutional capacity, the court-supervised model is chosen as the only or primary gateway to legitimise non-consensual restructurings though the insolvency practitioner has an important statutory role. Using the two jurisdictions as case studies, this article argues that such a choice has several initial benefits but also leads to several problems, including delays in the restructuring, does not necessarily improve substantive outcomes and does not adequately address the shareholder–creditor and creditor–creditor agency costs. This article proposes that for debt restructuring that involves the sale of the business as a going concern, the private gatekeeper should be able to decide on the sale and the distributions following pre-bankruptcy entitlements. Recourse to the court as a public gatekeeper should only be used for reorganisation proceedings.     

Speculative trading and stock returns: A stochastic dominance analysis of the Chinese A-share market

The pricing of A-shares in China has long puzzled financial economists. This paper applies recent tests of stochastic dominance (SD) to examine whether differences in the return distributions of A- and B-shares in China are consistent with market efficiency. As SD is nonparametric, market efficiency can be examined without the joint test problem arising from misspecifications in the asset pricing benchmark. Our results show A-shares have second-order dominated B-shares from 1996 to 2005. This dominance was most significant during the market segmentation period, but has continued, albeit to a lesser extent even after the B-share market was opened to local investors in 2001. Our results are robust to using residual returns from an international asset pricing model instead of raw returns. We conclude that the superior performance of A-shares cannot be attributed to risk. The results are more likely due to a return bias caused by intense speculation among retail individuals under limited arbitrage.