A note on the performance of regime switching hedge strategy

We characterize conditions under which the regime switching (RS) hedge strategy will perform better than the ordinary least squares (OLS) hedge strategy. The result can be extended to the case where the GARCH effects prevail. Specifically, these conditions would allow the RS‐GARCH hedge strategy to dominate both OLS and GARCH hedge strategies. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark     

Optimal futures hedging for energy commodities: An application of the GAS model

This paper applies generalized autoregressive score-driven (GAS) models to futures hedging of crude oil and natural gas. For both commodities, the GAS framework captures the marginal distributions of spot and futures returns and corresponding dynamic copula correlations. We compare within-sample and out-of-sample hedging effectiveness of GAS models against constant ordinary least square (OLS) strategy and time-varying copula-based GARCH models in terms of volatility reduction and Value at Risk reduction. We show that the constant OLS hedge ratio is not inherently inferior to the time-varying alternatives. Nonetheless, GAS models tend to exhibit better hedging effectiveness than other strategies, particularly for natural gas.     

Heterogeneous Firms,Globalisation and the Distance Puzzle

Despite the strong pace of globalisation, the distance effect on trade is persistent or even growing over time (Disdier and Head, 2008). To solve this distance puzzle, we use the recently developed gravity equation estimator from Helpman et al. (2008) (HMR henceforth). Using three different data sets, we find that the distance coefficient increases over time when ordinary least squares (OLS) is used, while the non‐linear estimation of HMR leads to a decline in the distance coefficient over time. The distance puzzle, thus, arises from a growing bias of OLS estimates. The latter is explained by an increase in the importance of the bias from omitting the number of heterogeneous exporting firms relative to the bias from omitting zero trade flows. Furthermore, we show that including zero trade flows cannot solve the distance puzzle when using HMR. The HMR estimates are strongly correlated with the time pattern in freight costs reported by Hummels (2007).     

An empirical analysis of dynamic multiscale hedging using wavelet decomposition

This study investigates the hedging effectiveness of a dynamic moving‐window OLS hedging model, formed using wavelet decomposed time‐series. The wavelet transform is applied to calculate the appropriate dynamic minimum‐variance hedge ratio for various hedging horizons for a number of assets. The effectiveness of the dynamic multiscale hedging strategy is then tested, both in‐ and out‐of‐sample, using standard variance reduction and expanded to include a downside risk metric, the scale‐dependent Value‐at‐Risk. Measured using variance reduction, the effectiveness converges to one at longer scales, while a measure of VaR reduction indicates a portion of residual risk remains at all scales. Analysis of the hedge portfolio distributions indicate that this unhedged tail risk is related to excess portfolio kurtosis found at all scales.     

Conditional OLS minimum variance hedge ratios

The paper presents a new methodology to estimate time dependent minimum variance hedge ratios. The so‐called conditional OLS hedge ratio modifies the static OLS approach to incorporate conditioning information. The ability of the conditional OLS hedge ratio to minimize the risk of a hedged portfolio is compared to conventional static and dynamic approaches, such as the naïve hedge, the roll‐over OLS hedge, and the bivariate GARCH(1,1) model. The paper concludes that, both in‐sample and out‐of‐sample, the conditional OLS hedge ratio reduces the basis risk of an equity portfolio better than the alternatives conventionally used in risk management. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:945–964, 2004     

A stationary stochastic parameter model and OLS estimation of beta: A simulation study

A procedure that explicitly estimates the form of beta nonstationary followed by a security is examined. Beta estimates and forecasts generated from this process are compared with estimates and forecasts generated by the ordinary least squares (OLS) procedure. With the true underlying parameters known in the simulations, estimator basis adn efficiency are both measured. The OLS estimators and predictors are found to be quite robust, generally providing accurate estimates even when OLS conditions are seriously violated. The expanding advocacy of random-coefficient and other stochastic parameter models is open to question.     

广西与东盟农业弱质性和农产品贸易竞争力研究

本文基于1996-2008年广西与东盟农产品贸易和广西GDP的相关年度数据,利用最小二乘法对广西与东盟农产品贸易和广西经济增长之间的关系进行了实证分析。研究结果表明,1996-2008年间广西与东盟农产品贸易量每增长1%,将导致广西GDP增长0.82%。     

Competitiveness of the Malaysian Food Processing Industry

Competitiveness is the goal sought after by governments and private sectors of many developing countries, including Malaysia. The study used net social profits (NSP) at the production level and the Porter diamond approach at the firms’ level to evaluate the competitiveness of 16 food-processing sectors from 2000 to 2008. The results indicate that processed-food industries have a comparative advantage but at a different magnitude. A time trend was fitted to track the dynamic NSP indices where positive trends indicate improvement in competitiveness. The range of NSP indices is quite wide, from RM 1,707.70 for snacks to RM 35.36 for vegetable and animal oils and fats, reflecting the need to improve resource allocation from low to high comparative advantage sectors. The NSP trend and Porter diamond conditions (demand condition, factor inputs, firm strategy and rivalry, and related supporting industries) suggested that the food processing cluster is gaining competitiveness.     

Ethics-focused dynamic capabilities: a small business perspective

Our analysis of survey data of US small and medium-sized enterprises (SMEs) explores (1) whether firms have ‘dynamic’ capabilities that change their ethics-focused operational capabilities; (2) what effects those dynamic capabilities have on both ethical and competitive performance; and, (3) whether those effects are contingent on a firm’s entrepreneurial characteristics. Our survey reveals that about a quarter of SMEs self-report high levels of these ethics-focused dynamic capabilities. We use hierarchical OLS to analyze the survey data to find that the general effect of these capabilities is positive on an SME’s ethical performance, and that the performance effects are contingent on an SME’s degree of entrepreneurial orientation and sensitivity to changes in the business context. The main implication is that the extent of heterogeneity in types, roles, and performance effects of ‘higher-than-operations-level’ capabilities is likely underestimated in current dynamic capabilities theory and application.     

外国直接投资与我国技术创新研究

本文运用面板协整工具和动态最小二乘法(DOLS)来检验我国1990-2004年间FDI的技术溢出效应与我国技术创新的相关关系。实证研究的结果显示:FDI与我国技术创新存在着长期稳定的关系;如果跨越了一定的人力资本门槛,那么FDI从总体上对我国的技术创新产生了积极的影响,也可以说人力资本在FDI促进我国技术创新中起着关键的作用。     

The performance of alternative futures buy‐write strategies

This study compares the performance of a conventional buy‐write (or covered call writing) and a dynamic buy‐write strategy. The conventional strategy generally enhances portfolio returns in low volatility conditions but underperforms the underlying cash asset in sharply rising markets. The dynamic strategy adjusts the moneyness of the option according to market conditions. The study extends Hill, J. M., Balasubramanian, V., Gregory, K., and Tierens, I. ( 2006 ) and tests how and to what extent market volatility and market direction affect the performance of these two strategies. The study finds that both strategies offer significant positive α, higher returns and lower standard deviations than the market. Consistent with prior research, the abnormal returns of the buy‐write strategies can be attributed to a volatility premium embedded in the options prices. The buy‐write returns from the Hong Kong market appear to be lower than those found in the U.S. and U.K. markets. The conventional buy‐write outperforms the dynamic strategy in both high and low volatility environments, and in sharply falling markets. However, by targeting exercise probability, the dynamic strategy provides a greater upside in sharply rising markets. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark     

Hedging under counterparty credit uncertainty

This study investigates optimal production and hedging decisions for firms facing price risk that can be hedged with vulnerable contracts, i.e., exposed to nonhedgeable endogenous counterparty credit risk. When vulnerable forward contracts are the only hedging instruments available, the firm's optimal level of production is lower than without credit risk. Under plausible conditions on the stochastic dependence between the commodity price and the counterparty's assets, the firm does not sell its entire production on the vulnerable forward market. When options on forward contracts are also available, the optimal hedging strategy requires a long put position. This provides a new rationale for the hedging role of options in the over‐the‐counter markets exposed to counterparty credit risk. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 248–263, 2008     

社会政策对人口趋势影响的检验与评估

使用计量经济学中的时间序列模型 ,对我国改革政策对流动人口增长和对计划生育政策对生育率下降作用的显著性进行了检验。再次证实了社会政策对我国人口趋势的显著影响 ,同时对我国生育率的下降用模型分离了计划生育和社会经济发展的独立作用 ,估算了计划生育政策的实行对总和生育率下降、出生人数减少以及总人口增长的量化影响。     

中国证券市场A、B、H股的动态相关关系研究

文章将沪市(深市)A股、沪市(深市)B股和H股纳入一个研究框架,采用1995-2008年样本数据,运用GJR-GARCH-ADCC模型对三个市场的收益率条件相关性进行了实证分析.结果表明,A股和B股,B股和H股相关性受非对称信息影响,而A股与H股间不受非对称影响.本文还检测了三个主要的市场开放政策对市场间相关关系影响,发现B股市场开放后,A、B市场相关关系有明显的结构变动,联动性增强;QDII政策的实施加深了深市A股和H股,深市B股和H股的联系;但QFII政策对各市相关性影响不明显.整体说明国内证券市场,特别是A股和B股,A股和H股,融合度加深,联动性增强.     

The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio

Hedging strategies for commodity prices largely rely on dynamic models to compute optimal hedge ratios. This study illustrates the importance of considering the commodity inventory effect (effect by which the commodity price volatility increases more after a positive shock than after a negative shock of the same magnitude) in modeling the variance–covariance dynamics. We show by in‐sample and out‐of‐sample forecasts that a commodity price index portfolio optimized by an asymmetric BEKK–GARCH model outperforms the symmetric BEKK, static (OLS), or naïve models. Robustness checks on a set of commodities and by an alternative mean‐variance optimization framework confirm the relevance of taking into account the inventory effect in commodity hedging strategies.     

Managing future uncertainty: Reevaluating the role of scenario planning

The business environment for many firms is changing rapidly and is becoming increasingly uncertain due to the disruption caused by new digital technologies, deregulation, new business models, and the threat of new competitive entrants. This dynamic competitive environment increases the level of uncertainty for senior executives and strategic planning teams who bear responsibility for the strategic development of the firm, particularly in terms of the future direction, scope, and the strategy required to deliver on corporate objectives. This in turn, places increased scrutiny on the strategic planning tools that are used to undertake a rational and comprehensive analysis of the competitive dynamics that inform strategy formulation. This article presents empirical findings and reflections on a scenario-planning project that sought to develop a long-term corporate level strategy. While scenario planning is an established constituent of the strategist’s toolbox, the increasing level of dynamism and uncertainty in many markets has meant that it has seen a resurgence. This article presents empirical findings on how the scenario-planning tool was selected and applied before reflecting on the individual and organizational outcomes of using scenario planning to develop an organizational strategy in uncertain market conditions.     

战略预见的竞争优势:基于不确定环境的全景分析

新竞争环境下,企业面临的不确定性因素更加突出,企业如何在动态变化的环境中持续地创造新竞争优势成为企业战略的核心。传统战略理论的分析背景已发生了较大的变化,而现代企业竞争优势的源泉之一是要提升自己的战略预见能力。战略预见就是要寻找企业竞争优势变化及商业生态模式演变的趋势与规律,通过商业模式分析、价值链分析、战略博弈结构分析、技术市场化分析以及新兴产业可行性分析等战略分析视角,寻求企业未来发展的战略杠杆。     

Reconsidering Media Discourses on Food Crisis from a Quantitative Perspective

In 2007–2008, when food prices started to increase dramatically, purchasing power parity of consumers, especially the urban poor, started to decrease automatically. High food prices were argued to cause poverty, hunger, and food riots among urban populations. Henceforward, “food crisis” became a new storyline in the current debate. In contrast, in the pre-2007 period, when rural farmers had been facing negative welfare effects of low food prices for many years, there were no crisis talks. This article analyzes different media coverage of urban consumers and rural producers under changes in relative incomes for the 2000–2013 period and propounds media bias on the food crisis debate by using content analysis and the OLS regression model.     

沪深300股指期货套期保值效率度量研究——基于沪深300ETF的实证分析

基于沪深300股指期货真实交易数据,选取对指数拟合程度高且可交易的沪深300ETF为现货研究对象,运用静态套期保值比率估计模型（OLS、B-VAR、VECM）和动态套期保值比率估计模型（VECMBGARCH、DBEKK-GARCH、DCC-GARCH、NormCopula-GARCH、tCopula-GARCH）对最优套期保值比率进行估计,并对规避风险效果进行比较。结果表明：无论在样本内期间和样本外期间中,各模型反映出的沪深300股指期货套期保值效率都较高,考虑期货与现货市场动态相关性的NormCopula-GARCH模型套期保值效果最优。     

Hedge Fund Styles and their Contagion from the Equity Market

We examine the dynamic contagion process of the equity market on 10 hedge fund styles. We investigate the contagion mechanism for each style using single equation error correction and latent factor models. We find that the contagion effects of the equity market on each style index depend specifically on the fund style strategy. We demonstrate that certain fund styles are more prone to contagion from the equity market than others. Our results help illuminate the relative effectiveness of a particular strategy under certain market conditions and provide insights into the long‐standing controversy around the efficient market hypothesis.