A censored stochastic volatility approach to the estimation of price limit moves

A censored stochastic volatility model is developed to reconstruct a return series censored by price limits, one popular form of market stabilization mechanisms. When price limits are reached, the observed prices are truncated and the equilibrium prices are unobservable, which makes further financial analyses difficult. The model offers theoretically sound estimates of censored returns and is demonstrated via simulations to outperform existing approaches with respect to the estimates of model parameters, unconditional means, and standard deviations. The algorithm is applied to model stock and futures returns and results are consistent with the simulation outcomes.     

Suppliers’ and customers’ information asymmetry and corporate bond yield spreads

This study investigates the information asymmetry effects of suppliers and customers on a firm’s bond yield spreads by employing American bond market data from 2001 to 2008. This study finds that both suppliers’ and customers’ information asymmetry effects significantly explain a firm’s bond yield spreads. Besides, the information asymmetry effects of more important suppliers and customers are more significant than those of less important ones. The results are robust even after controlling for other well-known firm specific and economic variables.     

Assessing the Self-service Technology Encounters: Development and Validation of SSTQUAL Scale

Self-service technologies (SSTs) have enhanced the role technology plays in customer interactions with firms, yet instruments that systematically measure the service quality of SSTs from the perspective of customers remain underdeveloped. Based on psychometric scale development approaches, this study conceptualized, constructed, refined, and tested a multiple-item scale that examined key factors influencing SST service quality. Through qualitative and quantitative studies in four separate phases, a 20-item seven-dimension SSTQUAL scale was developed that includes functionality, enjoyment, security, assurance, design, convenience, and customization. The scale demonstrates sound psychometric properties based on findings from various reliability and validity tests as well as vigorous scale replications across industries and consumer traits using several different samples. The utility of the proposed scale is discussed for implications, limitations and future research.     

Asymptotics for duration-driven long range dependent processes

We consider processes with second order long range dependence resulting from heavy tailed durations. We refer to this phenomenon as duration-driven long range dependence (DDLRD), as opposed to the more widely studied linear long range dependence based on fractional differencing of an i.i.d. process. We consider in detail two specific processes having DDLRD, originally presented in Taqqu and Levy [1986. Using renewal processes to generate long-range dependence and high variability. Dependence in Probability and Statistics. Birkhauser, Boston, pp. 73–89], and Parke [1999. What is fractional integration? Review of Economics and Statistics 81, 632–638]. For these processes, we obtain the limiting distribution of suitably standardized discrete Fourier transforms (DFTs) and sample autocovariances. At low frequencies, the standardized DFTs converge to a stable law, as do the standardized sample autocovariances at fixed lags. Finite collections of standardized sample autocovariances at a fixed set of lags converge to a degenerate distribution. The standardized DFTs at high frequencies converge to a Gaussian law. Our asymptotic results are strikingly similar for the two DDLRD processes studied. We calibrate our asymptotic results with a simulation study which also investigates the properties of the semiparametric log periodogram regression estimator of the memory parameter.     

Driving factors of the hospitality industry cycle

This study applies a Markov regime-switching model to examine Taiwan's hospitality industry based on the gross domestic product data of the hospitality industry from 1982Q1 to 2012Q2. On understanding the characteristics of Taiwan's hospitality industry, the study performs Granger causality tests to identify the driving factors of Taiwan's hospitality industry cycle. Two regimes of the hospitality industry cycle – a high-growth regime (HGR) and a low-growth regime (LGR) – are detected. Specifically, the average growth rate of HGR (LGR) is 3.01% (2.17%) and the standard deviation of HGR (LGR) is 0.69% (0.19%). The probability of the hospitality industry staying in HGR (LGR) is 98.25% (97.52%) and the expected duration of HGR (LGR) is about 57 (40) quarters. Further, the inbound tourism market growth is found to be a significant driving factor that can cause the hospitality industry to remain in the HGR. Valuable information and policy implications are provided to guide hospitality business managers and tourism policy-makers.     

Does supervisor-perceived authentic leadership influence employee work engagement through employee-perceived authentic leadership and employee trust?

The issue of authentic leadership has been generating increased interest in both practical and academic domains. This study examines the influence of authentic leadership on employee trust and employee work engagement from the dyadic supervisor–employee viewpoint. The sample data consists of responses from 77 team supervisors and 345 employees in 36 companies. We utilize hierarchical linear modeling to test the hypotheses. The cross-level results show that employee trust fully mediates supervisor-perceived authentic leadership and employee work engagement, and that employee-perceived authentic leadership fully mediates the relationship between supervisor-perceived authentic leadership and employee trust, as well as the relationship between supervisor-perceived authentic leadership and employee work engagement. On the individual level, employee trust has a partial mediating effect on the relationship between employee-perceived authentic leadership and employee work engagement.     

Locating experts using social media,based on social capital and expertise similarity

Information and communication technologies boost knowledge activities, both within and across organizations, and in online communities. Determining how to effectively search for and find experts via social media has become a critical issue. Although social capital is a key driver of knowledge contribution, we have not addressed the issue of how to locate experts based on their social capital. Systems designed to locate experts typically recommend such experts based on keywords, thus failing to consider any semantic similarity between their areas of expertise and the problem domain (a.k.a., “expertise similarity”). The system designed and developed in this study recommends experts based on both their social capital and expertise similarity. We measure the social capital of experts based on their consultant service relationships and their friendships. We conduct a field experiment to evaluate user satisfaction and the system’s knowledge-contribution predictive capability. The results show that the proposed system is of high quality and delivers excellent information. Hence, users expressed their intention to use this system. In addition, the positive effect of social capital on the knowledge contribution is verified from the perspective of user behavior.     

Competitive pricing decisions in a two-echelon supply chain with horizontal and vertical competition

This study investigates the pricing decisions in a non-cooperative supply chain that consists of two retailers and one common supplier. The retailers order from the common supplier and compete in the same market. We analyze six power structures that characterize exclusively horizontal competition between the retailers and vertical competition between the supplier and the retailers, leading to different sequences of moves among the chain members. We derive the analytical forms of the equilibrium quantities under each power structure and explore the effect of retail substitutability on the equilibrium quantities among all power structures. We further investigate the performances of the game models as compared with the integrated model.