Trading platform,market volatility and pricing efficiency in the floor-traded and E-mini index futures markets

This study examines the pricing efficiency of E-mini and floor-traded index futures under electronic versus open-outcry trading platforms. By using OLS and quantile regressions to control for changes in market characteristics, we find that pricing errors are smaller in the E-mini markets than the floor-traded markets, thereby confirming that electronic trading has special attractions for arbitrageurs and informed traders. However, during periods of higher volatility, the advantages of speedier execution, anonymity and information efficiency may be offset by arbitrage risks; as a result, larger pricing errors are observed in the E-mini markets. We provide new evidence confirming the important roles in pricing efficiency played by both traditional open-outcry systems and electronic trading systems.     

An application of six sigma methodology to enhance leisure service quality

Thanks to flourishing development of the service industry for the past few years, its GDP output value is over 73%, which accounts for 58% of the employment population. The leisure service industry, in particular grows by multiple revealing its significant importance. As there is a feature of high homogeneity and substitution in the same trade, the core issue lies on enhancement of service quality in an environment of keen competition. As a result, six sigma (6σ) is applied in this research to improve service quality and increase competitiveness of the leisure industry. First, the service quality model proposed by Parasuraman, A., V. A. Zeithaml, and L. L. Berry (PZB model for short) is utilized to design the items in the service quality questionnaire. Importance and satisfaction of each service item perceived by customers are based for the scale, whose means are further converted to indexes. Thus, a scale-based service performance evaluation matrix with indices of importance as the Y-axis and those of satisfaction as the X-axis is defined. Then, service factors of high importance and low satisfaction are located and defined for improvement in accordance with the index location of each service factor. A measurement model based on the difference between customers’ importance and satisfaction is proposed and a measurement index is defined for an objective evaluation method and procedures. Next, factors of customer dissatisfaction are analyzed and improvement methods are devised. Finally, leisure service quality is monitored by the performance control model.     

China's housing bubble burst?

In this paper, we developed the recursive unit root tests to identify the beginning and end of potential speculative bubbles in the Chinese housing price cycles during 2006–2013 for the 70 major cities of China. The method is best suited for a practical implementation with a time series and delivers a consistent date‐stamping strategy for the origination and termination of multiple bubbles. Simulations demonstrate that the test significantly improves discriminatory power and leads to distinct power gains when multiple bubbles occur. Overall, the results indicate that the speculative housing price bubbles in China are not bursting, and they indicate that the stationarity of the housing price level varies across the different city sizes. Between the cities, approximately one‐fourth of the bubbles have burst up to December 2013, while the first‐tier city bubble may not burst due to the urbanization process.     

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The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices

This study analyzes affine styled-facts price dynamics of Henry Hub natural gas price by incorporating the price features of jump risk, and seasonality within stochastic volatility framework. Affine styled-facts dynamics has the advantage of being able to incorporate mean reversion (MR), stochastic volatility (SV), seasonality trends (S), and jump diffusion (J) in a standardized inclusive framework. Our main finding is that models that incorporate jumps significantly improve overall out-of-sample option pricing performance. The combined MRSVJS model provides the best fit of both daily gas price returns and the related cross section of option prices. Incorporating seasonal effects tend to provide more stable pricing ability, especially for the long-term option contracts.     

Exploring the impact of trust and relational embeddedness in e-marketplaces: An empirical study in Taiwan

B2B transaction is a rapid growth section within e-commerce. However, despite the increase in the number of B2B transactions, only a few e-marketplaces have successfully attracted a large number of buyers and sellers. The purpose of this study is to investigate the underpinning forces that influence the organizational decision to adopt e-marketplaces and to improve competitiveness through continuous participation in e-marketplaces. This study applies the technology acceptance model, relational embeddedness, and the trust theory to explore the impact of perceived ease of use, perceived usefulness, and relational embeddedness on trust associated with e-marketplace providers. This study further tests the impact of relational embeddedness and trust on relationship performance in the context of e-marketplaces. Based on 284 active buyers and sellers in well-known public e-marketplaces, the empirical findings suggest that perceived ease of use positively influences perceived usefulness of e-marketplaces; perceived ease of use influences user trust of e-marketplaces via perceived usefulness; and relational embeddedness leads to enhanced trust in e-marketplace providers, which subsequently leads to better relationship performance. Both relational embeddedness and trust also influence relationship performance directly. This research reveals the importance of perceived usefulness and relational embeddedness on trust associated with e-marketplace providers.     

Do Partial Cross Ownership and Budget Constraints Matter for Privatization Policy?

We show that in the presence of cross-ownership associated with an improvement of production inefficiency of the public firm, the optimal privatization policy is full privatization whether budget constraints are imposed on the public firm. For reaching a higher level of social welfare, the government does not need to impose budget constraints on the public firm when the fixed cost is low.