The ASEAN Free Trade Area: the search for a common prosperity

During the 1992 ASEAN Summit Meeting, a historic decision was made to create an ASEAN Free Trade area over the next fifteen years. This was a milestone in economic co-operation within ASEAN. Global political and economic developments as well as factors internal to ASEAN made this decision possible. The task of expeditious implementation of AFTA poses major challenges, but AFTA itself augurs well for regional competitiveness.     

Crossing of Psychological Price Levels: The Price Dynamics and Interaction between S&P500 Index and Index Futures

The authors provide fresh evidence on the nonfundamental-driven price dynamics and interaction between index and index futures by examining the price movements of the S&P500 index and index futures surrounding the crossing of the 00 psychological barriers and 52-week highs and lows. In contrast to the extant evidence that futures leads in fundamental-driven price movements, the authors show the dominance of the crossing in the index in continuing the price trend after the crossing. Even when synchronized crossings occur, the index rises more than the index futures during upward crossings, whereas the index futures falls more than the index during downward crossings. While volatility is significantly reduced before upward crossings, but not for downward crossings, it is significantly higher during the crossing, and significantly lower after the crossings in both markets. These findings have clear practical implications for index arbitrageurs, investors, and regulators.     

Bank Reforms,Competition and Efficiency in China＇s Banking System： Are Small City Bank Entrants More Efficient？

This paper analyzes technical efficiency in China＇s banking system by large banks and small city banks as well as the pre-WTO and post-WTO accession periods＇. Using an unbalanced panel dataset for 63 banks over 1997-2006 and employing the stochastic frontier function approach, the empirical results reveal that the new entrants, small city banks, experienced a slightly higher efficiency score than incumbent large banks, on average. Compared with the pre- WTO accession period, the efficiency score is found to have improved significantly after entry into the WTO as a result of the competition effect. This competition effect is particularly relevant for small city banks. Finally, determinants of X-inefficiency are examined     

An Assessment of Propagation Stickers in LINE Services to Promote: Toward a New Model of Diffusion Theory

Rapidly developing technologies have increased the prevalence of innovation content dramatically. LINE is one of the famous social networks in Taiwan. Many innovations have improved people satisfaction and willing to use, but these studies have mostly targeted intention to use technologies, however, are rare thinking of people satisfaction as a mediator during the promotion in LINE, such as stickers. Therefore, there is a need to understand what people intention to propagate. The aim of this study was to evaluate the effects of diffusion theory, playfulness and fashion, and satisfaction on people willingness to propagate the members in LINE. After gathering 235 on online questionnaire survey, Amos was applied to evaluate the proposed model and hypotheses. The analytical results presented that satisfaction has mediating effect and playfulness and fashion have moderating effects. Implications of these findings are discussed.     

On the Risk Performance of Bays Empirical Bayes Procedures for Classification Between N(-1,l) and N(1,1)

In empirical Bayes decision making, the Bayes empirical Bayes approach is diccussed by Gilliland and Boyer (1979). In the finite state component case, the Bayes empirical Bayes procedures are shown to have optimal properties in a fairly general setting and believed to have small sample advantage over the classical rules. The flexibility of making desirable adjustments for these decision procedures by choice of prior enables one to set a proper strategy when dealing with actual problems.
The applications of Bayes empirical Bayes procedures, however, create some interesting theoretical and computational problems as they are fairly complicated in structure. This paper gives a brief introduction into the Bayes empirical Bayes approach, and, to illustrate it, explicit results are given for testing H₀: N(-1,1) against H₁: N(1,1).     

Will eChannel additions increase the financial performance of the firm?—The evidence from Taiwan

The emergence of the Internet has forced firms to add eChannels to their existing channel system. Nevertheless, empirical studies failed to provide direct evidence on whether eChannel addition could enhance the financial performance of the firm. In this research, an attempt was made to fill in this literature gap from three financial measure perspectives, i.e., Event Study methodology, Economic Value Added (EVA) measure and Market Value Added (MVA) measure. Empirical data were collected from Taiwan's financial service sector. The finding revealed that eChannel addition announcement could increase a firm's accumulative abnormal returns, EVA value and MVA value. We therefore concluded that eChannel addition could help increase the financial performance of the firm.     

Revisiting the issue of survivability and market efficiency with the Santa Fe Artificial Stock Market

The relevance of risk preference and forecasting accuracy for investor survival has recently been the focus of a series of theoretical and simulation studies. At one extreme, it has been proven that risk preference can be entirely irrelevant (Sandroni in Econometrica 68:1303–1341, 2000; Blume and Easley in Econometrica 74(4):929–966, 2006). However, the agent-based computational approach indicates that risk preference matters and can be more relevant for survivability than forecasting accuracy (Chen and Huang in Advances in natural computation, Springer, Berlin, 2005; J Econ Behav Organ 67(3):702–717, 2008; Huang in J Econ Interact Coord, 2015). Chen and Huang (Inf Sci 177(5):1222–1229, 2007, 2008) further explained that it is the saving behavior of traders that determines their survivability. However, institutional investors do not have to consider saving decisions that are the most influential investors in modern financial markets. Additionally, traders in the above series of theoretical and simulation studies have learned to forecast the stochastic process that determines which asset will pay dividends, not the market prices and dividends. To relate the research on survivability to issues with respect to the efficient markets hypothesis, it is better to endow agents with the ability to forecast market prices and dividends. With the Santa Fe Artificial Stock Market, where traders do not have to consider saving decisions and can learn to forecast both asset prices and dividends, we revisit the issue of survivability and market efficiency. We find that the main finding of Chen and Huang (2008) that risk preference is much more relevant for survivability than forecasting accuracy still holds for a wide range of market conditions but can fail when the baseline dividend becomes very small. Moreover, the advantage of traders who are less averse to risk is revealed in the market where saving decisions are not taken into account. Finally, Huang’s (2015) argument regarding the degree of market inefficiency is confirmed.     

Do conference calls facilitate market price discovery? Evidence from Taiwan

This study examines whether conference calls accelerate the speed at which the market and analysts understand the implications of the accrual components of current earnings on future earnings. We analyze Taiwan’s listed firms from 2001 through 2014 and find that (1) delayed market reactions to earnings news during the following 12?months occur less often for firms than for host conference calls, and (2) conference calls are associated with a significant improvement in the accuracy of analysts’ earnings forecasts. One possible explanation for our results is that conference calls improve the efficacy of investors’ and analysts’ reactions to earnings announcements by conveying information regarding the accrual components of reported earnings. Our results have implications for other Asian economies that have relatively opaque information environments and weak shareholder protections.     

Portfolio selection based on the mean–VaR efficient frontier

Value-at-Risk (VaR) has become one of the standard measures for assessing risk not only in the financial industry but also for asset allocations of individual investors. The traditional mean–variance framework for portfolio selection should, however, be revised when the investor's concern is the VaR instead of the standard deviation. This is especially true when asset returns are not normal. In this paper, we incorporate VaR in portfolio selection, and we propose a mean–VaR efficient frontier. Due to the two-objective optimization problem that is associated with the mean–VaR framework, an evolutionary multi-objective approach is required to construct the mean–VaR efficient frontier. Specifically, we consider the elitist non-dominated sorting Genetic Algorithm (NSGA-II). From our empirical analysis, we conclude that the risk-averse investor might inefficiently allocate his/her wealth if his/her decision is based on the mean–variance framework.     

Analytic approximation formulae for pricing forward‐starting Asian options

In this article we first identify a missing term in the Bouaziz, Briys, and Crouhy ( 1994 ) pricing formula for forward‐starting Asian options and derive the correct one. First, illustrate in certain cases that the missing term in their pricing formula could induce large pricing errors or unreasonable option prices. Second, we derive new analytic approximation formulae for valuing forward‐starting Asian options by adding the second‐order term in the Taylor series. We show that our formulae can accurately value forward‐starting Asian options with a large underlying asset's volatility or a longer time window for the average of the underlying asset prices, whereas the pricing errors for these options with the previously mentioned formula could be large. Third, we derive the hedge ratios for these options and compare their properties with those of plain vanilla options. © 2003 Wiley Periodicals, Inc. Jrl Fut Mark 23:487–516, 2003