Intelligent Order Matching Systems for Commodity Markets

Automatic order matching systems have emerged as an electronic alternative to traditional markets. In current automatic order matching systems, price and quantity are the only product dimensions used for the order matching. However, a single-commodity market is made up of many heterogeneous goods which are close to each other but different in qualities and delivery conditions. Price and quantity are important but represent only parts of product attributes that commodity traders want to take into account. This study aims to extend current automatic order matching systems by diversifying product dimensions. An intelligent order matching system not only maximizes the total transaction volume based on the price and quantity but also satisfies traders' qualitative preferences over attributes other than price and quantity. The intelligent order matching mechanism combines an economic model with a preference model to incorporate both quantitative and qualitative utility of market participants. Constraint logic programming is investigated as a new information technology to structure and implement the intelligent order matching system.     

Detecting jumps from Lévy jump diffusion processes

Recent asset-pricing models incorporate jump risk through Lévy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Lévy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics. Empirical evidence of both small and big jumps based on these tests suggests that models for individual equities and overall market indices require incorporating Lévy-type jumps. The evidence of small jumps also helps explain why jumps in the market index are uncorrelated with jumps in its component equities.     

Cross-listing effect on information environment of foreign firms: ADR type and country characteristics

We examine sources of improvement in the information environment of foreign firms that cross-listed in the United States as American Depositary Receipts (ADRs) between 1995 and 2005. We analyze changes in the number and dispersion of analyst recommendations on foreign firms following their cross-listing. We find increases in analyst coverage intensity across all four types of ADR programs, especially among firms that were listed on organized exchanges (the listing effect), and those that adopted capital raising ADR programs (the financing effect). Our results suggest that the listing effect is more persistent than the financing effect. On the other hand, reductions in recommendation dispersion are observed mainly for firms that choose non-capital raising ADRs and those from emerging markets. Overall, improvements in information environment are more profound among foreign firms originating from countries with greater information asymmetry, namely, countries with weaker legal tradition and rule of law, and countries that are less familiar to U.S. investors.     

Suppliers’ Participation in a Single Buyer Electronic Market

Business to business (B2B) is the fastest growing segment of the explosive growth of e-commerce. The purpose of this study is to identify internal factors which influence the supplier’s intention to adopt private exchange (PE), a single buyer side electronic market (EM). This study identified cost, flexibility, delivery, and quality as internal capabilities and investigated how these four factors influence suppliers’ participation in PE. The results of the study indicate the following: (1) suppliers do not believe that their capability to produce customized products for customers plays an important role in PE; (2) they still believe that standardized rather than engineered products would dominate the marketplace; and (3) a contractible factor like lower price, rather than non-contractible factors including superior flexibility of production capability, fast and reliable delivery, and quality, plays an important role in the PE.     

Product Unbundling in the Travel Industry: The Economics of Airline Bag Fees

This paper provides theory and evidence on airline bag fees, offering insights into a real‐world case of product unbundling. The theory predicts that an airline's fares should fall when it introduces a bag fee, but that the full‐trip price (the bag fee plus the new fare) could either rise or fall. The empirical evidence presented in the paper provides strong confirmation of the first prediction. The data also suggest that the average fare falls by less than the bag fee itself so that the full price of a trip rises for passengers who choose to check bags.     

Why do reits engage in open-market repurchases?

We investigate why real estate investment trusts (REITs) still engage in open-market repurchases given the unique 95 percent payout requirement. We provide evidence that the motivations for REITs to repurchase stocks are different from those of unregulated firms found by the existing literature. Instead of using funds from operations, REITs appear to finance stock repurchases by issuing new debt and/or selling assets and investments. Unlike ordinary corporations, REITs stock repurchases are not motivated by cash distribution, capital structure, and undervalued equity. However, REITs are more likely to buy back stocks when employees own a higher level of stock options. Also, we find that REITs are more likely to buy back stocks when they have a higher institutional ownership and/or inside ownership.     

Substitution Possibility between Unpriced Pulp and Wastepaper in the U.S. Paper and Paperboard Industry

A greater use of recycled wastepaper would preserve virgin forests as well as reducing the amount of wastepaper going to landfills. These environmental goals depend critically on the elasticity of substitution between pulp and wastepaper in producing paper and paperboard. Since most of the pulp consumed by U.S. paper mills and paperboard mills is transferred internally from vertically integrated pulp mills, the price data on pulp is not available. This paper constructs an econometric model which enables us to estimate the substitution possibility between unpriced pulp and wastepaper in the U.S. paper and paperboard industry. Empirical results show that the elasticity of substitution between unpriced pulp and wastepaper is positive, but not statistically significant.     

Asset Markets and Endogenous Liquidity

In financial markets characterized by imperfect depth, speculative trading will have transitory effects on the market price as market makers must be compensated for the risk of holding the asset. The number of people providing liquidity to a market will generally be endogenously determined by the quantity of liquidity demanded. This paper looks for evidence of endogenous liquidity provision in several international stock and bond markets. Evidence shows strong support for these speculative dynamics in the stock markets. The evidence for these dynamics is less striking with fixed‐income prices, consistent with the less speculative nature of these markets.     

Mechanisms of perceived accountability in Korean NPOs: activating the dynamics of NPM-driven and confucian-driven cultures

Quality & Quantity - Non-profit organizations (NPOs) have been recognized as critical performers not only in the enhancement of social values and civic integration but also in the construction...     

Roles played by financial development in economic growth: application of the flexible regression model

This study presents the nonlinear relationship that exists between financial development and economic growth. This study applies the flexible nonlinear regression model of Hamilton (Econometrica 69(3):537–573, 2001) because it imposes no specification restrictions. Two empirical results are obtained. First, an inverted U-shaped relation between banking sector development and economic growth is identified. Namely, the two variables are positively linked before the turning point, but negatively linked after it. Second, a positive relationship with asymmetric √-shape between stock market development and economic growth is found.