Examining futures price changes and volatility on the trading day after a limit‐lock day

This paper examines the effect that price limits have on futures prices by testing what happens to price changes and volatility on the trading day following a limit‐lock day. The results show evidence that prices continue to rise on average the day after an up‐limit day. In addition, limits appear to influence price volatility for some but not all of the futures contracts. However, since the findings vary across the different commodity futures contracts, it is likely that limits do not directly impact price volatility. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:445–466, 2000     

Patterns of technology life cycles: stochastic analysis based on patent citations

Patent analysis has been considered as an effective means of estimating phases of a technology life cycle. However, previous studies have not considered the dynamic and idiosyncratic aspects of a technology’s progression since they were based on deterministic methods, mainly fitting s- or double s-shaped curves to patent application counts. Moreover, previous methods cannot be executed at the individual patent level. We propose a stochastic technology life cycle analysis to trace the phases of a technology’s progression based on patent citations and identify the patterns of technology life cycles at the individual patent level. At the heart of the proposed approach are a hidden Markov model to estimate the probability of a system being at a certain hidden state from observation and cluster analysis to group a set of objects according to their similarities. A case study of patents about laser technology in lithography is presented.     

A generalized penalty function for a class of discrete renewal processes

Analysis of a generalized Gerber–Shiu function is considered in a discrete-time (ordinary) Sparre Andersen renewal risk process with time-dependent claim sizes. The results are then applied to obtain ruin-related quantities under some renewal risk processes assuming specific interclaim distributions such as a discrete K _n distribution and a truncated geometric distribution (i.e. compound binomial process). Furthermore, the discrete delayed renewal risk process is considered and results related to the ordinary process are derived as well.     

Public trust and corruption perception: disaster relief

Public trust in government and nongovernment organizations is essential to the public’s willingness to donate and to support those organizations. We measure public trust in disaster aid using people’s perception of these organizations’ effectiveness in delivering aid relief to the victims of two recent major earthquakes in China. Based on the survey data collected in 2013 from about 2100 residents in Hong Kong, we document the vulnerability of these residents’ trust perceptions in aid delivery. We find that the sharp decline in trust perception is highly negatively correlated with their perception of corruption of local governments in China.     

Knowledge sources and recombination capabilities in developing new convergent products

Recent surge in technological convergences has generated great interests from scholars, managers and policy-makers. Yet, few literatures have investigated firm-specific factors behind developing convergent products. This research has empirically analysed the role of firms’ knowledge recombination capabilities and external collaborations in developing convergent products by using a survey data from 858 Korean firms. The findings suggest that presence of interdisciplinary employees and the strong commitment of CEOs are among the important knowledge recombination capabilities for developing convergent products. When compared to other types of collaboration, the inter-firm collaboration turned out to be the most effective in developing convergent products. We suggest that firms should understand that knowledge generations are becoming more interdisciplinary and employees with interdisciplinary research background are an important enabler of knowledge recombination. We suggest that policy-maker should continue to allocate its resources in supporting inter-disciplinary research programmes.     

Strategies of high performing new and small firms: A reexamination of the niche concept

Entrepreneurs seeking to position new or small firms in industries populated by well established competitors are frequently advised to seek the protection of a market niche. There, shielded by market characteristics which render the niche uninteresting to larger rivals, small firms are urged to compete at the fringe of the market. This article challenges this conventional wisdom, citing industry and firm characteristics which, under certain conditions, create opportunities for successful direct competition by some small or new firms against much larger and established competitors. However, the authors caution that the conditions which created the opportunity may erode in time, rendering the successful challenger vulnerable either to retaliation by the larger firm or challenge from subsequent entrants.Examples of successful direct confrontation by relatively small competitors are drawn from mature, low-tech industries, a rapidly growing high-tech industry and the service sector.     

The Resources Allocation Effects of Indonesia's Financial Repression in the 1974–1983 Period

We found that the selective credit policy of the 1974-83 period benefitted the Indonesian economy in a way unanticipated by the protagonists in the financial repression debate. The selective credit policy by favoring the manufacturing and trade sectors reduced their decimation by the overvalued exchange rate created by expansionary macroeconomic policies. The existence of a sizeable tradeable sector when the negative balance of payments shocks hit after 1981 enabled Indonesia to earn enough foreign exchange to service its external debts and thus avoid the type of prolonged economic crisis experienced by Latin America. (It must be stressed that the selective credit policy constituted only one of the policy actions that preserved the economic viability of the tradeable sector.) Since the selective credit policy was not undertaken with the expectation of negative balance of payments shocks in 1980s, its beneficial effects on economic development were entirely fortuitous.     

Versatile networks in combining qualitative and quantitative data

Following a series of special volumes on the DISC conferences in the past, this themed issue focuses on versatile network forms particularly in combining qualitative and quantitative data. This special issue also celebrates the second publication born out of the DISC conferences under the Quality and Quantity.     

Towards the operationalization of controversial news: a study of online news articles and reader comments during the 2017 presidential election in South Korea

Quality & Quantity - In this brief research note, we propose a set of concepts and methods for identifying and operationalizing controversial news items. Based on an analysis of online...     

On the Class of Erlang Mixtures with Risk Theoretic Applications

Abstract

A wide variety of distributions are shown to be of mixed-Erlang type. Useful computational formulas result for many quantities of interest in a risk-theoretic context when the claim size distribution is an Erlang mixture. In particular, the aggregate claims distribution and related quantities such as stop-loss moments are discussed, as well as ruin-theoretic quantities including infinitetime ruin probabilities and the distribution of the deficit at ruin. A very useful application of the results is the computation of finite-time ruin probabilities, with numerical examples given. Finally, extensions of the results to more general gamma mixtures are briefly examined.