Target redemption notes

The target redemption note is an index‐linked note that provides a guaranteed sum of coupons (target cap) with the possibility of early termination. In a typical structure, the coupons are calculated based on an inverse floating, London Interbank Offered Rate/Euro Interbank Offered Rate (LIBOR/Euribor) formula. Once the accumulated amount of coupons has reached the prespecified target cap, the note will be terminated with final payment of the par. The knock‐out criterion depends on a path‐dependent state variable defined by the running accumulated coupon sum. In some simplified cases, we manage to obtain a closed form valuation formula for the note value. We propose several numerical schemes for pricing the note under the one‐factor and two‐factor short rate models. Pricing behaviors of the target redemption note are also explored. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:535–554, 2007     

Innovation policy for developing Taiwan's competitive advantages

Innovation is a prerequisite for every nation and business facing the emergence of a knowledge–based economy and globalization. For small and medium firms in developing countries with limited resources and relatively low national advantage innovation is much more difficult. Government innovation policy, stemming from three sides – supply, demand, and environment, has been shown to play a major role in assisting firms to conduct innovation activities, especially in developing countries. This paper first summarizes recent tends and issues relevant to Taiwan's innovation structure and policy. Then, considering the present situation of Taiwan, analyzes the effect of government policy and current problems. Recommendations are presented systematically, based upon innovation policy.     

Imposing Regularity Conditions to Measure Banks’ Productivity Changes in Taiwan Using a Stochastic Approach

Asia-Pacific Financial Markets - This paper develops a stochastic approach to impose regularity properties on a directional output distance function (DODF) and an output distance function, which...     

An investigation of international hotel productivity considering quasifixed inputs and negative outputs

This paper explores the productivity of international hotels by considering the number of guest rooms and the area of the catering department as quasifixed inputs, because neither can be easily changed over a short period. We introduce a range-adjusted measure model to incorporate both quasifixed inputs and negative outputs and propose a nonradial Malmquist productivity index to estimate dynamic productivity. The results show that chain-operated hotels were unable to generate operational synergy to enhance their competitiveness, but their productivity outperformed that of independently operated hotels in cross-period aspect. Finally, we provide improvement suggestions for managers.     

Empirical mode decomposition–based least squares support vector regression for foreign exchange rate forecasting

To address the nonlinear and non-stationary characteristics of financial time series such as foreign exchange rates, this study proposes a hybrid forecasting model using empirical mode decomposition (EMD) and least squares support vector regression (LSSVR) for foreign exchange rate forecasting. EMD is used to decompose the dynamics of foreign exchange rate into several intrinsic mode function (IMF) components and one residual component. LSSVR is constructed to forecast these IMFs and residual value individually, and then all these forecasted values are aggregated to produce the final forecasted value for foreign exchange rates. Empirical results show that the proposed EMD-LSSVR model outperforms the EMD-ARIMA (autoregressive integrated moving average) as well as the LSSVR and ARIMA models without time series decomposition.     

Intraday Liquidity Provision by Trader Types in a Limit Order Market: Evidence from Taiwan Index Futures

This study examines the dynamic liquidity provision process by institutional and individual traders in the Taiwan index futures market, which is a pure limit order market. The empirical analysis obtains several interesting empirical results. We find that trader type affects liquidity provision in a number of interesting ways. First, although institutional traders use more limit orders than market orders, foreign institution (individual) traders use a relatively higher percentage of market (limit) orders in the early trading session and then switch to more limit (market) orders for the remainder of the day until close to the end of the trading day. Second, net limit order submissions by both institutional and individual traders are positively related to one‐period lagged transitory volatility and negatively related to informational volatility. Third, net limit order submissions by institutional traders are positively related to one‐period lagged spread. Finally, both the state of limit order book and order size significantly influence all types of traders’ strategy on submission of limit order versus market order during the intraday trading session. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 34:145–172, 2014     

The pricing of firms with expected losses/profits: The role of January

We examine the role of January in the relation between expected losses/profits and future stock returns. We predict and find that the relation between expected losses/profits and future returns reverses from the usual positive relation in non‐January months to a negative one in January. The reverse January relation is consistent across sample years, is observed in the United States and international markets, and is incremental to other variables associated with January returns. At least part of the reverse January relation is explained by tax‐loss selling. Further analysis shows that the reverse January relation results in a temporary price drift away from fundamental value. In other words, we find that abnormal positive (negative) future returns do not always indicate past under(over)valuation. Overall, our results illustrate the importance of controlling for the effect of January when examining how investors price expected losses/profits.     

Proposing online game loyalty and its antecedents considering gender as a moderator: a qualitative study

This study discusses the formation of consumer loyalty in the context of online games. Loyalty to a specific online game may be conceptualized in terms of repeat patronage, switching behavior, and word-of-mouth recommendations toward the game. A conceptual model is proposed. In the model, virtual power-status, incentive utility, relational interacting behavior, and feature enhancement indirectly influence loyalty through the mediation of satisfaction and commitment. Gender is proposed to moderate each model path given that individuals with stronger feminine or masculine identities are likely to make repeated consumption on online games based on different game product choices accordingly. Finally, the implications of the proposed model and suggestions for future research are also discussed.     

UNIFIED CHINA AND DIVIDED EUROPE

This article studies the causes and consequences of political centralization and fragmentation in China and Europe. We argue that a severe and unidirectional threat of external invasion fostered centralization in China, whereas Europe faced a wider variety of smaller external threats and remained fragmented. Political centralization in China led to lower taxation and hence faster population growth during peacetime compared to Europe. But it also meant that China was more vulnerable to occasional negative population shocks. Our results are consistent with historical evidence of warfare, capital city location, tax levels, and population growth in both China and Europe.     

Does Raising Value Co-creation Increase All Customers’ Happiness?

Happiness, defined as a state of well-being and contentment, is a central human goal. Despite advances in customer behavior research related to value co-creation, the link between customer happiness and these behaviors remains unclear. This study therefore examines customers’ in-role participation behavior and extra-role citizenship behavior to determine their influence on customers’ happiness. Customer participation and citizenship behaviors relate positively to customers’ perceptions of both service performance and their contributions to others’ welfare. In addition, collectivism moderates the relationship between perceived contributions to others’ welfare and happiness; individualism instead moderates the relationship between perceived service performance and happiness. These findings provide both managerial implications and directions for business marketing ethics.