Price discovery and price leadership of various investor types: evidence from Taiwan futures markets

Review of Quantitative Finance and Accounting - Using a unique dataset composed of comprehensive transaction data from Taiwan futures markets, we are able to unambiguously classify all investors...     

The effect of sequential information releases on trading volume and price behaviour

This paper examines a two-period setting in which each trader receives a private signal, possibly different, in each period before he trades. The principal objectives are threefold. First, we describe the risky asset demands and price reactions in a noisy rational expectations equilibrium where the time 1 average private signal is not revealed by the price sequence but the time 2 average private signal is. Secondly, we analyse how informed trading volume is affected by the revealed information and supply shocks when pure noise trading volume is uncorrected with observable market variables. Our result indicates that no trade occurs for informed traders when net supply remains fixed across rounds of trade. And, when supply shocks are random, trading volume is induced by the informed and the noise traders, but noise trading is not predictable. Finally, we investigate these properties in the case when pure noise trading volume is correlated with observable market variables. It is shown that no informed trading takes place when there is no supply shock. However, when net supply contains random shocks, trading volume consists of noise and informed trading, both of which can be estimated.     

State-ownership and financial constraints on investment of Chinese-listed firms: new evidence

We examine how state-ownership affects financial constraints on investment of Chinese-listed firms during 1999–2008. We find that although an average sample firm experiences some degree of financial constraints, state-ownership does not necessarily help in reducing the firm's financial constraints on investment. Further evidence shows that state-ownership does not lead to more borrowing from the Chinese banking sector, implying that state-ownership does not necessarily reduce the firm's financial constraints via the state-controlled banking sector. We consider not only the standard factors in the investment equation, but also the firm's equity financing behaviour explicitly. The result is robust to both the conventional proxy for financial constraints, i.e. the investment–cash-flow sensitivity, and a recently developed proxy for financial constraints, i.e. the KZ index. Our results suggest that China's corporatisation movement is effective in that soft budget constraints once enjoyed by former state-owned enterprises have been removed along with the progress of corporatisation. These firms, although still state-involved, can be seen as modern corporations operating in a market environment.     

A review and comparison of medical expenditures models: two neural networks versus two‐part models

This paper compares the two‐part model (TPM) that distinguishes between users and non‐users of health care, with two neural networks (TNN) that distinguish users by frequency. In the model comparisons using data from the National Health Research Institute (NHRI) in Taiwan, we find strong evidence in favor of the neural networks approach. This paper shows that the individuals in the self‐organizing map (SOM) network clusters can be described as several different forms of frequency distributions. The integration model of SOM and back propagation network (BPN) proposed by this paper not only permits policymakers to easily include more risk adjusters besides the demographics in the traditional capitation formula through the adaptation and calculation power of neural networks, but also reduces the incentives for cream skimming by decreasing estimation biases.     

Types of agency cost,corporate governance and liquidity

We study the relationship between governance and liquidity when the agency costs of entrenched management and self-serving controlling shareholders are present. Using a sample of Chinese firms, we show a positive relationship between governance and liquidity. We also find striking differences between firms faced with different types of agency conflicts. Specifically, governance measures such as management compensation, controlling shareholder monitoring and board independence are more effective in lowering the bid-ask spread for state-owned enterprises prone to management entrenchment. In contrast, multiple-layer corporate structures and a higher degree of separation between control and cash flow rights are associated with higher bid-ask spreads in non-state firms characterized by self-serving controlling shareholders. Our study highlights how governance might have different liquidity effects between firms faced with different types of agency conflicts.     

VIX option pricing and CBOE VIX Term Structure: A new methodology for volatility derivatives valuation

This study integrates CBOE VIX Term Structure and VIX futures to simplify VIX option pricing in multifactor models. Exponential and hump volatility functions with one- to three-factor models of the VIX evolution are used to examine their pricing for VIX options across strikes and maturities. The results show that using exponential volatility functions presents an effective choice as pricing models for VIX calls, whereas hump volatility functions provide efficient out-of-sample valuation for most VIX puts, in particular with deep in-the-money and deep out-of-the-money. Pricing errors for calls can be further reduced with a two-factor model.     

融资融券交易对商业银行业务经营的影响研究

宽松的政策环境、明确的政策导向以及金融市场、证券市场深入健康发展的客观需要,加快了我国融资融券业务的筹备和发展进程.理论上,该项业务的推出或将有助于打通货币市场与资本市场的资金融通渠道,在银行与证券公司之间建立起安全、健康和通畅的资金联系机制.本文比较分析了国际成熟证券市场融资融券业务的发展状况,阐述了该项新兴业务可能给各参与主体带来的机遇和挑战,并以我国现行的法律法规和市场环境为基础提出了商业银行的应对策略.     

《超级女声》，做好《学徒》的学徒

最近有一个在外资广告公司做事的学生，强力推荐我看美国电视剧《学徒》（英文名：The Apprentice）。这个节目是由纽约超级富豪Donald Trump投资、美国NBC制作的。像许多商业领袖一样，Donald Trump的一生充满神奇色彩，90年代他曾陷入困境，负债累累，坚持奋斗后终于重振雄风，其营业范围涉及房地产、航空、模特、证券等多个行业。作为一个商业社会的成功人士，D0nald Trump想在全美寻找他的学徒——节目名称由此而来。     

Bulgakov's Economic Man—Re-thinking the Construction of Capitalist Economic Ethics Theory

An economic man, i.e., the leading role in economic ethics, has been deeply investigated in our study considering a human being’s economic behavior and the hypotheses for an economic man in traditional economics based on M. Weber’s and S. N. Bulgakov’s Christian economic man. Among various channels to study business ethics and economic ethics, we chose the definition of an economic man given by Weber and Bulgakov to review a hypothesis about a rational economic man in economics and discussed L. von Mises’s and A. Sen’s contentions for an economic man’s substantive freedom and innermost being. The issue deserved to be further investigated by scholars who concern business ethics and economic ethics consists in reconciling egotism and altruism commonly embedded in an economic man’s heart and boosting more altruistic economic men.     

服务业顾客忠诚的驱动因素研究

服务业顾客忠诚一直是营销理论界高度关注的热门话题之一,借鉴西方学者对服务业顾客忠诚基本概念的界定,在考察服务产品质量、情境设计等有形利益对顾客忠诚的影响的同时,将无形驱动因素纳入影响服务业顾客忠诚的分析中,通过国内外现有的研究成果分析这些驱动因素对服务业顾客忠诚的影响,阐明服务业顾客忠诚的形成机理,从而为该领域提供新的研究思路,为服务业提升竞争力提供管理决策的参考依据。