The effectiveness of randomized complete block design

This paper examines the relative efficiency of randomized complete block design as compared with that of completely randomized design. The most widely used measure of relative efficiency considers only the error variances of the two designs, therefore it does not provide the complete information concerning the sensitivity of the experiment in the final results. We study three alternative criteria related to the sensitivity issue and design planning consideration. The proposed relative measures employ the p -value, Scheffé confidence interval estimation and power of both designs. The distinct feature of this study is the focus on the estimated relative efficiency measures and their relation with the coefficient of partial determination between responses and block effects, given that treatment effects are present in the models. Furthermore, informative visual representations and numerical assessments of various aspects of their properties are also presented.     

The transmission from equity markets to commodity markets in crises periods

This article investigates the transmission from equity markets to commodity markets during two major financial crises, namely the Subprime Mortgage and the Sovereign Debt Crises. We perform an analysis on sub-stages from 3 January 2003 to 31 October 2013 to capture the price behaviour of both equity and commodity markets. Two financial crises indicators, VIX and CDS, are used to represent fear of a crisis. We find that correlations between commodity and equity markets are time-varying and highly volatile during a financial crisis. While sharing some common features, commodities cannot be considered a homogeneous asset class. Segmentation characteristics of commodity markets disappear in times of financial crises, reducing their substitutability as an investment portfolio for asset diversification purposes. Through our test for Granger causality, we find the existence of transmission during a financial crisis. Volatility spillover effect also plays a major role as transmission mechanisms. After the collapse of Lehman Brothers, commodities decoupled from the VIX rather soon, and there is an increase in correlation with the CDS. In addition, we find the decoupling effect of most commodities show insignificant correlations with the Dow Jones, VIX and CDS after the Greek debt restructuring.     

An environment-adjusted dynamic efficiency analysis of international tourist hotels in Taiwan

The paper is the first study to combine four-stage approach and dynamic data envelopment analysis (DEA) to investigate the efficiencies of 45 international tourist hotels in Taiwan during 2002–2011. Using the four-stage approach of Fried et al. [1999. Incorporating the operating environment into a nonparametric measure of technical efficiency. Journal of Productivity Analysis, 12(3), 249–267] and the dynamic DEA model by Tone and Tsutsui [2010. Dynamic DEA: A slacks-based measure approach. Omega, 38(3), 145–156], the study considers the effects of the external operating environments and carry-over activities between two consecutive terms, and calculates managerial efficiency of international tourism hotels in Taiwan. The empirical results show that dynamic DEA provides more stable pure managerial efficiencies than traditional DEA, reflecting the continuity of the links between terms. Then the study employs Tobit regression to estimate the effects of location, management style, and occupancy rate on input slacks. The location in resort area leads to less slacks of employee and room. The chain system helps reduce slacks in room and area of meal department. The slack of employee and room gets lower while occupancy rate gets higher. After controlling the three external environment variables, the efficiency scores of 28 hotels increase, 9 hotels fall, and other 8 hotels still sustain on the efficient frontier.     

Large changes in stock prices: Market,liquidity, and momentum effect

This article investigates the determinants of large changes in stock prices. Empirical evidences suggest that the asymmetry phenomenon in determinants of large changes in stock prices is found in three stock exchanges. In the New York Stock Exchange (NYSE), momentum effect accounts for most of the likelihood of big gains in stock prices, while liquidity characteristics account for sharp declines of stock prices. An interesting finding is that the opposite is true for stocks traded in Amex and NASDAQ. The possible explanations of the different results in different stock exchanges may attribute to the characteristics of firms listed in these stock exchanges are different.     

Optimal Fiscal Policies,Congestion and Over‐entry*

By shedding light on market imperfections and the congestion of public goods, we show that free entry in a market equilibrium will lead to excessive entry relative to the social optimum. Moreover, by specifying a generalized congestion function, it is also shown that different fiscal policies, including labor income tax, capital income tax and government expenditure, play a distinct role in terms of remedying market distortions. Specifically, optimal income taxes decrease with the degree of market imperfections in order to remove the monopoly inefficiency, while they increase with the degree of congestion in order to remedy the adverse externality caused by congestion distortion. Since a higher degree of increasing returns to an expansion in the variety of intermediate goods is found to intensify the congestion effect of government infrastructure expenditure, the optimal rule of government expenditure proposed by Barro (1990) should be modified.     

International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets

Using a vector autoregressive analysis, this paper examines the structure of international transmissions in daily returns for six national stock markets— the U.S., Japan, Hong Kong, Singapore, Taiwan, and Thailand. Our results generally indicate that (1) the degree of interdependence among national stock markets has increased substantially after the 1987 stock market crash, (2) the U.S. market plays a dominant role of influencing the Pacific-Basin markets, (3) Japan and Singapore together have a significant persistent impact on the other Asian markets, and (4) the markets in Taiwan and Thailand are not efficient in processing international news.     

Location and the theory of production Clarifications and extensions

This paper has attempted to clarify some weaknesses and flaws contained in Miller and Jensen's analysis. In particular, we have demonstrated that in Miller and Jensen's model, if the production function is homogeneous of degree one and the transport rate functions are independent of quantities shipped, it is impossible to have an interior solution. In addition, we have evaluated the role of the generalized transport rate functions in the profit-maximization location model with and without a prescribed level of output and shown that if transport rates depend on quantities shipped and have constant elasticities, then a linearly homogeneous production function is not sufficient to insure that optimum location is independent of output or the demand function. This result clearly invalidates Miller and Jensen's assertion.