Price discovery in the hang seng index markets: Index,futures, and the tracker fund

In this paper, price discovery among the Hang Seng Index markets is investigated using the Hasbrouck and Gonzalo and Granger common‐factor models and the multivariate generalized autoregressive conditional heteroskedasticity (M‐GARCH) model. Minute‐by‐minute data from the Hang Seng Index, Hang Seng Index futures, and the tracker fund show that the movements of the three markets are interrelated. The futures markets contain the most information, followed by the spot market. The tracker fund does not contribute to the price discovery process. The three markets exhibit spillover effects, indicating that their second moments are linked, even though the flow of information from the tracker fund to the other markets is minimal. Overall results suggest that the three markets have different degrees of information processing abilities, although they are governed by the same set of macroeconomic fundamentals. © 2004 Wiley Periodicals, Inc. Jrl Fut Mark 24:887–907, 2004     

Transaction Costs and Market Quality: Open Outcry Versus Electronic Trading

On May 10, 1999, the London International Financial Futures and Options Exchange (LIFFE) transferred trading in the Financial Times Stock Exchange (FTSE) 100 Index futures contracts from outcry to LIFFE CONNECT, its electronic trading system. We find lower spreads in the electronic market after the transition. However, the open outcry mechanism has higher market quality (or smaller variance of the pricing error) on the basis of Hasbrouck's (1993) model. Furthermore, employing the Hasbrouck (1991) model, we show that trades in the open outcry market have higher information content. Inventory control considerations also affect the electronic market more than the open outcry market. The overall results suggest that electronic trading should complement, but not replace, open outcry in futures markets. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21: 713–735, 2001     

When service fails: The role of the salesperson and the customer

Service failures and consequent recoveries have been identified as a critical determinant of customer retention. Hence, effective service recovery programs warrant further exploration. In particular, with the current emphasis on relationship selling, salespeople should learn how to improvise to serve their customers effectively, including solving problems when service failure occurs. Therefore, alternatives to current common practices in industry should be investigated. The results of the present study suggest that by providing customers a choice of service recovery options, salespeople can augment customers' sense of control and ultimately their satisfaction with the service recovery and the overall service transaction. The investigation also proposed that customer satisfaction would be contingent upon the importance of the service. However, study findings revealed that this was not the case. Implications of the findings are also discussed. © 2006 Wiley Periodicals, Inc.     

Market Structure and Return Volatility: Evidence from the Hong Kong Stock Market

There is no consensus about the cause for higher volatility at the market open than at the market close in the U.S. market. As an order–driven, nonspecialist market, the Hong Kong stock market provides a useful setting for an examination. If halt of trade were the major cause of higher open–to–open volatility, the open–to–open volatility in the Hong Kong market would be higher. However, this is not observed. The autocorrelation of the open–to–open return series also indicates that the temporary price deviation at the market opening is not significant. We view these findings as consistent with the specialist argument.     

Property-Value Impacts of an Environmental Disamenity: The Case of Landfills

The purpose of this article is to quantify the property-value impacts of a change in environmental quality by using the hedonic price model. In particular, we focus on the impact of the presence of landfills on nearby residential real estate prices. We combine elements of an urban location choice and hedonic pricing model to estimate the effects of the presence of multiple environmental disamenities on residential real estate prices. We explicitly account for temporal effects by including housing transactions in areas with both open and closed landfills and control for information effects. In addition, we treat property taxes and prices as being simultaneously determined. Our analysis suggests that closing landfills will not necessarily mitigate property-value impacts.     

Downside Risk and Investment Choice

This paper develops an optimal investment strategy for individuals concerned with avoiding the possibility of realizing returns below a predetermined target level within a prescribed period of time. Assuming a Brownian motion process, a model is developed which allows computation of the exact probability of failure. The algorithm and associated comparative statics with respect to the mean and standard deviation of returns, target return, time horizon, and risk-free rate of return are likely to have many useful practical applications.     

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.     

Vertical and Horizontal Educational Mismatches of Female Graduates in Taiwan

This study considers both vertical and horizontal educational mismatches, with the former referring to overeducation and undereducation, and the latter to the mismatch between college major and job. It is found that the wage premium of the vertical educational match is greater than that of the horizontal educational match. A better vertical match augments the wage premium of an improvement in the horizontal match, and vice versa. The horizontal educational mismatch appears to be an extended scenario of overeducation because graduates from colleges with low rankings have a higher probability of being vertically overeducated as well as horizontally mismatched. Graduates from highly‐ranked colleges are privileged to not only have high earnings but also to have low probabilities for the vertical and horizontal mismatches. These low probabilities indirectly raise their earnings. The indirect effects of academic characteristics on earnings are calculated. The approach we propose provides an insight into how academic characteristics comprehensively influence earnings.     

Sovereign Ratings and Oil‐Exporting Countries: The Effect of High Oil Prices on Ratings

We investigate how high and rising oil prices in the 2003–2008 period affected the sovereign ratings of oil‐exporting countries, after controlling for fundamentals. Based on a large dataset of countries from Standard and Poor's and Moody's, we find strong statistical evidence of a large ratings premium – nearly two notches – for those oil‐exporting countries with a large share of net oil revenue to gross domestic product, relative to countries with similar economic fundamentals. We have some limited forecast information from the rating agencies and the effect increases when we include this information, providing further evidence that this ratings premium is not driven by expected improvements in fundamentals. This finding has implications for asset prices in oil‐exporting countries and highlights the risk that in the event of a sharp unanticipated drop in oil prices, sovereign rating downgrades of oil‐exporting countries could be sharper than the deterioration in their economic fundamentals.     

The simultaneous berth and quay crane allocation problem

This paper addresses efficient berth and crane allocation scheduling at a multi-user container terminal. First, we introduce a formulation for the simultaneous berth and crane allocation problem. Next, by employing genetic algorithm we develop a heuristic to find an approximate solution for the problem. The fitness value of a chromosome is obtained by crane transfer scheduling across berths, which is determined by a maximum flow problem-based algorithm based on a berth allocation problem solution defined by the chromosome. The results of numerical experiments show that the proposed heuristic is applicable to solve this difficult but essential terminal operation problem.