Analytical bounds for Treasury bond futures prices

The pricing of delivery options, particularly timing options, in Treasury bond futures is prohibitively expensive. Recursive use of the lattice model is unavoidable for valuing such options, as Boyle in J Finance 14(1):101?C113, (1989) demonstrates. As a result, the main purpose of this study is to derive upper bounds and lower bounds for Treasury bond futures prices. This study first shows that the popular preference-free, closed form cost of carry model is an upper bound for the Treasury bond futures price. Then, the next step is to derive analytical lower bounds for the futures price under one and two-factor Cox-Ingersoll-Ross models of the term structure. The bound under the two-factor Cox-Ingersoll-Ross model is then tested empirically using weekly futures prices from January 1987 to December 2000.     

Does Trading Improve Individual Investor Performance?

From 52,649 accounts and 10,615,117 transaction records obtained from a renowned brokerage house in Taiwan we find that individual investors purchase 73.4% and sell 64.5% of their stock portfolios each month. This is more than ten times the statistics for their U.S. counterparts. In general, individual investors have positive abnormal returns from factor-based models. However, they would have earned higher returns from following a buy-and-hold strategy. We find a U-shaped rather than a monotonic turnover and performance relation. The results do not support the overconfidence argument proposed by Barber and Odean (2000, 2001) nor does the rational model of Grossman and Stiglitz (1980). We find that investors with large portfolio values tend to be informed traders whose excess trading does create performance value. We also investigate whether men are more overconfident than women and find that even though men trade more excessively than women, men's performance measures are not dramatically lower than women's. Specifically, the own-benchmark adjusted gross return for men is higher than that for women. The regression results indicate that electronic traders rather than men are overconfident.     

Ecological-Inference-Based Latent Growth Models: Modeling Changes of Alienation

Ecological-inference-based statistical methods employ aggregated (ecological) data to approximately infer individual-level structures of interests when individual-level data were not available. Under the same conceptual frames, we introduce the ecological-inference-based latent growth model (EI-LGM) to analyze cross-years latent trends of a general population when longitudinally collected data were not available. We showed both the substantive values and methodological feasibilities of EI-LGMs. Substantively, we analyze results from several Taiwan Social Change Surveys (TSCS) to show the cross-years latent trends using a subscale of alienation psychological characteristics. Not only the cross-years movements of measurement constructs of the scale were shown, the trends of latent factors were revealed as well. More importantly, these trends can be formally tested under the frameworks of EI-LGMs. Statistically, EI-LGMs were implemented under the weighted least square (WLS) approaches because of the dichotomous outcomes of the subscale. We demonstrate some of the estimation methods as well as some cautions of interpreting EI-LGMs using the estimated results.Part of this paper was presented at the Fourth Survey Research Conference held at the Academia Sinica, Taipei, August 29–August 30, 2002.     

Influence of problem-based learning strategy on enhancing student’s industrial oriented competences learned: an action research on learning weblog analysis

In order to respond to the ever-changing global economic environment, the technological and vocational education system in Taiwan needs to be dramatically reformed to the changing needs of the domestic industrial structure. Integrating practical talents with practical industrial experiences and competences can help avoid discrepancy and close the gap between vocational education and the practical demands of industries. Thus, to achieve the goals of technological and vocational education, it is necessary to incorporate instruction that meets the demands of the industrial-oriented manpower in Taiwan. In this study, the well-known problem-based learning (PBL) approach, utilized commonly in the educational area of medicine and business management, was integrated with the qualitative method of action research to explore how such a learning strategy could influence college students’ learning outcomes regarding industrial-oriented competences. The research results were induced from the empirical data collected via participatory classroom observations, and analyses of teachers’ instructional journals and semi-structural interviews. A survey with quasi-experimental design of the control group pretest and posttest was conducted by using an industrial-oriented competences scale to explore the influences of PBL on students’ learning outcomes of industrial-oriented competences. The findings are expected to shed light on the teaching and learning strategy of college students’ industrial-oriented competences and contribute to theoretical implications and future educational and industrial development of Taiwan.     

Key factors influencing digital content industry in Taiwan from the triple helix perspective

The triple helix (TH) model of the university–industry–government relationship is an accepted significant determinant of industrial innovation. However, the evaluations of these three actors and the actors’ innovation or activities' effects have not been empirically determined. The aim of this study is to integrate the TH model and fuzzy analytic hierarchy process to develop an evaluation model that prioritises the relative weight of the factors’ influence on the digital content industry, specifically in Taiwan. The results identify the most relevant factors with respect to digital content to enable policy-makers to develop effective promoting strategies for the industry.     

Measuring the end of the European financial crisis

In 2013 it was declared that ‘the eurozone crisis is over’. However, in fact, the series of financial crises since 2008 may have interrupted the process of EMU enlargement, which in turn triggered a continuing crisis of confidence in the euro. In this paper we extend the sigma‐convergence test to provide a more precise understanding of real interest rate parity (RIP) convergence. On the basis of this, we predict the timing for eliminating the cost of economic asymmetric shocks. Our estimation indicates the RIP among EMU members and accessions were still valid after the disruptions of the 2008 financial crisis. However, the situation has been even worse since the 2010 European sovereign debt crisis, and ceteris paribus, symmetry cannot be achieved without further policy actions. This implies that the EMU authority must do its best to strengthen symmetry and thereby solidify the EMU, at which point it will be better able to re‐start the process of enlargement.     

Downward influence styles in cultural diversity settings

This study used the cultural value of individualism to explain the direct interpersonal influence behaviour used by Japanese and American expatriates and the indirect structural influence pattern which together have moulded the influence behaviour of Taiwanese managers. As predicted, the collectivists (Japanese expatriates) were found to use more assertiveness, exchange and higher authority strategies than the individualists (American expatriates). Differences in downward influence style between Taiwanese managers in Japanese and in American subsidiaries did reveal the acculturation effects of Japanese and American organizational cultures. Familiarity with local cultural values and language increased the frequency of using influence for Taiwanese managers, but did not afford the Japanese an influence style similar to the Taiwanese.     

An Asian Currency Unit: Simulations for Its Effects on East Asia

An Asian currency unit (ACU) is necessary to deepen Asian financial markets and to convert national currencies into a single monetary policy. However, the experiences of the European Currency Unit and the European Exchange Rate Mechanism crisis in 1992–93 have indicated the danger of the so‐called gradual approach. This study evaluates the effects of welfare should the ACU indicator become a long‐term constraint of the People's Republic of China and Japan, the big two in East Asia. Our results indicate that the constraints of countries’ own baskets (e.g. real effective exchange rates) are still better before the launch of a true single currency. That is, pegging to an ACU indicator could hardly be sustained in the long‐run if East Asian countries have not reached a consensus about a regional monetary union.