Information content of inter-trade time on the Chinese market

The microstructure literature offers contradicting predictions on the impact of inter-trade time on price change. In this paper, a vector autoregressive (VAR) model [Dufour, A. and Engle, R.F., 2000, Time and the price impact of a trade, Journal of Finance 55, 2467–2498.] is adopted to investigate this conflicting theory, using 180 composite stocks on the Shanghai Stock Exchange (SSE). We find evidence to support the significant role that time plays in both quote revision and signed trade equations, after controlling for time-of-day periodicities. Moreover, the information content of inter-trade time is found to be negatively correlated with proxies for the amount of private information available and positively correlated with time between trades.     

情商及其在企业管理中的路径依赖——以情绪资本为视角

情商是一种克服内心冲突、洞察人生价值、协调人际关系、提高生活质量的能力。情商理论是人类对自身智力认识的一个飞跃,在管理学领域,情商与工作绩效之间存在正相关。在企业管理中,充分培养、挖掘和运用建立在高情商基础之上的情绪资本,企业定能成就不平凡的事业。     

Bond durations: Corporates vs. Treasuries

We compare the durations (the percentage price sensitivity with respect to the default-free short rate) of corporate and Treasury bonds in the reduced-form, intensity-based credit risk modeling framework. In a frequently used intensity-based model for corporate bond valuation we provide an example showing that, given the parameter estimates found in empirical studies, the duration of a corporate coupon bond may very well be larger than the duration of a similar Treasury bond. This finding contrasts with conclusions of previous studies. In a general, intensity-based recovery of market value framework we provide a simple sufficient condition for when the duration of a corporate bond will be smaller than that of a similar Treasury bond. We also provide an upper bound on the duration of the corporate coupon bond.     

Discrete time duration models with group-level heterogeneity

Dynamic discrete choice panel data models have received a great deal of attention. In those models, the dynamics is usually handled by including the lagged outcome as an explanatory variable. In this paper we consider an alternative model in which the dynamics is handled by using the duration in the current state as a covariate. We propose estimators that allow for group-specific effect in parametric and semiparametric versions of the model. The proposed method is illustrated by an empirical analysis of job durations allowing for firm-level effects.     

LOGISTICS SERVICE DRIVEN LOYALTY: AN EXPLORATORY STUDY

Based upon the extant literature and a qualitative study of buyer‐seller relationships, an exploratory model of the relationship between supply chain power, dependence, satisfaction, and loyalty is developed and presented. Four fundamental objectives are accomplished through this research and presented here. The first was to use a qualitative method to gain a deeper understanding of the logistics service driven loyalty that exists between suppliers and customers. The second was to develop a more thorough understanding of the gap in logistics service expectations between a supplier and their customers. The third objective was to examine how the power/dependence relationship affects both customer service expectations of the parties, and the actual logistics service delivered by the supplier. Finally, this research is intended to build a basis for future quantitative research of loyalty in supplier/customer relationships.     

An analysis of dependence between Central and Eastern European stock markets

We examine the dependence structure between four Central and Eastern European (CEE) stock markets (Czech Republic, Hungary, Poland and Romania) using static and dynamic copula functions with different forms of tail dependence. We find evidence of positive dependence between all CEE stock markets, although this dependence is stronger between the Hungarian, Czech and Polish markets than between these markets and the Romanian market. We also find evidence of symmetric tail dependence, although not for the Hungarian and Czech markets. The dependence is time-varying and intensified after the onset of the recent global financial crisis. These results confirm that CEE stock markets are gradually coupling, a fact that has risk management implications for policymakers and investors.     

浙江产业的安全问题及应对

产业安全是在经济全球化持续推进和国际分工日益深化状况下,一个国家或地区经济可持续发展的现实问题。通过对浙江产业对外依存度、产业国际竞争力和产业控制力等相关指标的量化实证分析,结果显示,浙江产业的基本面总体上是安全的,但是,对于影响其健康发展的不安全问题及其隐患也应该引起足够的重视。这需要针对浙江产业结构转型期凸显的阶段性发展特点,充分发挥市场机制在社会主义经济体制改革推进中的主导功能,有效提高政府在保障产业安全中的法制意识和服务水平。     

基于动态期限相关法的股市价格泡沫实证检验

本文通过构造动态期限相关法,以250个交易日为定样本容量窗口.动态的考察了我国上证综合指教从1992年1月2日到2008年11月28日各个阶段的价格泡沫状况.实证表明,我国股市自建立以来,价格泡沫就伴随左右.而且阶段性的暴涨暴跌,极易催生泡沫.随着次级债危机的爆发,股市急剧下跌,当前已经产生了负向的随机泡沫.     

Extremes on the discounted aggregate claims in a time dependent risk model

This paper presents an extension of the classical compound Poisson risk model for which the inter-claim time and the forthcoming claim amount are no longer independent random variables (rv's). Asymptotic tail probabilities for the discounted aggregate claims are presented when the force of interest is constant and the claim amounts are heavy tail distributed rv's. Furthermore, we derive asymptotic finite time ruin probabilities, as well as asymptotic approximations for some common risk measures associated with the discounted aggregate claims. A simulation study is performed in order to validate the results obtained in the free interest risk model.     

Spatial planning as policy integration: The need for an evolutionary perspective. Lessons from Uzbekistan

We start out from the premise of a continued need for policy integration to address both economic and environmental issues in society, arguing that spatial planning is a privileged site to locate such endeavor. While policy integration in planning can acquire many forms, we understand those forms as ways to manage interdependencies between organizations. Spatial planning can contribute to the integration of policies in comprehensive visions, but a planning system, in the sense of a network of organizations, does not escape from the evolutionary rigidity introduced by interdependence and path-dependence. In a study of the evolutionary path of spatial governance in Uzbekistan, a former Soviet republic, we investigated the shifting patterns of policy integration that affected the organization of space. Policy integration in planning, it is found, is path-dependent, worked out positively and negatively, and necessarily relied on informal coordination mechanisms. Thus, a planning system striving to manage interdependence has to be highly reflexive, to understand the extent to which its transformation options are constrained by history and by present linkages between organizations.