玉米期货价格收益率和波动性的实证研究——以中国大连与美国CBOT市场为例

采用协整模型、Granger因果关系检验、误差修正（EC）模型及几种GARCH模型对中国大连与美国CBOT的玉米期货价格及收益率和波动性进行了实证研究。分析发现：两市期货价格之间存在双向的Granger因果关系和显著的协整关系;两个市场之间存在显著的同向变动关系,存在长期的共同趋势;EC模型反映出两市的长期期货价格收益率没有显著差异,两市均受到对方市场期货价格收益率的影响,但短期波动过程则存在一定的差异。此外,通过建立GARCH类模型发现：两市在波动性的传导和影响上存在一定程度的非对称性;两市均存在溢出效应与一定的杠杆效应,大连玉米期货市场对CBOT玉米期货市场的溢出效应显著存在,而CBOT玉米期货市场对大连玉米期货市场的溢出效应不显著存在,市场的波动性对消息影响呈现一定程度的非对称性。由此可见,大连玉米期货价格已经具备了较强的国际定价功能。     

中国猪肉市场价格波动问题探析——基于生猪供方角度框架下

近年来,我国的猪肉市场价格波动幅度较大,猪肉价格也成了人们热议的主要话题,易涨易跌猪肉价格牵动着每个人的神经。猪肉市场价格剧烈波动的因素:生猪养殖散户锐减造成供应结构失衡;生猪养殖方式的改变造成成本提高;政府扶持不当加剧价格波动;猪肉产业化程度越来越高。实现中国猪肉市场价格稳定的对策:完善猪肉储备制度;构建猪肉信息平台;加强质量安全监督;转变政府扶持模式。     

基于HAR—RV模型的中国证券市场异质性研究

随着高频数据可以越来越方便的获得,过去的ARCH模型及GARCH模型已经不能满足高频数据研究的需要。相比于模型波动率,已实现波动率能够更直接、准确地描述波动率的特征。研究表明,已实现波动率具有长记忆特性,其解释之一即为异质市场假说,即市场中存在异质交易者。文章选取了HAR—Rv模型对已实现波动率进行建模,并且通过回归分析,证明了我国股票市场交易者存在异质性。     

中国商品期货市场的假日效应研究——基于收益和波动的视角

为研究中国商品期货市场假日效应的存在性及其特征,本文从收益和波动出发,在构建学生分布随机波动模型的基础上采用贝叶斯MCMC模拟技术对中国铜、铝、橡胶、大豆、豆粕和小麦期货市场的假日效应进行了实证分析,研究结果显示:假日前和假日后信息对商品期货交易收益及其波动均具有显著的影响,对不同交易品种而言,其影响方向及影响程度均存在一定差异;更具体地,对各类假日分别进行分析发现,元旦、春节、劳动节和国庆节的假日前和假日后信息对商品期货收益及其波动均具有显著的影响,且比分类之前假日前和假日后信息的影响能力明显增强,其个性特征也更加突出。     

特质风险能够被定价吗？——基于“特质波动之谜”现象的文献评述

传统的资产定价理论认为特质风险不应被定价,即便无法完全分散掉,与股票收益也应是对应权衡关系。但AHXZ（2006,2009）发现的＂特质波动之谜＂现象对标准金融学理论再次提出严峻的挑战,也使得公司特质风险定价行为逐渐成为金融经济学研究的新兴领域。本文从特质风险的测度、＂特质波动之谜＂现象的实证检验、异质性现象的形成机理三个方面进行研究综述,并提出进一步的研究展望,从而为今后研究提供借鉴和参考之用。     

我国黄金期货市场价格波动研究

以上海期货交易所2008年1月9日至2011年6月30日的黄金期货市场量价关系为研究对象,构建了GARCH(异方差)族模型检验我国黄金期货市场的价格波动特征.研究结果表明,当分别引入黄金期货市场的交易量和持仓量时,交易量对价格波动的影响在当期和滞后期均十分显著,而持仓量对价格波动的影响在当期显著,滞后期则不显著;当同时引入黄金期货市场交易量和持仓量时,他们对价格波动的解释作用增加,且当期统计检验显著,滞后期效应则不明显.     

Marketing research and revenue optimization for the cruise industry: A concise review

This paper presents a concise review of the cruise industry mainly from marketing research and revenue optimization prospects. In recent years, the cruise industry has experienced an exciting growth. However, as one of the fastest growing and most profitable categories in the entire leisure market, this industry has hardly received any research attention. Given the limited academic articles, this paper presents a concise review about this budding research topic. First of all, a discussion about global cruise industry is conducted. Then, academic studies of the cruise industry on general marketing research, revenue management, itinerary design/optimization, optimal market segmentation, demand infiltration and economic issues are reviewed. Finally, some promising directions for future research are presented.     

Mixed logit analysis of trade-off effects between international airline fares and fences: a revenue management perspective

As transportation is essential for tourism development, effectively utilizing its perishable resources has become an important issue. This study aims to analyse the relationship between airline fares and using conditions from the perspective of millennial tourists and taking the Taipei–Tokyo market as an example. The study attempts to show a revenue management practice in the manipulation of homogeneous seat service and give millennial tourists a better understanding of their preferences for ticket choices. We categorize availability of flight, advance booking, ticket validity, and changing conditions as main attributes and develop a stated-preference questionnaire with multiple hypothetical scenarios for respondents to select in the experiment. We effectively collect 390 valid samples for a mixed logit analysis and the results show that all applied attributes are statistically significant. Ticket validity is revealed to be the most important fence with the largest willingness-to-pay value and followed by availability of flight, advanced booking, and changing conditions.     

政府补助企业的主要动机研究——基于我国A股上市公司面板数据的实证检验

上市公司获得的政府补助数额巨大且逐年增长,引起了广泛的质疑,而现有研究对政府补助企业的动机尚无一致的结论。基于理性经济人理论,考虑制度更改和环境变化的影响,以2007—2015年我国上市公司为研究样本,实证检验政府补助企业的主要动机,结果表明：政府补助企业的主要动机在于扩大就业和帮助上市公司“保牌”,最终目的是促进经济的增长;而增加税收和帮助上市公司达到配股要求不是政府补助企业主要考虑的因素,也没有明显证据证明国有企业比民营企业更容易获得政府补助。应完善资本市场退市制度,加强对政府补助的审批和监管,提高政府补助的资源配置效率,并积极引导政府补助发挥更好的社会效益。     

Conventions and Gaming in Las Vegas: Friends,Enemies, or Strangers?

As cities look at various industries to strengthen their economies, officials have begun to examine conventions and gaming more closely as they have often been considered “recession-proof.” This study utilizes time series regression to analyze the effects of convention attendance and hotel occupancy on monthly gaming revenues for Las Vegas from 2002 to 2013. Three commonly held opposing viewpoints in trade literature are that conventions reduce, augment, or complement gaming. These viewpoints produced the hypotheses for this study. It was found that convention attendance had no significant relationship with gaming revenue; however, citywide hotel occupancy was found to have a significant positive relationship with gaming revenue. This finding rules out the reduction and augmentation hypotheses.