In order to quantify the demand elasticity of China's imported crude oil, a long-run stable relationship is estimated among the crude oil import, income and crude oil prices by the autoregressive distributed lag (ARDL) bound testing approach over the period 1999-2009. Empirical results show that the short and long-run price elasticities of imported crude oil are positive and inelastic, and the long-run income elasticity is near unity. Moreover, a stable equilibrium is established between the imported crude oil and its determinants by adding a break point into the model and providing evidence of the liability of the obtained elasticities. Finally, the corresponding reasons for the conclusions are presented.
{"title":"Import Demand of Crude Oil and Economic Growth in China: Evidence from the ARDL Model","authors":"Wei Sun, Zhong-ying Qi, N. Jia","doi":"10.1109/BIFE.2010.80","DOIUrl":"https://doi.org/10.1109/BIFE.2010.80","url":null,"abstract":"In order to quantify the demand elasticity of China's imported crude oil, a long-run stable relationship is estimated among the crude oil import, income and crude oil prices by the autoregressive distributed lag (ARDL) bound testing approach over the period 1999-2009. Empirical results show that the short and long-run price elasticities of imported crude oil are positive and inelastic, and the long-run income elasticity is near unity. Moreover, a stable equilibrium is established between the imported crude oil and its determinants by adding a break point into the model and providing evidence of the liability of the obtained elasticities. Finally, the corresponding reasons for the conclusions are presented.","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"36 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127471404","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In order to observe whether holistic listing improves the efficiency of listed companies in the long term, this paper empirically tests the performance changes of listed companies that have realized holistic listing in 2004-2007 in China's stock market. We use improved FA-DEA method to evaluate the efficiency changes, and then apply Tobit Model to analyze the influence of holistic listing, size, major shareholders property, profitability and growth on corporate performance. The improved FA-DEA method adopts new DEA input variable processing way which considers the difference of each element reflecting from the information of initial data. Our tests show: although the sample efficiency is improved in the short term after holistic listing, it declines later; the efficiency of samples becomes lower when the corporate is state-owned; with the size expansion the corporate long-term performance becomes worse after holistic listing than that before. Therefore, it is inappropriate to take holistic listing as a magic bullet to improve the performance of listed companies, and it is better to take effective measures to prevent bad assets being injected into listed companies via holistic listing.
{"title":"Does Holistic Listing Improve the Efficiency of China's Listed Companies?","authors":"Jianhuan Huang, Jiejin Xia, Zhujia Yin","doi":"10.1109/BIFE.2010.73","DOIUrl":"https://doi.org/10.1109/BIFE.2010.73","url":null,"abstract":"In order to observe whether holistic listing improves the efficiency of listed companies in the long term, this paper empirically tests the performance changes of listed companies that have realized holistic listing in 2004-2007 in China's stock market. We use improved FA-DEA method to evaluate the efficiency changes, and then apply Tobit Model to analyze the influence of holistic listing, size, major shareholders property, profitability and growth on corporate performance. The improved FA-DEA method adopts new DEA input variable processing way which considers the difference of each element reflecting from the information of initial data. Our tests show: although the sample efficiency is improved in the short term after holistic listing, it declines later; the efficiency of samples becomes lower when the corporate is state-owned; with the size expansion the corporate long-term performance becomes worse after holistic listing than that before. Therefore, it is inappropriate to take holistic listing as a magic bullet to improve the performance of listed companies, and it is better to take effective measures to prevent bad assets being injected into listed companies via holistic listing.","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122673794","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, issues of informatization of domestic and foreign enterprises are described. For the selection of the best and second best of resource allocation, measurement and appraisal in the enterprise informatization dynamic equilibrium models, the enterprise informatization capacity maturity and dynamic equilibrium models are proposed from the corporate informatization level, quality, capability and moderation. The theory of second best is used to analyze the enterprise informatization resource allocations and solve the issues of methods, appraisal and application moderation.
{"title":"Improvement of Selection of Enterprise Informatization Dynamic Equilibrium Models with Theory of Second Best","authors":"Yiping Yang, Zhuang Wu","doi":"10.1109/BIFE.2010.70","DOIUrl":"https://doi.org/10.1109/BIFE.2010.70","url":null,"abstract":"In this paper, issues of informatization of domestic and foreign enterprises are described. For the selection of the best and second best of resource allocation, measurement and appraisal in the enterprise informatization dynamic equilibrium models, the enterprise informatization capacity maturity and dynamic equilibrium models are proposed from the corporate informatization level, quality, capability and moderation. The theory of second best is used to analyze the enterprise informatization resource allocations and solve the issues of methods, appraisal and application moderation.","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"612 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116468942","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Lanxiang Zhao, Z. Cao, Huiqian Yu, L. Yuan, Chengxiong Zhou
According to the serious trend of environment of enterprise, at first, the complicity actions among local government, enterprise and community residents are analyzed. Using game theory, two mixed strategy equilibrium models are constructed using economic game theory, that is, four stakeholders of safety management for environment governance, which includes central government, local government, enterprise, and community residents, are regarded as players. One is the game model between central government, local government and enterprise, the other is game model between enterprise and community residents. Then, the solutions for two models are analyzed and the reasons for environment of enterprise are studied. Lastly, using Baosteel Group Co. as a case study, the relation between its steel output and environmental index is analyzed, and its environmental pressure is studied. Furthermore, the counter measures to the environment governance are put forward.
{"title":"A Game Analysis of Environmental Governance: A Case Study of Baosteel Group","authors":"Lanxiang Zhao, Z. Cao, Huiqian Yu, L. Yuan, Chengxiong Zhou","doi":"10.1109/BIFE.2010.63","DOIUrl":"https://doi.org/10.1109/BIFE.2010.63","url":null,"abstract":"According to the serious trend of environment of enterprise, at first, the complicity actions among local government, enterprise and community residents are analyzed. Using game theory, two mixed strategy equilibrium models are constructed using economic game theory, that is, four stakeholders of safety management for environment governance, which includes central government, local government, enterprise, and community residents, are regarded as players. One is the game model between central government, local government and enterprise, the other is game model between enterprise and community residents. Then, the solutions for two models are analyzed and the reasons for environment of enterprise are studied. Lastly, using Baosteel Group Co. as a case study, the relation between its steel output and environmental index is analyzed, and its environmental pressure is studied. Furthermore, the counter measures to the environment governance are put forward.","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"79 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114848089","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this paper, we investigate the dynamic optimal portfolio selection. In a Black-Scholes setting, a conditional capital at risk constraint is imposed continuously over time. Making use of conditional information, the risk of trading portfolio is reevaluated dynamically to influence the investment decision. We apply the dynamic programming technique and optimal theory to obtain the optimal constrained portfolio allocation strategies in closed form. We find that two-fund separation also holds and the proportions invested in risky assets are lower than they would have been without the risk constraint. Numerical examples are presented.
{"title":"Dynamic Portfolio Selection under Conditional Capital at Risk Constraint","authors":"Xiuguo Wang","doi":"10.1109/BIFE.2010.60","DOIUrl":"https://doi.org/10.1109/BIFE.2010.60","url":null,"abstract":"In this paper, we investigate the dynamic optimal portfolio selection. In a Black-Scholes setting, a conditional capital at risk constraint is imposed continuously over time. Making use of conditional information, the risk of trading portfolio is reevaluated dynamically to influence the investment decision. We apply the dynamic programming technique and optimal theory to obtain the optimal constrained portfolio allocation strategies in closed form. We find that two-fund separation also holds and the proportions invested in risky assets are lower than they would have been without the risk constraint. Numerical examples are presented.","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130176196","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
With the increasing level of volatility in the crude oil market, the transient data feature becomes more prevalent in the market and is no longer ignorable during the risk measurement process. Since using a set of bases available there are multiple representations for these transient data features, the sparsity measure based Morphological Component Analysis (MCF) model is proposed in this paper to find the optimal combinations of representations for them. Therefore, this paper proposes a MCF based hybrid methodology for analyzing and forecasting the risk evolution in the crude oil market. The underlying transient data with distinct behaviors are extracted and analyzed using MCF model. The proposed algorithm incorporates these transient data features to adjust for estimates from traditional approach based on normal market condition during its risk measurement process. The reliability and stability of Value at Risk (VaR) estimated improve as a result of finer modeling procedure in the multi frequency and time domain while maintaining competent accuracy level, as supported by empirical studies in the representative West Taxes Intermediate (WTI) crude oil market.
{"title":"Value-at-Risk Estimation of Crude Oil Price via Morphological Component Analysis","authors":"Kaijian He, K. Lai, J. Yen","doi":"10.1109/BIFE.2010.94","DOIUrl":"https://doi.org/10.1109/BIFE.2010.94","url":null,"abstract":"With the increasing level of volatility in the crude oil market, the transient data feature becomes more prevalent in the market and is no longer ignorable during the risk measurement process. Since using a set of bases available there are multiple representations for these transient data features, the sparsity measure based Morphological Component Analysis (MCF) model is proposed in this paper to find the optimal combinations of representations for them. Therefore, this paper proposes a MCF based hybrid methodology for analyzing and forecasting the risk evolution in the crude oil market. The underlying transient data with distinct behaviors are extracted and analyzed using MCF model. The proposed algorithm incorporates these transient data features to adjust for estimates from traditional approach based on normal market condition during its risk measurement process. The reliability and stability of Value at Risk (VaR) estimated improve as a result of finer modeling procedure in the multi frequency and time domain while maintaining competent accuracy level, as supported by empirical studies in the representative West Taxes Intermediate (WTI) crude oil market.","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130839350","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper formulates a game theory model to discuss equilibrium among four main participants who need to choose between acting sunshine and shadow activities in financial market. Their activities will determine the market's transparency level and indirectly decide utility of each player. We observe that the perfect situation, when all players act sunshine activities, is Nash equilibrium. But when financial institutions, regulators and intermediaries choose to coalesce together and deviate from the rules, a Pareto improvement will take place in the allied group, and the equilibrium will move. But when market transparency decreases to too low a level and goes below the bottom line, investors will leave the market and the bubble will burst.
{"title":"Modeling of Boom and Burst of Shadow - A Game Theory Approach","authors":"Hwa Dong Liang, K. Lai, J. Yen, Ming Wang","doi":"10.1109/BIFE.2010.67","DOIUrl":"https://doi.org/10.1109/BIFE.2010.67","url":null,"abstract":"This paper formulates a game theory model to discuss equilibrium among four main participants who need to choose between acting sunshine and shadow activities in financial market. Their activities will determine the market's transparency level and indirectly decide utility of each player. We observe that the perfect situation, when all players act sunshine activities, is Nash equilibrium. But when financial institutions, regulators and intermediaries choose to coalesce together and deviate from the rules, a Pareto improvement will take place in the allied group, and the equilibrium will move. But when market transparency decreases to too low a level and goes below the bottom line, investors will leave the market and the bubble will burst.","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133798307","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The research establishes a credit evaluation model based on fuzzy neural network. It is used to do two patterns classification on the 106 listed companies of China in 2000. It selects four primary financial indexes: earning per share, net asset value per share, return on equity, and cash flow per share. By analyzing the statistical quantities of every variable of both the training samples and the testing samples, after eliminating 22 abnormal samples, and then only analyzing 84 normal samples. The simulation results show that the credit evaluation model based on fuzzy neural network has high discriminate accuracy rate to those rest normal samples. There is only one misjudge sample. The identification accuracy rate is 98.81%. The research shows that, as a method discussion, the fuzzy neural network algorithm is still worthy to do deep research.
{"title":"Credit Evaluation Model and Application Based on Fuzzy Neural Network","authors":"Sulin Pang","doi":"10.1109/BIFE.2010.22","DOIUrl":"https://doi.org/10.1109/BIFE.2010.22","url":null,"abstract":"The research establishes a credit evaluation model based on fuzzy neural network. It is used to do two patterns classification on the 106 listed companies of China in 2000. It selects four primary financial indexes: earning per share, net asset value per share, return on equity, and cash flow per share. By analyzing the statistical quantities of every variable of both the training samples and the testing samples, after eliminating 22 abnormal samples, and then only analyzing 84 normal samples. The simulation results show that the credit evaluation model based on fuzzy neural network has high discriminate accuracy rate to those rest normal samples. There is only one misjudge sample. The identification accuracy rate is 98.81%. The research shows that, as a method discussion, the fuzzy neural network algorithm is still worthy to do deep research.","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"150 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115194218","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
By using daily data of India market, an effort has been made to investigate the possible volatility and price-discovery relationships between the NIFTY spot index and index futures market with techniques of ARCH/GARCH model, Johansen's Cointegration test and Granger Causality test. The main conclusions of this paper are as follows: firstly, the introduction of stock index future (SIF) helps reduce the volatility of spot market in emerging countries like India; Secondly, the price-discovery function of SIF is gradually improved with the expansion of trading scale and liquidity and therefore the scale of transaction is an insignificant effect for the successful practice of SIF.
{"title":"Mutual Relationship between NIFTY Stock Index Future and Spot Markets","authors":"Xiaofeng Zhang, Ling Lv","doi":"10.1109/BIFE.2010.106","DOIUrl":"https://doi.org/10.1109/BIFE.2010.106","url":null,"abstract":"By using daily data of India market, an effort has been made to investigate the possible volatility and price-discovery relationships between the NIFTY spot index and index futures market with techniques of ARCH/GARCH model, Johansen's Cointegration test and Granger Causality test. The main conclusions of this paper are as follows: firstly, the introduction of stock index future (SIF) helps reduce the volatility of spot market in emerging countries like India; Secondly, the price-discovery function of SIF is gradually improved with the expansion of trading scale and liquidity and therefore the scale of transaction is an insignificant effect for the successful practice of SIF.","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124374974","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Songgong Li, Shenghong Li, Qunfang Bao, Guimei Liu
{"title":"Credit Risk Contagion and Mitigation for Guaranty Portfolio","authors":"Songgong Li, Shenghong Li, Qunfang Bao, Guimei Liu","doi":"10.1109/BIFE.2010.53","DOIUrl":"https://doi.org/10.1109/BIFE.2010.53","url":null,"abstract":"","PeriodicalId":411081,"journal":{"name":"2010 Third International Conference on Business Intelligence and Financial Engineering","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128719689","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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