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1 – 10 of 656Yan Li, Lian Luo, Chao Liang and Feng Ma
The purpose of this paper is to explore whether the out-of-sample model bias plays an important role in predicting volatility.
Abstract
Purpose
The purpose of this paper is to explore whether the out-of-sample model bias plays an important role in predicting volatility.
Design/methodology/approach
Under the heterogeneous autoregressive realized volatility (HAR-RV) framework, we analyze the predictive power of out-of-sample model bias for the realized volatility (RV) of the Dow Jones Industrial Average (DJI) and the S&P 500 (SPX) indices from in-sample and out-of-sample perspectives respectively.
Findings
The in-sample results reveal that the prediction model including the model bias can obtain bigger R2, and the out-of-sample empirical results based on several evaluation methods suggest that the prediction model incorporating model bias can improve forecast accuracy for the RV of the DJI and the SPX indices. That is, model bias can enhance the predictability of original HAR family models.
Originality/value
The author introduce out-of-sample model bias into HAR family models to enhance model capability in predicting realized volatility.
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Toan Luu Duc Huynh, Hiep N. Luu, Chao Liang and Francesco Pastore
Shih-Liang Chao, Chin-Shan Lu, Kuo-Chung Shang and Ching-Chiao Yang
Shih-Liang Chao and Ya-Lan Lin
This study has two purposes. The first is to identify the determinants influencing the selection of a container number recognition system via a quantitative method to thereby…
Abstract
Purpose
This study has two purposes. The first is to identify the determinants influencing the selection of a container number recognition system via a quantitative method to thereby establish an evaluation structure. The second purpose is to conduct an empirical study to determine the weights of the criteria and alternatives.
Design/methodology/approach
The exploratory factor analysis (EFA) and fuzzy analytic hierarchy process (AHP) were applied to determine the evaluation structure and weights of the criteria and alternatives, respectively.
Findings
An empirical study based on a dedicated terminal at Keelung Port is conducted. The result demonstrates that the radio-frequency identification (RFID) system is a suitable system for the terminal under consideration in this study.
Originality/value
The value of this study is twofold. First, EFA was applied to extract common factors from a wide questionnaire survey, thereby establishing a hierarchical analysis structure. This method and comprehensive evaluation structure are useful references for both practitioners and researchers to deal with problems of gate automation. Second, fuzzy AHP was used to decide the weights of the hierarchical structure. The weights obtained by this method are more objective and rational as the imprecision expressions in returned samples have been considered and dealt with.
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Chao Liang and Bai Liu
This study aims to investigate the environmental effects of climate financial fragmentation in the form of emerging multilateral institutions.
Abstract
Purpose
This study aims to investigate the environmental effects of climate financial fragmentation in the form of emerging multilateral institutions.
Design/methodology/approach
Among the countries that have economic relations with China, those involved in climate finance cooperation are taken as the experimental group, and those not involved in other areas are taken as a control group. Using system generalized method of moments regression, the difference-in-differences method is used to test the environmental effects of climate finance cooperation of emerging multilateral institutions. In this way, this study explores the financial and trade mechanisms of cooperation among emerging multilateral institutions.
Findings
The results of this empirical study show that the cooperation of emerging multilateral institutions has a positive impact on the environment. Research results further reveal the financial and trade mechanisms of climate finance cooperation projects. When the invested countries are more likely to obtain international capital, environmental effects will be greater. However, trade intimacy could inhibit the improved environmental effects.
Originality/value
This research is one of the few studies to test the environmental effects of climate financial fragmentation empirically. This study provides a better understanding of the multilateral cooperation of emerging economic entities and China’s climate finance policy, thus providing evidence for the collaborative governance of global climate finance.
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Chao Liang, Bai Liu and Hing Kai Chan
China is the only major economy in the world that has achieved positive gross domestic product (GDP) growth in 2020. The paper aims to explore the effect of China's public policy…
Abstract
Purpose
China is the only major economy in the world that has achieved positive gross domestic product (GDP) growth in 2020. The paper aims to explore the effect of China's public policy restarting supply and consumption after coronavirus disease-2019 (COVID-19).
Design/methodology/approach
Affected by the epidemic, global economic growth slowed down. Using the stock price data of Chinese A-share listed company, combining natural experiment and event study method, the paper examines the policy effects of work resumption and consumer vouchers.
Findings
Compared with demand capacity, the work resumption has a more significant role in promoting the supply industry. Issuing consumer vouchers can effectively promote local demand recovery, and the effect is mainly concentrated in the industries involved in consumption vouchers. At the same time, public management capacity and the income level of residents play an important role in restarting supply and demand.
Practical implications
Understanding China's public policies and effects are of positive significance to the restoration of economic development in other countries.
Originality/value
The study contributes to knowledge by empirically examining the effect of China's public policies against the COVID-19 pandemic. The paper also expands the scope of policy-oriented research based on the perspective of supply and demand capacity building.
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Yaojie Zhang, Chao Liang and Daxiang Jin
The assets of bankrupt firms are usually sold to unsuitable buyers at an extremely discounted price. Aiming to reduce the bankruptcy cost, the purpose of this paper is to propose…
Abstract
Purpose
The assets of bankrupt firms are usually sold to unsuitable buyers at an extremely discounted price. Aiming to reduce the bankruptcy cost, the purpose of this paper is to propose a novel insurance system for associated loans.
Design/methodology/approach
In this insurance system, the joined firms are from the same industry and have a responsibility to buy the assets of potentially bankrupt firms at a relatively high price, because they could make better use of the assets than the buyers outside the industry. Further, the authors use the Shapley value to address the problem of bankruptcy cost allocation and additionally employ the method of Monte Carlo simulation to derive the numerical solution of the insurance premium of bankruptcy cost.
Findings
First, the relatively healthy and solvent firms in the insurance system could gain a larger proportion of benefits derived from the reduced cost of default, interestingly, the more so when the external cost of default is larger. Second, given the positive relationship between bankruptcy cost and asset correlation in practice, lenders and insurers face a trade-off to balance the cost against the benefit of asset correlation. Third, insurance premiums and bankruptcy costs decrease with the number of firms participating in this insurance system.
Originality/value
This paper proposes a novel insurance for associated loans, in which joined firms can pay a relatively low insurance premium due to the realization of reducing bankruptcy cost.
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Shih-Liang Chao and Yi-Hung Yeh
This study aims to measure the productivity of 21 major shipyards in China, South Korea and Japan.
Abstract
Purpose
This study aims to measure the productivity of 21 major shipyards in China, South Korea and Japan.
Design/methodology/approach
Data envelopment analysis was applied to measure the productivity of shipyards. The contemporaneous and intertemporal productivity scores of each shipyard were measured. Additionally, the technical gaps among shipyards in China, South Korea and Japan were measured and compared.
Findings
The results indicate that Japan led the global shipbuilding industry in 2014 and South Korea dominated in 2015. Additionally, from 2014 to 2015, shipyards in South Korea and Japan maintained their levels of productivity. Comparatively, major shipyards in China made substantial progress from 2014 to 2015, revealing their strong ambition to improve productivity.
Originality/value
This study first used a metafrontier framework to measure the technical gap of shipyards among major shipbuilding countries. The model and approach objectively analyze the productivity of major shipyards and considers their nationalities. Additionally, this study is the first to measure changes in the productivity of shipyards. By decomposing the metafrontier Malmquist productivity index, major shipyards were categorized into eight sets. The results of this study can provide a clear direction for shipyards to improve their productivity.
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Cheng‐chung Lai and Paul B. Trescott
To review one of the earliest Chinese debates on socialism, highlighting the consequent changes in outlook by Sun Yat‐sen and Liang Qichao; and to demonstrate the influence of…
Abstract
Purpose
To review one of the earliest Chinese debates on socialism, highlighting the consequent changes in outlook by Sun Yat‐sen and Liang Qichao; and to demonstrate the influence of Western economic writers especially Richard T. Ely, Henry George, and German Bismarckian socialists.
Design/methodology/approach
Textual analysis of original Chinese‐language materials with extensive direct quotations (in translation).
Findings
Sun initially gave primary attention to land policy, using a (somewhat inconsistent) combination of George's “single tax” and a very different idea of land nationalization. As a result of the debate, however, Sun gave more attention to economic growth, capital formation, and import restriction. Liang initially favored Bismarckian socialism, but moved during the debate to increasing skepticism about a major economic role for government, recognizing the need for entrepreneurship and capital formation.
Originality/value
Existing literature fails to perceive the radical shifts in viewpoint which developed for both Sun and Liang. This is particularly important for Sun, whose later ideas had a major influence on Chinese economic policy after 1927.
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Qian‐chao Liang, Wen‐you Lin, Rong‐hua Huang, Sheng‐wei Jia and Jin‐ming Huang
In order to further improve the accuracy of nonlinear simulation models, the purpose of this paper is to make some improvements to the general mode.
Abstract
Purpose
In order to further improve the accuracy of nonlinear simulation models, the purpose of this paper is to make some improvements to the general mode.
Design/methodology/approach
This paper adopts the calculation method of variable specific heat, taking the variation of gas‐oil ratios and discharge pressure into account, and establishes a nonlinear dynamic simulative model of biaxial gas turbine considering about the inertia of volume based on MATLAB/SIMULINK.
Findings
The simulation result, compared with test data, shows that this simulative model is more accurate to reflect the system's dynamic characteristics.
Research limitations/implications
The hot inertial has not been taken into account. Meanwhile, the quantity of data is less, so this paper adopts interpolation method.
Practical implications
It is used to simulate calculation of gas turbines.
Originality/value
This paper adopts the calculation method of variable specific heat, considering the effect of the gas‐oil ratio variation and the discharge pressure variation (the total pressure of discharge duct) on the system.
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