Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)

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87 articles

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics

Manabu Asai, Michael Mcaleer
The paper derives a Multivariate Asymmetric Long Memory conditional volatility model with Exogenous Variables (X), or the MALMX model, with dynamic conditional correlations, appropriate regularity conditions, and associated asymptotic theory. This enables checking of internal consistency and allows...

Stationarity and Invertibility of a Dynamic Correlation Matrix

Christian Hafner, Michael Mcaleer
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of regularity conditions, such as stationarity...

A Simple Test for Causality in Volatility

Chia-lin Chang, Michael Mcaleer
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange Multiplier...

The GJR-GARCH and EGARCH option pricing models which incorporate the Piterbarg methodology

Coenraad C.a. Labuschagne, Sven T. Von Boetticher
Knowledge of the risk-neutral distribution of the cumulative return with respect to the model used, is needed in European option pricing. Duan, Gauthier, Simonato and Sasseville (DGSS) provided an analytic approximation model for the case where an EGARCH or a GJR-GARCH specification...

Tourism Stocks in Times of Crises: An Econometric Investigation of Non-macro Factors

Anastasios Zopiatis, Christos Savva, Neophytos Lambertides, Michael Mcaleer
Following the recent terrorist attacks in Paris, the European media emphatically pronounced that billions of euros were wiped from tourism related stocks. This comes at a troublesome time for the tourism industry, in the midst of a global financial crisis, and the unpredictable rise of radical Islamic...

US Antidumping Petitions and Revealed Comparative Advantage of Shrimp Exporting Countries

Chia-lin Chang, Michael Mcaleer, Dang-khoa Nguyen
The paper explores the trade competitiveness of seven major shrimp exporting countries, namely Vietnam, China, Thailand, Ecuador, India, Indonesia and Mexico, to the USA. Specifically, we investigate whether the United States (US) antidumping petitions impact upon the bilateral revealed comparative...

Investor Sentiment, Information Disclosure and Corporate Investment Behavior

Yanyu Zhang, Qiang Xu
Behavioral Corporate Finance believes that disclosure of corporate information, not only affects the corporate value but also affects the expected growth of the enterprise market investors. Investors would give the lower level of disclosure of the stock a higher level of risk. This paper selected the...

Construction of Evaluation Index System of the New Generation Migrant Workers' Employment Quality

Qian Li, Wanming Chen
The "supply side" structural reform is an innovative reform to improve the level of social productivity and other important mission. From the perspective of public management, it is bound to deal with the transformation of migrant workers and improve the quality of employment of them in the supply side...

Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

David Allen, Michael Mcaleer, Robert Powell, Abhay Singh
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken from...

An Econometric Analysis of ETF and ETF Futures in Financial and Energy Markets Using Generated Regressors

Chia-lin Chang, Michael Mcaleer, Chien-hsun Wang
It is well known that there is an intrinsic link between the financial and energy sectors, which can be analyzed through their spillover effects, which are measures of how the shocks to returns in different assets affect each other's subsequent volatility in both spot and futures markets. Financial...

Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance

Chia-lin Chang, Juan-angel Jimenez-martin, Esfandiar Maasoumi, Michael Mcaleer, Teodosio Perez-amaral
Bank risk managers follow the Basel Committee on Banking Supervision (BCBS) recommendations that recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The Basel Committee on Banking Supervision (2013, p. 3) noted that: "a number of weaknesses...

Research on Audio Digital Watermark and realization in MATLAB

Biqing Li, Zhao Li
Based on improved algorithm of DCT(discrete cosine transform), the Audio Digital Watermarks is embeded and detected in this paper.The watermark embedding process is simulated by MATLAB was described in this paper. The experimental results shows that the watermarks by this algorithm has good stability...

The Impact of Personal and Institutional Investor Sentiment on Stock Returns under the Chinese Stock Market Crash

Kexuan Wang
Under Chinese stock market crash, personal and institutional investor sentiment is out of control, which leads to the stock prices fall further. Therefore this article uses the concept of behavioural finance to study the problem. This essay uses multiple regressions to study the influence of the current...

A Vibrant Life by the Chao Phraya River, Northern Bangkok Thailand: The Heritage Tourism Value of Baan Lao Community

Korakit Choomgrant, Renu Sukharomana
The reputations of primary and secondary tourist destinations are hierarchically created through its value to the nation. Prioritizing a conservation project and tourism development can have major differences. Values attached to a destination by inhabitants are different from those of tourists, and...

Empirical Study on the Impact of Information Disclosure Quality on Listed Companies' Value

Dongwu Niu, Heng Ma
Firstly, this paper analyzes the information disclosure status of A-share listed companies in Shenzhen Stock Exchange. Through the statistics and analysis of information disclosure assessment results, it finds out that the information disclosure level of listed companies has been obviously improved....

The Development of a Code of Practice and Indicators for Official Statistics Quality Management in Thailand

Titirut Mekbunditkul
This research was granted by the National Statistical Office of Thailand and it aims to construct Code of Practice and indicators for official statistics quality management in Thailand. Researcher has studied official statistics quality management from 3 international agencies, such as The United Nations...

Performance Evaluation of Third-party Cold Chain Logistics Enterprise Based on A Comprehensive Evaluation Method

Huijun Huang, Yawen Xu
Performance evaluation of third-party cold chain logistics (3PCCL) enterprise is a complex and difficult process requiring the consideration of various aspects. This paper set up a scientific index system including four aspects: finance, internal operation, customer as well as learning and growth....

Corporate Strategy Difference and Earnings Management Motivation

Lei Chen
To investigate the impact of corporate strategy differences on the value relevance of earnings management, the study use Chinese listed companies as a sample and find that the greater the degree to which a firm's strategy deviates from the industry's conventional model, the lower the value relevance...

Analysis on the correlation between SEO and the performance of listed real estate companies in China

Weihong Huang, Wei Lin
Seasoned equity offering is one of the important funds sources of listed real estate company, there is significant correlation between the different factors in the seasoned equity offering and real estate listed company's performance after refinancing. The empirical study of 44 sample companies show...

SWOT Analysis of Cross-border E-commerce Development in China under the Background of Internet Plus

Jingjing Xie
With the development of the information technology and economic globalization, cross-border e-commerce has become a new growth point of economic development of foreign trade. It is a new driving force to promote the upgrading of industrial structure. This paper analyzes the advantages, disadvantages,...

Study on the Countermeasures of Chinese Enterprises Cross-border M & A failures ---- Case Study Based on SAIC's acquisition of Ssangyong

Juan Li
After the 2008 financial crisis, China shows strong growth in cross-border mergers and acquisitions team, while through the number of the failed mergers cases over the years, the implement of cross-border mergers and acquisitions (M&A) of Chinese enterprises found unsatisfactory. Through a comprehensive...

The Influence of Foreign Strategic Investors on the Risk Management of Chinese Commercial Banks

Shuyue Yang, Guoqiang Zhou
To study the effect of the Chinese commercial banks' introduction of overseas strategic investors and put advice on introducing foreign investment was the topic of the text. The improvement of internationalization has promoted the rapid development of the banking industry, and the banking industry is...

Logistic Symbiotic Dynamic Model for Producer Services and Manufacturing Industry

Bohui Pang
A Logistic symbiotic dynamic model is proposed to describe accurately the symbiotic evolution process for producer services and manufacturing industry. The symbiotic evolutionary process of producer services and manufacturing industry is analyzed practically. The results show that the actual growth rate...

The Design of Online Shopping Platform Support System Based on Web3.0

Tongdi Xiao, Zhenghua Hu, Libing He
The business volume of online shopping which is based on the internet will have an inevitable sustained growth, and it can hardly satisfy customers' shopping experience only by the online shopping platform that is form by 2D graphic and text messages. By hold some characteristics of Web3.0 time, this...

Performance Measurement of Banking Supervision: From the Perspective of Banking Supervision Law

Sang-bing Tsai
Financial supervision is the power that financial management authorities execute the laws concerned to supervise and monitor financial institutes, the main goal to execute this power is for the whole and safe financial banking business, for financial fair trade and for the maintenance of financial...

Research and Application of DMAIC in Improving Fault Early Warning Process for Intelligent Production of Single Well

Chunlei Wu, Yiwei Wei, Xiaoliang Chu, Yi Tan
Improving single well failure repair efficiency by implementing Six Sigma DMAIC process for single well failure repair system in oil field. The problem is defined in strict accordance with the DMAIC process approach, clarify the scope of the process and improve the objectives. Then analyzing...

The application research about theory model of mobile payment

Xiaoqing Chu
China is the country with the largest number of mobile terminals, and has a great market development potential. But compared with some developed countries, our mobile payment is behind a lot, and now our mobile payment has not been recognized by all consumer groups. There is an important hot issue...

Design and Practice of the Mixed Teaching Model --Taking Business Management Foundation as an Example

Qiongxue Bao
The mixed teaching model is a kind of complementary teaching model combined by the traditional teaching method and the networked teaching method. With the continuously educational reform, the mixed teaching model in the flipped classrooms has become an important research...

It's Complicated: Understanding Gender Equality in Bangkok, Thailand

Korakit Choomgrant
This paper examines the state of "gender equality' in Thailand by taking the Silom precinct as an example. It is a qualitative study that analyzes analyzing information and data gathered from both primary and secondary sources. The discourse analysis method is also accommodated. What is revealed that...

The Impact of Demographic Structure on Housing Prices: Evidence from Macau

Song Yanan
Due to the Macau's rapid development of the real estate market, the average housing prices increased by about 600% in 10 years. The changes in the demographic structure also affected the housing needs, and the aging population increased to affect the housing market. Therefore this paper used the quarterly...

Trade credit in the Chinese Economy: An analysis of Listed Companies

Zhengcheng Wu
To provide a comprehensive analysis of trade credit activity in China, This study compared the use of the important non-formal financial channel, trade credit, between different sectors in China. This study further compared the use of trade credit between the firms of different scale. The results...

Assessing the Ability of Banks to Manage the Credit Risks of Their Enterprise Customers-From the Perspectives of Banking Act and Banking Supervision Law

Sang-bing Tsai
In the rapidly changing global financial environment, credit risk control and management is the top priority for banks. This study explores the ability of one bank in Taiwan to assess the credit risks of their enterprise customers. Importance-performance analysis (IPA) is commonly used to assess performance...

The Statistics of Bitcoin and Cryptocurrencies

Joerg Osterrieder
Cryptocurrencies became popular with the emergence of Bitcoin and have shown an unprecedented growth over the last few years. As of November 2016, more than 720 cryptocurrencies exist, with Bitcoin still being the most popular one. We show the statistical properties of the most important cryptocurrencies....

Satisfaction of European Tourists Regarding Destination Loyalty in Phuket

Aswin Sangpikul, Anan Chieochankitkan, Hounnaklang Suwanchai
The European travelers market is one of the important international tourist markets to Phuket. However, little is known on their intention to revisit Phuket. Destination loyalty is an important marketing factor in sustaining the destination attractiveness. It is necessary for tourism managers...

Futures Hedging Effectiveness with the Information of Implied Volatility Index

Ming Fang, Chiu-lan Chang, Sa Yan
This study outlines and compares approaches for estimating time-varying optimal hedge ratios with or without implied volatility on futures markets. These time-varying methods are applied to compare the outcomes using out-of-sample performance evaluations. The hedging performance for the models with IV...

Research on the optimization of industrial structure in Shaanxi Province Based on DEA model

Qunwei Wang, Xiujian Wei, Gangqiang Zha, Shouzhi Xi
The optimization process of industrial structure mainly includes two parts: rationalizing and upgrading industrial structure. Firstly, the C2R model is analyzed through data envelopment. Industrial structure evaluation system consisting of 10 input parameters and 1 output index is established and the...

Silk Road 4.0: Initiative Transformation for Chinese Silk Enterprise

Ning Mao, Michael Mcaleer
This paper searches the breakthrough point to improve the current dilemma of Chinese silk enterprises. Creswell (2012) stated that the case study methodology is a qualitative approach that explores one or multiple cases through in-depth data collection from multiple sources. This paper use case studies...

Cluster Analysis of Inbound Tourist Source Market in Guangdong Province

Tong Yu
According to the data of inbound tourism in Guangdong Province from 2006 to 2015, the author analyzes the development situation and composition of inbound tourism in Guangdong Provinceby Excel software, and the author conducts cluster analysis of inbound tourism market of Guangdong Province by SPSS23.0...

Improvement on the Transducer Sensitivity Measurement Results using Vibration Exciters

Moses Temba, Shenzhi Du
Abstract. The most important equipment in a calibration system used to calibrate vibration transducers is the exciter used for generating motions. A perfect exciter when excited in a geometrical direction, should provide a stable, single directional and distortion free vibratory movement, without...

An Empirical Study on the Experience Satisfaction of Tourism Performing Arts Project under the Experience Economic Background--Taking Heyuan City as an Example

Ying Zhang
High-end, efficient, and innovation driven are the keys of the tourism industry's improvement of quality and efficiency. In the experience economy age, the tourism performing arts project often is the breakthrough point of the traditional sightseeing scenic spots' transformation and development. And...

Theravada Buddhism Beliefs' Motives for Thai Luxury Fashion Consumption

Ning Mao, Michael Mcaleer
This paper reviews the Thai national character according to Hofstede's cultural dimension theory and Komin's nine values cluster (Psychology of the Thai people), analyses the social hierarchy of Thai consumers according to the Luxury 4P Taxonomy (Han et al., 2010), integrates the Theory of Cultural...

The Real Estate Market Simulation Experiment about the Urban Housing Destocking Strategies

Yanwen Xu
To stabilize the urban housing market is one of the main contents of the China national economic work in 2016. This paper, taking the third-tier city Yichang as the research object, built a simulation model of the urban real estate market based on the urban characteristics and the historical data....

Quality Evaluation of World's Top 40 Universities Based on Multivariate Analysis

Mengran Yuan
University comprehensive quality evaluation is an important method to evaluate the quality of World University. Scoring on a university via the study and research of all aspects of a university , is an ideal way to show the whole picture of a university, that is, its quality level is built on the...

Research on Network Security Evaluation System Based on Fuzzy Comprehensive Evaluation Method

Xuepeng Huang
In today's world, the Internet has become an indispensable part of our daily life, work and study. In order to meet the growing needs of users, the network has been expanding, from inside and outside the network threat, is also a variety of threats in the network security. Based on the analysis...

A Study on Thai Taxi Drivers' Cross-cultural Communication Problems and Challenges

Janpha Thadphoothon
This study investigates Thai taxi drivers' cross-cultural communication problems and challenges by synthesizing the research findings from two related studies: (1) a classroom investigation of Thai taxi drivers' communication challenges and (2) a study on Thai taxi drivers' English language competence...

Empirical Study on China's position in the global value chain of Electronic Information Manufacturing Industry

Yu Chen, Chengcheng Mao, Jinglei Huang
High-tech industry involves many production links. Trade volume includes foreign valueadded, which cannot truly reflect the status of this manufacturing industry in the international division of labor. In order to restore the real profitability of each economy, this paper measures the export value...

Time series analysis of China's service trade based on ARIMA model

Pengliang Wang
Since the international trade and global development environment tend to be severe, all of the countries are looking for new economic growth points. Therefore, service trade is widely concerned. Now the opportunities and challenges of trade in services coexist. To study the development of China's service...

Optimal Active Power Loss with Feeder Routing Collaborate Distributed Generation Allocation and Sizing in Smart Grid Distribution

Phatcharasak Phawanaphinyo, Narongdech Keeratipranon, Chaiyaporn Khemapatapan
The Smart Grid (SG) has widely supported the electric power from the Distributed Generation (DG). It becomes a practical standard to generate the electric power from a renewable energy into the distribution system to compensate for the power demand, especially in the peak time. However, the advancement...

Multi Fuels Allocation for Power Generation using Genetic Algorithm

Anurak Choeichum, Narongdech Keeratipranon, Chaiyaporn Khemapatapan
This paper presents solution of optimal multi fuels allocation for electric power generation planning problem via a genetic algorithm (GA). The objective is to maximize the electric power energy output and minimize the fuels cost. This is a considerably difficult problem because of its data variation....

Time-Varying Effect of Gold and Crude Oil prices to Stock Price Index

Sukrit Thongkairat, Roengchai Tansuchat
This paper proposes time-varying effect of gold and crude oil price to stock price index with Markov switching state space model which provided the time-varying coefficients to analyze the time-varying behaviors of the stock index. A Bayesian approach is employed to predict the parameters of the model...