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

Session: Economics Session

43 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...

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...

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...

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....

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....

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...

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...

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...

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....

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...

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...

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....

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...

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...

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...

Lesson Learned in Education and Skill Mismatches from Maptaphut Industrial Estate, Thailand

Duangjan Varakamin
This paper studies educational and skill mismatch by using primary data in Maptaphut Industrial Estate, Rayong Province conducted from 226 surveyed workers. The ordinary least squares (OLS) and unconditional quantile (UQR) regressions are used to examine the mismatches on earnings. The findings are...

Decomposition analysis on the macroeconomic drivers of the carbon emission from energy consumption in China

Junsong Jia, Huiyong Jian, Min Ju, Dongming Xie
To make clear the relationship between the macroeconomic driving factors and the carbon emission (CE) of energy consumption (EC) in China, we first computed this CE during 2000-2014 and then analyzed the corresponding drivers by the Logarithmic Mean Divisia Index (LMDI) method. The results show the...

Demand for Narcotics in Thailand and Policy Implications

Renu Sukharomana
This paper examines that the demand for narcotic drugs based on Becker (1968) is one kind of rational behavior of human beings. The results from sampling surveys in eight provinces representing nationwide drug user/addicted in Thailand in 2014 shows that demand for narcotics (amphetamine, ice drug and...

Chinese Outward Direct Investment in Australia: Current Condition Analysis and Prospect

Xuezhen Kang
Australia has become a crucial destination for Chinese foreign investment. Based on statistical data of Chinese outward direct investment (ODI) in Australia throughout recent ten years, by practically analyzing the development and current condition of Chinese ODI in Australia, this paper discusses...

Analysis on Key Points of Foreign Trade English Correspondence Translation

Suping Jiang, Biqing Li, Zhao Li
Modern economic development shows that: international trade activity is a significant component of world economic development, and turns into strong impetus for world economic development. Foreign trade business grows rapidly, which is a huge shock to the global economy. Many scholars and translators...

Analysis on modern apprenticeship status in higher vocational colleges

Shufen Guo, Biqing Li, Zhao Li
This paper, by means of observation and literature research, comprehensively studies the development of modern apprentice system in higher vocational colleges, aiming to better apply research results to our country's the execution work of modern apprenticeships as guideline. This paper is divided...

Foreign Direct Investment and the development of the Casablanca Stock Exchange

Jihane Aayale
This paper aims to empirically examine the impact of Foreign direct investment in developing host countries' stock markets development, in our case Morocco's Casablanca stock exchange, while investigating the effect of domestic savings and exchange rate among other variables, we utilized market capitalization...

Environmental information disclosure and firm performance

Hsuehen Hsu
This study investigates the association of environmental information disclosure and corporate financial performance for the steel industry. This study uses A-share steel industry listed companies in Shanghai Stock Exchange from 2010 to 2014. The environmental information disclosure...

An Integrated Approach for Logistic Partner Selection in a Logistics Alliance

Chunchao Pang, Lishuai Liu
This study looks at selecting the partner in a logistics alliance as well as the intricate relationships between various factors. We use three research models herein. First, Interpretive Structural Modeling (ISM) establishes the criteria for the interrelationship structure, categorized according to...

Research on the Exertion of Information Technology Superiority in Economic Management

Qingming Liu
With the development of information technology, it's shown that information technology can better serve the management work of the enterprise by integrating and dealing with many types of information, hence promoting the favorable development of the enterprise at a deeper level. With rapid development...

The Analysis of ASEAN Travel Markets to Thailand: An Approach to Promote Thailand's Economy

Aswin Sangpikul
ASEAN travel markets have been one of the important international tourist markets to Thailand. However, little effort has segmented this market for marketing purposes through an empirical study. This study, therefore, has an objective to examine the perception of Thailand's destination attractions...

Empirical Study on Pricing Formation Mechanism of Transfer of Rural Land Contractual Management Rights

Hui Ma, Yanqiu Zhang
The core of issues concerning "agriculture, countryside and farmers" is rural land problems.The transfer of rural land contractual management rights should be premised on scientific and normative pricing formation mechanism. Adopted the empirical and investigation study method, based on field research...

Research on the Selection of Knowledge Cooperative Partners in the Technology Alliance Based on Imperfect Information Dynamic Game Theory

Chunhua Hu
Exploration and research on technology alliance partner selection based on imperfect information dynamic game is the premise and guarantee to further promote the knowledge collaboration efficiency of Enterprise, University and Research Institute, to promote the sustainable development of technology...

Realized Volatility of Precious Metal Returns: HAR-RV

Roengchai Tansuchat
This paper applies ultra-high frequency data particularly tick-by-tick data from three precious metals, namely gold, silver and platinum to estimate realized volatility, and model HAR-RV models evaluate Value-at-Risk. The tick-by-tick data from January 1, 2011 to December 8, 2016 covering 2, 070,...

The Implementation Effect and Improvement of Regulations of the People's Republic of China on International Ocean Shipping

Wei Wang, Wujing Qi
The development of the ocean shipping industry requires legal guarantee. It's been over a decade since Regulations on International Ocean Shipping was implemented in China. It has stimulated the vitality of the ocean shipping market, promoted standardization of ocean shipping management, improved the...

Analysis on the Necessity and Reasonableness of Project Management of Dangerous Cargo Declaration

Qian Xia, Qiuping Wei
Water transport is one of the most important modes of transportation in China. With the rapid growth of our economy, the number of goods transported by ship has doubled year by year. China has become the largest country in the world in terms of cargo throughput. Ship transport is of great significance...

Why does Beijing's carbon emission of energy consumption have an 'inverted-W' shape during 2005-2015?

Zhihai Gong, Junsong Jia, Min Ju, Dongming Xie
Based on the characteristics of energy use and economic growth in Beijing, we analyzed the carbon emission of energy consumption from 2005-2015 by the Logarithmic Mean Divisia Index method (LMDI). The results show that Beijing's carbon emission of energy consumption had an 'inverted-W' shape during...

Research on the Performance Management Problems in Local Governments' Administrative Service Centers and the Countermeasures

Ting Li, Hong Geng
The construction of a service-oriented government has become a considerable trend of government transformation, and the administrative service center, as a major innovation of China's administrative system reform, not only represents a useful attempt made by the government at managing work performance,...

Industrial Agglomeration and Pollution Emission

Zhi Wang
To study the relationship between industrial agglomeration and pollution emission, Fixed Effect Model is used to analyze the panel data of 21 prefecture-level cities in Guangdong Province from 2005 to 2014. It is found that industrial agglomeration has a negative external effect on the intensity of...