基于ARMA-GARCH的股指期货实证分析

基于沪深300股票指数期货的时间序列数据,研究了股指期货收益序列的平稳性,建立了ARMA-GARCH模型,通过模型中的均值方程和波动方程,发现初期期货市场上的交易状况偏向于风险厌恶型,得到了收益变化的循环周期大约为3.6天,股指期货市场的波动存在ARCH效应和长记忆性特点。说明市场初期交易者对市场的信息反馈非常敏感和迅速,并且呈现出群体效应和连锁行为,有增大市场风险的可能。

基于ARMA-EGARCH模型的沪深300指数波动性实证分析

文章基于沪深300指数数据,从ARMA模型和EGARCH模型入手,并综合利用ARMA-EGARCH模型拟合分析沪深300指数波动特征,以反映沪深两市整体波动。通过系统性分析,ARMA(2,2)—EGARCH(2,2)模型拟合效果较好。由分析结果可知,中国A股市场的波动具有明显的周期性、聚集性和杠杆效应等特征,反映出我国股市市场缺乏有效的做空机制以及投资者的非理性行为。

Due Diligence in Mergers and Acquisitions in Emerging Markets： Evaluated Risk Factors From the Academic and Practical View

The obviously ever increasing number of corporate acquisitions in recent decades has improved the general knowledge and awareness of due diligence for both the industry and research. In the current challenging business environment, acquisitions face a higher degree of risk profiles, especially cross-border acquisitions in the emerging markets. Conducting a thorough due diligence investigation in the context of an acquisition is more important now than ever. In a broad analysis, this paper researches the key risk factors in the acquisition process and their assessment within a due diligence audit in the acquisition phase. The task of this paper is to match the academic and practical view in order to give a more complete understanding of risk factors to be covered in due diligence audit. The starting point is the research of academic findings which basically concentrate on common approaches considering financial, legal, commercial, and some other issues in domestic acquisitions and in developed countries. In contrast, this paper considers risk factors in cross-border and emerging markets transactions. In addition, a number of business consultants publish studies based on surveys on this topic which reflect typical risk factors based on experience of their customers being involved in cross-border acquisitions. Their risk assessment consists of specific regulatory, political, and other factors, which may lead to commercial and reputational impediments in cross-border acquisitions. The outcome of the comparison is a comprehended list of evaluated risk factors, whereby the academic findings are complemented and supported by the practical experience in the business consultant＇s studies. Moreover, the practical approach points to the fact that due diligence scope needs to be suited to the dynamics of the markets. The comparison and the comprehended list of evaluated risk factors call for a more integrated system of due diligence and show herein the research deficit. Hence, the novelty is the compendium of evaluated risk factors which should be assessed in the pre-acquisition phase. The originality of the paper is given by a unique analysis of academic work about acquisition due diligence literature and consultant studies from anonymized practical experience based on insider information.

The Art and Science of Environment and Business in the 21 st Century

Business is a trade or transaction that takes place between two individuals or groups, to achieve a goal or objective The aim of this paper is to explore the art and science of environment and business in the 21 st century, which has an impact on perceptions in a changing business environment. The qualitative method of research is employed and the findings indicate that there is constant innovation to change business

Approach to Enterprise Application Integration with Web Services

Enterprise Application Integration (EAI) would be linking diverse systems and applications across the enterprise to enable the enterprise IT systems to adapt to the dynamic business environment and automate any business practices. Whereas, with traditional EAI solution, it is difficult to efficiently link the different proprietary applications and data sources, and difficult to enable the system to rapidly identify and respond to changes in the dynamic business environment. In order to solve these problems, this paper uses the Web Services technology for EAI. This paper discusses the traditional EAI technologies and the bottlenecks for applications integration, also elaborates the Web Services technology and the advantages suited for applications integration. Therefore, the model of EAI with Web Services (EAIWS) is proposed to efficiently implement the integration of diverse applications and systems within or between the enterprises. With EAIWS, this paper provides an example to show how the application system works. This paper also discusses the advantages of EAIWS.

Shifting Sands： A Review of Global Trends in the Current Business Environment and a Preview into the Future

The paper highlights some of the changes that are taking place across the entire spectrum of business environment with an objective of understanding this new context. Politics is changing to reflect shifts in economics which is simultaneously causing social strife and unrest. Technology has disrupted many business models and with rapid advancements will change the way we live, work, and interact with each other. So much so that this new reality is being termed as the fourth industrial revolution. We are clearly on the edges of the new times but are trying to make sense of it all ironically with a mindset which is anchored in the past. To be future ready, the future has to be forecasted or imagined or even willed by the collective consciousness of humanity. This paper has captured the changes through extensive research and personal insights into the changing paradigms. The paper finally puts forth two likely scenarios that might emerge which need to be further researched upon so that more conclusions can be drawn.

Healthy Business Environment According to the General Theory of Sustainable Development

The article continues thinking about prospective of human society. Is the healthy business environment a fiction or a real opportunity？ How far-reaching are the roots of the future natural processes of changes？ How to work with the current global economic models？ Can the current European integration process be considered as natural？ Is a weak state a new opportunity for a future strong economy？ What is the historical essence of the liberal thought？ Why the current economic models are not permanent, why are they not sustainable, and why are they not developing for the basic quantum, which is the man as an individual？ Can also the basic quantum be integration units as family, society, company, municipality, region, country, or EU, etc.？ Qualified answers to the questions can be seen in a theoretical context of the General Theory of the Sustainable Development （GTSD）, too. Theoretical trinity of GTSD is based on three theoretical pillars： GPT （Gravitation Polarity Theory）, QET （Quantum Economy Theory）, and BIT （Big Integration Theory）. They can be considered as relevant theoretical basics for historical, current, and future sustainable development process. The healthy business environment is based on the healing of man. In GTSD, businessman and man gain a new source of knowledge, a new natural relationship, and a new content. This is a responsibility towards the customer and towards the pa^ner in business. Businessman＇s profit speaks about a new business in natural partnerships. Sustainable development without the Groove Management （second generation management） and without the fourth Reformation （with second generation of innovation） is a process that only reflects the regressive trend that takes place for more than 6000 years. Without the new content of the Fifth Theoretical Dimension （Consciousness） the historical mainstream of sustainable development process cannot be grasped. The biggest risk for the expected Healthy business society is a contemporary slave communism and contemporary crazy capitalism. Feasibility of business models of healthy business doing societies stands not only on adequate theoretical basis, but also on predicted cannibalism between slave communism and crazy capitalism. The biggest current risk of healthy business environment is a political arbitrariness, the desire for power, and the desire for money----corruption.

Tax Policy Impact on the Entrepreneurial Development in Latvia

According to the first National documents, it is obvious that before joining the EU, Latvian tax policy goals were to promote economic growth and investment providing a stable business environment and to provide of competitiveness in Latvia. Before joining the EU, one of the main aspects of the tax policies in Latvia was reducing the tax burden business in order to promote sustainable development and economic competitiveness. Moreover, the emphasis was set on consumption rather than income tax, thus, contributing to capital accumulation and investment. It is important to take into account the business views because they are the core, which in the most tax deductions to the state budget. This study surveyed in 2013 and found out entrepreneurs＇ attitude of the government and tax policy on business processes. The paper came to the conclusion, that too heavy tax burden really interferes with new enterprises and business in general. The survey analyze provide real abidance, that modem tax policy in Latvia does not take into account the economic crisis impact on business. The tax policy plays the key role for Latvian business competitiveness. Therefore, it is convinced that the existing tax policy has to be revised by relevant authorities.

The Impacts of Tax Procedures Reform on Business Environment in Vietnam： Achievements and Further Reforms

Tax procedures are factors that strongly affect the business environment. A simple and convenient tax procedures system will contribute to a good business environment by easing of tax returns preparation, reducing tax compliance costs, and preventing corruption. This paper examines the results and impacts of previous tax procedures reform on Vietnam＇s business environment, identifies challenges of tax procedures reform now and the coming years, and discusses areas where further reforms are needed to sustain tax revenue and reduce compliance costs including： （1） wansparent and comprehensive guidance to all tax laws and other legal tax documents; （2） widening the application of risk management in tax administration; （3） continuing simplification of tax procedures; and （4） development of IT in tax administration.

A study on the Chinese beliefs and their effects on small and medium sized business after 1990

As a result of economic reform commencing in 1978 in China, cultural beliefs of the Chinese busines,owners are changing. While much has been published concerning large and multinational businesses, there is gap in knowledge of cultural beliefs of small and medium sized enterprises. To provide new knowledge, a survey or, these smaller sized enterprises located throughout China was conducted in the summer of 2006. Respondents were selected from urban and rural areas, coastal and inland provinces and various industries to provide information or, their opinions on how some of their cultural beliefs have changed from 1990 to present. Specific beliefs questionea include： Use of fengshui, Traditional Forbidden Activities, Company Naming Responsibility, Company Name Basis, Use of Numbers, Use of Physiognomy, and Prediction of a Company＇s Future. The importance of fengshui has risen aver in the last sixteen years and certain traditional.forbidden activities such as not turning over the fish while eating has remained important as a cultural belief. Naming a company is important and the desirability of a good name is bared on various factors. Use of numbers, physiognomy, and non-scientific methods for predicting the future success,of companies are of lesser use. These aspects of culture are reviewed in consideration of the change from a planned economy to amarket-based economy.

Comprehensive Model for Business Training Based on B-Learning

Training and development for staff are the best option available for companies to survive in a highly competitive global business environment, but for those companies that operate business units located in different cities or countries, it has a high cost for the great dispersion of staff. B-learning is presented as a viable and interesting option that achieves superior results in the learning process while significantly reducing the costs associated with training. In the state of the art, B-learning has been addressed with greater emphasis in academics and the few articles that focused on addressing business training, present partial solutions to the problems exposed. This paper proposes a model that offers a comprehensive solution for managing corporate training based on B-learning, and consists of three phases： design, development and implementation.

Embedding Economic Excellence： A Transformational Definition of ＂Corporate Governance＂ for Malaysia

The Malaysian government has carefully crafted policies to ensure that the nation achieves its aspirational goal to become a developed nation by 2020. Crucial for which is the success of the Securities Commission＇s ＂Corporate Governance Blueprint 2011＂ and ＂Capital Market Master Plan 2＂ designed to provide a business environment which attracts investment and talent. Somewhat overlooked in these otherwise robust policy shifts has been a critical critique of the definition, nature, and purpose of corporate governance itself. Recognizing this oversight, Tan Sri Muhyiddin Yassin, Malaysia＇s Deputy Prime Minister, has directed that the definition of corporate governance be rejuvenated for the 21st century. This paper looks to answer that challenge by recommending the following transformational definition for corporate governance： ＂the proactive implementation of accountable ethical processes, procedures, and policies that inspires innovative aspirational economic activity to produce sustainable wealth and prosperity for shareholders, stakeholders, and society＂.

Development of Light Cycle Oil(LCO) Hydrocracking Technology over a Commercial W-Ni Based Catalyst

Because of its high density and low cetane number, the light cycle oil(LCO) containing heavy aromatics(60%—80%) can hardly be transformed through the conventional hydro-upgrading technology. In this report, a novel LCO hydrocracking technology(FD2G) was proposed for the utilization of LCO to manufacture high value-added products. Through the ingenious combination of hydroprocessing catalyst and the hydrocracking process, the high octane gasoline and the ultra-low sulfur diesel(ULSD) blendstocks were produced simultaneously. The influence of catalyst type, reaction temperature, pressure, respectively, on the research octane number(RON) of produced gasoline was studied in a fixed bed hydrogenation reactor. It indicated that high reaction temperature and medium pressure would favor the production of highoctane gasoline through the conversion of bi-aromatic and tri-aromatic hydrocarbons. The typical results of FD2 G technology on commercial units showed that it could produce clean diesel with a sulfur content of less than 10 μg/g and clean gasoline with a research octane number(RON) of up to 92. It would be contributed to the achievement of the maximum profit of a refinery, the FD2 G technology could provide a higher economic efficiency than the other diesel quality upgrading technology under the current gasoline and diesel price system.

Financial Market of Montenegro： Evidence of Crisis and Beyond

The financial sector has played a small role in the restructuring of the manufacturing sector in transition economies, and in some cases, financial liberalization may have undermined real sector development. However, stable and stimulating business environment is crucial for economic development. The aim of this paper is to show the main changes that have been implemented in Montenegro so far, and guidelines for changes in the financial market in Montenegro, for further harmonization in accordance with the requirements of European Union （EU） accession. Also, the ability of governments of transition economies to enforce contracts and to achieve fiscal and monetary responsibility is of great importance for economic and financial development. By adopting the new Constitution of Montenegro, in the field of regulation of the financial system, there have been significant changes, recognizing the Central Bank as an institution responsible for financial stability. The authors will give a review of the actual state of the financial market in Montenegro, as well as recommendations for further changes in order to create a favorable climate for entrepreneurship and to strengthen the overall financial system.

Financial Innovation as a Competitive Strategy： The Kenyan Financial Sector

The world business environment is rapidly changing and becoming intensely competitive. In this context, most organizations are realizing that knowledge is the most important resource in creating sustainable competitive advantage. Knowledge management （KM） as a discipline is designed to provide strategy, process, and technology to increase organizational efficiency and effectiveness. The survival and success of a firm are dependent on the capacity of management to generate new ideas. One such a topical idea is financial innovations. Economies and businesses across the world have embraced creativity and innovation to circumvent market imperfections. Kenya as an economy has been hailed as a regional financial hub. This paper is a narrative review seeking to establish the extent of financial innovation in Kenya and how this enhances competitiveness. The research finds out that the Kenyan financial sector has made some remarkable strides towards financial innovations. However, it is noted that there is still enormous untapped potential that can enhance Kenya＇s economy further.

Dynamic Private Enterprises in Shandong

ON August 8,2014 the AllChina Federation of Industry&Commerce published the list of China’s Top 500 Private Enterprises.Fifty-four private companies from Shandong Province ranked among the top 500,putting Shandong in third place behind Zhejiang and Jiangsu.Fifteen Shandong companies ranked in the top 100.This achievement is attributed to the province’s economic reforms and an improving business environment.

IPT＇s Quick ＆ Dirty Economic Valuation Method： An Empirical Test on Three Cases

The assessment of economic potential of technological innovation projects and its valuation are key aspects in negotiations among universities, research institutes, and companies. Among the reasons for this, it can be quoted portfolio prioritization, which involves several different economic, social, and environmental impacts aspects and industrial productivity. The standard of economic potential is an important reference in the project selection process. For technology transfer, the valuation of technologies consists in a relevant task to support intellectual property （IP） negotiations. However, in dynamic environments, negotiations for the commercial exploitation and payment of IP resulting from research projects require quick answers, due to several aspects like tight deadlines to sign contracts. Moreover, technology valuation is one of the most complex activities related to the technology transfer. Due to these challenges faced by Instituto de Pesquisas Tecnol6gicas do Estado de S~,o Paulo （IPT--Institute For Technological Research） in its participation in Brazilian Association of Industrial Innovation （EMBRAPII, acronym in Brazilian Portuguese）, authors developed an expedite technology valuation method, based on concepts of discounted cash flow （DCF） associated with Gompertz curve adaptations as a way to support universities and research institutes in negotiations with enterprises. This method has been regularly applied on negotiations between 1PT and companies. This paper will present cases of metallurgical companies. The results obtained confirm the validity of the method in supporting the definition of the payable amounts for commercial exploitation of technologies, enabling the application of this method as an alternative to some methods found in the literature and eventually employed by universities and research institutes in Brazil. For future research, authors recommend comparative studies between Gompertz curve and other methods, such as the Pearl curve, using the same variables of our method.

On Chinese Media

Tsinghua Business Review Issue No.5,2015Transformation of Transnational Corporations China’s reform and opening-up has witnessed a dazzling succession of transnational corporations entering the Chinese market.But the salad days are over,along with business transformations,capital withdrawals and enterprise shutdowns.What kind of business environment do these transnational corporations now face?

Chinese Etiquettes——Vitalin the Business World

NO matter what part of the world they come from,expats in sales and marketing jobs in China and those planning to set up new businesses here need to study how the Chinese behave in the business environment.Expats come to China to be involved in the second biggest global economy.Figuring out the four rising and falling tones in spoken Mandarin–no easy task in a month–will not,however,help in delicate business situations.

An Agent-Based Web-Services Monitoring System

An enterprise based on web services can benefit from computer-based monitoring for its normal course of business. No services, delayed services, inadequate services and poor or delayed information flow all hinder or prevent the normal course of business. The health of the service-oriented approach, the communication flow and the services themselves directly equate to the health and vitality of the enterprise. By health we mean, availability, performance, integrity, and reliability of web services. This paper proposes and details an agent based approach for web service monitoring in an enterprise environment. The objective of this approach is to provide enhanced security, improved help desk information and attribution across a diverse web services landscape that is logically a system but physically distributed. The definition of the agents, their logical locations, their functionality and relationships has not been described previously. This architecture provides many advantages over previous methodologies for event monitoring including assignment of overlapping responsibilities, reduction in help desk effort and placement of measurements throughout the upper layers of the web services system. This is also the first enumeration of significant events and information requirements at the service level. It also assigns responsibility to the components （agents, handlers or the service itself） for logging and alerting such events. This architecture is currently being implemented by a major defense entity.