Recent studies analyzing the liquidity of emerging equity markets （EEM） focus mainly on two independent variables： （1） the turnover ratio and （2） value of equity traded. They ignore the impact of the market con...Recent studies analyzing the liquidity of emerging equity markets （EEM） focus mainly on two independent variables： （1） the turnover ratio and （2） value of equity traded. They ignore the impact of the market concentration of stock traded which could generate price distortion/manipulation. This study empirically estimates the impact of market structure （concentration） and liquidity （turnover ratio） on equity performance （price/returns） of 19 EEM. We use panel data for the period 1992-2000 and least square dummy variable regression technique that measure fixed effects and the dynamics of adjustment. The results show the significance of both independent variables. Liquidity favours investment, and market concentration suggests the potential for market/price manipulation that requires regulatory policies. These results indicate success of reform policies aimed at capital deepening to improve efficient capital allocation and provide profitable investment opportunities.展开更多
The broad availability of high throughput nanostructure fabrication is essential for advancement in nanoscale science. Large-scale manufacturing developed by the semiconductor industry is often too resource-intensive ...The broad availability of high throughput nanostructure fabrication is essential for advancement in nanoscale science. Large-scale manufacturing developed by the semiconductor industry is often too resource-intensive for medium scale laboratory prototyping. We demonstrate the inexpensive wafer scale direct- write of Ge and Si nanostructures with a 4-inch mask aligner retrofitted with a conducting microstructured stamp. A bias applied between the stamp and an underlying silicon substrate results in the reaction of diphenylgermane and diphenylsilane precursors at the stamp--substrate interface to yield the direct- write of Ge and Si nanostructures in determined locations. With the increasing number of outdated mask aligners available from the semiconductor industry and an extensive library of liquid precursors, this strategy provides facile, inexpensive, wafer scale semiconductor direct-write for applications such as electronics, photonics, and photovoltaics.展开更多
The effect of China＇s rapid development on Sino-US relations and the existing international order is an important theoretical issue in current international relations research. We use empirical research methods to ex...The effect of China＇s rapid development on Sino-US relations and the existing international order is an important theoretical issue in current international relations research. We use empirical research methods to explore whether and how China has influenced the results of US ＂vote-buying＂ in the United Nations General Assembly （UNGA） through foreign aid. We find that through the mechanisms of foreign policy preferences, vulnerability and credibility, Chinese foreign aid has decreased US manipulation of UNGA voting. However, this is not a subjective strategic choice on China＇s part but the objective result of Chinese economic development. Taking the game of Sino-US foreign aid in international politics as the entry point and squarely facing the structural contradictions and competition that exist between China and the US will help us understand not only the problems and obstacles China will encounter on its future developmental path, but also the necessity and difficulty of risk control in Sino-US relations.展开更多
The dynamic conditional correlation(DCC) model has been widely used for modeling the conditional correlation of multivariate time series by Engle(2002). However, the stationarity conditions have been established only ...The dynamic conditional correlation(DCC) model has been widely used for modeling the conditional correlation of multivariate time series by Engle(2002). However, the stationarity conditions have been established only recently and the asymptotic theory of parameter estimation for the DCC model has not yet to be fully discussed. In this paper, we propose an alternative model, namely the scalar dynamic conditional correlation(SDCC) model. Sufficient and easily-checked conditions for stationarity, geometric ergodicity, andβ-mixing with exponential-decay rates are provided. We then show the strong consistency and asymptotic normality of the quasi-maximum-likelihood estimator(QMLE) of the model parameters under regular conditions.The asymptotic results are illustrated by Monte Carlo experiments. As a real-data example, the proposed SDCC model is applied to analyzing the daily returns of the FSTE(financial times and stock exchange) 100 index and FSTE 100 futures. Our model improves the performance of the DCC model in the sense that the Li-Mc Leod statistic of the SDCC model is much smaller and the hedging efficiency is higher.展开更多
This paper addresses a finite difference approximation for an infinite dimensional Black-Scholesequation obtained by Chang and Youree (2007).The equation arises from a consideration ofan European option pricing proble...This paper addresses a finite difference approximation for an infinite dimensional Black-Scholesequation obtained by Chang and Youree (2007).The equation arises from a consideration ofan European option pricing problem in a market in which stock prices and the riskless asset prices havehereditary structures.Under a general condition on the payoff function of the option,it is shown thatthe pricing function is the unique viscosity solution of the infinite dimensional Black-Scholes equation.In addition,a finite difference approximation of the viscosity solution is provided and the convergenceresults are proved.展开更多
This paper analyzes multiple structural changes by GMDH （Group Meth- ods of Data Handling）, which have obvious advantages. Our method extends the model of Lumsdaine ＆ Papell[1] （1997）, and it could be applied to ...This paper analyzes multiple structural changes by GMDH （Group Meth- ods of Data Handling）, which have obvious advantages. Our method extends the model of Lumsdaine ＆ Papell[1] （1997）, and it could be applied to the case of more than two structural changes. Because of simultaneously considering every structural change of the hypothesis, it is likely to be of particular relevance in practice. And it can decrease large investigation costs by MATLAB programming. What is more, we can select the criterion value of F incremental statistic to control the significance of the breaks, based on kinds of investigation intentions. And the empirical evidences on Shenzhen Composite Index are presented to illustrate the usefulness of our method.展开更多
文摘Recent studies analyzing the liquidity of emerging equity markets （EEM） focus mainly on two independent variables： （1） the turnover ratio and （2） value of equity traded. They ignore the impact of the market concentration of stock traded which could generate price distortion/manipulation. This study empirically estimates the impact of market structure （concentration） and liquidity （turnover ratio） on equity performance （price/returns） of 19 EEM. We use panel data for the period 1992-2000 and least square dummy variable regression technique that measure fixed effects and the dynamics of adjustment. The results show the significance of both independent variables. Liquidity favours investment, and market concentration suggests the potential for market/price manipulation that requires regulatory policies. These results indicate success of reform policies aimed at capital deepening to improve efficient capital allocation and provide profitable investment opportunities.
文摘The broad availability of high throughput nanostructure fabrication is essential for advancement in nanoscale science. Large-scale manufacturing developed by the semiconductor industry is often too resource-intensive for medium scale laboratory prototyping. We demonstrate the inexpensive wafer scale direct- write of Ge and Si nanostructures with a 4-inch mask aligner retrofitted with a conducting microstructured stamp. A bias applied between the stamp and an underlying silicon substrate results in the reaction of diphenylgermane and diphenylsilane precursors at the stamp--substrate interface to yield the direct- write of Ge and Si nanostructures in determined locations. With the increasing number of outdated mask aligners available from the semiconductor industry and an extensive library of liquid precursors, this strategy provides facile, inexpensive, wafer scale semiconductor direct-write for applications such as electronics, photonics, and photovoltaics.
文摘The effect of China＇s rapid development on Sino-US relations and the existing international order is an important theoretical issue in current international relations research. We use empirical research methods to explore whether and how China has influenced the results of US ＂vote-buying＂ in the United Nations General Assembly （UNGA） through foreign aid. We find that through the mechanisms of foreign policy preferences, vulnerability and credibility, Chinese foreign aid has decreased US manipulation of UNGA voting. However, this is not a subjective strategic choice on China＇s part but the objective result of Chinese economic development. Taking the game of Sino-US foreign aid in international politics as the entry point and squarely facing the structural contradictions and competition that exist between China and the US will help us understand not only the problems and obstacles China will encounter on its future developmental path, but also the necessity and difficulty of risk control in Sino-US relations.
基金supported by National Natural Science Foundation of China(Grant No.71771224)National Social Science Foundation of China(Grant Nos.14ZDA044 and 15BGJ037)+1 种基金the Program for National Statistics Science Research Plan(Grant No.2016LD02)the Program for Innovation Research in Central University of Finance and Economics
文摘The dynamic conditional correlation(DCC) model has been widely used for modeling the conditional correlation of multivariate time series by Engle(2002). However, the stationarity conditions have been established only recently and the asymptotic theory of parameter estimation for the DCC model has not yet to be fully discussed. In this paper, we propose an alternative model, namely the scalar dynamic conditional correlation(SDCC) model. Sufficient and easily-checked conditions for stationarity, geometric ergodicity, andβ-mixing with exponential-decay rates are provided. We then show the strong consistency and asymptotic normality of the quasi-maximum-likelihood estimator(QMLE) of the model parameters under regular conditions.The asymptotic results are illustrated by Monte Carlo experiments. As a real-data example, the proposed SDCC model is applied to analyzing the daily returns of the FSTE(financial times and stock exchange) 100 index and FSTE 100 futures. Our model improves the performance of the DCC model in the sense that the Li-Mc Leod statistic of the SDCC model is much smaller and the hedging efficiency is higher.
基金supported by a grant W911NF-04-D-0003 from the US Army Research Office
文摘This paper addresses a finite difference approximation for an infinite dimensional Black-Scholesequation obtained by Chang and Youree (2007).The equation arises from a consideration ofan European option pricing problem in a market in which stock prices and the riskless asset prices havehereditary structures.Under a general condition on the payoff function of the option,it is shown thatthe pricing function is the unique viscosity solution of the infinite dimensional Black-Scholes equation.In addition,a finite difference approximation of the viscosity solution is provided and the convergenceresults are proved.
文摘This paper analyzes multiple structural changes by GMDH （Group Meth- ods of Data Handling）, which have obvious advantages. Our method extends the model of Lumsdaine ＆ Papell[1] （1997）, and it could be applied to the case of more than two structural changes. Because of simultaneously considering every structural change of the hypothesis, it is likely to be of particular relevance in practice. And it can decrease large investigation costs by MATLAB programming. What is more, we can select the criterion value of F incremental statistic to control the significance of the breaks, based on kinds of investigation intentions. And the empirical evidences on Shenzhen Composite Index are presented to illustrate the usefulness of our method.
