Financial Management

2005-6

Financial Management

An Agent-based Stock Market Simulation Model

Gao Baojun, Xuan Huiyu and Li Lu

Agent-based simulation is a bottom-up method for financial complex systems. The paper introduces an agent-based simulation model for order-driven stock market, in which traders are according to technical or fundamental trading rules to determine their orders. The dynamics of the model mimic stylized factssuch as the emergence of bubbles, excess volatility, fat tails for returns or volatility clusteringquite well. Using this model as a laboratory, we study the effects of chartists on the price dynamics and the effectiveness of technical trading rules.

The Analysis and Installation of Risk Management Function of Commercial Bank’s Early??? warning system

Wei Hai

Because of the bank crisis’characteristics of high frequency and hazard, it is very importantto research the early warning system (EWS) of bank crisis. Besides many studies have been carried out by scholars allover the world,EWS’ have been comprehensively foundedby bank supervisors in major developed countries. With consideration of the reality of Chinese serious banking risk，it is extremely required to develop EWS for fact China bank supervision and the growth of macro-economy.

Extreme VaR and its Empirical Analysis of Shenzhen Stock Index

Huang Dashan, Liu Mingjun and Lu Zudi

Chinese stock market often fluctuatesseverely owing to extreme events and adjustments of policy. In view that the existing VaR models mostly suffer from over- or under-estimation of the VaR with high significance level (),we propose that the Extreme Value Theory(EVT) based VaR can be used as a complementary tool kit for risk management of the Chinese stock market. Empirical analysis of Shenzhen Stock Index shows that,by comparing the confidence intervals of the estimated parameter with that based on bootstrap simulation, the feasibility and validity of E-VaR are viable for abnormal financial market.

Application-Oriented Research

Tactics in sharing demand information under instant customerization

Tang Zhongjun, Chen Rongqiu and Ji Xuehong

It is needs to develop new tactics in sharing demand information because instant customerization cannot be realized using the existing tactics. After analyzing the inevitability to share demand information when customers require the individual demand to be instantly fulfilled and when companies aim at instant customerization, and analyzing demand’s forming process, the idea of three new tactics in sharing demand information and the conditions using these tactics are put forward. The three new tactics are vendor-managed demand’s forming process, vendor-participated in managing demand’s forming process, and total customer sharing demand information. Furthermore, comparisons between these new tactics and the existing tactics are made. Finally, the first two new tactics are illustrated and verified by two case studies.

Empirical Research on Communication Satisfaction’s Factor Analysis and It’s Effect

Qian Xiaojun and Zhan Xiaoli

This paper conducts an empirical research on communication satisfaction of employees in three sample enterprises. Methodology includes the use of questionnaire to identify perceptions of communication satisfaction in various perspectives. Factor analysis suggests that the dimension of communication satisfaction has significant stability, in which downward communication, media quality and communication climate reflected the most stability among the three samples. Correlation analysis indicates a significant positive correlation between communication satisfaction and job satisfaction.

The Study of Leontief Based Model of Risk Relationships on a Project

ZhangYali, Yang Naiding andYang Zhaojun

On the base of a general analysis of the toolsand methods on study risk relationships, this paper presents an improved method, the Leontief based model, to study this issue from loss aspect. Specifically, the inputs to the system are mutual effects among risks; the outputs are direct influence caused by the risks and indirect influencecaused by their relationships. In this model, risk relationships can be measured and the domino effect of risks is taken into account as well. In the end, the described model is demonstrated via an example.

SWOT-based Double Constraint Strategic Decision Model

Jiang Yantao and Liu Lanjuan

Enterprise Strategystands for its developing direction. To choose and make Strategy scheme must depend on correct information. The analysis process of SWOT is improved and ranged and SWOT-Based Double Constraint Strategic Decision Model is developed in this paper. A quantitative method to analyze strategic environment and strategy to choose strategic scheme are discussed in detail. The model proves its feasibility in the instance.

Pricing for property right transfer of state-owned enterprise

Chen Zhuming and Chen Jianliang

The difficulty of property right transfer of state-owned enterprise is pricing. Incorporating imperfect information about synergy gains, strategic interaction among competing bidders, and between the successful bidder and the target firm, managerial hubris, using a game-theoretic real option approach, this paper presents a model of acquisitions with a Cobb-Douglas production function. The model can be used to pricefor property right transfer of state-owned enterprise. The definitions of assetsrelative lost and absolute lost of state-owned enterprise are given. Research results shows, the price of property right transfer of state-owned enterprise does not equate the price of assets of target firm. The assets lost is influenced by three factors: one is the output price elasticity of the equity value of target firm, two is the industry characteristics , three is sunk cost of merger. To establish a whole country and a normal property right exchange market, through opening market pricing, we can prevent state-owned enterprise,s asset lost.

Risk Control of Strategic Alliance Based on a Resource Perspective

Wang Fengbin and Liu Songbo

The article defines two types of strategic alliance risks, i.e., relational risk and performance risk, and marks off three kinds of resources, including organizational resources, property resources and knowledge resources. By combining the two dimensions as proposed by western scholars , the article analyses the nature and origins of risks underlying various strategic alliances. After putting forward corresponding controlling measures, the article classifies the risk controlling measures into six categories. Analyzing organizational resourcesis emphasized in this article.

Analysis on the Decision Process of Enterprises’ Coordination Manufacture Model

Li xiaohui, Chai lijun and Gao junshan

the manufacture model decision is the process of resources distribution and optimization which result from the promotion of market demand and the limitation of resources. Enlighten by the business equilibrium theory, the paper analyzed the different resources distribution model according to the features of market demand and resources. And, draw the conclusion that virtual coordination owns the manufacture superiority on solving the mismatch of resources and tasks when the demand changes often.

Management Forum

Empirical research on China’s economy development and energy use changes

He Peiling, Tong Rencheng and Xu Jian

With the rapid development of economy, China’s energy use structure has been significantly changed. In this paper, we conduct a structural decomposition analysis to explain energy use changes between 1992 and 1999 by using input-output tables. We decompose energy use into final demand changes and technological changes, and then make further partition.