Journal articles on the topic 'Capital market Computer simulation'
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1
Hirano, Masanori, Kiyoshi Izumi, Takashi Shimada, Hiroyasu Matsushima, and Hiroki Sakaji. "Impact Analysis of Financial Regulation on Multi-Asset Markets Using Artificial Market Simulations." Journal of Risk and Financial Management 13, no. 4 (April 17, 2020): 75. http://dx.doi.org/10.3390/jrfm13040075.
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In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework. This regulation was established to make the banking network robust. However, a previous work argued that CAR regulation has a destabilization effect on financial markets. To assess impacts such as destabilizing effects, we conducted simulations of an artificial market, one of the computer simulations imitating real financial markets. In the simulation, we proposed and used a new model with continuous double auction markets, stylized trading agents, and two kinds of portfolio trading agents. Both portfolio trading agents had trading strategies incorporating Markowitz’s portfolio optimization. Additionally, one type of portfolio trading agent was under regulation. From the simulations, we found that portfolio optimization as each trader’s strategy stabilizes markets, and CAR regulation destabilizes markets in various aspects. These results show that CAR regulation can have negative effects on asset markets. As future work, we should confirm these effects empirically and consider how to balance between both positive and negative aspects of CAR regulation.
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LIEBREICH, J. "INFLUENCE OF FINITE CAPITAL IN THE CONT–BOUCHAUD-MODEL FOR MARKET FLUCTUATIONS." International Journal of Modern Physics C 10, no. 07 (October 1999): 1317–25. http://dx.doi.org/10.1142/s0129183199001078.
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Introducing a finite capital of the shareholders in the Cont–Bouchaud-model leads to a partially realistic wealth distribution for middle positions in the wealth hierarchy. However, the number of poor shareholders is too small and the capitals of the wealthiest ones are too low. Also variation of the simulation time, of the activity and consideration of the fundamentalists' influence does not give data in agreement with reality.
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Wang, Minggang, Chenyu Hua, and Hua Xu. "Dynamic Linkages among Carbon, Energy and Financial Markets: Multiplex Recurrence Network Approach." Mathematics 10, no. 11 (May 26, 2022): 1829. http://dx.doi.org/10.3390/math10111829.
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It has become a hot issue to integrate the carbon market, energy market, and financial market into one system and explore the relationship among them. Considering that the carbon market, energy market, and financial market all have chaotic characteristics to varying degrees, this paper proposes a theoretical framework to study the linkage relationship among the three markets on the basis of the method of the Multiplex recurrence network. Firstly, we built a multiplex recurrence network of carbon-energy-financial market. Then, based on the connection relationship among nodes of the recurrence network of each market, the degree distribution of nodes of each market, and the information entropy theory, we put forward several metric indicators to explore the correlativity and mutual guidance relation among carbon market, energy market and financial market from micro and macro perspectives. Using the data generated by the deterministic system, the effectiveness of the defined index was confirmed by numerical simulation. The empirical analysis of the carbon market, energy market, and financial market revealed the evolution process of the increasingly close connection between the three markets, and we found that the carbon market plays an increasingly important role in the world capital market system. Based on the research results, we propose some suggestions for market decision-makers, enterprises, and investors.
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Brătian, Vasile, Ana-Maria Acu, Camelia Oprean-Stan, Emil Dinga, and Gabriela-Mariana Ionescu. "Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion." Mathematics 9, no. 22 (November 22, 2021): 2983. http://dx.doi.org/10.3390/math9222983.
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In this article, we propose a test of the dynamics of stock market indexes typical of the US and EU capital markets in order to determine which of the two fundamental hypotheses, efficient market hypothesis (EMH) or fractal market hypothesis (FMH), best describes market behavior. The article’s major goal is to show how to appropriately model return distributions for financial market indexes, specifically which geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM) dynamic equations best define the evolution of the S&P 500 and Stoxx Europe 600 stock indexes. Daily stock index data were acquired from the Thomson Reuters Eikon database during a ten-year period, from January 2011 to December 2020. The main contribution of this work is determining whether these markets are efficient (as defined by the EMH), in which case the appropriate stock indexes dynamic equation is the GBM, or fractal (as described by the FMH), in which case the appropriate stock indexes dynamic equation is the GFBM. In this paper, we consider two methods for calculating the Hurst exponent: the rescaled range method (RS) and the periodogram method (PE). To determine which of the dynamics (GBM, GFBM) is more appropriate, we employed the mean absolute percentage error (MAPE) method. The simulation results demonstrate that the GFBM is better suited for forecasting stock market indexes than the GBM when the analyzed markets display fractality. However, while these findings cannot be generalized, they are verisimilar.
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Catalin, Popa. "The Major Determinants of International Financial Markets’ Functional Efficiency." Scientific Bulletin of Naval Academy XIX, no. 1 (July 15, 2018): 168–72. http://dx.doi.org/10.21279/1454-864x-18-i1-028.
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The financial market dynamics as part of International Monetary and Financial System (IMFS), become very relevant and important at least due to the last two last decades experiences, when the excessive diversification, the lack of regulation and weaker monitoring policy implementation have marked on negative manner the market game, disrespecting the economic rationales on regional and global level. On the present paperwork, the authors have aimed to describe the most relevant functional determinants of the market efficiency, with the reference of market value assessment, risk diversification tendencies and capital allocation process. Following the proposed theoretical model comprising the market efficiency variables, the article conclusions are focused on functional depiction of International Monetary and Financial System dynamics and its sensibilities related to the market game and speculations.
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Katsikis, Vasilios N., and Spyridon D. Mourtas. "Binary Beetle Antennae Search Algorithm for Tangency Portfolio Diversification." Journal of Modeling and Optimization 13, no. 1 (June 15, 2021): 44–50. http://dx.doi.org/10.32732/jmo.2021.13.1.44.
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The tangency portfolio, also known as the market portfolio, is the most efficient portfolio and arises from the intercept point of the Capital Market Line (CML) and the efficient frontier. In this paper, a binary optimal tangency portfolio under cardinality constraint (BOTPCC) problem is defined and studied as a nonlinear programming (NLP) problem. Because such NLP problems are widely approached by heuristic, a binary beetle antennae search algorithm is employed to provide a solution to the BTPSCC problem. Our method proved to be a magnificent substitute to other evolutionary algorithms in real-world datasets, based on numerical applications and computer simulations.
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NI, JINLAN, and DEEPAK KHAZANCHI. "INFORMATION TECHNOLOGY INVESTMENT DECISIONS UNDER ASYMMETRIC INFORMATION: A MODIFIED RATIONAL EXPECTATION MODEL." International Journal of Information Technology & Decision Making 08, no. 01 (March 2009): 55–72. http://dx.doi.org/10.1142/s0219622009003260.
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In this paper, we propose that information technology (IT) managers make investment decisions about new IT initiatives based on a modified rational expectation model. Unlike traditional rational expectation models, we emphasize the relevance of market uncertainty and its impact on the return of new IT investment. This results in information acquisition decisions by managers that can cause information asymmetry. This information asymmetry is endogenous and so the IT manager can become well informed if and only if it is beneficial to do so. We also capture different levels of IT investment across managers by introducing heterogeneity across managers in terms of different levels of initial capital. Based on a simulation analysis to validate our theoretical model, we find that it is the IT manager with larger initial capital outlay who is particularly interested in acquiring information about their IT investments in order to reduce any asymmetry with competitors. Furthermore, we find that holding other things constant, fewer IT investors are informed when information cost increases and in consequence the difference of investment level between the informed and uninformed investors is more pronounced.
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Zhang, Ming-Heng, and Qian-Sheng Cheng. "Gaussian mixture modelling to detect random walks in capital markets." Mathematical and Computer Modelling 38, no. 5-6 (September 2003): 503–8. http://dx.doi.org/10.1016/s0895-7177(03)90022-7.
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Kumar, N. Satheesh. "Increasing the Cruise Range and Reducing the Capital Cost of Electric Vehicles by Integrating Auxiliary Unit with the Traction Drive." International Journal of Vehicular Technology 2016 (February 10, 2016): 1–11. http://dx.doi.org/10.1155/2016/7617692.
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Poor cruise performance of Electric Vehicles (EVs) continues to be the primary reason that impends their market penetration. Adding more battery to extend the cruise range is not a viable solution as it increases the structural weight and capital cost of the EV. Simulations identified that a vehicle spends on average 15% of its total time in braking, signifying an immense potential of the utilization of regenerative braking mechanism. Based on the analysis, a 3 kW auxiliary electrical unit coupled with the traction drive during braking events increases the recoverable energy by 8.4%. In addition, the simulation revealed that, on average, the energy drawn from the battery is reduced by 3.2% when traction drive is integrated with the air-conditioning compressor (an auxiliary electrical load). A practical design solution of the integrated unit is also included in the paper. Based on the findings, it is evident that the integration of an auxiliary unit with the traction drive results in enhancing the energy capturing capacity of the regenerative braking mechanism and decreases the power consumed from the battery. Further, the integrated unit boosts other advantages such as reduced material cost, improved reliability, and a compact and lightweight design.
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Musaev, Alexander, and Dmitry Grigoriev. "Analyzing, Modeling, and Utilizing Observation Series Correlation in Capital Markets." Computation 9, no. 8 (August 2, 2021): 88. http://dx.doi.org/10.3390/computation9080088.
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In this paper, we consider the task of the analysis, modeling, and application of dependencies between asset quotes at various capital markets. As an example, we study the dependency between financial instrument observation series in the currency and stock markets. Our work intends to give a theoretical basis to asset management strategies that estimate an asset’s price via regression, taking into account its correlated assets in various markets. Furthermore, we provide a way to increase the estimate quality using an evolutionary algorithm.
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Panagiotakopoulos, Theordoros, George-Rafael Domenikos, and Alexander V. Mantzaris. "Exploring Simulated Residential Spending Dynamics in Relation to Income Equality with the Entropy Trace of the Schelling Model." Mathematics 10, no. 18 (September 13, 2022): 3323. http://dx.doi.org/10.3390/math10183323.
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The Schelling model of segregation has provided researchers with a simple model to explore residential dynamics and their implications upon the spatial distribution of resident identities. Due to the simplicity of the model, many modifications and extensions have been produced to capture different aspects of the decision process taken when residents change locations. Research has also involved examining different metrics for track segregation along the trace of the simulation states. Recent work has investigated monitoring the simulation by estimating the entropy of the states along the simulation, which offers a macroscopic perspective. Drawing inspiration from empirical studies which indicate that financial status can affect segregation, a dual dynamic for movements based on identity and financial capital has been produced so that the expenditure of a monetary value occurs during residential movements. Previous work has only considered a single approach for this dynamic and the results for different approaches are explored. The results show that the definition of the expenditure dynamic has a large effect on the entropy traces and financial homogeneity. The design choice provides insight for how the housing market can drive inequality or equality.
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LI, JIANPING, JICHUANG FENG, and JIANMING CHEN. "A PIECEWISE-DEFINED SEVERITY DISTRIBUTION-BASED LOSS DISTRIBUTION APPROACH TO ESTIMATE OPERATIONAL RISK: EVIDENCE FROM CHINESE NATIONAL COMMERCIAL BANKS." International Journal of Information Technology & Decision Making 08, no. 04 (December 2009): 727–47. http://dx.doi.org/10.1142/s0219622009003727.
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Following the Basel II Accord, with the increased focus on operational risk as an aspect distinct from credit and market risk, quantification of operational risk has been a major challenge for banks. This paper analyzes implications of the advanced measurement approach to estimate the operational risk. When modeling the severity of losses in a realistic manner, our preliminary tests indicate that classic distributions are unable to fit the entire range of operational risk data samples (collected from public information sources) well. Then, we propose a piecewise-defined severity distribution (PSD) that combines a parameter form for ordinary losses and a generalized Pareto distribution (GPD) for large losses, and estimate operational risk by the loss distribution approach (LDA) with Monte Carlo simulation. We compare the operational risk measured with piecewise-defined severity distribution based LDA (PSD-LDA) with those obtained from the basic indicator approach (BIA), and the ratios of operational risk regulatory capital of some major international banks with those of Chinese commercial banks. The empirical results reveal the rationality and promise of application of the PSD-LDA for Chinese national commercial banks.
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Utomo, Langgeng Pirayitno, and Benih Hartanti. "Literasi Keuangan: Pelatihan Investasi Saham Melalui Pengenalan Pasar Modal Indonesia kepada Investor Milenial." Journal of Dedicators Community 5, no. 2 (July 27, 2020): 94–102. http://dx.doi.org/10.34001/jdc.v5i2.1196.
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Understanding of finance is important, especially for people who want to invest, it is aimed at obtaining maximum returns or returns from investments. The condition of the selected service partners, namely students and the general public who have an interest in investing, currently do not really understand personal finance so they are unable to manage their own finances which results in not understanding how to start investing. The purpose of this activity is to introduce the importance of understanding personal finance so as to be able to measure the extent to which personal financial conditions can be used to invest in the Indonesian capital market to service partners, namely young potential investors. The training activities are carried out in the computer laboratory of STIE PGRI Dewantara Jombang with lecture, question and answer methods, and practice. The material for the activity consists of the basic theory of financial management, introduction to investment, fundamental and technical analysis, and trading simulations. The results of this activity are: 1) service partners have a new understanding of financial literacy and personal finance well; 2) partners are better prepared when they are going to invest in shares or trade in the capital market; 3) the interest of partners to be able to invest is higher than before.
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Jeon, Seung-Woo, Donggun Lee, Seog-Chan Oh, Kyu-Tae Park, Sang-Do Noh, and Jorge Arinez. "Design and Implementation of Simulation-Based Scheduling System with Reinforcement Learning for Re-Entrant Production Lines." Machines 10, no. 12 (December 6, 2022): 1169. http://dx.doi.org/10.3390/machines10121169.
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Recently, manufacturing companies have been making efforts to increase resource utilization while ensuring the flexibility of production lines to respond to rapidly changing market environments and customer demand. In the high-tech manufacturing industry, which requires expensive manufacturing facilities and is capital-intensive, re-entrant production lines are used for efficient production with limited resources. In such a production system, a part visits a specific station repeatedly during the production period. However, a re-entrant production line requires an appropriate scheduling system because other parts with different processing requirements are processed at the same station. In this study, a re-entrant production line was modeled as a manufacturing environment via simulation, and an adaptive scheduling system was developed to improve its operational performance by applying deep reinforcement learning (DRL). To achieve this, a software architecture for integrating DRL with the simulation was developed and the states, actions, and rewards of the reinforcement learning (RL) agent were defined. Moreover, a discrete-event simulation control module was designed to collect data from the simulation model and evaluate the policy network trained via DRL. Finally, the applicability and effectiveness of the developed scheduling system were verified by conducting experiments on a hypothetical re-entrant production line.
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Alfifi, H. Y. "Semi-Analytical Solutions for the Diffusive Kaldor–Kalecki Business Cycle Model with a Time Delay for Gross Product and Capital Stock." Complexity 2021 (May 3, 2021): 1–10. http://dx.doi.org/10.1155/2021/9998756.
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This paper discusses the stability and Hopf bifurcation analysis of the diffusive Kaldor–Kalecki model with a delay included in both gross product and capital stock functions. The reaction-diffusion domain is considered, and the Galerkin analytical method is used to derive the system of ordinary differential equations. The methodology used to determine the Hopf bifurcation points is discussed in detail. Furthermore, full diagrams of the Hopf bifurcation regions considered in the stability analysis are shown, and some numerical simulations of the limit cycle are used to confirm the theoretical outcomes. The delay investment parameter and diffusion coefficient can have great impacts on the Hopf bifurcations and stability of the business cycle model. The investment parameters for the gross product and capital stock as well as the adjustment coefficient of the production market are also studied. These parameters can cause instability in, and the stabilization of, the business cycle model. In addition, we point out that, as the delay investment parameter increases, the Hopf bifurcation points for the diffusion coefficient values decrease considerably. When the delay investment parameter has a very small value, the solution of the business cycle model tends to become steady.
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Kirmse, Sebastian, Robert J. Cloutier, and Kuang-Ting Hsiao. "A Comprehensive Commercialization Framework for Nanocomposites Utilizing a Model-Based Systems Engineering Approach." Systems 9, no. 4 (November 23, 2021): 84. http://dx.doi.org/10.3390/systems9040084.
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Nanocomposites provide outstanding benefits and possibilities compared to traditional composites but struggle to make it into the market due to the complexity and large number of associated challenges involved in, as well as lack of standards for, nanocomposite commercialization. This article proposes a commercialization framework utilizing market analysis and systems engineering to support the commercialization process of such high technologies. The article demonstrates the importance and usefulness of utilizing Model-Based Systems Engineering throughout the commercialization process of nanocomposite technologies when combining it with the Lean LaunchPad approach and an engineering analysis. The framework was validated using a qualitative research method with a case study approach. Applying this framework to a nanocomposite, called ZT-CFRP technology, showed tremendous impacts on the commercialization process, such as reduced market and technological uncertainties, which limits the commercialization risk and increases the chance for capital funding. Furthermore, utilizing the framework helped to decrease the commercialization time and cost due to the use of a lean engineering analysis. This framework is intended to assist advanced material-based companies, material scientists, researchers and entrepreneurs in academia and the industry during the commercialization process by minimizing uncertainties and risks, while focusing resources to reduce time-to-market and development costs.
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Song, Yanlai, Stanford Shateyi, Jianying He, and Xueqing Cui. "Interactions of Logistic Distribution to Credit Valuation Adjustment: A Study on the Associated Expected Exposure and the Conditional Value at Risk." Mathematics 10, no. 20 (October 17, 2022): 3828. http://dx.doi.org/10.3390/math10203828.
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In Basel III, the credit valuation adjustment (CVA) was given, and it was discussed that a bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The purpose of this study is threefold. Using the logistic distribution, it is shown how the expected exposure can be derived for an interest rate swap. Secondly, the risk measure of VaR is contributed for the CVA under this distribution. Thirdly, generalizations for the CVA VaR and CVA CVaR are given by considering both the credit spread and the expected positive exposure to follow the logistic distributions with different parameters. Finally, several simulations are provided to uphold the theoretical discussions.
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MOON, GISUNG, and LOUIS A. LeBLANC. "The Risk Adjustment of Required Rate of Return for Supply Chain Infrastructure Investments." Transportation Journal 47, no. 1 (January 1, 2008): 5–16. http://dx.doi.org/10.5325/transportationj.47.1.0005.
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Abstract The purpose of this article is to apply a risk-adjusted required rate of return to evaluate supply chain capital investments. As part of the design methodology, a computer simulation provides expected cash flows resulting from alternative supply chain investments. These cash flows are discounted at a risk-adjusted required rate of return. The analysis represents a process to measure the risk inherent in supply chain investments. The logistics and supply chain literature has not addressed this problem of the risk inherent in a specific supply chain project. A corporate-wide hurdle rate applied to usually conservative supply chain investments may result in less than adequate investments in supply chain infrastructure. Prior studies have determined risk-adjusted required rate of return for the entire firm, an enterprise's entire supply chain network, but not an individual project within the supply chain. This study calculates a required rate of return for a specific supply chain investment project using a discrete simulation model rather than the more common mathematical model. Individual supply chain investment projects may have less risk or possibly more risk than reflected by a corporate hurdle rate or a supply chain hurdle rate. Using a standard required rate of return could result in too little or too much investment in supply chain facilities. In this study, when the risk-adjusted rate was employed to discount expected cash flows, only two of eleven alternatives evaluated were acceptable investments. The best investment with the highest return was a 12 percent increase in ship loading rate combined with a 33 percent increase in rail unloading capacity. It provided a benefit-cost ratio of 1.25. The limited availability of publicly traded firms that invest in supply chain projects represents a constraint, limiting the accuracy of estimating the market risk factor. Nevertheless, the practical implication is that, when making supply chain infrastructure investment decisions, it is advisable to adjust risk factors in evaluating such capital investments. This approach is preferable to using a corporate-wide hurdle rate, typically too high for such conservative investments. A firm-wide hurdle rate might result in under investment in supply chain facilities.
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Chou, Chien-Heng, and Chun-Yueh Lin. "Combining the MDM and BWM Algorithm to Determine the Optimal Crowdfunding Tokenization Solution for Digital Assets Market Startups." Systems 10, no. 4 (June 28, 2022): 87. http://dx.doi.org/10.3390/systems10040087.
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This study aimed to use the modified Delphi method and best worst method to establish an evaluation model for analyzing the perspectives and key influencing factors used in evaluating startups’ optimal token-financing solutions. In accordance with the modified Delphi method, a list of influencing factors was obtained through expert opinions and a literature review, and, further, adopted to construct an evaluation model and the subsequent weights. Thereafter, the relative weight of each factor in the best worst method framework was determined, to obtain the optimal token-financing solution. This study makes important contributions in theory and in practice by providing a decision-making model based on the modified Delphi method and the best worst method, which can serve as a valuable reference and measurement tool for startups to evaluate optimal solutions, when undertaking token financing. Academically, it contributes to the literature by providing an application process that integrates the modified Delphi method and the best worst method, and introduces an optimal evaluation framework for startups to use when undertaking token financing. In addition, it makes a practical contribution in the context of the rapid development of FinTech, as the evaluation model proposed in this study can be a valuable measurement tool for startup entrepreneurs who intend to use token financing to improve the capital turnover rate of their equity.
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Kader, Sheikh Abdul, Nurul Mohammad Zayed, Md Faisal-E-Alam, Muhammad Salah Uddin, Vitalii Nitsenko, and Yuliia Klius. "Factors Affecting Demand and Supply in the Housing Market: A Study on Three Major Cities in Turkey." Computation 10, no. 11 (November 2, 2022): 196. http://dx.doi.org/10.3390/computation10110196.
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This paper aims to identify the economic factors that significantly affect the demand for and supply of housing in three major cities in Turkey, such as Istanbul, Ankara, and Izmir. This study uses monthly data ranges from January 2010 to December 2020 because of the limited housing price data from each city. For smooth measurement, the logarithm of all data except measurements of nominal interest rate, real interest rate and inflation is used. This research uses the Co-integration Analysis and Vector Error Correction Model (VECM) to investigate the macroeconomic variables’ effects on the demand and supply. Mortgage credit volume, as a dependent variable, is influenced by real per capita GDP, real house prices, projected inflation, and nominal interest rates. On the contrary, the building site is used as a dependent variable on the supply side that is determined by the real housing price, the real interest rate, and the real cost of construction. In the VECM model, the mortgage credit volume and constriction cost were dominated by error correction variables, showing the adjustment of disequilibrium towards an equilibrium point. In the case of Ankara, supply-side variables have a long-term relationship. Both housing demand and supply-related factors have a long-term impact on the housing market in Istanbul and Izmir. Given a significant p-value, the coefficient of C1 derived from system equations is negative.
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Zhang, Tong. "Design of a Regional Economic Forecasting Model Using Optimal Nonlinear Support Vector Machines." Computational Intelligence and Neuroscience 2022 (January 30, 2022): 1–10. http://dx.doi.org/10.1155/2022/2900434.
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Forecasting regional economic activity is a progressively significant element of regional economic research. Regional economic prediction can directly assist local, national, and subnational policymakers. Regional economic activity forecast can be employed for defining macroeconomic forces, such as prediction of stock market and cyclicality of national labor market movement. The recent advances of machine learning (ML) models can be employed to solve the time series prediction problem. Since the parameters involved in the ML model considerably influence the performance, the parameter tuning process also becomes essential. With this motivation, this study develops a quasioppositional cuckoo search algorithm (QOCSA) with a nonlinear support vector machine (SVM)-based prediction model, called QOCSO-NLSVM for regional economic prediction. The goal of the QOCSO-NLSVM technique is to identify the present regional economic status. The QOCSO-NLSVM technique has different stages such as clustering, preprocessing, prediction, and optimization. Besides, the QOCSO-NLSVM technique employs the density-based clustering algorithm (DBSCAN) to determine identical states depending upon the per capita NSDP growth trends and socio-economic-demographic features in a state. Moreover, the NLSVM model is employed for the time series prediction process and the parameters involved in it are optimally tuned by the use of the QOCSO algorithm. To showcase the effective performance of the QOCSO-NLSVM technique, a wide range of simulations take place using regional economic data. To determine the current economic situation in a region, the QOCSO-NLSVM technique is used. The simulation results reported the better performance of the QOCSO-NLSVM technique over recent approaches. The QOCSO-NLSVM technique generated effective results with a minimal mean square error of 70.548 or greater. Astonishingly good results were obtained using the QOCSO-NLSVM approach, which had the lowest root mean square error (RMSE) of 8.399.
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Tang, Enlin, and Song Xu. "Pricing of Embedded Options in Bank Deposits and Loans Based on Jump-Diffusion Interest Rate Model." Complexity 2021 (May 15, 2021): 1–15. http://dx.doi.org/10.1155/2021/9975536.
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The marketization of interest rate is an inevitable requirement for China’s financial reform and joining the WTO to connect with the international financial market. It is also an important link to improve the marketization degree of China’s financial system. The marketization of interest rate in China is gradually advancing according to its preset mode. In the process of interest rate marketization, an unavoidable problem is that while the interest rate marketization gives the commercial banks the autonomy of capital pricing, the fluctuation of interest rate is more and more frequent. However, due to the fluctuation of interest rate, the loan as the main assets of commercial banks will be prepayed by borrowers, and the time deposit as the main liabilities of commercial banks will be withdrawn by depositors in advance; that is, embedded options are implied in asset liability items, which makes it difficult for commercial banks to accurately calculate the actual interest margin of deposits and loans and manage the interest rate risk. Therefore, it is of great significance to identify and price such embedded option value. On the basis of identifying and decomposing the embedded options in deposit and loan of commercial banks, according to the change characteristics of deposit and loan interest rate of Chinese commercial banks, this paper chooses jump-diffusion interest rate model to describe the change of benchmark interest rate of deposit and loan in China and demonstrates the advantages of this model compared with other models. Based on Monte Carlo simulation technology, the embedded options of five-year fixed deposit and ten-year prepayable loan in China are priced. On this basis, it points out that the real interest margin of commercial bank’s deposit and loan should be the nominal interest margin minus the value of deposit and loan’s embedded options. In the process of interest rate risk management, we should pay attention to the existence of embedded options and carry out effective management.
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Bateman, Richard J., and Kai Cheng. "Devolved Manufacturing." Concurrent Engineering 10, no. 4 (December 1, 2002): 291–98. http://dx.doi.org/10.1177/a032012.
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Recent changes in the product creation process have shown reductions in design and manufacturing time and costs due to the introduction of new manufacturing philosophies, and computer based methods. Major improvements have also been found in the distribution phase by use of sophisticated logistic scheduling and monitoring systems. However reductions in delivery costs and times look set to be reversed by increasing congestion on road/rail/air routes. The growth of the Internet and World Wide Web has created new opportunities and most organizations are introducing some form of e-commerce. The term e-manufacturing is now being used to describe attempts to optimize the use of manufacturing facilities by allowing interaction with, and control of, these facilities from geographically distant locations, typically using the Internet/www as the communication medium. This approach uses the conventional 'model' of manufacturing. Although the removal of some problems - e.g. those due to time-zones or language - can lead to performance gains, problems associated with delivery remain due to the increased distances to customers. In order to overcome the inherent limitations of the conventional approach and create true e-manufacture, a new approach is required which utilizes existing and emergent technologies to devolve the manufacturing process closer to the customer and thus avoid long distance distribution problems. Possible benefits of this approach include the potential for true mass customization ('individualization'), elimination of logistical problems, reduction of waste and requirements for working capital, and the creation of new global markets.
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Iulian, Cojocaru. "The process of adapting the European Union to changes in the security environment." Scientific Bulletin of Naval Academy XXIII, no. 2 (December 15, 2020): 201–6. http://dx.doi.org/10.21279/1454-864x-20-i2-028.
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The instability of the security environment is dangerous and can become devastating for a state, a region, a continent or even for the whole world if the necessary measures are not taken immediately. The main issues that have, over time, underpinned the European project were security and social welfare. These aspects are still important today and are very topical, representing at the same time the main objectives of the European Union, even if the changes are fast, and the security environment we live in is particularly fragile. For over half a century, the European Union has continuously contributed to maintaining peace, stability and prosperity, raised the standards of living, launched a single currency and has constantly evolved to create a single market in which people, goods, services and the capital can move freely, as if it were in the territory of a single country. Now, the European Union must face the existing challenges and adapt to the changes in the security environment. The adaptation to the new, to the changes, is the fundamental property of the European Union, and this must change and at the same time adapt the mode of action in relation to the alternatives that have occurred both from a quantitative and qualitative point of view.At present, the adaptability of the European Union in the new global security context is precisely its ability to understand the changes and make the necessary adjustments immediately to the current requirements, to react promptly with appropriate responses that will lead to the restoration of the status quo.
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Xu, Lei, Qiuyu Tang, Liang Xu, and Hanjie Yang. "Research on the Innovation-Driving Mechanism for the Synergistic Development of Two-Way FDI in China’s Manufacturing Industry: Based on the Perspective of the New Development Pattern of “Dual Circulation”." Systems 11, no. 1 (December 30, 2022): 17. http://dx.doi.org/10.3390/systems11010017.
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The new pattern of “dual circulation” is a new development model for China to seek mutual promotion between international and domestic markets in the new era. In this context, this paper explores the synergistic relationship between two-way FDI and its impact mechanism on the improvement of China’s manufacturing innovation capability. By taking 27 segments of the Chinese manufacturing industry as data samples from 2003 to 2018, we use the Granger cause, orthogonalized impulse response function, and physical capacity coupling system to verify the two-way FDI synergistic development relationship in the Chinese manufacturing industry and measure its degree of synergy. In addition, we empirically explore the mediating role of industrial structure upgrading in the impact of two-way FDI synergistic development on innovation capability in the Chinese manufacturing industry, and further analyze the industrial heterogeneity of this mediating role among labor-intensive, capital-intensive, and technology-intensive manufacturing segments. The study finds that firstly, there are different degrees of synergistic development in the Chinese manufacturing segments, and this synergistic development significantly contributes to the innovation capability and industrial structure upgrading of the Chinese manufacturing industry. Secondly, industrial structure upgrading of the Chinese manufacturing industry plays an essential mediating effect in the innovation-driving process of the two-way FDI synergistic development, and the mediating effect shows significant industrial heterogeneity. More specifically, the mediating effects in labor-intensive and technology-intensive industries are significantly positive, and the mediating effect in technology-intensive industries is more prominent. However, the mediating effect in capital-intensive industries is significantly negative. The paper provides empirical evidence to clarify the innovation-driving mechanism of the two-way FDI synergistic development in China’s manufacturing industry from the perspective of the new development pattern of “dual circulation” and provides valuable references for research in related fields.
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Geng, Xiaoyuan. "Transmission Effectiveness of Resource Allocation Efficiency in Multitier Capital Market System." Discrete Dynamics in Nature and Society 2021 (August 6, 2021): 1–8. http://dx.doi.org/10.1155/2021/4977398.
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With the continuous development of the capital market, in order to study the effectiveness of the multilevel capital market, the operation status of the multilevel capital market is used as the research object, and the Pareto analysis paradigm is used to study the effectiveness of the transmission mechanism of the resources allocation efficiency of the multilevel capital market. Research has shown that Pareto analysis model can be used to analyze the multilevel capital markets. Investors’ irrationality and lack of professionalism further aggravate market volatility. Research on resource allocation of multilevel capital market systems and the effectiveness of the transmission mechanism has certain theoretical significance and practical value.
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Chen, Xu, and Qiying Zhu. "Spatial Econometric Analysis of China’s Sports Capital Market." Mobile Information Systems 2021 (December 10, 2021): 1–15. http://dx.doi.org/10.1155/2021/7017412.
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The capital market provides important capital factor guarantee and supply-side support for the high-quality development of the sports industry, and the healthy development of the sports capital market, which is composed of securities market, loan market, trading derivative market, and physical market, plays a vital role in ensuring the smooth and efficient operation of the sports market economy mechanism. At the present stage, how to play the role of resource allocation in China’s sports capital market and how to improve the quality and efficiency of the sports industry by the capital market have become the core issue of research and discussion. Taking A-share listed companies as the typical micro-market subjects, this paper analyzes the financing needs and behaviors of sports listed companies and the support degree of different types of capital markets; on the basis of traditional measurement methods, spatial econometric analysis is used to explore the effectiveness of capital market on the development of the sports industry.
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Badertscher, Brad A., Sharon P. Katz, Sonja Olhoft Rego, and Ryan J. Wilson. "Conforming Tax Avoidance and Capital Market Pressure." Accounting Review 94, no. 6 (January 1, 2019): 1–30. http://dx.doi.org/10.2308/accr-52359.
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ABSTRACT In this study, we develop a measure of corporate tax avoidance that reduces both financial and taxable income, which we refer to as “book-tax conforming” tax avoidance. We use simulation analyses, LIFO/FIFO inventory method conversions, and samples of private and public firms to validate our measure. We then investigate the prevalence of conforming tax avoidance within a sample of public firms. Results from the validation tests indicate that our measure of conforming tax avoidance successfully captures book-tax conforming transactions. Consistent with expectations, we also find that the extent to which public firms engage in conforming tax avoidance varies systematically with the capital market pressures. Our study develops a new measure of conforming tax avoidance that should be useful in future research and provides new insights on the extent to which public firms are willing to reduce income tax liabilities at the expense of reporting lower financial income.
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Mathew, Sinsu Anna, and Abdul Quadir Md. "Evaluation of Blockchain in Capital Market Use-Cases." International Journal of Web Portals 10, no. 1 (January 2018): 54–76. http://dx.doi.org/10.4018/ijwp.2018010105.
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This article describes the “Blockchain” which is an upcoming technology in the current leading world and which serves as a capital market use-cases for many of the global Fintech industries across the world, is a distributed ledger of economic transactions which not only used for recording financial transactions but mostly everything of value in this world. In the current world, mostly all the transactions are done through online which mainly includes the bank as a “middle man,” which could be untrustworthy at times. Blockchain comes into the picture which eliminates the need of a middle man or third party between the users who are involved in the transactions. Represents a financial ledger entry of data structure which consists of record of transactions which is digitally signed and cannot be tampered as authenticity is ensured in which the ledger is considered to be of high integrity. One of the leading and highly valued platform of blockchain is “Hyperledger Fabric” which is meant for securing transactions and serves a powerful container technology for smart contract development in the global capital firms. The potential of Blockchain and DLT in capital markets in this upcoming world could remove many of the inefficiencies and costs inherent in the global capital markets across the world and could be considered as a viable technology which enable to settlement.
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Qiao, Han, Sen Zhang, and Yao Xiao. "Modeling the Impacts of Venture Capital Investment on Firm Innovation." Discrete Dynamics in Nature and Society 2021 (July 6, 2021): 1–10. http://dx.doi.org/10.1155/2021/8661152.
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Taking firms listed on the Chinese Growth Enterprise Market (GEM) in 2008–2017 as the sample, this study investigates the impact of venture capital (VC) investment on Chinese firm innovation using propensity score matching and a difference-in-differences (PSM-DID) model. The results show that, overall, firms’ innovation inputs and outputs do not show obvious enhancement due to VC entry, but instead show a strong and then weak inhibitory effect. VCs have heterogeneous impacts on firm innovation; that is, compared to other types of firms, firms with technology-dependent characteristics and firms whose actual controllers are experts in the same industry can effectively mitigate the adverse impact of VC on innovation inputs and gradually promote growth in the quantity and quality of the innovation outputs after the second year of VC entry. This study not only reveals the impact of VC on firm innovation activities in the Chinese capital market but also provides empirical evidence to help improve the financial innovation service system and the use of the capital market to promote innovation in China.
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Fukiharu, T. "Asset market equilibrium: A simulation." Mathematics and Computers in Simulation 79, no. 9 (May 2009): 2819–29. http://dx.doi.org/10.1016/j.matcom.2008.11.009.
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Cheng, Fu, and Shanshan Ji. "The Impact of Employee Stock Ownership Plan on the Cost of Equity Capital: Evidence from China." Discrete Dynamics in Nature and Society 2021 (November 29, 2021): 1–17. http://dx.doi.org/10.1155/2021/4440406.
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Due to the immaturity of bond market and the defects of internal governance structure, Chinese-listed companies have a strong preference for equity financing. How to reduce the cost of equity capital is particularly important for Chinese-listed companies. As an equity incentive system, employee stock ownership plan (ESOP) can reduce the agency conflicts among shareholders, executives, and employees to some extent. These reduced conflicts will, in an efficient capital market, be reflected in a lower cost of equity capital. This paper investigates whether the implementation of ESOP in a new era in China affects the cost of equity capital and further explores whether the impact of ESOP on the cost of equity capital is affected by the ownership nature, the firm size, and the contract design of ESOP. The results show that the implementation of ESOP reduces the cost of equity capital of enterprises. Compared with state-owned enterprises and large enterprises, the implementation of ESOP is more likely to reduce the cost of equity capital in non-state-owned enterprises and small enterprises. Furthermore, the reduction effect of ESOP on the cost of equity capital is influenced by the contract design of ESOP. This study not only enriches the literature on the relationship between employee stock ownership and the cost of equity capital but also provides a new idea for listed companies to reduce the cost of equity financing.
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Ernst, Dietmar. "Simulation-Based Business Valuation: Methodical Implementation in the Valuation Practice." Journal of Risk and Financial Management 15, no. 5 (April 26, 2022): 200. http://dx.doi.org/10.3390/jrfm15050200.
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The simulation-based company valuation values a company on the basis of the risks actually present in the company without having to derive them from the capital market data. The simulation-based company valuation takes into account the market imperfections, such as the probability of insolvency or the lack of diversification, and fulfils the legal requirements and auditing standards for a company valuation. The simulation-based company valuation is an alternative to the CAPM-based company valuation, which, under the assumption of perfect capital markets, derives the risks through capital market comparisons. A simulation-based business valuation has many advantages and is particularly suitable for valuing medium-sized companies, start-ups, companies in a crisis, and for integrating country-specific risks into business valuations. Due to the internationally widespread use of the CAPM, a simulation-based company valuation is still rarely used in practice. This article shows which valuation formulas are necessary for the application of a simulation-based company valuation. These are used for both the certainty equivalent method and for the risk premium method. In a concrete and valuation example, the simulation-based business planning and company valuation is carried out, and the derived valuation formulas are applied in a way that allows a transfer to concrete valuation cases in practice. It is shown that the certainty equivalent method and the risk premium method lead to identical company values.
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Ernst, Dietmar. "Simulation-Based Business Valuation: Methodical Implementation in the Valuation Practice." Journal of Risk and Financial Management 15, no. 5 (April 26, 2022): 200. http://dx.doi.org/10.3390/jrfm15050200.
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The simulation-based company valuation values a company on the basis of the risks actually present in the company without having to derive them from the capital market data. The simulation-based company valuation takes into account the market imperfections, such as the probability of insolvency or the lack of diversification, and fulfils the legal requirements and auditing standards for a company valuation. The simulation-based company valuation is an alternative to the CAPM-based company valuation, which, under the assumption of perfect capital markets, derives the risks through capital market comparisons. A simulation-based business valuation has many advantages and is particularly suitable for valuing medium-sized companies, start-ups, companies in a crisis, and for integrating country-specific risks into business valuations. Due to the internationally widespread use of the CAPM, a simulation-based company valuation is still rarely used in practice. This article shows which valuation formulas are necessary for the application of a simulation-based company valuation. These are used for both the certainty equivalent method and for the risk premium method. In a concrete and valuation example, the simulation-based business planning and company valuation is carried out, and the derived valuation formulas are applied in a way that allows a transfer to concrete valuation cases in practice. It is shown that the certainty equivalent method and the risk premium method lead to identical company values.
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Warner, Stanley L., and Myrna M. Breitbart. "Plant closings and capital flight: A computer-assisted simulation." New Directions for Teaching and Learning 1989, no. 38 (1989): 25–32. http://dx.doi.org/10.1002/tl.37219893805.
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Shi, Jinzhao, Richard Y. K. Fung, and Ju’e Guo. "Optimal Ordering and Pricing Policies for Seasonal Products: Impacts of Demand Uncertainty and Capital Constraint." Discrete Dynamics in Nature and Society 2016 (2016): 1–13. http://dx.doi.org/10.1155/2016/1801658.
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With a stochastic price-dependent market demand, this paper investigates how demand uncertainty and capital constraint affect retailer’s integrated ordering and pricing policies towards seasonal products. The retailer with capital constraint is normalized to be with zero capital endowment while it can be financed by an external bank. The problems are studied under a low and high demand uncertainty scenario, respectively. Results show that when demand uncertainty level is relatively low, the retailer faced with demand uncertainty always sets a lower price than the riskless one, while its order quantity may be smaller or larger than the riskless retailer’s which depends on the level of market size. When adding a capital constraint, the retailer will strictly prefer a higher price but smaller quantity policy. However, in a high demand uncertainty scenario, the impacts are more intricate. The retailer faced with demand uncertainty will always order a larger quantity than the riskless one if demand uncertainty level is high enough (above a critical value), while the capital-constrained retailer is likely to set a lower price than the well-funded one when demand uncertainty level falls within a specific interval. Therefore, it can be further concluded that the impact of capital constraint on the retailer’s pricing decision can be influenced by different demand uncertainty levels.
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Liu, Chen, and Yi An. "Investor Sentiment and the Basis of CSI 300 Stock Index Futures: An Empirical Study Based on QVAR Model and Quantile Regression." Discrete Dynamics in Nature and Society 2018 (November 13, 2018): 1–13. http://dx.doi.org/10.1155/2018/4783214.
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The asymmetrical mutual influence of investor sentiment and the basis of CSI 300 stock index futures under conditions in different market situations was investigated using the quantile vector autoregressive model (QVAR). The article also discussed asymmetrical influence of investor sentiment on the basis under conditions in different investor structures using the quantile regression method. On this basis, we obtained several important conclusions: (1) There exists a one-way causal relationship where investor sentiment has a significant impact on the CSI 300 stock index futures basis in China; the investor sentiment is likely to exert stronger influences on the basis in the chaotic period of the stock market and imposes significant asymmetrical effects. (2) The institutionalized development of investors can reduce the influences of investor sentiment on the basis when the stock market is stable, while it does not play its function in stabilizing the capital market when the stock market is in turmoil. (3) The low institutionalization level, the individualization of institutional investors, and the imperfect short-sales mechanism as a whole are still the sticking problems in the immature capital market of China.
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PUCHKOV, Evgeniy Vladimirovich, Natal'ya Alekseyevna OSADCHAYA, and Anton Dmitrievich MURZIN. "Engineering Simulation of Market Value of Construction Materials." Journal of Advanced Research in Law and Economics 9, no. 6 (November 1, 2019): 2096. http://dx.doi.org/10.14505//jarle.v9.6(36).25.
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Material resources are one of the main elements of the construction cost estimate. The nomenclature of material resources includes a large number of items. It is impossible to objectively estimate the construction cost, capital construction, and maintenance works without carrying out monitoring of the prices of constructional resources and accounting for these data in estimates. The purpose of the present study consists in developing an engineering approach to the simulation of pricing in the construction materials’ market. To achieve this purpose, we use mathematical statistics methods such as linear regression and autoregressive integrated moving average, as well as machine learning methods, namely gradient boosting and recurrent neural networks. In consequence of this work, we proposed a scheme to store statistical information based on the SpagoBI business intelligence platform, as well as designed hybrid intelligent predictive model, which allowed automating the engineering approach to the prediction of prices and objectifying advanced analytics of the construction materials’ market. The proposed engineering approach allows predicting the dynamics of the construction materials’ market segments when managing the construction cost at the level of enterprise and the region that will enable adequate decision- making in the course of investment projects development.
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Ding, Xiaochen, and Lu Sui. "The Complexity of Global Capital Flows: Evidence from G20 Countries." Discrete Dynamics in Nature and Society 2021 (November 15, 2021): 1–15. http://dx.doi.org/10.1155/2021/1162155.
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With the high volatility of capital flow and the imbalance of capital flow between emerging and advanced economies, the complexity of capital flow management is always attractive to researchers and policymakers. This study explores how capital flows in G20 countries are significantly impacted by pull and push factors by using regressions, dynamic system GMM, and Panel-VAR models. The results show that international capital flows are significantly associated with domestic financial development, which is measured by stock-market liquidity and domestic credit. Moreover, international capital flows are affected by push factors, such as the growth of the world economy and fluctuations of the crude oil price. This study controls for real interest rate, foreign currency, and capital restriction because the government and macroprudential policies are critical influences on stabilizing capital flows.
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Baule, Rainer. "Allocation of risk capital on an internal market." European Journal of Operational Research 234, no. 1 (April 2014): 186–96. http://dx.doi.org/10.1016/j.ejor.2013.09.005.
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Fourati, Hedia, and Habib Affes. "Intellectual Capital Investment, Stakeholders' Value, Firm Market Value and Financial Performance: The Case of Tunisia Stock Exchange." Journal of Information & Knowledge Management 12, no. 02 (June 2013): 1350010. http://dx.doi.org/10.1142/s021964921350010x.
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The purpose of this paper is to investigate the role of intellectual capital investment in improving the firm's market value, stakeholders' value and financial performance. Using data drawn from 21 listed companies in Tunisia Stock Exchange, we conducted two studies. On one hand, from using Charreaux (Charreaux (2006). La valeur partenariale: Vers une mesure opérationnelle. Cahier de FARGO no. 1061103, November) measure of stakeholders' value, we demonstrate that financials come to present the weakest stakeholders' value and clients monopolises in term of value acquisition due to a weak ability of negotiation of firms. On the other hand, we construct a regression model of Pulic's value added intellectual capital investment (VAIC) as the measure of the value added from intellectual capital, in market valuation and financial performance. Our results stressed the fact that there is a positive impact of intellectual capital by human capital efficiency and capital employed efficiency on improving firm's market value. Nevertheless, financial performance measured by ROA is still justified by the traditional measure relying on capital employed efficiency. Indeed for Tunisian quoted firms, human capital investment is a pilar for ameliorating firm market valuation of financial performance.
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Gupta, Sangeeta, and Rajanikanth Aluvalu. "Twitter Based Capital Market Analysis Using Cloud Statistics." International Journal of Sociotechnology and Knowledge Development 11, no. 2 (April 2019): 54–60. http://dx.doi.org/10.4018/ijskd.2019040104.
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People in the modern world are attracted towards smart working and earning environments rather than having a long-term perception. The goal of this work is to address the challenge of providing better inputs to the customers interested to investing in the share market to earn better returns on investments. The Twitter social networking site is chosen to develop the proposed environment as a majority of the customers tweet about their opinions. A huge set of data across various companies that take inputs from Twitter are processed and stored in the cloud environment for efficient analysis and assessment. A statistical measure is used to signal the worth of investing in a particular stock based on the outcomes obtained. Also, rather than ignoring the missing values and unstructured data, the proposed work analyzes every single entity to enable the customers to take worthy decisions. Tweets in the range of 1 to 100,000 are taken to perform analysis and it is observed from the results that for a maximum of 100,000 tweets, the number of missing is identified as 2,524 and the statistical measure to fill in the missing values is calculated based on the particular missing data record, the count of all data records, and the total number of records. If the outcome of the measure is obtained as a negative, then proceeding with an investment is not recommended. The findings of this work will help the share market investors to earn better profits.
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Stiborová, Eliška, Barbora Sznapková, and Tomáš Tichý. "Comparison of market risk models with respect to suggested changes of Basel Accord." Acta Oeconomica 64, Supplement-2 (November 1, 2014): 257–74. http://dx.doi.org/10.1556/aoecon.64.2014.suppl.18.
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The market risk capital charge of financial institutions has been mostly calculated by internal models based on integrated Value at Risk (VaR) approach, since the introduction of the Amendment to Basel Accord in 1996. The internal models should fulfil several quantitative and qualitative criteria. Besides others, it is the so called backtesting procedure, which was one of the main reasons why the alternative approach to market risk estimation — conditional Value at Risk or Expected Shortfall (ES) — were not applicable for the purpose of capital charge calculation. However, it is supposed that this approach will be incorporated into Basel III. In this paper we provide an extensive simulation study using various sets of market data to show potential impact of ES on capital requirements.
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Soemapradja, Tomy G., Jerry Marcellinus Logahan, and Hengky Ongowarsito. "Pengembangan Aplikasi Simulasi Perdagangan Saham dengan Sector Rotation dan Linear Programming." Binus Business Review 5, no. 1 (May 30, 2014): 418. http://dx.doi.org/10.21512/bbr.v5i1.1263.
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In strategic development a university will shift from teaching university to research university. It is because academic outcomes will be more useful if they can be commercialized by industries, which help improve the ranking of a university. The development of capital market and management measures of Indonesia Stock Exchange during the last 8 years aiming at academicians in order to identify and be interested in investing in the stock market needs to be observed. That is by providing a simulation so that more students can improve the competition at their graduation. The involvement of industry selection strategy and portfolio management will be required so that the expertise and ability to manage investments in the capital market can be better. So, it necessarily requires a development of simulation application of stock trading with business rotation and linear programming.
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Ponomarev, S. V. "Development of intellectual and computer capital of enterprises in market conditions." Economic scope, no. 138 (October 23, 2018): 201–13. http://dx.doi.org/10.30838/p.es.2224.231018.201.258.
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Zhang, Shangfeng, Jingjue Xu, Wei Chen, Manzhou Teng, Xiuwen Yu, and Huiru Ren. "Market Distortion, Inter-Provincial Factor Misallocation, and Total Factor Productivity." Journal of Advanced Computational Intelligence and Intelligent Informatics 25, no. 5 (September 20, 2021): 546–53. http://dx.doi.org/10.20965/jaciii.2021.p0546.
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As an emerging economy, market distortions exist in China’s institutional adjustment during its economy transformation. However, the price distortion of capital and labor factors will lead to factor misallocation among provinces. This will eventually reduce the total factor productivity (TFP) at the national level. Based on Hsieh and Klenow’s [1] model framework, this paper aims to measure the degree of misallocation of capital and labor factors among provinces, and estimates the growth potential of China’s TFP by using input-output data from 1993 to 2017. The findings show that: First, the degree of inter-provincial labor misallocation is greater than that of capital. For example, in 2017, the degree of capital (labor) misallocation was 5.77% (10.25%), resulting in China’s TFP loss of 17.23%. Second, due to the factor marketization reforms, the degree of labor misallocation has declined while the degree of capital misallocation has intensified in recent years. Lastly, this paper introduces the time-varying elasticity production function model, finding that using the Cobb-Douglas production function will cause the factor misallocation to be underestimated by 5.91% due to the assumption of constant output elasticity.
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Shan, Lingbin, and Ming Su. "Corporate Pension Payment System under the Constraints of Cost of Capital: An Empirical Study." Discrete Dynamics in Nature and Society 2022 (April 23, 2022): 1–12. http://dx.doi.org/10.1155/2022/7872935.
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Reducing the cost of capital is an effective way to increase stockholders’ wealth and can also constrain the amount of corporate pension payments. This paper, taking the companies listed on A-share market during the year from 2008 to 2019 as samples, examines the influence path and effect of corporate pension on cost of capital. It is different from the research results of Western scholars that, in all the samples, corporate pensions reduce the cost of capital through debt and incentive effects. For labor-intensive enterprises and those whose effective income tax rate is less than zero, corporate pensions fail to reduce the cost of capital significantly. While for capital-and-technology-intensive enterprises, those whose effective income tax rate is more than zero, and those whose financing restraint is more or less than zero, corporate pension is proven to significantly reduce the cost of capital. Innovation performance has a partial mediating effect between corporate pensions and cost of capital.
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Dunaev, B. B., and L. V. Kirilenko. "Market Appraisal and Accounting of the Cost of Production Capital." Cybernetics and Systems Analysis 54, no. 5 (September 2018): 806–14. http://dx.doi.org/10.1007/s10559-018-0082-4.
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Zou, Yan, and Qinghui Bai. "The Impact of Dividend Policies and Financing Strategies on the Speed of Firms’ Capital Structure Adjustment." Discrete Dynamics in Nature and Society 2022 (February 17, 2022): 1–12. http://dx.doi.org/10.1155/2022/3209502.
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Based on the framework of the dynamic adjustment model, this paper examines the impact of dividend policies and financing strategies on the speed of capital structure adjustment and explores the relationship between dividend distribution and financing behavior. The empirical results show that if the firm pays less cash dividends, the capital structure adjustment speed is faster, and the dividend distribution behavior conflicts with financing needs. If the firm pays more cash dividends, the capital structure adjustment speed is slower, and the high dividend policy conflicts with market timing financing strategies. In a word, the behavior of dividend distribution has a significant impact on the speed of capital structure adjustment, and the conflict between dividend distribution and financing strategy affects the speed of capital structure adjustment. This paper provides a new perspective for optimizing capital structure, regulating dividend distribution, and evaluating the rationality of financing behavior.
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Ozturkkal, Belma. "A Simulation Set-up to Observe the Effects of the Emotional Factor on Capital Markets." EMAJ: Emerging Markets Journal 1, no. 1 (July 24, 2011): 21–32. http://dx.doi.org/10.5195/emaj.2011.6.
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The study surveyed 74 student subjects from a major public university in the southern United States in a capital market experiment. This study investigates the link between profitability and the individual emotions present at the time of the experiment among managers and investors. This study is motivated by the shareholder and manager mechanism simulating a real market environment, where the individual self-reported emotions on a survey are analyzed by a least square regression analysis from the perspective of investors and managers.