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Publisher: Emerald   (Total: 341 journals)

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Showing 1 - 200 of 341 Journals sorted alphabetically
A Life in the Day     Hybrid Journal   (Followers: 12)
Academia Revista Latinoamericana de Administración     Open Access   (Followers: 2, SJR: 0.178, CiteScore: 1)
Accounting Auditing & Accountability J.     Hybrid Journal   (Followers: 30, SJR: 1.71, CiteScore: 3)
Accounting Research J.     Hybrid Journal   (Followers: 25, SJR: 0.144, CiteScore: 0)
Accounting, Auditing and Accountability J.     Hybrid Journal   (Followers: 21, SJR: 2.187, CiteScore: 4)
Advances in Accounting Education     Hybrid Journal   (Followers: 16, SJR: 0.279, CiteScore: 0)
Advances in Appreciative Inquiry     Hybrid Journal   (Followers: 1, SJR: 0.451, CiteScore: 1)
Advances in Autism     Hybrid Journal   (Followers: 21, SJR: 0.222, CiteScore: 1)
Advances in Dual Diagnosis     Hybrid Journal   (Followers: 46, SJR: 0.21, CiteScore: 1)
Advances in Gender Research     Full-text available via subscription   (Followers: 4, SJR: 0.16, CiteScore: 0)
Advances in Intl. Marketing     Full-text available via subscription   (Followers: 6)
Advances in Mental Health and Intellectual Disabilities     Hybrid Journal   (Followers: 72, SJR: 0.296, CiteScore: 0)
Advances in Mental Health and Learning Disabilities     Hybrid Journal   (Followers: 30)
African J. of Economic and Management Studies     Hybrid Journal   (Followers: 10, SJR: 0.216, CiteScore: 1)
Agricultural Finance Review     Hybrid Journal   (SJR: 0.406, CiteScore: 1)
Aircraft Engineering and Aerospace Technology     Hybrid Journal   (Followers: 198, SJR: 0.354, CiteScore: 1)
American J. of Business     Hybrid Journal   (Followers: 17)
Annals in Social Responsibility     Full-text available via subscription  
Anti-Corrosion Methods and Materials     Hybrid Journal   (Followers: 11, SJR: 0.235, CiteScore: 1)
Arts and the Market     Hybrid Journal   (Followers: 9)
Asia Pacific J. of Innovation and Entrepreneurship     Open Access  
Asia Pacific J. of Marketing and Logistics     Hybrid Journal   (Followers: 8, SJR: 0.425, CiteScore: 1)
Asia-Pacific J. of Business Administration     Hybrid Journal   (Followers: 5, SJR: 0.234, CiteScore: 1)
Asian Association of Open Universities J.     Open Access   (Followers: 1)
Asian Education and Development Studies     Hybrid Journal   (Followers: 5, SJR: 0.233, CiteScore: 1)
Asian J. on Quality     Hybrid Journal   (Followers: 3)
Asian Review of Accounting     Hybrid Journal   (Followers: 2, SJR: 0.222, CiteScore: 1)
Aslib J. of Information Management     Hybrid Journal   (Followers: 27, SJR: 0.725, CiteScore: 2)
Aslib Proceedings     Hybrid Journal   (Followers: 298)
Assembly Automation     Hybrid Journal   (Followers: 2, SJR: 0.603, CiteScore: 2)
Baltic J. of Management     Hybrid Journal   (Followers: 3, SJR: 0.309, CiteScore: 1)
Benchmarking : An Intl. J.     Hybrid Journal   (Followers: 10, SJR: 0.559, CiteScore: 2)
British Food J.     Hybrid Journal   (Followers: 16, SJR: 0.5, CiteScore: 2)
Built Environment Project and Asset Management     Hybrid Journal   (Followers: 14, SJR: 0.46, CiteScore: 1)
Business Process Re-engineering & Management J.     Hybrid Journal   (Followers: 8)
Business Strategy Series     Hybrid Journal   (Followers: 6)
Career Development Intl.     Hybrid Journal   (Followers: 17, SJR: 0.527, CiteScore: 2)
China Agricultural Economic Review     Hybrid Journal   (Followers: 2, SJR: 0.31, CiteScore: 1)
China Finance Review Intl.     Hybrid Journal   (Followers: 5, SJR: 0.245, CiteScore: 0)
Chinese Management Studies     Hybrid Journal   (Followers: 4, SJR: 0.278, CiteScore: 1)
Circuit World     Hybrid Journal   (Followers: 15, SJR: 0.246, CiteScore: 1)
Collection Building     Hybrid Journal   (Followers: 11, SJR: 0.296, CiteScore: 1)
COMPEL: The Intl. J. for Computation and Mathematics in Electrical and Electronic Engineering     Hybrid Journal   (Followers: 3, SJR: 0.22, CiteScore: 1)
Competitiveness Review : An Intl. Business J. incorporating J. of Global Competitiveness     Hybrid Journal   (Followers: 5, SJR: 0.274, CiteScore: 1)
Construction Innovation: Information, Process, Management     Hybrid Journal   (Followers: 14, SJR: 0.731, CiteScore: 2)
Corporate Communications An Intl. J.     Hybrid Journal   (Followers: 7, SJR: 0.453, CiteScore: 1)
Corporate Governance Intl. J. of Business in Society     Hybrid Journal   (Followers: 7, SJR: 0.336, CiteScore: 1)
Critical Perspectives on Intl. Business     Hybrid Journal   (SJR: 0.378, CiteScore: 1)
Cross Cultural & Strategic Management     Hybrid Journal   (Followers: 8, SJR: 0.504, CiteScore: 2)
Development and Learning in Organizations     Hybrid Journal   (Followers: 7, SJR: 0.138, CiteScore: 0)
Digital Library Perspectives     Hybrid Journal   (Followers: 24, SJR: 0.341, CiteScore: 1)
Direct Marketing An Intl. J.     Hybrid Journal   (Followers: 6)
Disaster Prevention and Management     Hybrid Journal   (Followers: 21, SJR: 0.47, CiteScore: 1)
Drugs and Alcohol Today     Hybrid Journal   (Followers: 133, SJR: 0.245, CiteScore: 1)
Education + Training     Hybrid Journal   (Followers: 23)
Education, Business and Society : Contemporary Middle Eastern Issues     Hybrid Journal   (Followers: 1, SJR: 1.707, CiteScore: 3)
Emerald Emerging Markets Case Studies     Hybrid Journal   (Followers: 1)
Employee Relations     Hybrid Journal   (Followers: 8, SJR: 0.551, CiteScore: 2)
Engineering Computations     Hybrid Journal   (Followers: 3, SJR: 0.444, CiteScore: 1)
Engineering, Construction and Architectural Management     Hybrid Journal   (Followers: 10, SJR: 0.653, CiteScore: 2)
English Teaching: Practice & Critique     Hybrid Journal   (SJR: 0.417, CiteScore: 1)
Equal Opportunities Intl.     Hybrid Journal   (Followers: 3)
Equality, Diversity and Inclusion : An Intl. J.     Hybrid Journal   (Followers: 13, SJR: 0.5, CiteScore: 1)
EuroMed J. of Business     Hybrid Journal   (Followers: 1, SJR: 0.26, CiteScore: 1)
European Business Review     Hybrid Journal   (Followers: 8, SJR: 0.585, CiteScore: 3)
European J. of Innovation Management     Hybrid Journal   (Followers: 23, SJR: 0.454, CiteScore: 2)
European J. of Management and Business Economics     Open Access   (Followers: 1, SJR: 0.239, CiteScore: 1)
European J. of Marketing     Hybrid Journal   (Followers: 20, SJR: 0.971, CiteScore: 2)
European J. of Training and Development     Hybrid Journal   (Followers: 11, SJR: 0.477, CiteScore: 1)
Evidence-based HRM     Hybrid Journal   (Followers: 5, SJR: 0.537, CiteScore: 1)
Facilities     Hybrid Journal   (Followers: 2, SJR: 0.503, CiteScore: 2)
Foresight     Hybrid Journal   (Followers: 7, SJR: 0.34, CiteScore: 1)
Gender in Management : An Intl. J.     Hybrid Journal   (Followers: 18, SJR: 0.412, CiteScore: 1)
Grey Systems : Theory and Application     Hybrid Journal   (Followers: 1)
Health Education     Hybrid Journal   (Followers: 2, SJR: 0.421, CiteScore: 1)
Higher Education, Skills and Work-based Learning     Hybrid Journal   (Followers: 46, SJR: 0.426, CiteScore: 1)
History of Education Review     Hybrid Journal   (Followers: 12, SJR: 0.26, CiteScore: 0)
Housing, Care and Support     Hybrid Journal   (Followers: 8, SJR: 0.171, CiteScore: 0)
Human Resource Management Intl. Digest     Hybrid Journal   (Followers: 17, SJR: 0.129, CiteScore: 0)
Humanomics     Hybrid Journal   (Followers: 2, SJR: 0.333, CiteScore: 1)
IMP J.     Hybrid Journal  
Indian Growth and Development Review     Hybrid Journal   (SJR: 0.174, CiteScore: 0)
Industrial and Commercial Training     Hybrid Journal   (Followers: 5, SJR: 0.301, CiteScore: 1)
Industrial Lubrication and Tribology     Hybrid Journal   (Followers: 5, SJR: 0.334, CiteScore: 1)
Industrial Management & Data Systems     Hybrid Journal   (Followers: 7, SJR: 0.904, CiteScore: 3)
Industrial Robot An Intl. J.     Hybrid Journal   (Followers: 2, SJR: 0.318, CiteScore: 1)
Info     Hybrid Journal   (Followers: 1)
Information and Computer Security     Hybrid Journal   (Followers: 22, SJR: 0.307, CiteScore: 1)
Information Technology & People     Hybrid Journal   (Followers: 43, SJR: 0.671, CiteScore: 2)
Interactive Technology and Smart Education     Hybrid Journal   (Followers: 11, SJR: 0.191, CiteScore: 1)
Interlending & Document Supply     Hybrid Journal   (Followers: 60)
Internet Research     Hybrid Journal   (Followers: 37, SJR: 1.645, CiteScore: 5)
Intl. J. for Lesson and Learning Studies     Hybrid Journal   (Followers: 4, SJR: 0.324, CiteScore: 1)
Intl. J. for Researcher Development     Hybrid Journal   (Followers: 10)
Intl. J. of Accounting and Information Management     Hybrid Journal   (Followers: 9, SJR: 0.275, CiteScore: 1)
Intl. J. of Bank Marketing     Hybrid Journal   (Followers: 8, SJR: 0.654, CiteScore: 3)
Intl. J. of Climate Change Strategies and Management     Hybrid Journal   (Followers: 16, SJR: 0.353, CiteScore: 1)
Intl. J. of Clothing Science and Technology     Hybrid Journal   (Followers: 7, SJR: 0.318, CiteScore: 1)
Intl. J. of Commerce and Management     Hybrid Journal   (Followers: 1)
Intl. J. of Conflict Management     Hybrid Journal   (Followers: 15, SJR: 0.362, CiteScore: 1)
Intl. J. of Contemporary Hospitality Management     Hybrid Journal   (Followers: 13, SJR: 1.452, CiteScore: 4)
Intl. J. of Culture Tourism and Hospitality Research     Hybrid Journal   (Followers: 19, SJR: 0.339, CiteScore: 1)
Intl. J. of Development Issues     Hybrid Journal   (Followers: 9, SJR: 0.139, CiteScore: 0)
Intl. J. of Disaster Resilience in the Built Environment     Hybrid Journal   (Followers: 6, SJR: 0.387, CiteScore: 1)
Intl. J. of Educational Management     Hybrid Journal   (Followers: 5, SJR: 0.559, CiteScore: 1)
Intl. J. of Emergency Services     Hybrid Journal   (Followers: 6, SJR: 0.201, CiteScore: 1)
Intl. J. of Emerging Markets     Hybrid Journal   (Followers: 3, SJR: 0.474, CiteScore: 2)
Intl. J. of Energy Sector Management     Hybrid Journal   (Followers: 2, SJR: 0.349, CiteScore: 1)
Intl. J. of Entrepreneurial Behaviour & Research     Hybrid Journal   (Followers: 4, SJR: 0.629, CiteScore: 2)
Intl. J. of Event and Festival Management     Hybrid Journal   (Followers: 5, SJR: 0.388, CiteScore: 1)
Intl. J. of Gender and Entrepreneurship     Hybrid Journal   (Followers: 6, SJR: 0.445, CiteScore: 1)
Intl. J. of Health Care Quality Assurance     Hybrid Journal   (Followers: 12, SJR: 0.358, CiteScore: 1)
Intl. J. of Health Governance     Hybrid Journal   (Followers: 26, SJR: 0.247, CiteScore: 1)
Intl. J. of Housing Markets and Analysis     Hybrid Journal   (Followers: 9, SJR: 0.211, CiteScore: 1)
Intl. J. of Human Rights in Healthcare     Hybrid Journal   (Followers: 7, SJR: 0.205, CiteScore: 0)
Intl. J. of Information and Learning Technology     Hybrid Journal   (Followers: 8, SJR: 0.226, CiteScore: 1)
Intl. J. of Innovation Science     Hybrid Journal   (Followers: 11, SJR: 0.197, CiteScore: 1)
Intl. J. of Intelligent Computing and Cybernetics     Hybrid Journal   (Followers: 3, SJR: 0.214, CiteScore: 1)
Intl. J. of Intelligent Unmanned Systems     Hybrid Journal   (Followers: 4)
Intl. J. of Islamic and Middle Eastern Finance and Management     Hybrid Journal   (Followers: 9, SJR: 0.375, CiteScore: 1)
Intl. J. of Law and Management     Hybrid Journal   (Followers: 2, SJR: 0.217, CiteScore: 1)
Intl. J. of Law in the Built Environment     Hybrid Journal   (Followers: 3, SJR: 0.227, CiteScore: 0)
Intl. J. of Leadership in Public Services     Hybrid Journal   (Followers: 20)
Intl. J. of Lean Six Sigma     Hybrid Journal   (Followers: 6, SJR: 0.802, CiteScore: 3)
Intl. J. of Logistics Management     Hybrid Journal   (Followers: 10, SJR: 0.71, CiteScore: 2)
Intl. J. of Managerial Finance     Hybrid Journal   (Followers: 5, SJR: 0.203, CiteScore: 1)
Intl. J. of Managing Projects in Business     Hybrid Journal   (Followers: 2, SJR: 0.36, CiteScore: 2)
Intl. J. of Manpower     Hybrid Journal   (Followers: 2, SJR: 0.365, CiteScore: 1)
Intl. J. of Mentoring and Coaching in Education     Hybrid Journal   (Followers: 24, SJR: 0.426, CiteScore: 1)
Intl. J. of Migration, Health and Social Care     Hybrid Journal   (Followers: 12, SJR: 0.307, CiteScore: 1)
Intl. J. of Numerical Methods for Heat & Fluid Flow     Hybrid Journal   (Followers: 11, SJR: 0.697, CiteScore: 3)
Intl. J. of Operations & Production Management     Hybrid Journal   (Followers: 18, SJR: 2.052, CiteScore: 4)
Intl. J. of Organizational Analysis     Hybrid Journal   (Followers: 3, SJR: 0.268, CiteScore: 1)
Intl. J. of Pervasive Computing and Communications     Hybrid Journal   (Followers: 3, SJR: 0.138, CiteScore: 1)
Intl. J. of Pharmaceutical and Healthcare Marketing     Hybrid Journal   (Followers: 4, SJR: 0.25, CiteScore: 1)
Intl. J. of Physical Distribution & Logistics Management     Hybrid Journal   (Followers: 11, SJR: 1.821, CiteScore: 4)
Intl. J. of Prisoner Health     Hybrid Journal   (Followers: 8, SJR: 0.303, CiteScore: 1)
Intl. J. of Productivity and Performance Management     Hybrid Journal   (Followers: 7, SJR: 0.578, CiteScore: 2)
Intl. J. of Public Sector Management     Hybrid Journal   (Followers: 25, SJR: 0.438, CiteScore: 1)
Intl. J. of Quality & Reliability Management     Hybrid Journal   (Followers: 7, SJR: 0.492, CiteScore: 2)
Intl. J. of Quality and Service Sciences     Hybrid Journal   (Followers: 2, SJR: 0.309, CiteScore: 1)
Intl. J. of Retail & Distribution Management     Hybrid Journal   (Followers: 6, SJR: 0.742, CiteScore: 3)
Intl. J. of Service Industry Management     Hybrid Journal   (Followers: 2)
Intl. J. of Social Economics     Hybrid Journal   (Followers: 5, SJR: 0.225, CiteScore: 1)
Intl. J. of Sociology and Social Policy     Hybrid Journal   (Followers: 49, SJR: 0.3, CiteScore: 1)
Intl. J. of Sports Marketing and Sponsorship     Hybrid Journal   (Followers: 1, SJR: 0.269, CiteScore: 1)
Intl. J. of Structural Integrity     Hybrid Journal   (Followers: 2, SJR: 0.228, CiteScore: 0)
Intl. J. of Sustainability in Higher Education     Hybrid Journal   (Followers: 14, SJR: 0.502, CiteScore: 2)
Intl. J. of Tourism Cities     Hybrid Journal   (Followers: 2, SJR: 0.502, CiteScore: 0)
Intl. J. of Web Information Systems     Hybrid Journal   (Followers: 4, SJR: 0.186, CiteScore: 1)
Intl. J. of Wine Business Research     Hybrid Journal   (Followers: 8, SJR: 0.562, CiteScore: 2)
Intl. J. of Workplace Health Management     Hybrid Journal   (Followers: 11, SJR: 0.303, CiteScore: 1)
Intl. Marketing Review     Hybrid Journal   (Followers: 15, SJR: 0.895, CiteScore: 3)
Irish J. of Occupational Therapy     Open Access   (Followers: 1)
ISRA Intl. J. of Islamic Finance     Open Access  
J. for Multicultural Education     Hybrid Journal   (Followers: 1, SJR: 0.237, CiteScore: 1)
J. of Accounting & Organizational Change     Hybrid Journal   (Followers: 5, SJR: 0.301, CiteScore: 1)
J. of Accounting in Emerging Economies     Hybrid Journal   (Followers: 9)
J. of Adult Protection, The     Hybrid Journal   (Followers: 15, SJR: 0.314, CiteScore: 1)
J. of Advances in Management Research     Hybrid Journal   (Followers: 2)
J. of Aggression, Conflict and Peace Research     Hybrid Journal   (Followers: 44, SJR: 0.222, CiteScore: 1)
J. of Agribusiness in Developing and Emerging Economies     Hybrid Journal   (SJR: 0.108, CiteScore: 0)
J. of Applied Accounting Research     Hybrid Journal   (Followers: 16, SJR: 0.227, CiteScore: 1)
J. of Applied Research in Higher Education     Hybrid Journal   (Followers: 49, SJR: 0.2, CiteScore: 0)
J. of Asia Business Studies     Hybrid Journal   (Followers: 2, SJR: 0.245, CiteScore: 1)
J. of Assistive Technologies     Hybrid Journal   (Followers: 20)
J. of Business & Industrial Marketing     Hybrid Journal   (Followers: 8, SJR: 0.652, CiteScore: 2)
J. of Business Strategy     Hybrid Journal   (Followers: 11, SJR: 0.333, CiteScore: 1)
J. of Centrum Cathedra     Open Access  
J. of Children's Services     Hybrid Journal   (Followers: 5, SJR: 0.243, CiteScore: 1)
J. of Chinese Economic and Foreign Trade Studies     Hybrid Journal   (Followers: 1, SJR: 0.2, CiteScore: 0)
J. of Chinese Entrepreneurship     Hybrid Journal   (Followers: 4)
J. of Chinese Human Resource Management     Hybrid Journal   (Followers: 6, SJR: 0.173, CiteScore: 1)
J. of Communication Management     Hybrid Journal   (Followers: 6, SJR: 0.625, CiteScore: 1)
J. of Consumer Marketing     Hybrid Journal   (Followers: 17, SJR: 0.664, CiteScore: 2)
J. of Corporate Real Estate     Hybrid Journal   (Followers: 3, SJR: 0.368, CiteScore: 1)
J. of Criminal Psychology     Hybrid Journal   (Followers: 125, SJR: 0.268, CiteScore: 1)
J. of Criminological Research, Policy and Practice     Hybrid Journal   (Followers: 46, SJR: 0.254, CiteScore: 1)
J. of Cultural Heritage Management and Sustainable Development     Hybrid Journal   (Followers: 10, SJR: 0.257, CiteScore: 1)
J. of Documentation     Hybrid Journal   (Followers: 177, SJR: 0.613, CiteScore: 1)
J. of Economic and Administrative Sciences     Hybrid Journal   (Followers: 2)
J. of Economic Studies     Hybrid Journal   (Followers: 5, SJR: 0.733, CiteScore: 1)
J. of Educational Administration     Hybrid Journal   (Followers: 6, SJR: 1.252, CiteScore: 2)
J. of Enabling Technologies     Hybrid Journal   (Followers: 8, SJR: 0.369, CiteScore: 1)
J. of Engineering, Design and Technology     Hybrid Journal   (Followers: 16, SJR: 0.212, CiteScore: 1)
J. of Enterprise Information Management     Hybrid Journal   (Followers: 4, SJR: 0.827, CiteScore: 4)
J. of Enterprising Communities People and Places in the Global Economy     Hybrid Journal   (Followers: 1, SJR: 0.281, CiteScore: 1)
J. of Entrepreneurship and Public Policy     Hybrid Journal   (Followers: 8, SJR: 0.262, CiteScore: 1)
J. of European Industrial Training     Hybrid Journal   (Followers: 2)
J. of European Real Estate Research     Hybrid Journal   (Followers: 3, SJR: 0.268, CiteScore: 1)
J. of Facilities Management     Hybrid Journal   (Followers: 4, SJR: 0.33, CiteScore: 1)
J. of Family Business Management     Hybrid Journal   (Followers: 7)
J. of Fashion Marketing and Management     Hybrid Journal   (Followers: 12, SJR: 0.608, CiteScore: 2)
J. of Financial Crime     Hybrid Journal   (Followers: 362, SJR: 0.228, CiteScore: 0)
J. of Financial Economic Policy     Hybrid Journal   (Followers: 1, SJR: 0.186, CiteScore: 0)
J. of Financial Management of Property and Construction     Hybrid Journal   (Followers: 8, SJR: 0.309, CiteScore: 1)
J. of Financial Regulation and Compliance     Hybrid Journal   (Followers: 8, SJR: 0.159, CiteScore: 0)
J. of Financial Reporting and Accounting     Hybrid Journal   (Followers: 13)
J. of Forensic Practice     Hybrid Journal   (Followers: 56, SJR: 0.205, CiteScore: 1)
J. of Global Mobility     Hybrid Journal   (Followers: 2, SJR: 0.377, CiteScore: 1)

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Journal Cover
China Finance Review International
Journal Prestige (SJR): 0.245
Number of Followers: 5  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 2044-1398
Published by Emerald Homepage  [341 journals]
  • Editorial for the special issue on modern aspects of financial engineering
    • Pages: 234 - 234
      Abstract: China Finance Review International, Volume 8, Issue 3, Page 234-234, August 2018.

      Citation: China Finance Review International
      PubDate: 2018-07-30T10:33:20Z
      DOI: 10.1108/CFRI-08-2018-215
       
  • Incentive mechanisms and hedging effectiveness – an experimental
           study
    • Pages: 332 - 352
      Abstract: China Finance Review International, Volume 8, Issue 3, Page 332-352, August 2018.
      Purpose The purpose of this paper is to analyze the role of four different incentives in improving hedging effectiveness and propose an alternative regulatory mechanism for China’s futures market. Design/methodology/approach The research method that this study uses is a laboratory experiment, and this study follows the basic norms of experimental research. In addition, this paper designs and conducts a game experiment between hedgers and futures brokerage firms (FBFs) under different incentive mechanisms. Findings By analyzing the experimental data, it is found that compared with other incentive mechanisms, hedgers’ willingness to hedge and FBFs’ regulatory intention are both significantly higher for the dynamic linkage updating mechanism, indicating that hedgers have a stronger willingness to follow their hedging plan, and FBFs are more responsible for their regulatory behaviors. Additionally, the dynamic linkage updating mechanism has a long-term impact on effective hedging in the futures market. Research limitations/implications The findings suggest that the dynamic linkage updating mechanism is beneficial for effectively restricting both hedgers’ over-speculation and FBFs’ regulatory slack and improving the hedging efficiency of the futures market. Practical implications To solve the problem of inefficient hedging in China’s futures market, i.e., hedgers’ over-speculation and FBFs’ passive collusion with hedgers, the regulators of China’s futures market should reform the existing incentives and adopt a dynamic linkage updating mechanism to encourage all the participants to actively improve hedging effectiveness. Originality/value This paper analyzes and verifies, for the first time, the role of the dynamic linkage updating mechanism in the investing behaviors of hedgers and the regulatory behaviors of future brokerage firms. The futures market experiment that was designed and used in this study is a pioneering and exploratory experiment that applies game theory and mechanism design theory to the field of behavioral finance.
      Citation: China Finance Review International
      PubDate: 2018-07-30T10:33:13Z
      DOI: 10.1108/CFRI-06-2017-0077
       
  • Market or government: who plays a decisive role in R&D resource
           allocation'
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to empirically investigate the impact of equity market valuation and government intervention on the research and development (R&D) investments of listed companies in China and their relationship. Design/methodology/approach Using a manually collected R&D database in the period 2007–2015, this paper constructs a sample of 6,595 firm–year observations and applies the methods of pooled OLS regressions to examine the effects of market valuation and government intervention on corporate R&D expenditures. Findings This paper finds that market valuation enhances corporate R&D investments, but there is no evidence that government intervention may significantly affect the R&D investments. Government intervention also decreases the sensitivity of corporate R&D investment to stock price, which implies that government intervention weakens the promotion of market mechanism to corporate R&D investment. Furthermore, these effects are stronger in the non-state-owned firms and the non-regulated industries. Practical implications This study suggests that the functional borders of markets and government should be reasonably defined and markets play a decisive role in resource allocation to improve corporate innovation and national innovation. Originality/value This paper provides a micro view of the relationship between market and government at the stage of transitional economy in China as well as directions for further research on the relationship between stock prices and corporate investments.
      Citation: China Finance Review International
      PubDate: 2018-08-09T10:30:31Z
      DOI: 10.1108/CFRI-08-2017-0190
       
  • Taking your company global: the effect of returnee managers on overseas
           customers
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to empirically examine the effect of returnee managers on Chinese firms’ performances at overseas markets. Design/methodology/approach By hand collecting two data set containing managers’ foreign experiences and firms’ principal customers, this study empirically examines the relationship between returnee managers and overseas customers. Findings The author shows that firms with returnee managers: have higher probability of gaining overseas customers and proportion of overseas sales; and are more likely to conduct international M&A, adopt international Big 4 auditors and list overseas. In addition, returnee executives who came back from individualistic culture with overseas working experience, when entering the overseas market where they have experienced, are more effectively in helping firms to perform well. Research limitations/implications The findings in this study suggest that firms with returnee managers are better able to develop relationships with overseas customers and expand overseas markets than those firms without returnee managers. Practical implications For policy makers, this study justifies government policies that aim to attract and encourage more returnees to come back. Furthermore, the author shows that returnees with different foreign experiences, national culture of different countries, whether doing business with their familiar foreign country, and their positions in current organizations have different effects on overseas customers. Firms can utilize all these information to choose the “right” returnees to increase their success in overseas markets. Originality/value This study is among the first to examine the role of returnee managers in an emerging economy on firm’s probability of gaining overseas customers and expanding overseas sales.
      Citation: China Finance Review International
      PubDate: 2018-07-31T07:29:50Z
      DOI: 10.1108/CFRI-03-2018-0024
       
  • Monetary model of exchange rate determination under floating and
           non-floating regimes
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to empirically analyse how different exchange rate regimes affect the links between monetary fundamentals and exchange rates in Sub-Saharan Africa. Design/methodology/approach Using the Pedroni method for panel cointegration, mean group and pooled mean group and the panel vector autoregressive technique, this study empirically investigates whether monetary fundamentals impact exchange rates similarly in both regimes. Thus, the author acquires needed and credible empirical data. Findings The result suggests that the impact is dissimilar. In the floating regime, an increase in relative money supply and relative real output depreciates and appreciates the nominal exchange rate in the long run whereas in the non-floating regime, the evidence is mixed. Thus, exchange rates bear a theoretically consistent relationship with monetary fundamentals across SSA countries with floating regimes but fails under non-floating regimes. This provides evidence that regime choice is important if the relationship between monetary fundamentals and exchange rates in SSA are to be theoretically consistent. Originality/value This study empirically incorporates the dissimilarities in exchange rate regimes in a panel framework and study the links between exchange rates and monetary fundamentals. The focus on how exchange rate regimes might alter the equilibrium relationships between exchange rates and monetary fundamentals in SSA is a pioneering experiment.
      Citation: China Finance Review International
      PubDate: 2018-07-31T07:25:17Z
      DOI: 10.1108/CFRI-10-2017-0204
       
  • Earnings management and institutional investor trading prior to earnings
           announcements
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to investigate if earnings management affects the trades of different investors prior to earnings announcements. Design/methodology/approach Using a unique account-level trading data set from the Chinese stock market, the author investigates the different investor trading patterns prior to earnings announcements. Findings The author obtains direct evidence to show that: first, institutional investors, particularly active ones, tend to sell (buy) stocks before negative (positive) earnings surprises; second, institutional investors buy stocks intensively with the lowest earnings management and the highest earnings surprises, and the trading patterns are primarily driven by active institutions. No significant trading pattern is observed on the stocks with negative earnings surprises; and third, the author uses a natural experiment in accordance with the Chinese accounting standards reform to address endogeneity, and the causality of the results still holds. Originality/value The findings provide clear evidence by emphasizing the importance of earnings management in the formulation of investor decisions.
      Citation: China Finance Review International
      PubDate: 2018-05-18T09:26:27Z
      DOI: 10.1108/CFRI-01-2018-0010
       
  • Investment-internal capital sensitivity, investment-cash flow sensitivity
           and dividend payment
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose On the basis of principal-agent and financing constraints theories, the purpose of this paper is to construct a unified research framework via mathematical models and to provide a logical and consistent explanation of the contradictory discovery of the relationship between dividend payment and I-CFO in the previous literature. Design/methodology/approach Establishing the economic mathematical models, this paper uses the comparative static analysis to figure out the equilibrium results, to further testify the conclusions, the authors initiate the empirical tests to make the discussion more realistic. Findings The authors observe that overinvestment caused by agency problems is the primary reason for I-C sensitivity when the investment expenditure is less than the internal capital; dividend payout suppresses the overinvestment caused by the agency problem, thus alleviating the investment’s dependence on the internal capital. However, underinvestment caused by the financing constraints is the primary cause of I-C sensitivity when the investment expenditure is greater than the internal capital. The payment of cash dividends increases the investment shortage caused by the financing constraints, thus increasing the sensitivity. Further, the authors explore the impact of dividend payments on I-CFO sensitivity. They argue that dividend payment is not an appropriate measure of financing constraints. Both I-CFO sensitivity and I-C sensitivity are functions of agency cost and information cost. Research limitations/implications This study provides a logical and consistent explanation of the contradictory discovery of the relationship between dividend payment and I-CFO in the previous literature and provides a clear framework and reference for future studies on the impact of financial constraints, agency cost on the investment’s dependence on the internal capital. Practical implications The theoretical model of this paper supports this differentiated mandatory dividend policy and provides reference and evidence for China's financing policies and dividend distribution policies. Originality/value This study theoretically and empirically analyzes and verifies the roles of agency cost and financial constraints on the determinants of I-C sensitivity for the first time. First, different from earlier literature, this paper puts forward I-C sensitivity as a new measure of investment’s dependence on internal capital, making the measurement more accurate. In the case of a firm with positive liquidity reserves, using the I-CFO sensitivity as a measure of external financing constraints could overestimate the firm’s financial constraints. Second, by constructing an economic static analysis framework, this study analyzes how I-C and I-CFO sensitivities change with the agency cost, the financing constraints and the dividend payment ratio. The research provides a basic framework and explanation on the contradictions of the earlier literature. The results are supposed to serve as a foundation for estimations of investment’s dependence on internal capital and should be embedded in general empirical tests in future research.
      Citation: China Finance Review International
      PubDate: 2018-05-10T01:19:49Z
      DOI: 10.1108/CFRI-06-2017-0103
       
  • The transnational comparative study on the potential risks and efficiency
           of commercial banks based on the weight-limited DEA model
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to calculate the bank efficiency of removing potential risks that are hidden from the extreme portfolio of bank’s assets and further compare the differences and causes of bank’s efficiency and potential risk level between China’s representative banks and OECD representative banks in 2011-2015. Design/methodology/approach Based on the weight-limited DEA model, this paper calculates the bank’s efficiency and further compares the differences between China’s representative banks and OECD representative banks by using commercial banks’ transnational data. Findings By analyzing US representative banks’ data, the authors find that the excessive expansion of the scale of banks’ investment for the non-real economy shrinks after the bubble burst and would not improve the efficiency of banks immediately. The OECD representative banks rather prefer to extreme asset portfolio so that the potential risks gradually increase, while there is a diminishing effect on investments in non-real economies to improve bank efficiency. On the other hand, China’s representative banks have the signs of reducing investment in the real estate market, but the existence of the bubble in the market led to a lagged effect on the impact of adjustment of bank asset portfolio on efficiency. Research limitations/implications This paper has practical significance for commercial banks to improve efficiency and reduce credit risks. This is conducive to the implementation of targeted supervision by the banking supervision department. Practical implications Based on the lesson that the financial crisis created by the real estate bubble burst in the USA in 2008 and the financial market active guidance of the developed economies, faced with the reality of Chinese real estate market bubble rising and the continuous improvement of Chinese financial market, this paper compares the differences between representative banks in China and OECD, and explores the causes by using the cross-country data of commercial banks. Originality/value By adjusting the weight of the input variables in the efficiency measurement, quantifying the risk is often overlooked by the changes in bank efficiency. This potential risk is caused by the bank’s investment preferences in the non-real economy represented by real estate and tradable financial assets.
      Citation: China Finance Review International
      PubDate: 2018-05-01T12:28:26Z
      DOI: 10.1108/CFRI-06-2017-0126
       
  • Pay gap, inventor promotion and corporate technology innovation
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to investigate how the pay gap between the management and ordinary employees influence corporate technology innovation. Design/methodology/approach This study built a tournament model based on inventor innovation and career promotion. In addition, the authors use IV-GMM estimation method to address the possible endogeneity issue in the regressions. Findings Based on the unbalanced panel data of patents and pay gap in 1,501 Chinese listed manufacturing firms during 2001-2015, this paper finds that the pay gap could lead inventor innovation and improve technology innovation. The pay gap could encourage corporate innovation significantly: 1 percent increase in pay gap may increase the number of patents by 2 percent in the next year. The pay gap between the management and ordinary employees facilitates corporate innovation via two possible channels. First, inventor innovation and career promotion. Inventors are selected into the management mainly based on their innovation output. The larger the pay gap, the more innovation incentives and patents would gain. Second, investment increase in technology innovation. The pay gap and more patents that inventors gain would increase the ratio of inventors promoted to the management, who tend to pour more resources into R&D activities and absorb more inventors to the management due to their sectionalism and R&D preference. The above two channels constitute a positive feedback mechanism among technology innovation, inventor promotion and increase in R&D investment. Research limitations/implications This paper highlights that pay gap between the management and ordinary employees is an important issue that could encourage corporate innovation. The conclusions imply that pay gap could encourage inventors to work hard and produce more patents, which could help them to enter into the management such as executives or directors. Originality/value This study contributes to the current literature by implying that pay gap could have positive effects on innovation through theoretical and empirical analysis. Also, this study finds that inventor promotion due to the pay gap is a critical channel to stimulate corporate technology innovation.
      Citation: China Finance Review International
      PubDate: 2018-04-23T12:39:08Z
      DOI: 10.1108/CFRI-06-2017-0073
       
  • Comparing the financial reporting quality of Chinese and US public firms
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to investigate whether US regulatory actions around reverse mergers (RM) have exerted any spillover effects on the Chinese firms listed in China and whether Chinese firms have exhibited lower financial reporting quality than their US counterparts. Design/methodology/approach To test the possible spillover effect, this paper calculates three-day cumulative average abnormal returns (CAAR) and the aggregate CAAR for a series of US regulatory actions in 2010 and 2011. The study then compares the accrual quality, conditional conservatism, and information content of accruals of Chinese firms and US firms. Findings The paper documents a spillover effect of US actions around RM on Chinese stocks listed in China. Overall results do not support the perception that Chinese firms have lower financial reporting quality than their US counterparts. Research limitations/implications While this study provides evidence consistent with investors perceiving poor financial reporting quality among Chinese firms, that perception is not justified by empirical evidence. Practical implications Investors need not be overly concerned about the financial reporting quality among the Chinese firms when they make asset allocation decisions. Social implications A reality check is important given that perceptions may be outdated, biased, misleading, and costly. Originality/value This study puts the financial reporting quality of Chinese firms into perspective helping global investors assess information risk for optimal resource allocation.
      Citation: China Finance Review International
      PubDate: 2018-04-11T02:06:22Z
      DOI: 10.1108/CFRI-02-2017-0010
       
  • Dynamic asset allocation with asymmetric jump distribution
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to solve the optimal dynamic portfolio problem under the double-exponential jump diffusion (DEJD) distribution, which can allow the asset returns to jump asymmetrically. Design/methodology/approach The authors solve the problem by solving the HJB equation. Meanwhile, in the presence of jump component in the asset returns, the investor may suffer a large loss due to high leveraged position, so the authors impose the short-sale and borrowing constraints when solving the optimization problem. Findings The authors provide sufficient conditions such that the optimal solution exists and show theoretically that the optimal risky asset weight is an increasing function of jump-up probability and average jump-up size and a decreasing function of average jump-down size. Research limitations/implications In this study, the authors assume that the jump-up and jump-down intensities are constant. In the future, the authors will relax the assumption and allows the jump intensities to be time varying. Practical implications Empirical studies based on Chinese Shanghai stock index data show that the jump distribution of Shanghai index returns is asymmetric, and the DEJD model can fit the data better than the log-normal jump-diffusion model. The numerical results are consistent with the theoretical prediction, and the authors find that the less risk-averse investor will suffer more economic cost if ignoring asymmetric jump distribution. Originality/value This study first examines how asymmetric jumps affect the investor’s portfolio allocation.
      Citation: China Finance Review International
      PubDate: 2018-03-28T07:28:44Z
      DOI: 10.1108/CFRI-08-2017-0180
       
  • A generalized VECM/VAR-DCC/ADCC framework and its application in the
           Black-Litterman model
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The existing literature on the Black-Litterman (BL) model does not offer adequate guidance on how to generate investors’ views in an objective manner. Therefore, the purpose of this paper is to establish a generalized multivariate Vector Error Correction Model (VECM)/Vector Auto-Regressive (VAR)-Dynamic Conditional Correlation (DCC)/Asymmetric DCC (ADCC) framework, and applies it to generate objective views to improve the practicality of the BL model. Design/methodology/approach This paper establishes a generalized VECM/VAR-DCC/ADCC framework that can be utilized to model multivariate financial time series in general, and produce objective views as inputs to the BL model in particular. To test the VECM/VAR-DCC/ADCC preconditioned BL model’s practical utility, it is applied to a six-asset China portfolio (including one risk-free asset). Findings With dynamically optimized view confidence parameters, the VECM/VAR-DCC/ADCC preconditioned BL model offers clear advantage over the standard mean-variance method, and provides an automated portfolio optimization alternative to the classic BL approach. Originality/value The VECM/VAR-DCC/ADCC framework and its application in the BL model proposed by this paper provide an alternative approach to the classic BL method. Since all the view parameters, including estimated mean return vectors, conditional covariance matrices and pick matrices, are generated in the VECM/VAR and DCC/ADCC preconditioning stage, the model improves the objectiveness of the inputs to the BL stage. In conclusion, the proposed model offers a practical choice for automated portfolio balancing and optimization in a China context.
      Citation: China Finance Review International
      PubDate: 2018-03-28T07:17:23Z
      DOI: 10.1108/CFRI-07-2016-0095
       
  • The pricing of loan insurance based on the Gram-Charlier option model
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to develop a loan insurance pricing model allowing for the skewness and kurtosis existing in underlying asset returns. Design/methodology/approach Using the theory of Gram-Charlier option, the authors first derive a closed-form solution of the Gram-Charlier pricing model. To address the difficulties in implementing the pricing model, the authors subsequently propose an iterative method to estimate skewness and kurtosis in practical application, which shows a relatively fast convergence rate in the empirical test. Findings Not only the theoretical analysis but also the empirical evidence shows that the effects of skewness and kurtosis on loan insurance premium tend to be negative and positive, respectively. Furthermore, the actual values of skewness and kurtosis are usually negative and positive, respectively, which leads to the empirical result that the pricing model ignoring skewness and kurtosis substantially underestimates loan insurance premium. Originality/value This paper proposes a loan insurance pricing model considering the skewness and kurtosis of asset returns, in which the authors use the theory of Gram-Charlier option. More importantly, the authors further propose a novel iterative method to estimate skewness and kurtosis in practical application. The empirical evidence suggests that the Gram-Charlier pricing model captures the information content of skewness and kurtosis.
      Citation: China Finance Review International
      PubDate: 2018-03-20T03:15:38Z
      DOI: 10.1108/CFRI-10-2017-0210
       
  • Minority shareholder participation and earnings management
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to test a catering theory by examining impacts of minority shareholders’ pressures on earnings management (EM), and attempt to answer: what is the role of minority shareholders participation (MSP) in corporate governance' and does MSP serve as an external monitor to managers, or does it put excessive pressure on them' Design/methodology/approach Using a novel online voting data set in China’s stock market, the author constructs the measure of MSP, and regress the EM on MSP. To address the endogeneity, the author introduces propensity score matching and difference-in-difference methods, instrumental variables, and Heckman estimation to show that the results are robust to different specifications and alternative measures. Findings The author documents that: MSP plays limited role in external monitoring; and firms facing high MSP levels tend to manage earnings more actively. In addition, information asymmetry, proposals’ importance, managerial incentives, and CEO financial expertise significantly affect firms’ catering behaviors. Originality/value This paper contributes to different strands of the literature. First, the finding significantly supports the catering hypothesis from a new perspective of EM. Second, the author contributes to a hotly debated issue in corporate governance: whether minority shareholders should be granted increased participation in corporate decisions' The results also provide timely empirical evidence for government regulators who are concerned about the costs and benefits of granting minority shareholders direct control over corporate decisions.
      Citation: China Finance Review International
      PubDate: 2018-03-19T03:22:14Z
      DOI: 10.1108/CFRI-01-2018-0007
       
  • Empirical analysis of the effect of financial restraint policy on Chinese
           residents’ consumption
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to test whether the policies of China’s financial restraint have an inhibitory effect on the consumption of residents. Design/methodology/approach This study used the principal component analysis for constructing a financial restraint index and also used empirical methodology. Findings The authors found that financial restraint policies create rent opportunities for banking sector and production sector, which further creates the rent opportunities for the household sector. Such transfer of rent and redistribution will have an inhibitory effect on residents’ consumption. The financial restraint policies directly and indirectly inhibit the growth of residents’ income; and in theory, the purpose of financial restraint policy is to promote economic growth, thus promoting residents’ consumption. Thus, the financial restraint policies impacting the residents’ consumption are non-linear and test the threshold effect of financial restraints on the residents’ consumption of China. Research limitations/implications This paper’s theoretical contribution includes: increasing the connotation of financial restraint in the policies of stock market and foreign exchange controls, and further developing the financial restraint theory; and exploring the inhibitory effect on the consumption of residents from the perspective of financial restraints to enrich the connotation of the consumption theory. Originality/value The findings in this study can help the financial authorities to gradually relax the financial restraint policies to encourage residents’ consumption.
      Citation: China Finance Review International
      PubDate: 2018-01-22T11:29:56Z
      DOI: 10.1108/CFRI-06-2017-0123
       
  • The informativeness of short sellers: an insider’s perspective
    • Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to empirically examine whether corporate insiders extract information from activity of outsiders, specifically the short sellers. Design/methodology/approach Using portfolio approach and Fama-MacBeth regressions, this study examines the relation between short interest and subsequent insider trading activities. Findings The following results are reported. First, there is a strong inverse relation between short selling and subsequent insider trading, which is partially due to common private information and same target firm characteristics. Second, insiders extract information from shorts. This information extraction effect is more pronounced for firms whose insiders have stronger incentives to extract shorts information (insider purchases, higher short sale constraints, and better information environments). Third, during the September 2008 shorting ban, the information extraction affect disappeared among the large banned firms, whose shorting activities were distorted. Research limitations/implications The findings contradict the of-cited accusations corporate executives hold against short sellers. Instead, corporate insiders appear to trade in the same direction as suggested by shorting activities. Practical implications Among the vocal critics of short sellers are corporate insiders, who allege that short sellers beat down their stock prices. Many corporations even engage in stock repurchases to show confidence that the stock will perform well going forward despite the short sellers’ actions. This paper’s analysis on their personal portfolios suggests the other way around. Originality/value By focusing on how corporate insider trading is related to shorts information, this paper sheds new light on whether corporate decisions convey the true information the corporate insiders possess.
      Citation: China Finance Review International
      PubDate: 2018-01-10T09:28:58Z
      DOI: 10.1108/CFRI-08-2017-0193
       
  • The mechanism and effectiveness of credit scoring of P2P lending platform
    • First page: 256
      Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to investigate the mechanism how the platform obtains and uses undisclosed information to determine individual borrowers’ credit score and to examine the effectiveness of credit scoring in predicting default. The motivation stems from the fact that there is little evidence about the role of P2P platform, which has been positioned as a kind of information intermediary. Design/methodology/approach Using a sample of 5,176 unsecured P2P loans having expired before December 31, 2015 on Renrendai.com and an approach of two-stage regression, the paper first estimates the undisclosed information embedded in credit score by regressing credit score on four types of public information about a borrower’s creditworthiness. Then, the authors use a Logit regression to examine the role of the excess information in predicting the default probability. Findings The certification information provided by the platform is the most important determinant for a borrower’s credit score and the undisclosed information embedded in credit score can predict the loan performance better than the public information of posted listings. Moreover, the predictive ability of the undisclosed information is better for high-risk borrowers than for low-risk ones. Research limitations/implications Providing a credit score for each individual is a way for P2P platforms to play an information intermediary role. More evidence about whether or how a platform plays its role are worthy to be exploited by investigating a platform’s operating policies in detail and doing cross-platform comparative studies. Practical implications The results about the effect of various types of information on loan performance can provide an insightful guidance for P2P platforms to optimize their mechanism on information disclosure and credit scoring. Originality/value The existing literature mainly focuses on the effects of information voluntarily disclosed by borrowers and the behaviors of investors on P2P lending outcomes. The paper highlights the information intermediary role played by the platform and presents empirical evidence that credit scoring for individual borrowers is a way for P2P platforms to promote the direct lending for individual.
      Citation: China Finance Review International
      PubDate: 2018-05-10T01:43:32Z
      DOI: 10.1108/CFRI-06-2017-0156
       
  • Analyzing and forecasting the Chinese term structure of interest rates
           using functional principal component analysis
    • First page: 275
      Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to analyze and forecast the Chinese term structure of interest rates using functional principal component analysis (FPCA). Design/methodology/approach The authors propose an FPCA-K model using FPCA. The forecasting of the yield curve is based on modeling functional principal component (FPC) scores as standard scalar time series models. The authors evaluate the out-of-sample forecast performance using the root mean square and mean absolute errors. Findings Monthly yield data from January 2002 to December 2016 are used in this paper. The authors find that in the full sample, the first two FPCs account for 98.68 percent of the total variation in the yield curve. The authors then construct an FPCA-K model using the leading principal components. The authors find that the FPCA-K model compares favorably with the functional signal plus noise model, the dynamic Nelson-Siegel models and the random walk model in the out-of-sample forecasting. Practical implications The authors propose a functional approach to analyzing and forecasting the yield curve, which effectively utilizes the smoothness assumption and conveniently addresses the missing-data issue. Originality/value To the best knowledge, the authors are the first to use FPCA in the modeling and forecasting of yield curves.
      Citation: China Finance Review International
      PubDate: 2018-04-23T12:33:28Z
      DOI: 10.1108/CFRI-06-2017-0065
       
  • Forecast of stock price fluctuation based on the perspective of volume
           information in stock and exchange market
    • First page: 297
      Abstract: China Finance Review International, Ahead of Print.
      Purpose In the process of discussing the relationship between volume and price in the stock market, the purpose of this paper is to consider how to take the flow of foreign capital into consideration, to determine whether the inclusion of volume information really contributes to the prediction of the volatility of the stock price. Design/methodology/approach By comparing the relative advantages and disadvantages of the two main non-parametric methods mainstream, and taking the characteristics of the time series of the volume into consideration, the stochastic volatility with Volume (SV-VOL) model based on the APF-LW simulation method is used in the end, to explore and implement a more efficient estimation algorithm. And the volume is incorporated into the model for submersible quantization, by which the problem of insufficient use of volume information in previous research has been solved, which means that the development of the SV model is realized. Findings Through the Sequential Monte Carlo (SMC) algorithm, the effective estimation of the SV-VOL model is realized by programming. It is found that the stock market volume information is helpful to the prediction of the volatility of the stock price. The exchange market volume information affects the stock returns and the price-volume relationship, which is achieved indirectly through the net capital into stock market. The current exchange devaluation and fluctuation are not conducive to the restoration and recovery of the stock market. Research limitations/implications It is still in the exploratory stage that whether the inclusion of volume information really contributes to the prediction of the volatility of the stock price, and how to incorporate the exchange market volume information. This paper tries to determine the information weight of the exchange market volume according to the direct and indirect channels from the perspective of causality. The relevant practices and conclusions need to be tested and perfected. Practical implications Previous studies have neglected the influence of the information contained in the exchange market volume on the volatility of stock prices. To a certain extent, this research makes a useful supplement to the existing research, especially in the aspects of research problems, research paradigms, research methods and research conclusion. Originality/value SV model with volume information can not only effectively solve the inefficiency of information use problem contained in volume in traditional practice, but also further improve the estimation accuracy of the model by introducing the exchange market volume information into the model through weighted processing, which is a useful supplement to the existing literature. The SMC algorithm realized by programming is helpful to the further advancement and development of non-parametric algorithms. And this paper has made a useful attempt to determine the weight of the exchange market volume information, and some useful conclusions are drawn.
      Citation: China Finance Review International
      PubDate: 2018-05-10T11:12:13Z
      DOI: 10.1108/CFRI-08-2017-0184
       
  • Empirical differences between the overnight and day trading hour returns
    • First page: 315
      Abstract: China Finance Review International, Ahead of Print.
      Purpose The purpose of this paper is to provide a stable model which covers market information of return to examine the empirical differences between the returns during night and day in Chinese commodity futures market. Design/methodology/approach Commodity indices are constructed using principal components analysis to represent the market returns for day and night trading in the Chinese commodity futures market. Then VAR models are employed to predict the commodity indices’ returns and squared returns. Findings The symmetric VAR model failed to model the market returns since the asymmetric effects of positive and negative returns are not taken into account. By allowing asymmetric behavior among positive and negative variables, asymmetric VAR model is utilized to trace the leading effect of overnight returns to daytime trading returns. However, the symmetric VAR model outperforms the asymmetric model when evaluating the predictive power of squared returns during night trading hours. Two major results based on asymmetric model for the return are: There is a 6-day leading effect of nighttime return to daytime return in Chinese commodity futures market. It is risky to hold day trading position overnight. Research limitations/implications Asymmetric VAR model provides a new approach to forecasting the direction of price movement. Practical implications Investment managers are able to create a stable portfolio contains major market information. Day and night traders are likely to gain some suggestions to discover arbitrage opportunities. Social implications Since there is no commodity futures index in China, the method for creating indices for Chinese commodity futures is provided to market regulators. Originality/value Combining principal component analysis and asymmetric VAR model provides a stable and predictable model to obtain market information.
      Citation: China Finance Review International
      PubDate: 2018-05-10T01:09:53Z
      DOI: 10.1108/CFRI-10-2017-0213
       
 
 
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