Volume 5, Issue 3

The generalized autoregressive conditional heteroskedasticity (GARCH) type models are used to investigate the volatility of Bangladesh stock market. The findings of the study demonstrate that the index volatility characteristics changes over time. The article shows that the data are divided into three sub-periods: pre crisis, crisis, and post crisis. Accordingly, the results of the findings indicate changes in the GARCH-type models parameter, risk premium and persistence of volatility in different periods. A significant “low-yield associated with high-risk” phenomenon is detected in the crisis period and the “leverage effect” occurs in each periods. The investors are irrational which is based on assumption of risk and return characteristics of assets. Consequently, the market is not as mature as developed market. It is found in the article that the threshold generalized autoregressive conditional heteroskedasticity (TGARCH) model is more accurate for the model accuracy. Additionally, statistic error measurements indicate that GARCH model is more efficient than others and it has also more forecasting ability.

In this paper, we investigate the disparities of China’s insurance market from the viewpoint of geography and enterprise by using the monthly data from January 2006 to December 2015. We divide the whole insurance market into two parts, namely property insurance and personal insurance. By constructing and analyzing minimum spanning trees of insurance market, we obtain the results as follows: (i) The connections between provinces are much closer than those of firms, and there are regional links between neighboring provinces in the minimum spanning tree (MST); and (ii) the domestic funded firms and foreign funded firms form two explicit clusters in the MSTs of property and personal insurance market.

This paper studies a dynamic mean-variance portfolio selection problem with random liability in the affine interest rate environment, where the financial market consists of three assets: one risk-free asset, one risky asset and one zero-coupon bond. Assume that short rate is driven by affine interest rate model and liability process is described by the drifted Brownian motion, in addition, stock price dynamics is affected by interest rate dynamics. The investors expect to look for an optimal strategy to minimize the variance of the terminal surplus for a given expected terminal surplus. The efficient strategy and the efficient frontier are explicitly obtained by applying dynamic programming principle and Lagrange duality theorem. A numerical example is given to illustrate our results and some economic implications are analyzed.

With the incorporation of spatial statistic method, this paper constructs a state-space model of housing market bubbles, discussing the spatial pattern of housing market bubbles in China, and identifying the dynamic evolution process. The results show that: The bubbles of housing market walked along a path from low level to high level and then downsized to a low level during the period of 2009 and 2014, and the highest level stayed at 2011. From overall, the level of housing market bubbles had shown significant spatial autocorrelation and spatial agglomeration. In detail, the direction of North-South in China showed the inverted U shape, i.e., Central region was with high bubbles, and two ends contained low bubbles; from East-West direction, the East had high bubbles and the West contained comparatively low bubbles. Local spatial test indicates that there were some approximate spatial features in housing market bubbles among the adjacent regions. Observed from the level of housing market bubbles, China contained 3 plates: The first was the plate with low bubble level, including 3 provinces in North-East China (provinces of Jilin, Heilongjiang and Liaoning were included, but Dalian in Liaoning province was excluded; the second was the Central and West plate (the provinces of Yunnan, Guizhou, Sichuan, Guangdong, Guangxi, Hunan, Hubei, Gansu, Fujian, Jiangxi and Hainan were included in this plate), which was also featured with low bubble; and the third was Central East plate (provinces or provincial regions of Beijing, Tianjin, Hebei, Jiangsu, Zhejiang, Shanghai, Shandong, Anhui, Shanxi, Shaanxi and Inner Mongolia were included), which was characterized as high bubble region.

Due to the long operation cycle of maritime transportation and frequent fluctuations of the bunker fuel price, the refueling expenditure of a chartered ship at different time or ports of call make significant difference. From the perspective of shipping company, an optimal set of refueling schemes for a ship fleet operating on different voyage charter routes is an important decision. To address this issue, this paper presents an approach to optimize the refueling scheme and the ship deployment simultaneously with considering the trend of fuel price fluctuations. Firstly, an ARMA model is applied to forecast a time serials of the fuel prices. Then a mixed-integer nonlinear programming model is proposed to maximize total operating profit of the shipping company. Finally, a case study on a charter company with three bulk carriers and three voyage charter routes is conducted. The results show that the optimal solution saves the cost of 437,900 USD compared with the traditional refueling scheme, and verify the rationality and validity of the model.

This paper considers the two-part tariff licensing by an innovating firm to its potential competitor in a differentiated mixed duopoly, in which one firm sets a quantity and the other firm charges a price. Based on the development cost incurred by the rival, we derive the optimal behavior of the firms under full information case and partial information case respectively. Information difference on the equilibrium strategies is also investigated.