Showing papers by "National Taipei University of Business published in 2009"
TL;DR: In this paper, the causal relations between stock return and volume based on quantile regressions are investigated, and the causal effects of volume on return are usually heterogeneous across quantiles and those of return on volume are more stable.
Abstract: This paper investigates the causal relations between stock return and volume based on quantile regressions. We first define Granger non-causality in all quantiles and propose testing non-causality by a sup-Wald test. Such a test is consistent against any deviation from non-causality in distribution, as opposed to the existing tests that check only non-causality in certain moment. This test is readily extended to test non-causality in different quantile ranges. In the empirical studies of three major stock market indices, we find that the causal effects of volume on return are usually heterogeneous across quantiles and those of return on volume are more stable. In particular, the quantile causal effects of volume on return exhibit a spectrum of (symmetric) V-shape relations so that the dispersion of return distribution increases with lagged volume. This is an alternative evidence that volume has a positive effect on return volatility. Moreover, the inclusion of the squares of lagged returns in the model may weaken the quantile causal effects of volume on return but does not affect the causality per se.
257 citations
TL;DR: Evaluating the operating performances of business units of this bank to provide the reference for a bank's managers in determining operation strategies indicates that, in overall technical efficiency, the case bank has many inefficient branches distinctly.
Abstract: This article takes 117 branches of a certain bank in Taiwan in 2006 as the research subject and introduces data envelopment analysis (DEA) to evaluate the operating performances of business units of this bank to provide the reference for a bank's managers in determining operation strategies. The result indicates that, in overall technical efficiency, the case bank has many inefficient branches distinctly; the average overall technical efficiency of branches is 54.8% and the average pure technical efficiency of branches is 67%, which is probably because of lower loan-to-deposit ratio, leading to excessive input waste. The average scale efficiency of the case bank during the sample period is 82%. The ratio of resource waste due to technical inefficiency is 45.2%, of which 55.03% is due to pure technical inefficiency.
132 citations
TL;DR: In this paper, the exchange rate effects of the New Taiwan dollar against the Japanese Yen (NTD/JPY) on stock prices in Japan and Taiwan from January 1991 to Mach 2008 were investigated.
107 citations
TL;DR: In this paper, the authors construct a general equilibrium model with tourism and travel activities using consistent social accounting matrix (SAM) data sources and utilize them to construct a computable general equilibrium.
Abstract: The objective of this paper is to construct a computable general equilibrium model with tourism and travel activities using consistent social accounting matrix (SAM) data sources and to utilize thi...
52 citations
TL;DR: The paper finds that the larger the scale, the higher the above three efficiency values and the audit firms with higher business revenues have better operational efficiency.
Abstract: This study uses the data envelopment analysis (DEA) to evaluate the operational efficiency of 173 medium-sized audit firms in 2005. The empirical result indicates that there are 24 audit firms with the overall technical efficiency value of 1. In terms of overall technical efficiency, pure technical efficiency and scale efficiency, the result shows that the average scale efficiency of all samples is higher than the average pure technical efficiency. Besides, 55 firms of 173 audit firms are in the stage of constant returns to scale, 18 firms are in the stage of increasing returns to scale, 100 of them are in the stage of decreasing returns to scale. Thus, most of medium-sized audit firms are in the stage of decreasing returns to scale. In addition, this paper finds that the larger the scale, the higher the above three efficiency values. The audit firms with higher business revenues have better operational efficiency. The overall technical efficiency and sale efficiency of the audit firms with branches are significantly higher than those without branches. The audit firms with larger number of employees and partners, they perform significantly better overall technical efficiency and sale efficiency. Finally, the audit firms with higher total expenditures also have significantly higher operational efficiency.
48 citations
TL;DR: Two spanning trees of a graph G are said to be independent if they are rooted at the same vertex r, and for each vertex v r in G, the two different paths from v to r, one path in each tree, are internally disjoint.
39 citations
TL;DR: Computer results show that the evolutionary Pareto optimizers could generate trade-off solutions potentially ignored by the well-known simultaneous method, and comparisons between the results of backordering and lost sales indicate that decision makers will make more deliberate choices about lot sizing and safety stocking when unsatisfied demand is completely lost.
38 citations
TL;DR: The relationship between bureaucracy and workplace friendship remains largely unknown in the organizational literature on workplace friendship as mentioned in this paper, and competing hypotheses for that relationship were proposed by competing hypotheses that the characteristics of bureaucracy lead to employees negative feelings at work and thus promote their workplace friendship.
Abstract: The relationship between bureaucracy and workplace friendship remains largely unknown in the organizational literature on workplace friendship. Competing hypotheses for that relationship were proposed. On one hand, bureaucracy’s characteristics indicate bureaucratic organizations’ attitude is unfavorable to, and thus detracts from, workplace friendship. On the other hand, those characteristics lead to employees’ negative feelings at work and thus promote their workplace friendship. Data collected via a questionnaire survey of 408 employees in the medical, education, governmental, and banking sectors show that bureaucracy is negatively related to workplace friendship. Our finding provides an organizational perspective, a different angle from the factors of employees’ perspective in the extant literature, from which to view and manage the issue of the decrease of workplace friendship in the organization.
29 citations
TL;DR: A stronger result is obtained by proving that AQ n, n ⩾ 2, is indeed geodesic-pancyclic, i.e., for each pair of vertices u, v ∈ AQ n and for each integer l satisfying max { 2 d ( u , v ) , 3 } ⩽ l ⦽ 2 n, every u - v geodesics lies on a cycle of length l.
28 citations
TL;DR: This preliminary survey suggests that low self-concept and increased climacteric physiological symptoms are closely related to depression among menopausal women.
Abstract: The purpose of this study was to survey the prevalence of women's depression during menopause and investigate the relationships between menopause depression and variables including self-concept, menopause attitudes, life-event stresses, climacteric physiological symptoms, and demographics. Research was conducted using a cross-sectional study and self-administered questionnaires. We randomly selected female participants between the ages of 45 and 55 years from Tainan City in southern Taiwan using the cluster method. Two hundred sixty-six valid questionnaires were analyzed. Results were as follows: (a) The prevalence of depression among participants was 31.2%; (b) depression was positively associated with life-event stresses and climacteric physiological symptoms (r=.23 and .34, respectively) and was negatively associated with attitude toward menopause and self-concept (r=-.31 and -.65, respectively); and (c) by logistic regression analyses, climacteric physiological symptoms and self-concept were associated with menopause depression. This preliminary survey suggests that low self-concept and increased climacteric physiological symptoms are closely related to depression among menopausal women. Larger scale follow-up studies are warranted to investigate factors that predispose women to depression during menopause.
23 citations
TL;DR: In this article, the authors examined whether a firm's sensitivity of investments to cash flow changes when it switches from the NASDAQ to the NYSE over the period 1992-2002, and found that NASDAQ-to-NYSE switchers have significantly lower investment-cash flow sensitivity.
14 Dec 2009
TL;DR: It is proved that indeed all spanning trees constructed by this algorithm are independent, i.e., any two spanning trees have the same root, say r, and for any other node $v
e r, the two different paths from $v$ to $r$, one path in each tree, are internally node-disjoint.
Abstract: Fault-tolerant broadcasting and secure message distribution are important issues for numerous applications in networks. It is a common idea to design multiple spanning trees with a specific property in the underlying graph of a network to serve as a broadcasting scheme or a distribution protocol for receiving high levels of fault-tolerance and of security. A set of spanning trees in a graph is said to be edge-disjoint if they are rooted at the same node without sharing any common edge. A folded hypercube is a strengthened variation of hypercube obtained by adding additional links between nodes that are Hamming distance furthest apart. Ho [C.-T. Ho, Full bandwidth communications on folded hypercubes, in Proc. 1990 International conference on Parallel Processing, vol. 1, 1990, pp. 267-280] presented an algorithm for constructing n+1 edge-disjoint spanning trees in an n-dimensional folded hypercube. In this paper, we prove that indeed all spanning trees constructed by this algorithm are independent, i.e., any two spanning trees have the same root, say r, and for any other node $v
e r$, the two different paths from $v$ to $r$, one path in each tree, are internally node-disjoint.
TL;DR: This paper presents an efficient algorithm which constructs an FVS for a rotator graph in O(n!) time and also obtains the minimum FVS size n!/3, which was proved to be minimum.
TL;DR: In this paper, the authors incorporated the concept of customer value into an investigation of the anticounterfeiting strategies and found that both hedonic and utilitarian values positively influence customer loyalty toward luxury brands.
Abstract: Product counterfeiting, a serious problem throughout the world, is particularly challenging for luxury brands, which often have simple designs and a value that depends largely on buyers' perceptions. This study incorporates the concept of customer value into an investigation of the anticounterfeiting strategies. Both hedonic and utilitarian values positively influence customer loyalty toward luxury brands. As a means to strengthen customer values, legal and product strategies positively influence customers' hedonic value, whereas communication and product strategies positively influence their utilitarian value. The managerial implications of these findings and directions for further research are discussed.
TL;DR: This note derives the exact diameter of G"n for n>=3 from the graph with P(S) as its vertex set and two vertices P,[email protected]?
07 Nov 2009
TL;DR: In this article, Wang et al. used symmetrical and asymmetrical GARCH models, with the Taiwan Electronic Sector Index Options (TEO) call as research target to estimate the volatility of each options target, and compared the results obtained from each model.
Abstract: The traditional BS evaluation model for options assumes volatility as a constant, and is unable to explain phenomena such as leptokurtic distribution and volatility clusters. In order to supplement this shortcoming, scholars have begun to use linear and non-linear GARCH models to estimate volatility. However, a consistent result has not been achieved with empirical analysis of various different volatility model estimations. Therefore, this study seeks to use symmetrical and asymmetrical GARCH models, with the Taiwan Electronic Sector Index Options (TEO) call as research target to estimate the volatility of each options target, and compare the results obtained from each model. Empirical results show that on average, TBGARCH has the smallest volatility, with most even volatility trends. Then, seven different types of volatility are used as the input variables for the support vector machines (SVM) and back-propagating artificial neural network (BPN), to establish the options prices predictive model. Prediction results show that overall, estimation models such as EGARCH, GJR-GARCH, and TBGARCH have better predictive performance; the performance of the artificial intelligence tools SVM and BPN are clearly better than the traditional BS model, and SVM has better predictive results than BPN.
TL;DR: The upper bound on queuenumber of a wider class of graphs called k-ary n-cubes, which contains hypercubes and ternary n -cubes as subclasses is dealt with, which improves the previous bound in the case of ternaries n- cubes.
Journal Article•
TL;DR: The web page layout of e-commerce is obtained in which there are 7 principles of uniformity for general entities and 5 for specific entities, and it is discovered that the entities possess the characteristics of position-oriented.
Abstract: The web page interface is often one of the key factors that determine the browsers to stay or to leave. Limited visual space should be utilized to design the optimal layout in order to offer the important message of web page, increase the surfing, and, furthermore, fully stimulate the click-through rate. Based on content analysis method, this study takes 326 female shopping sites as examples to categorize 45 main entities from most websites and further obtains the web page layout of e-commerce in which there are 7 principles of uniformity for general entities and 5 for specific entities. According to these findings, another usability tests been conducted that are user friendly, usefulness, ease of use regarding other random searched shopping sites for verification. We did discover that the entities possess the characteristics of position-oriented. Our results offer guidelines for planning e-commerce web pages.
TL;DR: A set of score vectors of tournaments for which the corresponding interchange graphs are hypercubes is found, and these graphs are found to be Δ-interchange graphs.
Abstract: A Δ-interchange is a transformation which reverses the orientations of the arcs in a 3-cycle of a digraph. Let $${\fancyscript T}(S)$$be the collection of tournaments that realize a given score vector S. An interchange graph of S, denoted by G(S), is an undirected graph whose vertices are the tournaments in $${\fancyscript T}(S)$$and an edge joining tournaments $$T,T' \in {\fancyscript T}(S)$$provided T′ can be obtained from T by a Δ-interchange. In this paper, we find a set of score vectors of tournaments for which the corresponding interchange graphs are hypercubes.
01 Jan 2009
TL;DR: For general Petri nets such as S3PGR2, the mixed integer programming (MIP) test by Chu et al. is no longer valid and a revised MIP test is proposed to fix the problem.
Abstract: For general Petri nets such as S3PGR2 (systems of simple sequential processes with general resources requirement), the mixed integer programming (MIP) test by Chu et al. is no longer valid. Park et al. modified MIP test and claimed that it can determine the net is live if there are no feasible solutions. However, the net can have livelocks even though it is deadlockfree. The set of places with dead input transitions may not form a siphon and cannot be detected by the above modified MIP test which detects siphons and not their subsets. We show one counter example to confirm this and propose a revised MIP test to fix the problem.
TL;DR: The result deriving from the proposed optimal procedure indicates it offers a superior solution to the multi-response problems, compared with Taguchi method and Su's method.
Abstract: Taguchi method is a traditional approach for robust experimental design that seeks to obtain a best combination set of factors/levels with lowest societal cost solution to achieve customers' requirements. So far, the Taguchi method can only be used for a single response problem; it cannot be used to optimize a multi-response problem. In this paper, an optimal procedure based on data envelopment analysis (DEA) for multi-response robust design is proposed. With the proposed procedure, a set of multiple responses for each combination of factors/levels (CFL) (the each CFL is named decision-making unit (DMU)) is firstly transformed into a relative efficiency value by DEA technique to obtain its relative performance. Then according to the relative performance, the multi-choice from the relative efficiency value 100% can assist engineers' favorite choice, which is also the best, and then the optimal factor/level combination will be determined. Two case studies in Su [1] are resolved by the proposed optimal proce...
12 Aug 2009
TL;DR: Four types of restricted rotations for tree transformation proposed by Wu et al are used and their algorithm to transform weight sequences between any two binary trees is developed and an upper bound of n - 1 is obtained.
Abstract: In this paper, we use four types of restricted rotations for tree transformation proposed by Wu et al [13] and develop their algorithm to transform weight sequences between any two binary trees. Converting a source tree to a destination tree, it is not necessary to rotate each pair of corresponding nodes whose weights are the same. From the proposed algorithm, we can also obtain an upper bound of n - 1 between any two binary trees.
01 Jan 2009
TL;DR: In this article, the controllability results of compound siphons in an S3PMR were reported, where a job place may use more than one resource and when entering the next operation place, it may not release the resource.
Abstract: This papers reports controllability results of compound siphons in an S3PMR - a generalization of S3PR by allowing a job place to use more than one resource and when entering the next operation place, it may not release the resource. We categorize dependent siphons into Types I and II. The former (resp. latter) shares resources between the same (resp. different) set of processes. There are two types of Type I dependent siphons: strong and weak. In an earlier paper, we showed that the dependent condition may be relaxed so that an elementary siphon (actually a compound siphon), while requiring a monitor previously, may be controlled after some elementary siphons get controlled. However, the result may not be optimal so that further linear integer programming (as in Li & Zhou’s approach to reduce the total number of monitors from exponential to linear) is needed to determine whether to adjust control depth variables. We derive the exact (both sufficient and necessary) controllability for a Type I strongly 2-dependent siphon and show that any n-dependent (n>3) needs no monitor. Thus, the total time complexity to verify controllability for all Type I strongly relaxed dependent siphons is reduced from exponential to linear. Furthermore, we derive the time complexity for controllability verification of Type II dependent siphons to be |∏E||∏D| (product of total number of elementary siphons and total number of dependent siphons).
TL;DR: In this paper, the authors examine the criteria for strategy formulation in the consideration of potential acquisition values in a multiple-stage acquisition process and use a case study to construct the valuation of a reasonable acquisition value based on the real options method.
Abstract: This paper aims to examine the criteria for strategy formulation in the consideration of potential acquisition values in a multiple-stage acquisition process. This paper uses a case study to attempt to construct the valuation of a reasonable acquisition value based on the real options method. The implied potential value measured in different stages of horizontal acquisitions is referred to as the basis to decide the best strategies and the choice of exits, and to determine the optimal acquisition price in negotiations. Comparing with the traditional valuation methods, it demonstrates more flexibility in the negotiation mechanism in the multiple-stage acquisition and that can protect the optimal price for both parties.