A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction

The usefulness of the investor sentiment measure in the stock market has received increasing attention in recent years. Various measures of investor sentiment have been proposed over the last two d...

A principal-component approach to measuring investor sentiment

The scale, scope and complexity of the manufacturing operations in a semiconductor fab lead to some unique challenges in ensuring product quality and production efficiency. We describe the use of various analytical techniques, based on data mining, process trace data analysis, stochastic simulation and production optimization, to address these manufacturing issues, motivated by the following two objectives. The first objective is to identify the sub-optimal process conditions or tool settings that potentially affect the process performance and product quality. The second objective is to improve the overall production efficiency through better planning and resource scheduling, in an environment where the product mix and process flow requirements are complex and constantly changing. Copyright © 2010 John Wiley & Sons, Ltd.

Data analytics and stochastic modeling in a semiconductor fab

House prices and exchange rates can potentially amplify the expansionary effect of capital inflows. We first set up a model of collateralized borrowing in domestic and foreign currency with international financial intermediation in which a change in leverage of global intermediaries leads to an international credit supply increase. In this environment, we illustrate how house price increases and exchange rates appreciations contribute to fueling the boom by inflating the value of collateral. We then document empirically, in a Panel VAR model for 50 advanced and emerging countries estimated with quarterly data from 1985 to 2012, that an increase in the leverage of US Broker-Dealers also leads to an increase in cross-border credit flows, a house price and consumption boom, a real exchange rate appreciation and a current account deterioration consistent with the transmission in the model. Finally, we study the sensitivity of the consumption and asset price response to such a shock, and show that country differences are associated with the level of the maximum loan-to-value ratio and the share of foreign currency denominated credit.

International Credit Supply Shocks

The Enders and Siklos asymmetric cointegration test is employed to examine the long-run asymmetric equilibrium relationships between the Chinese Shanghai and Shenzhen stock markets. Three samples are adopted, which are the whole sample (October 1992 to September 2002); the first subsample before B shares were opened up to the Chinese public (October 1992 to February 2001); and the second subsample after B shares were opened up (February 2001 to September 2002). The estimated results are as follows. First, when the conventional Engle–Granger symmetric cointegration test is used, only the A shares in Shanghai and Shenghen stock exchange market are cointegrated when using the whole sample and the first subsample. However, with the Enders–Siklos M-TAR asymmetric cointegration test, Shenzhen A and B shares stock prices have an asymmetric cointegration relationship after B shares were open, suggesting that openness increases the market efficiency. Furthermore, the two A shares in Shanghai and Shenzhen stock exc...

An empirical study of the asymmetric cointegration relationships among the Chinese stock markets

Possible asymmetric behaviour of stock prices during bear and bull markets are studied by using a threshold type non-linear time series model with conditional heteroscedastic variance. Using Hong Kong data it is demonstrated that the return series could have a conditional mean structure which depends on the rise and fall of the market on a previous day. The findings also shed some light on why it could be difficult to reject the efficient market hypothesis. The threshold model with conditional changing variance is also of interest in other financial applications.

Modelling Asymmetry in Stock Returns by a Threshold Autoregressive Conditional Heteroscedastic Model

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Modelling Asymmetry in Stock Returns by a Threshold Autoregressive Conditional Heteroscedastic Model