基于高维波动率网络模型的股票市场风险特征研究

波动率是金融风险管理研究的重要内容之一。本文基于复杂网络理论和数据挖掘技术提出股票市场的高维波动率网络模型。首先运用互信息度量不同股票价格波动之间的相关关系,其次对股票市场不同周期下的波动情况建立度的中心势、平均距离、幂律分布等网络拓扑指标,再次根据这些指标利用Prim算法构建出高维波动率网络模型,最后运用Newman-Girvan算法对股票价格波动率的相关性进行分层研究。高维波动率网络模型突破了传统波动率模型关于变量维数的限制,能够在依赖少量假设的基础上,挖掘出多个金融市场主体间的相互关系,反映金融市场的风险特征及网络拓扑性质。实证结果发现：与常用的Pearson相关系数法相比,在互信息框架下,股价波动的非线性相关关系得到了更好的度量;股票市场的整体波动性与个股波动率相关性变化趋势相反,市场处在高波动时期资产组合分散化效果较好;网络中存在少量度数大的关键节点和中心节点,风险通过这些节点可以迅速传递到整个市场;股票市场的运行具有明显的行业聚集现象;网络分层研究进一步直观的展现了风险在层与层之间的传递规律和与之对应的行业特征。高维波动率网络模型为挖掘股票市场的风险特征与管理金融风险提供了一个新的工具。     

环境信息不对称、机构投资者实地调研与企业环境治理

基于信息不对称理论,本文以2013-2016年深交所重污染行业上市公司为研究样本,分析了机构投资者实地调研对企业环境治理的影响及其作用机制。研究发现,机构投资者实地调研对企业环境治理具有积极的推动作用;在环境信息披露较差以及本地子公司较多的企业中,机构投资者实地调研的环境治理作用更为明显。进一步考察实地调研对企业环境治理的影响路径发现,机构投资者实地调研推动了企业环境治理的资本市场监督和媒体监督。本文的研究验证了信息不对称理论在环境治理中的作用,拓宽了实地调研经济后果的研究领域,对于深入理解并推动我国企业环境治理具有重要的现实意义。     

Measuring the health patterns of the ‘mixed/multiple’ ethnic group in Britain: data quality problems,reporting issues,and implications for policy

The ‘mixed’ group, officially recognised in the 2001 Census, is one of the most rapidly growing ethnic groups in Britain. Although ‘mixed’ categorisation was added to ethnic coding in NHS datasets, our knowledge of health patterns for this population is meagre. Data quality problems remain a key obstacle, including poor reproducibility of the data and constraints on reporting due to sparse data bias. The consequent minimal and indicative evidence base has focused mainly on risky health behaviours, mental health and generic measures of self-rated health, as it has in the U.S.A. and Canada. There is negligible information on the main underlying causes of death, such as neoplasms, heart disease and stroke. Consideration should be given to pooling data across multiple years of health and general purpose surveys to enable reporting for the four ‘mixed’ categories and adjustment for mediating factors and relevant confounders, such as measures of socio-economic status.     

Is the web a promising tool for data collection in developing countries? An analysis of the sample bias of 10 web and face-to-face surveys from Africa,Asia, and South America

Whereas the sample composition biases of web surveys have been discussed extensively for developed countries, studies for developing countries are scarce. This article helps to fill that gap by comparing similar non-probability-based web surveys (WEB) and probability-based face-to-face (F2F) surveys both to each other and to the labor force. An analysis of WageIndicator data on work and wages derived from surveys held in 2009–2013 in 10 developing countries (WEB-sample N = 9135; F2F-sample N = 14,659), shows that F2F samples resemble the labor force to a larger extent than web samples do. In both cases, individuals in their 20s and early 30s are overrepresented, and younger and older respondents are underrepresented. This trend is more pronounced in WEB than in F2F samples. However, the differences converge in countries with higher Internet usage. A comparison of the WEB and F2F samples shows that compositions differ greatly, with web respondents being younger, more often male, more often living alone, and higher educated, although these differences are smaller in countries with higher Internet usage. Given the cost differences between the two survey modes, one should nevertheless consider the potential of web surveys as an instrument to gain explorative insights, specifically when searching for individuals with particular characteristics.     

网络使用、网络依赖与网络信息可信度之相关性研究

借助于“媒介可信度理论”与“媒介系统依赖理论”,采用问卷调查方法,我们探讨了网民对于网络信息的可信度评价,及网民对于网络的使用行为与其对网络的心理依赖间的关系。研究发现,网民的网络使用和网络依赖显著相关;网民的网络使用时间、网络使用经验、网络依赖及其人口变量与网络信息的可信度皆显著相关;网民在网络上不同类型的信息之间,其可信度评价存在显著差异。     

中原城市群信息化水平研究

信息化正在逐渐成为推动区域经济和社会全面发展的关键因素。对中原城市群信息化建设的现状进行了分析,认为要使中原城市群成为实现中原崛起的龙头,发挥其对河南省经济发展的拉动和辐射作用,需要相关部门在政策、信息基础设施、人才教育和培养等方面加以扶持,将信息化作为制定地区经济发展战略的一个重要因素。     

Testing Prospect Theory in a Deterministic Multiple Criteria Decision-Making Environment*

Prospect theory by Kahneman and Tversky [7] is tested in a deterministic multiple criteria decision-making context. In two experiments conducted in classroom settings subjects made pairwise preference comparisons of condominiums for sale. The results of the experiments indicate that the traditional value model did not explain the subjects' revealed preferences as well as the prospect model. We conclude that prospect theory is a reasonable model of choice for many individuals in such a context.     

Developing Measures for Assessing the Organizational Impact of Information Technology: A Comment on Mahmood and Soon's Paper

In a recent study, Mahmood and Soon [26] identified and operationalized a set of variables that can be potentially impacted by information technology. The lack of factor analysis to verify the dimensionality of different variables is a notable omission in the study. This paper describes and employs the limited-information factor analysis approach and the minimum average partial criterion for testing the unidimensionality of different variables in the Mahmood and Soon study. While reconfirming the construct validity of eight variables, our results question the unidimensionality of two original variables. Further testimony is provided in favor of our results by citing previous research studies.     

Does IO Economics Really Make the Case for Investments in IT: A Rejoinder

The preceding critique [1] of the paper “The Information Problems in Organizations: A Research Model for the Value of Information and Information Systems” [3], reaches general conclusions with respect to the original paper and the applicability of economics to MIS research. These conclusions are based on arguments developed at a different level of analysis than that used in the original paper, and without considering the goals and intent of the original paper. The differences between the critique and the original paper are highlighted.     

高校图书馆与新时期信息素质教育

信息是当今社会最重要的资源之一,人们对信息的需求正呈现出多层次、多样化的形式。在新的信息环境下,高校图书馆应与时俱进地积极转变观念,拓展教学内容,规范相关要求,在信息素质教育中作出突出的贡献。