To capture the "leptokurtosis and fat-tail", the long memory, and other fractal features of financial asset prices, in this paper, we use the time-varying sub-mixed fractional Brownian motion with GARCH structure to describe the dynamic change of risk asset price, besides, the martingale pricing theory is used to obtain the closed form of option price, which extends the traditional BS and fractional Brownian motion model. The US S&P500 Index Option, Korea KOSPI200 Index Option, China SSE 50 ETF Option, China Hong Kong Hang Seng Index Option, China Taiwan Index Option, and India NIFTY Index Option are used to conduct the empirical studies. Our finding shows that the time-varying sub-mixed fractional Brownian motion with GARCH structure has higher pricing accuracy than to BS and sub-mixed fractional Brownian motion model, which has particularly prominent pricing performance in the emerging markets. This research results have important theoretical and practical implication in several aspects, including the reasonable pricing of option, risk management and investment decision-making, and it also contributes to the development of multi-level capital market.
In this paper, the panel data model is used to analyze the effect of mergers and acquisitions (M&A) on the provinces' economy in China. The empirical results from panel data model show that the coefficient of M&A on each province's economy is significantly positive, indicating that enterprise acquisitions have positive and promoting effect on the economic development of each province in China. Furthermore, Moran's I spatial correlation test and the spatial panel data model show that there is an obvious spatial autocorrelation in the M&A behavior and economic development of Chinese provinces and cities. While promoting the economic development of the provinces and cities where the M&A are located, under the state of economic agglomeration, the M&A of the economically better developed provinces and cities has an obvious positive effect on the economic development of the neighboring provinces and cities through the spatial spillover effect.
Conference call is an important part for the voluntary information disclosure in the listed companies. From the perspective of information asymmetry, this paper studies the impact of the conference call on stock price synchronization of the Chinese listed companies. The results of the study show that the conference call can alleviate the synchronization of stock prices even controlling the endogeneity problem. We find that the longer the Q&A session, the more stronger effect of the conference call on the stock price synchronization. From the perspective of the company's characteristic, we also find that the conference call shows a more significant impact on stock price synchronization in companies with higher information disclosure quality, lower accounting robustness, higher R&D investment, lower institutional investor holding. In addition, we study the influence mechanism of the conference call on stock price synchronization from two perspectives including the executive language characteristics and conference topics. This study provides systematic evidence for the information disclosure effect of the conference call in Chinese capital market.
Investor sentiment affects investors' value judgment, risk preference, and decision-making process. Based on the perspective of marginal cost-benefit analysis, we investigate whether and how investor sentiment, as a type of behavior bias, affects corporate tax avoidance. The results indicate that increases in investor sentiment are associated with increases in corporate tax aggressiveness. In addition, the association is more pronounced for firms which have more retail investors, which are private enterprises, and which are located in areas with weaker tax enforcement. Further evidence shows that increased tax avoidance induced by increases in investor sentiment significantly enhances firms' short-term stock return, but impairs firms' long-term value. Our focus on the impact of investor sentiment on corporate tax aggressiveness enriches the research on the determinants of corporate tax avoidance and deepens the understanding of the cost-benefit trade-off of tax aggressiveness. This paper also has practical implications for regulatory authorities and investor protection.
This paper investigates the coordination problem between an online platform and a retailer in the omnichannel retailing with the introduction of buy-online and pick-up-in-store (BOPS). We consider customers' cross-buying behaviors that online customers will buy extra products when picking up products in store. In the traditional revenue sharing contract (referred to as RS), the revenue is shared between the upstream and downstream members. However, considering customers' cross-buying behaviors in the BOPS retailing, the downstream retailer gains an extra revenue. Thus, we designed another mechanism-The bilateral revenue sharing contract (referred to as BRS) to coordinate the proposed system. With the BRS contract, the e-commerce platform shares its BOPS revenue with the retailer and the retailer shares its cross-selling revenue with the platform. The results show that:The BRS contract degenerates into the RS contract when the one of parameter equal to 0 and it cannot coordinate the BOPS system, while the BRS contract can coordinate the system when the margin revenue of the cross-selling is low. Furthermore, we discuss another contract, the Mixed contract (referred to as MC), based on the RS and TPT. We find that the BRS contract can coordinate the system when the margin revenue of the cross-selling is low, the MC does when the margin is not too high, and when the margin is below the medium level, whether to adopt the BRS contract or the MC contract depends on the bargain power of the e-commerce platform.
COVID-19 epidemic is a major global public health emergency that rarely happened in a century. China has entered the normal stage of epidemic prevention and control after strenuous struggle. Epidemic prevention and control have been promoted synchronously with economic recovery. It is very important that how to realize the effective transmission for epidemic consciousness of prevention and control in the public at this stage of normalization of the epidemic. For this reason, a transmission dynamic model of consciousness of prevention and control in multiplex social networks formed by multiple channels is firstly established. Model analysis and simulation experiments are carried out to draw that it can make the consciousness of prevention and control transmit among public all the time as long as the proportion of owners with consciousness is above a critical value according to the threshold conditions for distinguishing whether the consciousness propagates. It is difficult to quickly raise consciousness of prevention and control for the public that communicating through a single channel. Online and offline multiple information channels are used in a balanced manner in order to maximize the efficiency of transmission. It can promote the transmission of consciousness of prevention and control as much as possible that scientifically and moderately increasing the number of daily communication. Once the number of public communication through multiple channels exceeds a certain limit, it will reduce the efficiency of transmission for consciousness of prevention and control.
With the rapid development of e-commerce, various online platforms launch consumer credit services to attract more customers. This new consumption payment method, in turn, affects the e-commerce supply chain members (including online platforms and suppliers)' selling format selections. Under different selling formats (i.e., reselling model and agency selling model), this paper considers an e-commerce supply chain with one platform and one supplier, and builds the Stackelberg game models in which the platform provides cash payment and credit payment for consumers, respectively. We investigate the impacts of credit payment factor and commission rate on the optimal decisions, expected profits, and selling format selections of the platform and supplier. Our main results suggest that:(i) Under the reselling model, the platform's expected profit under credit payment is always higher than that under the cash payment, while the supplier's expected profit under the credit payment would be lower if the credit payment factor is small; (ii) Under the agency selling model, both the platform and supplier can earn more profits under the credit payment. Moreover, their expected profits and commission rate satisfy the inverted U-shaped relationship under the credit payment; (iii) Under the cash payment scenario, it is beneficial for both the platform and suppliers to adopt the reselling (agency selling) model if the commission rate is intermediate (high). Under the credit payment scenario, however, employing the reselling model always benefits the supplier, and both of them would choose the reselling model if the commission rate is sufficiently low or high.