Vol 7, No 1 (Published)

Open Access

Article

Article ID: 459

Interest rate model with humped volatility under the real-world measure

by Takashi Yasuoka

Financial Forum, Vol.7, No.1, 2018; 384 Views, 18 PDF Downloads, 0 Untitled Downloads

The purpose of this paper is to develop real-world modeling for interest rate volatility with a humped term structure. We consider humped volatility that can be parametrically characterized such that the Hull–White model is a special case. First, we analytically show estimation of the market price of risk with humped volatility. Then, using U.S. treasury yield data, we examine volatility fitting and estimate the market price of risk using the Heath–Jarrow–Morton model, Hull–White model, and humped volatility model. Comparison of the numerical results shows that the real-world humped volatility model is adequately developed.

Open Access

Article

Article ID: 464

Mechanism of Sustainability and Structure of Stakeholders in Regions

by Hiroshige Tanaka

Financial Forum, Vol.7, No.1, 2018; 349 Views, 17 PDF Downloads

Global market and government failures might be possible to cause great crises for the global communities. To prevent the great crises global communities attempt to construct the sustainable mechanisms with integrated communication and incentives. This paper  discusses that the second best solution of the sustainable mechanism can be achieved by employing the two indexes of the altruistic and risk coefficients. It is also demonstrated that the sustainable mechanism improves social welfare but affects differently performances of corporations. The corporations have the two types of stakeholders referred as positive and negative stakeholders according to the positive or negative information in their external benefits. The combination of the two stakeholders is formed by the feature of the corporation. The sustainability mechanism is proved to encourage activities in the positive stakeholder dominated corporation but to lower productions in the negative stakeholder dominated corporation. Consequently, the sustainability mechanism raises the communities to be connected with many positive stakeholder dominated corporations but shrink the communities formed by influential corporations with dominant negative stakeholders. The new industrial revolution is anticipated to change the structure of the stakeholders. In particular, the sustainability mechanism to cope with the new industrial revolution is expected to grow selectively regions.

Open Access

Article

Article ID: 96

Economic Implications of Marketing Structure of Banana and Plantain Fruits for the Development of Rural Communities in Enugu State, Nigeria

by Obetta Angela Ebere, Obetta K Chukwuemeka, Achike Anthonia Ifeyinwa

Financial Forum, Vol.7, No.1, 2018; 496 Views, 21 PDF Downloads, 0 96-354-1-SM Downloads

There is increase in the level of purchase and consumption of banana and plantain due to their nutritional requirements. This led to increase in the number of market dealers on banana and plantain. Therefore, the study assessed the marketing channel and structure of banana and plantain in Enugu State, Nigeria. Adopting a descriptive survey design, copies of the instrument were administered to 160 banana and plantain sellers. Collected data were analyzed using descriptive statistics and Gini co-efficient. The results showed that majority of the respondents were married females who attained primary education. Majority of the wholesalers obtained their products directly from farmers while 71.80% of the retailers obtained from the wholesalers. The results of the Gini co-efficient for banana and plantain sellers showed low levels of inequitable distribution of income among them. However, inequalities existed more at retail level than at the wholesale level. Recommendations included that international donor should provide links between prospective banana and plantain farmers, policy makers and researchers to identify and analyze new ways of encouraging the market for mutual co-operation and structure for an effective banana and plantain marketing system.

Open Access

Article

Article ID: 683

An empirical investigation of the relationship between financial measures and corporate social responsibility

by Yu-Min Lian, Yi-Ching Chen, Bing-Kai Kao, Yung-Hsin Yeh

Financial Forum, Vol.7, No.1, 2019; 304 Views, 30 PDF Downloads

Nowadays, in actual business world, corporate social responsibility (CSR) occupies an important place in doing business all over the world. The public commonly takes CSR as the necessary for businesses to make extra improvements to the well-being of society. De facto, it is difficult to find a specific definition of CSR. The purpose of this study is to carry out research on whether CSR has a significant relationship with organizational financial performance in terms of earnings per share (EPS) and annual return rate of individual stocks (RETURN), with a major target on quoted companies in Taiwan. In this study, we establish a multi-factor regression model to examine corporate value. The Taiwan Economic Journal (TEJ) database is used to explore the relevance. Empirical results show that: (1) Sales growth rate (SGR) has a positive impact on RETURN; (2) CSR and leverage (LEV) have a significantly correlation with EPS; (3) SGR and return on equity (ROE) have a significant relationship with RETURN; (4) CSR and ROE have a significantly correlation with EPS. Consequently, the EPS of the companies that implement CSRs are better than those that do not implement CSRs. However, the results do not indicate that the RETURN of the companies that implement CSRs are better than those that do not implement CSRs.

Open Access

Article

Article ID: 453

European Option Pricing under the Structural Time Series and Markov Regime-switching Model

by Pao-Peng Hsu 1, Che-Yang Lin 2

Financial Forum, Vol.7, No.1, 2019; 216 Views, 10 PDF Downloads

We present closed-form formulas for the valuation of a European call option whose underlying process is assumed to follow structural time series and the Markov regime-switching process through mean reversion described by a harmonic oscillator. In our model, each parameter has related corresponding economic meaning, and this leads to an easy analy-sis of the interplay between the option and business cycles. Forward rates are assumed under the Heath et al. (1992) HJM framework. The call option analytic formulas are obtained when the joint distribution of occupation times is specified and forward rates are restricted in a one-factor HJM model.