Joint Market Research Articles

PENGATURAN SAHAM PERUSAHAAN DALAM REZIM HUKUM INDONESIA DAN SINGAPURA SEBAGAI PEMBENTUKAN PASAR TUNGGAL ASEAN

I dea s to harmonize the regulation of ‘corporate shares’ (CS) in the corporate law of Indonesia and Singapore discussed in order to start up and embody the ASEAN Single Market. T his article focus ed on different minimum standards and requirements (MS&R) in the transaction CS within two different corporate laws of Indonesia and Singapore. It is necessary to employ a conceptual approach, especially corporate share as a very basic of a company, to have a comparative legal analysis to reach a solution. Further more , it is to harmonize such standars and requirements on the CS transaction . I t is necessary to use the theory of negative regional economic integration that significantly different with the conservative theory aplied inthe EU. As a result, the different regulation of CS between those two different company law regimes should be simplified by withdrawing their similiarities of MS&R. This may cre ate an avenue to achieve the ASEAN’s single market in 2015. This new standar (model) would ease the process harmonization in which companies of ASEAN Countries can make a cross-ownership of CS by the mergers and acquisitions of transactions that timely make a strong position in the business competition regionally. I conclude that harmonization of MS&R of CS provided in company laws of Indonesia and Singapore would become a cornerstone for the ASEAN Single Market in which obstacle of joint market has been minimized or even abolished. However, harmonization of MS&R of CS should be in the corridor of sustainable global justice in the ASEAN market competition.Therefore, I recommend that both Indonesia and Singapore should develop a corporate culture in the spirit of the ASEAN Single Market, and review t he regulation regarding company law of both countries, especially the CS and legal procedures of the cross-bo r der mergers transaction and acquisition.

Erratum to: Approximation model to estimate joint market share in off-hour deliveries

Erratum to: Approximation model to estimate joint market share in off-hour deliveries

Stochastic security-constrained joint market clearing for energy and reserves auctions considering uncertainties of wind power producers and unreliable equipment

SUMMARY Considering the economical and environmental significance of the integration of wind units into power systems, this article proposes a stochastic market clearing model for joint energy and reserve auctions wherein wind power producers can participate in the electricity market along with other participants. The proposed model takes into account the uncertainty of wind power and forced outages of generating units and branches. Uncertain resources in the power system are modeled using a new scenario generation technique. After scenario reduction, the selected scenarios are included in the stochastic joint market clearing model with AC network constraints, leading to a mixed integer nonlinear programming formulation. The proposed stochastic programming model is tested on the IEEE Reliability Test System. Obtained results confirm the validity of the developed approach. Copyright © 2012 John Wiley & Sons, Ltd.

Approximation model to estimate joint market share in off-hour deliveries: William H. Hart Professor

The main objective of this paper is to develop an approximation model to estimate the joint carrier–receiver response to off-hour delivery policies. The model’s main intent is to bypass the need to use more complex approaches that require expensive data for model calibration. Having access to such approximation models would make it easier for transportation agencies and metropolitan planning organizations to analyze and design off-hour deliveries programs and policies. In its first part, the paper discusses carrier–receiver interactions concerning delivery time decisions and the conditions under which both carrier and receivers would agree to off-hour deliveries. Some of the key findings are that the typical receivers would participate only if provided with a financial incentive that covers the costs associated with the off-hour operations and that the carrier would find the off-hour delivery operation profitable if a large number of receivers switch to the off-hours. The latter provides an important piece of information to support the development of the approximation model introduced in the paper. The proposed model estimates the joint market share in off-hour deliveries by computing the joint probability that all receivers in a typical tour of length M agree to off-hour deliveries, the probability that the carrier operation is profitable, and finally the joint market share. The model’s inputs are the probability that a typical receiver would participate in off-hour deliveries, the statistical distribution of tour lengths, and the probability that the carrier operation is profitable for a given number of receivers. The results indicate that the model provides the same results than other more complex methodologies for the practical range of values of receiver participation. For the high end of receiver participation (+80%), the formulation underestimates carrier participation. Because of its simplicity and practicality, the model provides an excellent way to estimate participation in off-hour delivery programs.

Value, Momentum, and Short-Term Interest Rates

We present a simple two-factor model that helps explaining several CAPM anomalies -- value premium, return reversal, equity duration, asset growth, and inventory growth. The model is consistent with Merton's ICAPM framework and the key risk factor is the innovation on a short-term interest rate -- the Fed funds rate or the T-bill rate. This model explains a large fraction of the dispersion in average returns of the joint market anomalies. Moreover, the model compares favorably with alternative multifactor models widely used in the literature. Hence, short-term interest rates seem to be relevant for explaining several dimensions of cross-sectional equity risk premia.

Collective internationalization – a new take off route for SMEs from China

Purpose – The purpose of this paper is to investigate the establishments of Chinese wholesale and retail market platforms in China and Europe, which create a new take-off route for SMEs from China, and to theorize on this as a new collective route to internationalization. Design/methodology/approach – An exploratory case study has been undertaken covering four Chinese market platforms: the role model in Yiwu, China, and the establishments in Warsaw, Poland; Budapest, Hungary; and Kalmar, Sweden. Findings – A new collective internationalization route is identified, driven by the collectivistic Chinese culture. Here Chinese SMEs diverge from traditionally suggested paths of internationalization, taking off independently from the domestic business network but form a joint market platform in the foreign market. This collective behavior compensates for the resource constraints of internationally inexperienced Chinese SMEs. From the market platform, they plug into the local market network and are provided with economies of scale and scope, ultimately making them internationally competitive. This collective route offers the potential for joint learning and risk reduction when entering distant markets in the early internationalization stages. Research limitations/implications – For Chinese SMEs, co-location in a market platform in foreign market offers the advantages of lowering institutional distance and uncertainty as the firms collectively handle these matters. A limitation of the study concerns the generalizability, as few cases are studied. Still, being an unstudied phenomena there are important empirical contributions to be made. Originality/value – The paper reports on an overlooked empirical phenomenon, namely the establishment of Chinese wholesale and retail market platforms in China and Europe. Through this establishment a new collective route into the global market by Chinese SMEs is identified and theorized.

A scenario-based multiobjective operation of electricity markets enhancing transient stability

Electricity market clearing is currently done using deterministic values of power system parameters considering a fixed network configuration. This paper presents a new day-ahead joint market clearing framework (including energy, spinning reserve and non-spinning reserve auctions), which considers dynamic security of power system in the market clearing. The proposed framework has a stochastic multiobjective model considering power system uncertainties. It consists of three stages. Firstly, the uncertainty sources, i.e. contingencies of generating units and branches, are modeled using the Monte Carlo simulation (MCS) method. Subsequently, in the second stage, the proposed multiobjective framework simultaneously optimizes competing objective functions of offer cost and dynamic security index, i.e. corrected transient energy margin (CTEM). This index is selected because of useful linearity properties which it posses based on the sensitivity of the CTEM with respect to power shift between generators. The optimization problem in the second stage takes DC power flow constraints and system reserve requirements into account. Finally, in the last stage, scenario aggregation based on the expected value of the decision variables produces the final results of the market clearing framework. The 10-machine New England test system is studied to demonstrate effectiveness of the proposed stochastic multiobjective market clearing scheme.

Panel data estimates of the production function and product and labor market imperfections

SUMMARYConsistent with two models of imperfect competition in the labor market—the efficient bargaining model and the monopsony model—we provide two extensions of a microeconomic version of Hall's framework for estimating price‐cost margins. We show that both product and labor market imperfections generate a wedge between factor elasticities in the production function and their corresponding shares in revenue, which can be characterized by a ‘joint market imperfections parameter’. Using an unbalanced panel of 10,646 French firms in 38 manufacturing industries over the period 1978–2001, we can classify these industries into six different regimes depending on the type of competition in the product and the labor market. By far the most predominant regime is one of imperfect competition in the product market and efficient bargaining in the labor market (IC‐EB), followed by a regime of imperfect competition in the product market and perfect competition or right‐to‐manage bargaining in the labor market (IC‐PR), and by a regime of perfect competition in the product market and monopsony in the labor market (PC‐MO). For each of these three predominant regimes, we assess within‐regime firm differences in the estimated average price‐cost mark‐up and rent sharing or labor supply elasticity parameters, following the Swamy methodology to determine the degree of true firm dispersion. To assess the plausibility of our findings in the case of the dominant regime (IC‐EB), we also relate our industry and firm‐level estimates of price‐cost mark‐up and extent of rent sharing to industry characteristics and firm‐specific variables respectively. Copyright © 2011 John Wiley & Sons, Ltd.

Bidding Strategy of Virtual Power Plant for Participating in Energy and Spinning Reserve Markets—Part II: Numerical Analysis

This paper is to evaluate the presented model in part I for bidding strategy of virtual power plant (VPP) with centralized control in a joint market of energy and spinning reserve service. Two test VPPs are introduced and different scenarios are considered for markets prices. At first, the participation of VPP in only energy market is studied. Then, the spinning reserve market is taken into consideration and the bids of VPP in a joint market of energy and spinning reserve service is studied under different scenarios of markets prices and the results are analyzed. In all cases, the results show the effectiveness and the quality of the procedure and validate the proposed model.

Bidding Strategy of Virtual Power Plant for Participating in Energy and Spinning Reserve Markets—Part I: Problem Formulation

This paper addresses the bidding problem faced by a virtual power plant (VPP) in a joint market of energy and spinning reserve service. The proposed bidding strategy is a non-equilibrium model based on the deterministic price-based unit commitment (PBUC) which takes the supply-demand balancing constraint and security constraints of VPP itself into account. The presented model creates a single operating profile from a composite of the parameters characterizing each distributed energy resources (DER), which is a component of VPP, and incorporates network constraints into its description of the capabilities of the portfolio. The presented model is a nonlinear mixed-integer programming with inter-temporal constraints and solved by genetic algorithm (GA).

How Policy Changes Affect Shareholder Wealth: The Case of the Fukushima Daiichi Nuclear Disaster

This paper analyzes how policy changes affect shareholder wealth in the context of environmental regulation. We exploit the unique and unexpected German reaction to the Fukushima Daiichi nuclear disaster, which involved the immediate shutdown of almost half of Germany’s nuclear reactors while safety checks were carried out, and a three-month moratorium on extending the lives of others. Using the event study methodology, our findings indicate a wealth transfer from nuclear energy companies to renewable energies companies in Germany. We moreover find that the joint market capitalization of these firms has decreased, but the amount of this combined decrease is small. Substantial heterogeneity in the shareholder wealth effects across European countries can be linked to different nuclear energy policies. The shareholder wealth of nuclear and conventional energy companies in the United States has been unaffected.

Testing Lower Boundary Conditions for Index Options Using Futures Prices: Evidences from the Indian Options Market

Options are the contracts which serve as a tool for risk hedging, price discovery, and better allocation of capital. The efficiency of an options market, i.e., the correctness of option prices denotes that it is working well at its well-identified functions (Ackert and Tian, 2000). In view of this, the efficiency of options market has been of equal interest to the academics as well as practitioners and a number of studies on efficiency of options market have been carried out across the globe in different options markets. The present paper attempts to assess the pricing efficiency of the S&P CNX Nifty index options in India by testing the Lower Boundary Conditions (LBCs) using futures prices instead of spot values. The methodology adopted essentially tests a joint market efficiency hypothesis of index options and index futures. This has been done in view of the fact that the use of futures markets helps in doing away with the short-selling constraint as futures can easily be shorted. And, it becomes a natural choice for analysis as the short-selling has been banned in the Indian securities market during the period under reference. Moreover, the use of futures markets, to a marked extent, helps in ensuring the exploitability of arbitrage opportunities when underlying asset is an index. The study covers a period of six years from June 4, 2001 (starting date for index options in India) to June 30, 2007. The major findings of the study are: The put options market is more efficient than the call options market, given the existing market microstructure in India during the period under reference. Another equally important finding is that the put options market showed an improvement in the pricing efficiency over the years whereas the call options market demonstrated a counterintuitive and adverse development. However, the profit potential offered by highly traded opportunities both in the cases of call and put options seems to be unexploitable in the presence of transaction costs. Moreover, the dearth of liquidity in the case of otherwise exploitable opportunities which carry higher profit potentials has been the main inhibiting factor to arbitrageurs. Therefore, in short, it is reasonable to conclude that majority of violations in call as well as put options could not be exploited on account of the existing market-microstructure in India during the period under reference (especially short-selling constraint that caused underpricing in futures to persist) and the dearth of liquidity in the options market. In other words, the revealed state of options pricing can be designated to the short-selling constraints and dearth of liquidity.

The Barriers to Selecting Optimal Economic Policy in South Korea

Four of the largest conglomerates in Sout h Korea are Samsung Group, Hyundai-KIA Automotive Group, LG Group and SK Telecom. In 2009, the joint market value of the assets these conglomerates owned amounted to aro und half of the South Korean GDP (Wang 2010). Ostensibly, the South Korean economy is dominated by the co nglomerates. Samsung and LG are the two major players in Korea’s electronics industry; Hy undai and KIA are the two major players in the automotive industry. The export dependency (Tot al Exports/GDP) of South Korea is 44.9% and its import dependency (Total Imports/GDP) is 38% (CIA 2010). This indicates that the South Korean economy is highly dependent on global trade as well as on the conglomerates. It has signed a Free Trade Agreement (FTA) with the European Union and will ratify FTAs with some of its other trading partners such as China, United States, Japan and Australia (YONHAP News Agency 2010a). It is our view that such changes in trade policy are supported by the conglomerates, which have considerable sway over the govern ment, due to their significant contributions to the economy. The purpose of this paper is to analyse the source and the nature of the impediments the government faces in implementing policies that enable freer trade in South Korea. We do this from the perspective of President Lee My un-bak, who we characterise as a key veto player, as he draws political support from groups that have conflicting agendas.

Analysis of Quantized Double Auctions with Application to Competitive Electricity Markets

In recently proposed electricity markets, price-based competitive behaviours of power suppliers (i.e., generators), energy service providers and large users (i.e., consumers) have been formulated using various auction algorithms (see Post et al., 1995; Wolfram, 1998; Dekrajangpetch and Shebl, 2000; Nicolaisen et al., 2001; Swider and Weber, 2007). In this paper, quantized Progressive Second Price (PSP) auction algorithms are presented for competitive electricity systems, especially for short-run electric power markets. In Jia and Caines (2008, 2010), two quantized PSP auction algorithms were introduced and analyzed for demand markets, which are called, respectively, the Aggressive-Defensive Quantized PSP (ADQ-PSP) algorithm and the Unique-limit Quantized PSP (UQ-PSP) algorithm. Here we first present an algorithm combined with ADQ-PSP and UQ-PSP features, and apply it to a double power auction system where competition on both power generators and energy service providers (and/or large users) is considered. Double auctions are formulated in this work as two single-sided quantized auctions which depend upon joint market quantities and price constraints. The extended algorithm inherits the performance properties of ADQ-PSP and UQ-PSP in terms of both the social welfare maximization and the rapid convergence rate.

The British Fight against Cancer: Publicity and Education, 1900-1948

This article explores the early history of cancer education in Britain, focusing on the period between 1900, when discussions about a public ‘crusade’ against cancer began in Britain, and the foundation of the National Health Service (NHS) in 1948. Arising from debates around the development of invasive operations for cervical cancer, the campaign had a cautious start because of important uncertainties about the efficacy of available therapies, worries about the undesirable effects of partial knowledge, and anxieties about creating demands that could not be fulfilled. Against this background, anti-cancer activists attempted to produce a discourse which would not undermine people's faith in medical science, and which would encourage people to consult their doctors without putting excessive pressure on health services funded by public money. A ‘regime’ of hope came to the fore that served to draw patients, philanthropists, practitioners and researchers together into a joint market agenda.

Stochastic Multiobjective Market Clearing of Joint Energy and Reserves Auctions Ensuring Power System Security

In this paper, a stochastic multiobjective framework is proposed for day-ahead joint market clearing. The proposed multiobjective framework can concurrently optimize competing objective functions including augmented generation offer cost and security indices (overload index, voltage drop index, and voltage stability margin). Besides, system uncertainties including generating units and branches contingencies and load uncertainty are explicitly considered in the stochastic market clearing scheme. The solution methodology consists of two stages, which firstly, employs roulette wheel mechanism and Monte Carlo simulation (MCS) for random adaptive 24-h scenario generation wherein the stochastic multiobjective market clearing procedure is converted into its respective deterministic equivalents (scenarios). In the second stage, for each deterministic scenario, a multiobjective mathematical programming (MMP) formulation based on the epsiv -constrained approach is implemented for provision of spinning reserve (SR) and nonspinning reserve (NSR) as well as energy. The MMP formulation of the market clearing process is optimized while meeting AC power flow constraints and expected interruption cost (EIC). The IEEE 24-bus Reliability Test System (RTS 24-bus) is used to demonstrate the performance of the proposed method.

A New Method to Estimate PIN (Probability of Informed Trading)

In spite of the many successful applications of the concept of probability of information-based trading (PIN), the method used for its estimation (Easley et al., 1996) suffers several serious shortcomings. 1) It fails to deliver the PIN to a huge number of stocks. Using the most widely cited PIN estimates posted by Havidkjaer as an example, the joint market share of stocks with valid PIN estimates is only 52% of the entire market in 2001. The current trend is even worse because the steady increase of trading activities increases the failure rate. 2) It assumes that trading days or event days are independent, which is refutable. In this paper, a new method is developed to correct these problems. For example, the assumption of independence is discarded. The new method is designed to deliver PINs to all stocks. In contrast to the current method, the performance of the new method is an increasing function of the trading activities. After comparing the proposed new PINs with those in Easley et al. (1996) and Havidkjaer, many interesting findings are derived, which are presented here.

Joint market clearing in a stochastic framework considering power system security

This paper presents a new stochastic framework for provision of reserve requirements (spinning and non-spinning reserves) as well as energy in day-ahead simultaneous auctions by pool-based aggregated market scheme. The uncertainty of generating units in the form of system contingencies are considered in the market clearing procedure by the stochastic model. The solution methodology consists of two stages, which firstly, employs Monte–Carlo Simulation (MCS) for random scenario generation. Then, the stochastic market clearing procedure is implemented as a series of deterministic optimization problems (scenarios) including non-contingent scenario and different post-contingency states. The objective function of each of these deterministic optimization problems consists of offered cost function (including both energy and reserves offer costs), Lost Opportunity Cost (LOC) and Expected Interruption Cost (EIC). Each optimization problem is solved considering AC power flow and security constraints of the power system. The model is applied to the IEEE 24-bus Reliability Test System (IEEE 24-bus RTS) and simulation studies are carried out to examine the effectiveness of the proposed method.

Efficiency, Cointegration and Contagion in Equity Markets: Evidence from China, Japan and South Korea*

This paper empirically examines whether three East Asian stock markets, namely, those of China, Japan and South Korea, are individually and/or jointly efficient, and whether contagion exists between the cointegrated markets. While individual market efficiency is examined through testing for the random walk hypothesis, joint market efficiency is examined through testing for cointegration and contagion. The present study finds that the hypothesis of individual market efficiency is strongly rejected for the Chinese stock market, but not for the Japanese and the South Korean stock markets. However, when testing for cointegration, market efficiency is strongly rejected for all these markets. We take a simple case of contagion and find that although there is a long‐term relationship among the three markets, the contagion hypothesis cannot be rejected only between Japanese and South Korean stock markets, indicating short‐run portfolio diversification benefits from these two markets.

Security-Constrained Joint Market Clearing of Energy and Reserves Auctions

This paper proposes a model of security-constrained joint market clearing of energy and reserves (AGC, spinning, non-spinning and operating reserves) auctions. The model takes into consideration lost opportunity cost (LOC) and multi-block offers in the market clearing framework. Furthermore, this paper presents typical market clearing and dispatch mechanisms based on the security-constrained optimal power flow (OPF) technique that is currently being utilised in various independent system operators (ISOs) throughout the world. The proposed model has been applied to the IEEE 24-bus Reliability Test System and detailed simulation studies have been carried out to examine the performance of the proposed scheme.