Journal of Economics, Finance
and Administrative Science
Formerly Cuadernos de Difusión
Academic publication of Universidad ESAN
ISSN 2077-1886 (printed) ISSN 2218-0648 (on line)
VOLUME 21, ISSUE 41, DECEMBER 2016
The Journal of Economics, Finance and Administrative Science is the new name of our formerly
Cuadernos de Difusión. Hence, we are including articles written in both languages,
English and Spanish, broadening our scope to a larger audience. The Journal of Economics Finance
and Administrative Science aims to provide the most relevant research and current developments
in all the fields of the administrative sciences worldwide. In order to accomplish our purpose,
the articles go through a rigorous process of evaluation and selection, according to international
editorial conventions.
The Universidad ESAN, with more than 50 years of experience in the higher education field and
post graduate studies, desires to contribute to the academic community with the most outstanding
pieces of research. We gratefully welcome suggestions and contributions from our readers in order
to help us hit our goals.
Journal of Economics, Finance
and Administrative Science
Formerly Cuadernos de Difusión
Academic publication of Universidad ESAN
EDITOR IN CHIEF
EDITORIAL BOARD
Peter Yamakawa, Ph.D.
Alejandro Arrieta, Ph.D.
Virginia Lasio, Ph.D.
Universidad ESAN
(Peru)
Indiana University (USA)
Dr. Luis Fernando Aguado
Escuela Superior Politécnica
del Litoral (Ecuador)
Pontificia Universidad Javeriana (Colombia)
Sergio Matviuk, Ph.D.
Jean Pierre Auffret, Ph.D.
Regent University (USA)
George Mason University (USA)
Ari Melo Mariano
Michel Henry Bouchet, Ph.D.
Skema Business School (France)
Universidade Estadual de Santa Cruz
(Brazil)
Lourdes Casanova
Rubén Mosqueda, Ph.D.
Cornell University (USA)
Instituto Tecnológico y de Estudios
Superiores de Monterrey (Mexico)
MANAGING EDITOR
Jorge Guillén, Ph.D.
Universidad ESAN
(Peru)
ASSOCIATE EDITORS
Anabella Dávila, Ph.D.
Jerry Haar, Ph.D.
Instituto Tecnológico y de Estudios
Superiores de Monterrey (Mexico)
Florida International University
(USA)
Samuel Mongrut, Ph.D.
Blanca L. Delgado-Márquez, Ph.D.
Instituto Tecnológico y de Estudios
Superiores de Monterrey (Mexico)
Ajay Manrai, Ph.D.
Universidad de Granada (Spain)
David Muñoz, Ph.D.
University of Delaware
(USA)
Marc Escrihuela-Villar, Ph.D
Universidad de las Islas Baleares (Spain)
Instituto Tecnológico Autónomo
de México (Mexico)
Narasimhan Srinivasan, Ph.D.
Anne L. Fetter, Ph.D.
Tahir M. Nisar
University of Connecticut
(USA)
University of Phoenix (USA)
University of Southampton (UK)
Isabel Gallego, Ph.D.
Hugo Ñopo, Ph.D.
Universidad de Salamanca (Spain)
Inter-American Development Bank (USA)
Jason Harkins
Toshio Obi, Ph.D.
Maine Business School (USA)
Waseda University (Japan)
Joon Hyung Park
Patricio Ramírez Correa
Nottingham University Business
School (China)
Universidad Católica del Norte (Chile)
Yasushi Kikuchi, Ph.D.
ESADE, Universitat Ramon Llull (Spain)
Jonathan Wareham, Ph.D.
Waseda University (Japan)
David Urbano
ESADE, Universitat Ramon Llull
(Spain)
Sumit Kundu, Ph.D.
Universidad Autónoma de Barcelona
(Spain)
Jorge Talavera, Ph.D.
Universidad ESAN
(Peru)
Ajay Vinze, Ph.D.
Arizona State University
(USA)
Executive Editor
Zulema Aimar Caballero
Florida International University (USA)
Editorial Advisor
Ada Ampuero
Vicenta Sierra, Ph.D.
Two issues per year
June and December
This journal subscribes to the principles and guidelines
of the Committee on Publication Ethics (COPE)
www.publicationethics.org
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Journal of Economics, Finance
and Administrative Science
www.elsevier.es/jefas
Journal of Economics, Finance and Administrative Science
Volume 21. Issue 41. December 2016
Contents
Editorial
In this issue
P. Yamakawa T. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
49
Articles
Pricing maximum-minimum bidirectional options in trinomial CEV model
B. Peng & F. Peng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
50
Valuing real options: Ornstein-Uhlenbeck model
Á. Tresierra Tanaka & C. M. Carrasco Montero . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
56
Institutionalist versus distortionist views of labor market reforms: An investigation into the post-liberalized
manufacturing sector in India
A. K. Bhandari & A. Sudarsan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
63
Parameters calibration of the NS and NSS interest rates for Colombia: A technical note
M. Velásquez Giraldo, J. C. Gutiérrez Betancur & P. M. Almonacid Hurtado . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
73
Corporate governance characteristics and valuation: Inferences from quantile regression
F. A. Shawtari, M. A. Salem, H. I. Hussain, O. Alaeddin & O. B. Thabit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
81
....
Stock market index prediction using artificial neural network
A. H. Moghaddam, M. H. Moghaddam & M. Esfandyari . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
89
Journal of Economics, Finance
and Administrative Science
www.elsevier.es/jefas
Journal of Economics, Finance and Administrative Science
Volumen 21. Número 41. Diciembre 2016
Sumario
Editorial
En esta edición
P. Yamakawa T. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
49
Artículos
Precios de opciones bidireccionales máximas-mínimas en el modelo ECV trinomial
B. Peng y F. Peng . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
50
Valorización de opciones reales: modelo Ornstein-Uhlenbeck
Á. Tresierra Tanaka y C. M. Carrasco Montero . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
56
Visión institucionalista versus distorsionista de las reformas del mercado laboral: una investigación del
sector manufacturero post-liberalizado en la India
A. K. Bhandari y A. Sudarsan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
63
Calibración de parámetros de los modelos de tasas de interés NS y NSS para Colombia: una nota técnica
M. Velásquez Giraldo, J. C. Gutiérrez Betancur y P. M. Almonacid Hurtado . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
73
Características y valoración del gobierno corporativo: inferencias de la regresión de cuantiles
F. A. Shawtari, M. A. Salem, H. I. Hussain, O. Alaeddin y O. B. Thabit . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
81
Predicción del índice del mercado bursátil utilizando una red neuronal artificial
A. H. Moghaddam, M. H. Moghaddam y M. Esfandyari . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
89
Journal of Economics, Finance and Administrative Science 21 (2016) 49
Journal of Economics, Finance
and Administrative Science
www.elsevier.es/jefas
Editorial
In this issue
We are proud to release the 41th issue of the Journal of Economics, Finance and Administrative Science. Since our indexation
in Scopus, the journal has achieved the ranking Q4 in Scimago with
an impact factor very close to journals with several years of publication. This issue contains several papers related to Applied Finance,
Labor Economics and Corporate Governance, which are within the
scope of the journal.
The authors come from different places worldwide guaranteeing
the possibility to increase the impact factor within the most prestigious databases. Scimago contains the database of 20 000 peer
review journals around the Globe.
The first article is “Pricing maximum-minimum bidirectional
options in trinomial CEV model”, using a constant elasticity of variance (CEV) model, and a combining trinomial tree to compute the
risk-neutral probability of each different node for the underlying
asset. The authors demonstrate the validity and the convergence of
the approach mentioned above for the different parameter values
set in the trinomial CEV model.
The next article is “Valuing real options: Ornstein-Uhlenbeck
model”, and develops an analysis of decision making under uncertainty using the real options application in the evaluation of
investments in mining projects.
The third paper, “Institutionalist versus distortionist views of
labor market reforms: An investigation into the post-liberalized
manufacturing sector in India”, studies how the labor manufacturing sector in India has been affected after liberalization. There is an
interesting discussion between institutionalists versus distortionists points of view.
The empirical article, “Calibration parameters of the NS and
NSS interest rate models for Colombia: A technical note”, attempts
to evaluate two non-gradient based methods for solving the
non-linear least squares problem: the differential evolution metaheuristic and an incremental search procedure on the non-linear
parameters. It is an application for the sovereign bonds in
Colombia.
In addition, “Corporate governance characteristics and valuation: Inferences from quantile regression” studies the relationship
between corporate governance and performance using OLS. It also
explores the impact of corporate governance mechanisms on performance using quantile regression.
Finally, the article “Stock market index prediction using artificial neural network” shows the ability of artificial neural network
(ANN) in forecasting the daily NASDAQ stock exchange rate. This
is a sophisticated and state of the art technique that needs further
consideration.
All the articles have gone through rigorous peer review, according to international standards. The contribution to business science
is always our priority. The latter permits us to maintain the main
scope of the journal.
Peter Yamakawa T. (Ph.D.)
Director
http://dx.doi.org/10.1016/j.jefas.2016.09.001
2077-1886/© 2016 Published by Elsevier España, S.L.U. on behalf of Universidad ESAN. This is an open access article under the CC BY-NC-ND license (http://creativecommons.
org/licenses/by-nc-nd/4.0/).