Evaluation of otolith shape as a tool for stock discrimination in marine fishes using Baltic Sea cod as a case study

DEFF Research Database (Denmark)

Hüssy, Karin; Mosegaard, Henrik; Albertsen, Christoffer Moesgaard

2016-01-01

demonstrate theinterplay of environmental, ontogenetic and genetic influences on otolith shape, which complicates theapplication of otolith shape for stock discrimination in mixed-stock scenarios. Rigours genetic validationand further studies on the temporal dynamics of shape formation are necessary.......In the Western Baltic Sea two genetically distinct cod stocks “Eastern Baltic cod” and “Western Balticcod” occur with considerable mixing of stocks. In this study we evaluated the applicability of otolithshape analysis for classification of individuals caught in the mixed stock cod fishery, using...... SNP (singlenucleotide polymorphism) based genetic assignment of otolith shape baselines. We further developeda management aimed approach for mixed stock assignment by robust stochastic baseline selection andposterior bias correction by individual reassignment of the least likely classifications...

The Influence of Fundamental and Macroeconomic Analysis on Stock Price

Directory of Open Access Journals (Sweden)

Hari Gursida

2017-12-01

Full Text Available The purpose of this research is to analyze the effect of fundamental and macroeconomic analysis on stock price. The research was conducted at a coal company listed on the Indonesia Stock Exchange. Fundamental analysis measured by current ratio, debt to equity ratio (DER, earning per share (EPS, return on assets (ROA, and total assets turnover (TATO, while macroeconomic analysis is measured by inflation and exchange rate.  Current ratio (CR has a positive effect on Stock Price. Strengthening this level of liquidity can provide information to investors to decide to buy shares of companies that tend to be healthy and stable. Return on assets (ROA has a positive and significant influence on stock price. Efforts to maximize the level of profitability by increasing the value of return on assets can provide information to investors that investments invested in the company will provide good profit. The impact of stock prices will rise. While debt to equity ratio (DER, earning per share (EPS and total assets turnover (TATO have no effect on Stock Price.  Macroeconomic analysis shows: (a Inflation rate has no effect on stock price of coal company. This can be because the inflation rate in Indonesia is at the level of 6% -7% per year and included in the category of mild inflation. Mild inflation resulted in very slow economic growth, not affecting stock prices. The exchange rate has a negative and significant effect on coal company stock price. If the Rupiah is depreciated then the stock price of the coal company will decrease.

Clustering stocks using partial correlation coefficients

Science.gov (United States)

Jung, Sean S.; Chang, Woojin

2016-11-01

A partial correlation analysis is performed on the Korean stock market (KOSPI). The difference between Pearson correlation and the partial correlation is analyzed and it is found that when conditioned on the market return, Pearson correlation coefficients are generally greater than those of the partial correlation, which implies that the market return tends to drive up the correlation between stock returns. A clustering analysis is then performed to study the market structure given by the partial correlation analysis and the members of the clusters are compared with the Global Industry Classification Standard (GICS). The initial hypothesis is that the firms in the same GICS sector are clustered together since they are in a similar business and environment. However, the result is inconsistent with the hypothesis and most clusters are a mix of multiple sectors suggesting that the traditional approach of using sectors to determine the proximity between stocks may not be sufficient enough to diversify a portfolio.

Statistical aspects of fish stock assessment

DEFF Research Database (Denmark)

Berg, Casper Willestofte

for stock assessment by application of state-of-the-art statistical methodology. The main contributions are presented in the form of six research papers. The major part of the thesis deals with age-structured assessment models, which is the most common approach. Conversion from length to age distributions...... statistical aspects of fish stocks assessment, which includes topics such as time series analysis, generalized additive models (GAMs), and non-linear state-space/mixed models capable of handling missing data and a high number of latent states and parameters. The aim is to improve the existing methods...

Toxoplasma gondii and Neospora caninum seroprevalence in dairy sheep and goats mixed stock farming.

Science.gov (United States)

Diakoua, Anastasia; Anastasia, Diakou; Papadopoulos, Elias; Elias, Papadopoulos; Panousis, Nikolaos; Nikolaos, Panousis; Karatzias, Charilaos; Charilaos, Karatzias; Giadinis, Nektarios; Nektarios, Giadinis

2013-12-06

Toxoplasma and Neospora infections are important causes of abortions and economic losses in animal production. Mixed stock farming of sheep and goats is a common practice in Mediterranean countries and could serve as a suitable model for the evaluation of differences between the two animal species regarding parasitic infections. In order to investigate the seroprevalence of T. gondii and N. caninum among flocks of small ruminants in Greece and to evaluate any prevalence difference between sheep and goats kept in mixed flocks, 833 sera samples (458 sheep and 375 goats) from 50 mixed flocks in different areas of the country were examined by ELISA for the detection of specific antibodies. Specific IgG against T. gondii were detected in 53.71% and 61.3% and against N. caninum in 16.8% and 6.9% of the sheep and goats, respectively. Goats had higher Toxoplasma seroprevalence than sheep (pgoats (pgoats that are kept together in mixed flocks. Copyright © 2013 Elsevier B.V. All rights reserved.

Cross dynamics of oil-stock interactions: A redundant wavelet analysis

International Nuclear Information System (INIS)

Jammazi, Rania

2012-01-01

The main aim of the present paper is to explore how the interactions between crude oil (CO) price changes and stock returns of five developed countries namely U.S.A, Canada, Germany, Japan and U.K., evolve simultaneously over time and frequency, in light of the conflicting evidence provided by much of recent studies on the sign and the direction of this relationship. To this end, we apply a more efficient wavelet tool, namely Haar à trous wavelet transform that helps circumvent the problems of the standard regression techniques and proves its effectiveness in encircling the real data features. In order to provide more credible conclusions, the wavelet variance, correlation and cross-correlation are implemented. In general, we extend the existing empirical works by providing more generalized and convincing results inherent to the stock-oil markets interactions which are usually reputed to be complicated. First, we find evidence that the wavelet variances of all the variables decrease with increasing scales. Second, from the analysis of the wavelet correlation, changes in CO and almost all the stock prices do not move together up to the intermediate scale, but since they abruptly shift their direction in unison. Third, results for the wavelet CCF at scales 2, 3 and/or 4 generally illustrate no transmission mechanism between CO and the stock market returns although we provide support for massive CO variations at these scales. In contrast, the CO-equity market relationships at higher scales become interconnected in a negative unidirectional pattern running from CO to stock market returns for only two oil importing countries but also Canada. For oil exporting countries, we have seen that while highly transient (scale 1) positive/negative causalities flowing from TSX stock market to CO changes are detected, highly persistent (scale 6) positive causality running from FTSE to the CO changes are rather found. Finally, the implications of the study's results vary depending

IFRS and Stock Returns: An Empirical Analysis in Brazil

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Rodrigo F. Malaquias

2016-09-01

Full Text Available In recent years, the convergence of accounting standards has been an issue that motivated new studies in the accounting field. It is expected that the convergence provides users, especially external users of accounting information, with comparable reports among different economies. Considering this scenario, this article was developed in order to compare the effect of accounting numbers on the stock market before and after the accounting convergence in Brazil. The sample of the study involved Brazilian listed companies at BM&FBOVESPA that had American Depository Receipts (levels II and III at the New York Stock Exchange (NYSE. For data analysis, descriptive statistics and graphic analysis were employed in order to analyze the behavior of stock returns around the publication dates. The main results indicate that the stock market reacts to the accounting reports. Therefore, the accounting numbers contain relevant information for the decision making of investors in the stock market. Moreover, it is observed that after the accounting convergence, the stock returns of the companies seem to present lower volatility.

Otolith shape analysis for stock discrimination of two Collichthys genus croaker (Pieces: Sciaenidae,) from the northern Chinese coast

Science.gov (United States)

Zhao, Bo; Liu, Jinhu; Song, Junjie; Cao, Liang; Dou, Shuozeng

2017-08-01

The otolith morphology of two croaker species (Collichthys lucidus and Collichthys niveatus) from three areas (Liaodong Bay, LD; Huanghe (Yellow) River estuary, HRE; Jiaozhou Bay, JZ) along the northern Chinese coast were investigated for species identification and stock discrimination. The otolith contour shape described by elliptic Fourier coefficients (EFC) were analysed using principal components analysis (PCA) and stepwise canonical discriminant analysis (CDA) to identify species and stocks. The two species were well differentiated, with an overall classification success rate of 97.8%. And variations in the otolith shapes were significant enough to discriminate among the three geographical samples of C. lucidus (67.7%) or C. niveatus (65.2%). Relatively high mis-assignment occurred between the geographically adjacent LD and HRE samples, which implied that individual mixing may exist between the two samples. This study yielded information complementary to that derived from genetic studies and provided information for assessing the stock structure of C. lucidus and C. niveatus in the Bohai Sea and the Yellow Sea.

Genetic analysis of farmed and wild stocks of large yellow croaker ...

African Journals Online (AJOL)

The pair-wise FST, the phylogenetic tree, the factor correspondence analysis and the model based clustering analysis revealed that, the Ningbo stock, which was from Zhejiang province, was different from the remaining stocks from Fujian province. This study suggested that (1) the farmed stocks were at relatively low level ...

Price-volume multifractal analysis and its application in Chinese stock markets

Science.gov (United States)

Yuan, Ying; Zhuang, Xin-tian; Liu, Zhi-ying

2012-06-01

An empirical research on Chinese stock markets is conducted using statistical tools. First, the multifractality of stock price return series, ri(ri=ln(Pt+1)-ln(Pt)) and trading volume variation series, vi(vi=ln(Vt+1)-ln(Vt)) is confirmed using multifractal detrended fluctuation analysis. Furthermore, a multifractal detrended cross-correlation analysis between stock price return and trading volume variation in Chinese stock markets is also conducted. It is shown that the cross relationship between them is also found to be multifractal. Second, the cross-correlation between stock price Pi and trading volume Vi is empirically studied using cross-correlation function and detrended cross-correlation analysis. It is found that both Shanghai stock market and Shenzhen stock market show pronounced long-range cross-correlations between stock price and trading volume. Third, a composite index R based on price and trading volume is introduced. Compared with stock price return series ri and trading volume variation series vi, R variation series not only remain the characteristics of original series but also demonstrate the relative correlation between stock price and trading volume. Finally, we analyze the multifractal characteristics of R variation series before and after three financial events in China (namely, Price Limits, Reform of Non-tradable Shares and financial crisis in 2008) in the whole period of sample to study the changes of stock market fluctuation and financial risk. It is found that the empirical results verified the validity of R.

Multifractal analysis of Moroccan family business stock returns

Science.gov (United States)

Lahmiri, Salim

2017-11-01

In this paper, long-range temporal correlations at different scales in Moroccan family business stock returns are investigated. For comparison purpose, presence of multifractality is also investigated in Casablanca Stock Exchange (CSE) major indices: MASI which is the all shares index and MADEX which is the index of most liquid shares. It is found that return series of both family business companies and major stock market indices show strong evidence of multifractality. In particular, empirical results reveal that short (long) fluctuations in family business stock returns are less (more) persistent (anti-persistent) than short fluctuations in market indices. In addition, both serial correlation and distribution characteristics significantly influence the strength of the multifractal spectrums of CSE and family business stocks returns. Furthermore, results from multifractal spectrum analysis suggest that family business stocks are less risky. Thus, such differences in price dynamics could be exploited by investors and forecasters in active portfolio management.

MANNER OF STOCKS SORTING USING CLUSTER ANALYSIS METHODS

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Jana Halčinová

2014-06-01

Full Text Available The aim of the present article is to show the possibility of using the methods of cluster analysis in classification of stocks of finished products. Cluster analysis creates groups (clusters of finished products according to similarity in demand i.e. customer requirements for each product. Manner stocks sorting of finished products by clusters is described a practical example. The resultants clusters are incorporated into the draft layout of the distribution warehouse.

Price Earnings Ratio and Stock Return Analysis (Evidence from Liquidity 45 Stocks Listed in Indonesia Stock Exchange

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Liem Pei Fun

2012-01-01

Full Text Available Price to Earnings Ratio (PE Ratio has been broadly used by analysts and investors for stock selection. Stocks with low PE ratio are perceived as having cheaper current price hence expected to generate higher return in subsequent period. This paper aims to examine predictability of stock return using PE Ratio based on historical relationship between PE Ratio and subsequent stock return. Particularly, it seeks to find whether stocks with high PE Ratio followed by low stocks return and on the contrary, stocks with low PE Ratio followed by high stocks return. Using stocks which are included as member of Liquidity 45 and observation period 2005-2010 as samples, results show that there is significance difference between low PE and high PE portfolio stock return in short term (holding period of 6 months but there is no significance difference between both portfolio stock return if they are hold for one, two, three, and four years. This research also finds that there is no significant relationship between stock return and (trailing PE Ratio which suggests that (trailing PE Ratio is not useful in estimating both short term and long term stock returns

Fundmental Analysis for Stock Price Valuation by Using Price Earnings Ratio Method (Study at Mining Companies Listed on Indonesian Stock Exchange Year 2011-2013)

OpenAIRE

Wahyuningtyas, Rovi; Suhadak,; Hidayat, Raden Rustam

2015-01-01

The research was conducted based on the misprice on the investment of stock. The misprice of investment on stock can be reduced with evaluate the reasonable of stock price by using fundamental analysis. The fundamental analysis that used in this research is Price Earnings Ratio (PER) method. The PER method aim to know the reasonableness of stock price with compare the intrinsic value of stock and the stock market price. The research is descriptive quantitative method. The research takes the s...

Modeling climate and fuel reduction impacts on mixed-conifer forest carbon stocks in the Sierra Nevada, California

Science.gov (United States)

Matthew D. Hurteau; Timothy A. Robards; Donald Stevens; David Saah; Malcolm North; George W. Koch

2014-01-01

Quantifying the impacts of changing climatic conditions on forest growth is integral to estimating future forest carbon balance. We used a growth-and-yield model, modified for climate sensitivity, to quantify the effects of altered climate on mixed-conifer forest growth in the Lake Tahoe Basin, California. Estimates of forest growth and live tree carbon stocks were...

Multiscale Detrended Cross-Correlation Analysis of STOCK Markets

Science.gov (United States)

Yin, Yi; Shang, Pengjian

2014-06-01

In this paper, we employ the detrended cross-correlation analysis (DCCA) to investigate the cross-correlations between different stock markets. We report the results of cross-correlated behaviors in US, Chinese and European stock markets in period 1997-2012 by using DCCA method. The DCCA shows the cross-correlated behaviors of intra-regional and inter-regional stock markets in the short and long term which display the similarities and differences of cross-correlated behaviors simply and roughly and the persistence of cross-correlated behaviors of fluctuations. Then, because of the limitation and inapplicability of DCCA method, we propose multiscale detrended cross-correlation analysis (MSDCCA) method to avoid "a priori" selecting the ranges of scales over which two coefficients of the classical DCCA method are identified, and employ MSDCCA to reanalyze these cross-correlations to exhibit some important details such as the existence and position of minimum, maximum and bimodal distribution which are lost if the scale structure is described by two coefficients only and essential differences and similarities in the scale structures of cross-correlation of intra-regional and inter-regional markets. More statistical characteristics of cross-correlation obtained by MSDCCA method help us to understand how two different stock markets influence each other and to analyze the influence from thus two inter-regional markets on the cross-correlation in detail, thus we get a richer and more detailed knowledge of the complex evolutions of dynamics of the cross-correlations between stock markets. The application of MSDCCA is important to promote our understanding of the internal mechanisms and structures of financial markets and helps to forecast the stock indices based on our current results demonstrated the cross-correlations between stock indices. We also discuss the MSDCCA methods of secant rolling window with different sizes and, lastly, provide some relevant implications and

Analysis on the Influence of Stock Index Futures on Chinese Stock Market

Institute of Scientific and Technical Information of China (English)

王钊

2014-01-01

As the first product of financial futures in China, CSI 300 Stock Index Futures is a symbol of the continual improvement and development of Chinese capital market system. So it would be bound to generate immeasurable influence on Chinese capital market and financial system. Starting from introducing the relevant summaries of stock index futures, this paper analyzes the influence of the stock index futures on the fluctuation in the international stock market;then, it analyzes influence of the stock index futures on the fluctuation in Chinese stock market, in order to propose some suggestions to the policies for developing Chinese stock index futures.

Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

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Muhammad Iqbal

2017-06-01

Full Text Available Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum, confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973, the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

Directory of Open Access Journals (Sweden)

Muhammad Iqbal

2017-03-01

Full Text Available Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum, confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973, the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

Elements of stock market analysis

Directory of Open Access Journals (Sweden)

Suciu, T.

2013-12-01

Full Text Available The paper represents a starting point in the presentation of the two types of stock/market analysis: the fundamental analysis and the technical analysis. The fundamental analysis consist in the assessment of the financial and economic status of the company together with the context and macroeconomic environment where it activates. The technical analysis deals with the demand and supply of securities and the evolution of their trend on the market, using a range of graphics and charts to illustrate the market tendencies for the quick identification of the best moments to buy or sell.

Stock Market and Sustainable Economic Growth in Nigeria

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Erasmus L Owusu

2016-11-01

Full Text Available This paper examines the relationship between stock market evolution and sustainable economic growth in Nigeria. The study employs Auto-Regressive Distributed Lag (ARDL-bounds testing approach and a combined stock market indicators index to examine the relationship. The paper finds that, in the long run, stock markets have no positive and at best mixed effect on economic growth in Nigeria. This finding supports the numerous past studies, which have reported negative/mixed or inconclusive results on the effects of stock markets on economic growth. The paper, therefore, concludes that, there is the need for increasing financial deepening and the removal of bottlenecks in the financial sectors of the economy by providing further public and institutional education on the value of stock markets for economic development.

Volatility of Stock Markets (an Analysis of South Asian and G8 Countries

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Muhammad Mansoor Baig

2015-12-01

Full Text Available The objective of this study is to make an analysis of volatility of stock markets between South Asian Stock Markets and Stock Markets of Group of Eight Countries. This study important for the investors whose want to invest in stock markets. This study helps investors to determine what stock market is more volatile. To make the analysis three South Asian stock markets and Group of Eight countries stock markets are selected. South Asian stock markets indexes include KSE 100 (Pakistan, SENSEX (India, ASPI (Sri Lanka, CAC 40 (France, DAX (Germany, S &P / TSX Composite (Canada, FTSE MIB (Italy, RTS (Russia, Nikkei 225 (Japan, S & P 500 (USA and FTSE 100 (UK. Data is collected from the period of January 1st 2005 to August 31st 2015. ARCH and GARCH model is used to analyze the volatility of South Asian Stock Markets and stock markets of Group of Eight Countries. The findings show that South Asian Stock Markets are less volatile while Stock Markets of Group of Eight Countries are high volatile. This study is useful for investment institutions and portfolio managers because it focuses on current issues and takes the current data.

Otolith shape analysis as a tool for stock identification of the southern blue whiting, Micromesistius australis

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Javier Leguá

2013-07-01

Full Text Available The southern blue whiting, Micromesistius australis (Norman, 1937, is an important demersal resource associated with the slope and continental shelf of southern Chile, Argentina and the Malvinas/Falkland Islands. Recent studies have reported schools of adult fish from Atlantic waters migrating along the southern Chilean coast in mid-winter, moving northwards to spawn in August (47°-51°S, and then returning to Atlantic waters, presumably to feed. The migratory pattern suggests the presence of one or more stock units associated with the South American coast. In the present study, "otolith morphometry" is used to determine the stock structure of M. australis based on applications of basic size descriptors (SDs (area, perimeter and otolith size, shape indices (SIs (circularity, squareness, shape factor, roundness, ellipticity, and normalised elliptical Fourier descriptors (NEFDs. Samples were collected during the winter and spring of 2010, during the reproductive period, in the economic zone of southern Chile (36°-57°S, in the Pacific Ocean and around the Falkland Islands economic zone (50°-52°S in the Atlantic Ocean. Analyses were conducted to include the effects of size, sex and age. A stepwise canonical discriminant analysis showed that fish were successfully discriminated with SDs, SIs and NEFDs. In this analysis, 86.4% and 70.1% of the fish were correctly classified as belonging to the Atlantic and Pacific stocks, respectively. A multivariate analysis of variance showed that the mean values of the NEFDs, SDs, and SIs did not vary significantly between sexes within areas (P > 0.05, but varied significantly between the Pacific and Atlantic oceans (P < 0.05. These results highlighted that otolith shape analysis can be a useful tool to evaluate the potential level of mixing in feeding areas where both stocks, the Pacific and Atlantic units, are expected to co-occur.

Oil futures prices and stock management: a cointegration analysis

International Nuclear Information System (INIS)

Balabanoff, Stefan

1995-01-01

Futures markets are considered important to hedgers and speculators. Therefore, they are relevant to stock management. This issue is tested empirically by applying the methodology of cointegration analysis and causality testing to the monthly average of commercial (non-strategic) primary oil stocks and monthly averages of West Texas Intermediate (WTI) spot and futures prices for one month and three-months delivery, over the period January 1985 to June 1993. Long-and short-run relations are presented. The results support the view of a relationships between futures prices and oil stocks. (author)

Analysis of the Main Indicators of the Bucharest Stock Exchange

OpenAIRE

Madalina Gabriela ANGHEL

2014-01-01

The goal of this article is to achieve an analysis of the evolution and significance of the main indicators of the Bucharest Stock Exchange (stock exchange capitalization, BET index, value of the concluded transactions) over the last fifteen years. One of the significant elements in analyzing the performances of the capital market consist of the stock exchange capitalization which an essential indicator for characterizing of this domain of activity, mainly if considering the fact that it is u...

ResStock Analysis Tool | Buildings | NREL

Science.gov (United States)

Energy and Cost Savings for U.S. Homes Contact Eric Wilson to learn how ResStock can benefit your approach to large-scale residential energy analysis by combining: Large public and private data sources uncovered $49 billion in potential annual utility bill savings through cost-effective energy efficiency

A network analysis of the Chinese stock market

Science.gov (United States)

Huang, Wei-Qiang; Zhuang, Xin-Tian; Yao, Shuang

2009-07-01

In many practical important cases, a massive dataset can be represented as a very large network with certain attributes associated with its vertices and edges. Stock markets generate huge amounts of data, which can be use for constructing the network reflecting the market’s behavior. In this paper, we use a threshold method to construct China’s stock correlation network and then study the network’s structural properties and topological stability. We conduct a statistical analysis of this network and show that it follows a power-law model. We also detect components, cliques and independent sets in this network. These analyses allows one to apply a new data mining technique of classifying financial instruments based on stock price data, which provides a deeper insight into the internal structure of the stock market. Moreover, we test the topological stability of this network and find that it displays a topological robustness against random vertex failures, but it is also fragile to intentional attacks. Such a network stability property would be also useful for portfolio investment and risk management.

Reduce the risk of stock trading by using technical analysis in iran's ...

African Journals Online (AJOL)

Reduce the risk of stock trading by using technical analysis in iran's stock market. ... In this research, efficiency of 50 active companies of Tehran Stock ... With this observation, this research suggest forming a portfolio with zero cost by purchasing ... FAQ's · More about AJOL · AJOL's Partners · Terms and Conditions of Use ...

Stock price analysis of sustainable foreign investment companies in Indonesia

Science.gov (United States)

Fachrudin, Khaira Amalia

2018-03-01

The stock price is determined by demand and supply in the stock market. Stock price reacts to information. Sustainable investment is an investment that considers environmental sustainability and human rights. This study aims to predict the probability of above average stock price by including the sustainability index as one of its variables. The population is all foreign investment companies in Indonesia. The target population is companies that distribute dividends – also as a sample. The analysis tool is a logistic regression. At 5% alpha, it was found that sustainability index did not have the probability to increase stock price average. The significant effects are free cash flow and cost of debt. However, sustainability index can increase the Negelkarke R square. The implication is that the awareness of sustainability is still necesary to be improved because from the research result it can be seen that investors only consider the risk and return.

Stock-environment recruitment analysis for Namibian Cape hake ...

African Journals Online (AJOL)

Stock-environment recruitment analysis for Namibian Cape hake Merluccius capensis. ... The factors modulating recruitment success of Cape hake Merluccius capensis in Namibian waters are still unresolved. ... AJOL African Journals Online.

Characterization of herring populations west of the British Isles: an investigation of mixing based on otolith microchemistry

NARCIS (Netherlands)

Geffen, A.J.; Nash, R.D.M.; Dickey-Collas, M.

2011-01-01

Herring along the west coast of the British Isles are managed and assessed as a series of discrete stocks. The relationship between the spawning components, mixed (feeding) aggregations, and juveniles in nursery areas for these stocks was modelled by discriminant analysis and integrated stock

Analysis of stock market returns of American and European stock market from the view of an American and a European investor

Directory of Open Access Journals (Sweden)

Oldřich Šoba

2005-01-01

Full Text Available The paper is focused on the analysis of stock market returns of American and European stock market for different investment horizon from the view of an American and European investor. The paper also partly resumes, in the part of analysis of USD/EUR exchange rate influence on market returns of mentioned stock market, research paper REJNUŠ, O., ŠOBA, O.: Changes in the USD/EUR exchange rate and their impact on the return of stock indexes from the viewpoint of a European and of an American investor. ACTA UNIVERSITATIS AGRICULTURAE ET SILVICULTURAE MENDELIANAE BRU- NENSIS, Vol. LII, No. 6, 2004, pg. 145–159, ISSN 1211-8516.The development of both American and European stock market is put on the development of two, structure-similar Standard & Poor’s exchange indexes, particularly S&P 500 and S&P Europe 350. According to the USD/EUR exchange rate, there were used the values published by FED, with the oldest data there were accepted the count ECU to EUR. The data were taken both from the weekly closing values of mentioned stock indexes and weekly closing values of USD/EUR exchange rate.The analysis was done with using the methods of quantification of „running market returns“ (recount to the average annual values of indexes from the view of both investors within the set investment horizon. The elemental statistical level characteristic – simple average, median and statistical characteristic of variability – standard deviation and variation coefficient were quantified from this time series of annual running market returns. The analysis, which was purposely oriented to six basic different long investment horizon (1 year, 2 years, 3 years, 5 years, 7 years, 10 years, has approved that in focused term of 1980–2004 the market returns of picked stock market from the view of both investors (American and European was generally higher in longer investment horizon than in the shorter investment horizon. The values of variation coefficient in

Analysis of the efficiency-integration nexus of Japanese stock market

Science.gov (United States)

Rizvi, Syed Aun R.; Arshad, Shaista

2017-03-01

This paper attempts a novel approach in analysing the Japanese economy through a dual-dimension analysis of its stock market, examining the efficiency and market integration. Taking a period of 24 years, this study employs MFDFA and MGARCH to understand how the efficiency and integration of the stock market faired during different business cycle phases of the Japanese economy. The results showed improving efficiency over the time period. For the case of market integration, our findings conform to recent literature on business cycles and stock market integration that every succeeding recession creates a break into integration levels resulting in a decrease.

Complex network analysis of conventional and Islamic stock market in Indonesia

Science.gov (United States)

Rahmadhani, Andri; Purqon, Acep; Kim, Sehyun; Kim, Soo Yong

2015-09-01

The rising popularity of Islamic financial products in Indonesia has become a new interesting topic to be analyzed recently. We introduce a complex network analysis to compare conventional and Islamic stock market in Indonesia. Additionally, Random Matrix Theory (RMT) has been added as a part of reference to expand the analysis of the result. Both of them are based on the cross correlation matrix of logarithmic price returns. Closing price data, which is taken from June 2011 to July 2012, is used to construct logarithmic price returns. We also introduce the threshold value using winner-take-all approach to obtain scale-free property of the network. This means that the nodes of the network that has a cross correlation coefficient below the threshold value should not be connected with an edge. As a result, we obtain 0.5 as the threshold value for all of the stock market. From the RMT analysis, we found that there is only market wide effect on both stock market and no clustering effect has been found yet. From the network analysis, both of stock market networks are dominated by the mining sector. The length of time series of closing price data must be expanded to get more valuable results, even different behaviors of the system.

The cross-correlation analysis of multi property of stock markets based on MM-DFA

Science.gov (United States)

Yang, Yujun; Li, Jianping; Yang, Yimei

2017-09-01

In this paper, we propose a new method called DH-MXA based on distribution histograms of Hurst surface and multiscale multifractal detrended fluctuation analysis. The method allows us to investigate the cross-correlation characteristics among multiple properties of different stock time series. It may provide a new way of measuring the nonlinearity of several signals. It also can provide a more stable and faithful description of cross-correlation of multiple properties of stocks. The DH-MXA helps us to present much richer information than multifractal detrented cross-correlation analysis and allows us to assess many universal and subtle cross-correlation characteristics of stock markets. We show DH-MXA by selecting four artificial data sets and five properties of four stock time series from different countries. The results show that our proposed method can be adapted to investigate the cross-correlation of stock markets. In general, the American stock markets are more mature and less volatile than the Chinese stock markets.

Analysis of stock investment selection based on CAPM using covariance and genetic algorithm approach

Science.gov (United States)

Sukono; Susanti, D.; Najmia, M.; Lesmana, E.; Napitupulu, H.; Supian, S.; Putra, A. S.

2018-03-01

Investment is one of the economic growth factors of countries, especially in Indonesia. Stocks is a form of investment, which is liquid. In determining the stock investment decisions which need to be considered by investors is to choose stocks that can generate maximum returns with a minimum risk level. Therefore, we need to know how to allocate the capital which may give the optimal benefit. This study discusses the issue of stock investment based on CAPM which is estimated using covariance and Genetic Algorithm approach. It is assumed that the stocks analyzed follow the CAPM model. To do the estimation of beta parameter on CAPM equation is done by two approach, first is to be represented by covariance approach, and second with genetic algorithm optimization. As a numerical illustration, in this paper analyzed ten stocks traded on the capital market in Indonesia. The results of the analysis show that estimation of beta parameters using covariance and genetic algorithm approach, give the same decision, that is, six underpriced stocks with buying decision, and four overpriced stocks with a sales decision. Based on the analysis, it can be concluded that the results can be used as a consideration for investors buying six under-priced stocks, and selling four overpriced stocks.

The long-term memory analysis of industrial indices of the Chinese stock market

International Nuclear Information System (INIS)

Yong, L

2008-01-01

The main work of this paper is to apply the fractional market theory and time series analysis for analyzing various industrial indices of the Chinese stock market by rescaling range analysis. Hurst index and the long-term memory of price change in Chinese stock market are studied

Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix

Science.gov (United States)

Takaishi, Tetsuya

2016-08-01

We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, crosscorrelation matrices are calculated with a rolling window of 400 days. To quantify the volatile market stages where the potential risk is high, we apply the principal components analysis and measure the cumulative risk fraction (CRF), which is the system variance associated with the first few principal components. From the CRF, we detected three volatile market stages corresponding to the bankruptcy of Lehman Brothers, the 2011 Tohoku Region Pacific Coast Earthquake, and the FRB QE3 reduction observation in the study period. We further apply the random matrix theory for the risk analysis and find that the first eigenvector is more equally de-localized when the market is volatile.

Dynamical Analysis of Stock Market Instability by Cross-correlation Matrix

International Nuclear Information System (INIS)

Takaishi, Tetsuya

2016-01-01

We study stock market instability by using cross-correlations constructed from the return time series of 366 stocks traded on the Tokyo Stock Exchange from January 5, 1998 to December 30, 2013. To investigate the dynamical evolution of the cross-correlations, crosscorrelation matrices are calculated with a rolling window of 400 days. To quantify the volatile market stages where the potential risk is high, we apply the principal components analysis and measure the cumulative risk fraction (CRF), which is the system variance associated with the first few principal components. From the CRF, we detected three volatile market stages corresponding to the bankruptcy of Lehman Brothers, the 2011 Tohoku Region Pacific Coast Earthquake, and the FRB QE3 reduction observation in the study period. We further apply the random matrix theory for the risk analysis and find that the first eigenvector is more equally de-localized when the market is volatile. (paper)

CSR and Company's Stock Price. A Comparative Evidence from Bucharest Stock Exchange

Directory of Open Access Journals (Sweden)

Adina Dornean

2017-05-01

Full Text Available This paper aims at analysing the relationship between Corporate Social Responsibility (CSR and stock price for the companies listed on Bucharest Stock Exchange (BSE in 2015, comparing with the results obtained for 2014. This study investigates the differences in the market stock price (and other market variables, such as dividends and stock return of companies that show CSR compared with those that do not. For this purpose we will use three statistical techniques: discriminant analysis, probit analysis model and logistic regression. There is no significant difference between the prediction ability of the models, in the context in which probit model and logistic regression have and average correct classification of 70.29%, while discriminant analysis records 71.62%. Our analysis highlighted that stock return has a significant impact on CSR activities of a company. Moreover, all discriminants have a positive impact on CSR.

Direct Survival Analysis: a new stock assessment method

Directory of Open Access Journals (Sweden)

Eduardo Ferrandis

2007-03-01

Full Text Available In this work, a new stock assessment method, Direct Survival Analysis, is proposed and described. The parameter estimation of the Weibull survival model proposed by Ferrandis (2007 is obtained using trawl survey data. This estimation is used to establish a baseline survival function, which is in turn used to estimate the specific survival functions in the different cohorts considered through an adaptation of the separable model of the fishing mortality rates introduced by Pope and Shepherd (1982. It is thus possible to test hypotheses on the evolution of survival during the period studied and to identify trends in recruitment. A link is established between the preceding analysis of trawl survey data and the commercial catch-at-age data that are generally obtained to evaluate the population using analytical models. The estimated baseline survival, with the proposed versions of the stock and catch equations and the adaptation of the Separable Model, may be applied to commercial catch-at-age data. This makes it possible to estimate the survival corresponding to the landing data, the initial size of the cohort and finally, an effective age of first capture, in order to complete the parameter model estimation and consequently the estimation of the whole survival and mortality, along with the reference parameters that are useful for management purposes. Alternatively, this estimation of an effective age of first capture may be obtained by adapting the demographic structure of trawl survey data to that of the commercial fleet through suitable selectivity models of the commercial gears. The complete model provides the evaluation of the stock at any age. The coherence (and hence the mutual “calibration” between the two kinds of information may be analysed and compared with results obtained by other methods, such as virtual population analysis (VPA, in order to improve the diagnosis of the state of exploitation of the population. The model may be

Forecasting Analysis of Shanghai Stock Index Based on ARIMA Model

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Li Chenggang

2017-01-01

Full Text Available Prediction and analysis of the Shanghai Composite Index is conducive for investors to investing in the stock market, and providing investors with reference. This paper selects Shanghai Composite Index monthly closing price from Jan, 2005 to Oct, 2016 to construct ARIMA model. This paper carries on the forecast of the last three monthly closing price of Shanghai Stock Index that have occurred, and compared it with the actual value, which tests the accuracy and feasibility of the model in the short term Shanghai Stock Index forecast. At last, this paper uses the ARIMA model to forecast the Shanghai Composite Index closing price of the last two months in 2016.

Stock management optimization. Example of the management of a reprocessed plutonium stock

International Nuclear Information System (INIS)

Herault, L.; Privault, C.

1997-01-01

This paper describes a method developed by the CEA for the management of a stock of nuclear materials of Electricite de France and which combines meta-heuristics with mathematical programing results for a better efficiency. The industrial problem to solve concerns the reprocessing of spent fuels and the reuse of their plutonium content for the manufacturing of mixed oxide (MOX) fuels. In this problem, the plutonium stock is shared into subsets which must supply fuel fabrication plants at a given date and with precise energetic, chemical and quality criteria in order to minimize the reprocessing costs. (J.S.)

The Use of Mixed Effects Models for Obtaining Low-Cost Ecosystem Carbon Stock Estimates in Mangroves of the Asia-Pacific

Science.gov (United States)

Bukoski, J. J.; Broadhead, J. S.; Donato, D.; Murdiyarso, D.; Gregoire, T. G.

2016-12-01

Mangroves provide extensive ecosystem services that support both local livelihoods and international environmental goals, including coastal protection, water filtration, biodiversity conservation and the sequestration of carbon (C). While voluntary C market projects that seek to preserve and enhance forest C stocks offer a potential means of generating finance for mangrove conservation, their implementation faces barriers due to the high costs of quantifying C stocks through measurement, reporting and verification (MRV) activities. To streamline MRV activities in mangrove C forestry projects, we develop predictive models for (i) biomass-based C stocks, and (ii) soil-based C stocks for the mangroves of the Asia-Pacific. We use linear mixed effect models to account for spatial correlation in modeling the expected C as a function of stand attributes. The most parsimonious biomass model predicts total biomass C stocks as a function of both basal area and the interaction between latitude and basal area, whereas the most parsimonious soil C model predicts soil C stocks as a function of the logarithmic transformations of both latitude and basal area. Random effects are specified by site for both models, and are found to explain a substantial proportion of variance within the estimation datasets. The root mean square error (RMSE) of the biomass C model is approximated at 24.6 Mg/ha (18.4% of mean biomass C in the dataset), whereas the RMSE of the soil C model is estimated at 4.9 mg C/cm 3 (14.1% of mean soil C). A substantial proportion of the variation in soil C, however, is explained by the random effects and thus the use of the SOC model may be most valuable for sites in which field measurements of soil C exist.

Adding trend data to Depletion-Based Stock Reduction Analysis

Data.gov (United States)

National Oceanic and Atmospheric Administration, Department of Commerce — A Bayesian model of Depletion-Based Stock Reduction Analysis (DB-SRA), informed by a time series of abundance indexes, was developed, using the Sampling Importance...

Dominating clasp of the financial sector revealed by partial correlation analysis of the stock market.

Science.gov (United States)

Kenett, Dror Y; Tumminello, Michele; Madi, Asaf; Gur-Gershgoren, Gitit; Mantegna, Rosario N; Ben-Jacob, Eshel

2010-12-20

What are the dominant stocks which drive the correlations present among stocks traded in a stock market? Can a correlation analysis provide an answer to this question? In the past, correlation based networks have been proposed as a tool to uncover the underlying backbone of the market. Correlation based networks represent the stocks and their relationships, which are then investigated using different network theory methodologies. Here we introduce a new concept to tackle the above question--the partial correlation network. Partial correlation is a measure of how the correlation between two variables, e.g., stock returns, is affected by a third variable. By using it we define a proxy of stock influence, which is then used to construct partial correlation networks. The empirical part of this study is performed on a specific financial system, namely the set of 300 highly capitalized stocks traded at the New York Stock Exchange, in the time period 2001-2003. By constructing the partial correlation network, unlike the case of standard correlation based networks, we find that stocks belonging to the financial sector and, in particular, to the investment services sub-sector, are the most influential stocks affecting the correlation profile of the system. Using a moving window analysis, we find that the strong influence of the financial stocks is conserved across time for the investigated trading period. Our findings shed a new light on the underlying mechanisms and driving forces controlling the correlation profile observed in a financial market.

Columbia River Stock Identification Study; Validation of Genetic Method, 1980-1981 Final Report.

Energy Technology Data Exchange (ETDEWEB)

Milner, George B.; Teel, David J.; Utter, Fred M. (Northwest and Alaska Fisheries Science Center, Coastal Zone and Estuarine Studies Division, Seattle, WA)

1981-06-01

The reliability of a method for obtaining maximum likelihood estimate of component stocks in mixed populations of salmonids through the frequency of genetic variants in a mixed population and in potentially contributing stocks was tested in 1980. A data base of 10 polymorphic loci from 14 hatchery stocks of spring chinook salmon of the Columbia River was used to estimate proportions of these stocks in four different blind'' mixtures whose true composition was only revealed subsequent to obtaining estimates. The accuracy and precision of these blind tests have validated the genetic method as a valuable means for identifying components of stock mixtures. Properties of the genetic method were further examined by simulation studies using the pooled data of the four blind tests as a mixed fishery. Replicated tests with samples sizes between 100 and 1,000 indicated that actual standard deviations on estimated contributions were consistently lower than calculated standard deviations; this difference diminished as sample size increased. It is recommended that future applications of the method be preceded by simulation studies that will identify appropriate levels of sampling required for acceptable levels of accuracy and precision. Variables in such studies include the stocks involved, the loci used, and the genetic differentiation among stocks. 8 refs., 6 figs., 4 tabs.

Fish stocking density impacts tank hydrodynamics

DEFF Research Database (Denmark)

Rasmussen, Michael R.; Lunger, Angela; Laursen, Jesper

2006-01-01

The effect of stocking density upon the hydrodynamics of a circular tank, configured in a recirculation system, was investigated. Red drums Sciaenops ocellatus of approximately 140 g wet weight, were stocked at five rates varying from 0 to 12 kg m-3. The impact of the presence of fish upon tank...... hydrodynamics was established using in-tank-based Rhodamine WT fluorometry at a flow rate of 0.23 l s-1 (tank exchange rate of 1.9 h-1). With increasing numbers of animals, curvilinear relationships were observed for dispersion coefficients and tank mixing times. Stocking densities of 3, 6, 9 and 12 kg m-3...

Stock market prediction using technical analysis

Directory of Open Access Journals (Sweden)

Bradić-Martinović Aleksandra

2006-01-01

Full Text Available Technical analysis (TA is a form of analyzing market encompassing supply and demand of securities according to the study of their prices and trading volume. Using the appropriate methods, TA aims to identify price movements in the stock market, futures or currencies. In short, TA analysis is the process by which "future price movements are formulated according to the price history". TA originates from the work of Charles Dow and his conclusions about the global behavior of the market, as well as from Elliot Wave Theory. Dow did not regard its theory as a tool for stock market movement prediction, nor as a guide for investors, but as a kind of barometer of general market movements. The term TA methods encompasses all the methods used in tracking prices aiming to clearly predict future events. Many different methods, mainly statistical, are used in technical analysis, the most popular ones being: establishing and following trends using moving average, recognizing price momentum, calculating indicators and oscillators, as well as cycle analysis (structure indicators. It is also necessary to point out that TA is not a science in the true meaning of the term, and that methods it uses frequently deviate from the conventional manner of their use. The main advantage of these methods is their relative ease of use, aiming to give as clear picture as possible of price movements, while at the same time avoiding the use of complicated and complex mathematical methods. The reason for this is simple and is reflected in the dynamics of financial markets, where changes occur during short periods of time and where prompt decision-making is of vital importance.

Improved management based on stock identification of eastern and western Baltic cod

DEFF Research Database (Denmark)

Hüssy, Karin; Bastardie, Francois; Eero, Margit

The objective of this project was to establish an empirically founded knowledge base for the sustainable exploitation of the western Baltic cod stock by including the complex stock structure and migration patterns. Stock mapping: Extensive immigration of “Eastern” cod into the Arkona Basin (SD 24......) within the “Western” cod’s management unit was documented using high-powered genetic tools. The majority (91%) of all spawning fish caught in SD 24 in 2011 were “Eastern” cod and only 9% were from the “Western” stock. The results suggest that the stock structure in the Arkona Basin is highly influenced...... by mixing of genetically separate stocks. Trends in mixing: Since the 1980’s where cod in SD 24 consisted primarily of “Western” type, the proportion of “Eastern” cod has increased, particularly since 2005. Throughout that period, the immigration of “Eastern” cod into SD 24 consisted primarily of adult...

Multifractal in Volatility of Family Business Stocks Listed on Casablanca STOCK Exchange

Science.gov (United States)

Lahmiri, Salim

In this paper, we check for existence of multifractal in volatility of Moroccan family business stock returns and in volatility of Casablanca market index returns based on multifractal detrended fluctuation analysis (MF-DFA) technique. Empirical results show strong evidence of multifractal characteristics in volatility series of both family business stocks and market index. In addition, it is found that small variations in volatility of family business stocks are persistent, whilst small variations in volatility of market index are anti-persistent. However, large variations in family business volatility and market index volatility are both anti-persistent. Furthermore, multifractal spectral analysis based results show strong evidence that volatility in Moroccan family business companies exhibits more multifractality than volatility in the main stock market. These results may provide insightful information for risk managers concerned with family business stocks.

Proving the Relation between Stock and Interbank Markets: The Bahrain Stock Exchange

OpenAIRE

Matveev, Aleksandr

2014-01-01

The present paper deals with further analysis of the relationship between the interbank loan rateon the one hand and the volume of investment and the amount of stocks tradable on the stock exchange on the other hand, as corroborated by calculations performed on Bahrain Stock Exchange data.

Statistical analysis of bankrupting and non-bankrupting stocks

Science.gov (United States)

Li, Qian; Wang, Fengzhong; Wei, Jianrong; Liang, Yuan; Huang, Jiping; Stanley, H. Eugene

2012-04-01

The recent financial crisis has caused extensive world-wide economic damage, affecting in particular those who invested in companies that eventually filed for bankruptcy. A better understanding of stocks that become bankrupt would be helpful in reducing risk in future investments. Economists have conducted extensive research on this topic, and here we ask whether statistical physics concepts and approaches may offer insights into pre-bankruptcy stock behavior. To this end, we study all 20092 stocks listed in US stock markets for the 20-year period 1989-2008, including 4223 (21 percent) that became bankrupt during that period. We find that, surprisingly, the distributions of the daily returns of those stocks that become bankrupt differ significantly from those that do not. Moreover, these differences are consistent for the entire period studied. We further study the relation between the distribution of returns and the length of time until bankruptcy, and observe that larger differences of the distribution of returns correlate with shorter time periods preceding bankruptcy. This behavior suggests that sharper fluctuations in the stock price occur when the stock is closer to bankruptcy. We also analyze the cross-correlations between the return and the trading volume, and find that stocks approaching bankruptcy tend to have larger return-volume cross-correlations than stocks that are not. Furthermore, the difference increases as bankruptcy approaches. We conclude that before a firm becomes bankrupt its stock exhibits unusual behavior that is statistically quantifiable.

Converting partially-stocked aspen stands to fully-stocked stands in the Lake States: an economic analysis.

Science.gov (United States)

Jeffrey T. Olson; Allen L. Lundgren

1978-01-01

The 1968 Wisconsin Forest Survey showed large areas of aspen type that are not considered fully stocked. The economic feasibility of converting partially-stocked stands to full stocking is examined, and a rule presented for determining when a partially-stocked stand should be harvested to maximize its present value.

Simplified stock markets described by number operators

Science.gov (United States)

Bagarello, F.

2009-06-01

In this paper we continue our systematic analysis of the operatorial approach previously proposed in an economical context and we discuss a mixed toy model of a simplified stock market, i.e. a model in which the price of the shares is given as an input. We deduce the time evolution of the portfolio of the various traders of the market, as well as of other observable quantities. As in a previous paper, we solve the equations of motion by means of a fixed point like approximation.

Jakarta Islamic Index-L 45: Rate Financial Performance, Beta Stocks and Stock Price in Indonesian Stock Exchange

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Tajus Subqi

2016-08-01

Full Text Available This research had analyzed the effect of financial performance and stock beta (systematic risk towards stock price of eight listed companies in Jakarta Islamic Index (JII – LQ 45 for the time period of 2012-2014. The data was gathered by employing literature study and documentation of financial statements. Multiple regressions are used to measure the effect of independent variable towards dependent variable along with ttest and F test. The results based on overall test suggested that only ROE and NPM had opposite direction correlation with the stock price, meanwhile other variables had positive direction correlation. From partial test with 5% level of significance, only EPS and PER had significant effect on stock price while other variables had no effect.   Keywords: financial performance analysis, stock price, stock beta (systematic risk, Jakarta Islamic Index

A first application of independent component analysis to extracting structure from stock returns.

Science.gov (United States)

Back, A D; Weigend, A S

1997-08-01

This paper explores the application of a signal processing technique known as independent component analysis (ICA) or blind source separation to multivariate financial time series such as a portfolio of stocks. The key idea of ICA is to linearly map the observed multivariate time series into a new space of statistically independent components (ICs). We apply ICA to three years of daily returns of the 28 largest Japanese stocks and compare the results with those obtained using principal component analysis. The results indicate that the estimated ICs fall into two categories, (i) infrequent large shocks (responsible for the major changes in the stock prices), and (ii) frequent smaller fluctuations (contributing little to the overall level of the stocks). We show that the overall stock price can be reconstructed surprisingly well by using a small number of thresholded weighted ICs. In contrast, when using shocks derived from principal components instead of independent components, the reconstructed price is less similar to the original one. ICA is shown to be a potentially powerful method of analyzing and understanding driving mechanisms in financial time series. The application to portfolio optimization is described in Chin and Weigend (1998).

Cluster fusion-fission dynamics in the Singapore stock exchange

Science.gov (United States)

Teh, Boon Kin; Cheong, Siew Ann

2015-10-01

In this paper, we investigate how the cross-correlations between stocks in the Singapore stock exchange (SGX) evolve over 2008 and 2009 within overlapping one-month time windows. In particular, we examine how these cross-correlations change before, during, and after the Sep-Oct 2008 Lehman Brothers Crisis. To do this, we extend the complete-linkage hierarchical clustering algorithm, to obtain robust clusters of stocks with stronger intracluster correlations, and weaker intercluster correlations. After we identify the robust clusters in all time windows, we visualize how these change in the form of a fusion-fission diagram. Such a diagram depicts graphically how the cluster sizes evolve, the exchange of stocks between clusters, as well as how strongly the clusters mix. From the fusion-fission diagram, we see a giant cluster growing and disintegrating in the SGX, up till the Lehman Brothers Crisis in September 2008 and the market crashes of October 2008. After the Lehman Brothers Crisis, clusters in the SGX remain small for few months before giant clusters emerge once again. In the aftermath of the crisis, we also find strong mixing of component stocks between clusters. As a result, the correlation between initially strongly-correlated pairs of stocks decay exponentially with average life time of about a month. These observations impact strongly how portfolios and trading strategies should be formulated.

An Empirical Analysis of Stock Market Development and Economic Growth: The Case of Macedonia

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Lazarov Darko

2016-12-01

Full Text Available This paper has two goals. The first goal is to investigate the influence of stock market development on economic growth for a group of 14 transition economies from the Central and South-East European (CSEE region in the period 2002-2012, while the second is to analyze the main characteristics and specificities of the stock market in the Republic of Macedonia. To fulfil the first goal, we apply panel regression models (fixed and random effects and a dynamic panel model (Generalized Method of Moments – GMM, while we use a single country approach and comparative analysis to examine the main characteristics of the Macedonian stock market. The estimated results indicate that stock market development is positive and significantly correlated with economic growth. Additionally, the comparative analysis of the stock market in the Republic of Macedonia suggests that the Macedonian stock market is still underdeveloped and faces a number of challenges before it can enter a new phase of development after the negative impact of the global financial crisis. Those challenges include capital market regional integration and the harmonization of legal and institutional frameworks such as bankruptcy procedures, accounting and reporting standards, public sector regulatory bodies, corporate governance and a liberalized trade regime.

COMPARATIVE RESEARCH ON THE FUNDAMENTAL ANALYSIS OF SHARES FROM COMPANIES LISTED ON BUCHAREST STOCK EXCHANGE

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Mihaela-Cristina Onica

2015-05-01

Full Text Available Upon passing to a market economy, it became necessary to find out information as accurate as possible regarding the risk of bankruptcy of a certain companyin the future, in order to determine the share of such a risk and the importance of the fundamental analysis within the prediction of the evolution of stock price. In spite of these, specialists say that this type of analysis, in relation to the technical analysis, in the context of the financial crisis, determined an accentuated decrease of the stock exchange indices on an international level. The paper deals with the results of the research and of a comparative study regarding the fundamental analysis of the shares of 6 companies listed on Bucharest Stock Exchange (BVB.

ANALYSIS OF ENERGY SAVING AND ENERGY EFFICIENCY ISSUES DURING OPERATION OF THE METRO ROLLING STOCK

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A. V. Donchenko

2016-06-01

Full Text Available Purpose.Nowadays a problem of significant power consumption of the rolling stock during its operation is a current issue. In connection with staged electricity rates increase further development of the rail electric transport, including metro rolling stock is impossible without a use of modern energy saving solutions and energy-efficient systems. To solve the specified problem it is necessary to carry out analysis of measures and determine prospective directions in energy saving and increase of energy efficiency on the metro rolling stock. Methodology. Using methods of scientific analysis, generalization, comparative analysis, forecasting and using results of experimental studies, the authors determined main ways for reduction of energy consumption during operation of the metro rolling stock. Energy cost analysis for metro rolling stock of the public utility (PU «Kiev Metro» was carried out. A great number of research works of native and foreign authors concerning the above mentioned problem were analyzed. Findings. Principal directions in energy saving and increase of energy efficiency of the metro rolling stock are implementation of recuperation systems, energy storage systems and energy-efficient control systems. It was determined that implementation of recuperation and energy storage systems helps to save a considerable amount of energy, consumed for traction, but it involves substantial investments. It is pointed out that in current complicated conditions of economic development of Ukraine, use of energy-efficient control systems is a perspective direction in energy saving. Main advantage of this direction is the economic effect obtaining without significant investments. Originality. For the first time was performed potential assessment for energy saving as a result of energy-efficient control systems use at type routine rolling stock operation modes on sections «Khreschatik –Teatralnaya – Khreschatik» and «Shulyavskaya �

An analysis on energy efficiency initiatives in the building stock of Liege, Belgium

International Nuclear Information System (INIS)

Singh, Manoj Kumar; Mahapatra, Sadhan; Teller, Jacques

2013-01-01

Built environment is responsible for 60% of total energy consumption in European countries and 128 million BOE of primary energy in Belgium. The average energy consumption in the residential buildings of Belgium is 70% higher than the EU average and stands at 348 kW h/m 2 /year. Energy Performance Building Directive (EPBD) provides guidelines for energy performance analysis of buildings in Belgium. In this study, a holistic approach has been adopted to analyse the building stock of Liege, Belgium. This analysis is based on ‘General Socio-economic survey 2001’ and ‘Housing quality survey 2006 in Walloon region’ databases. It considers parameters such as buildings age, built-up area, type of heating system, type of fuel used, adjacency, insulation of roofs and walls and energy consumption etc. for an in depth analysis. This study concludes that about 69% of buildings which are constructed before 1945 needs serious renovation towards the improvement of roof and external wall insulation level. It then successfully identifies specific areas which need detailed study to evaluate the comfort status in the existing building stock, improvement of insulation level and its effect on heating energy consumption as well as the economic analysis on energy efficiency measurements. -- Highlights: •Energy efficiency studies of building stock of Liege, Belgium. •Energy Performance Building Directive is used as reference for analysis. •Buildings age, built-up area and energy consumption data are used for analysis. •Identifies the areas to improve energy efficiency of building stock

Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis

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Wang Kuan-Min

2013-01-01

Full Text Available This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and the US. To facilitate the validation of contagion effects with market-related coefficients, this paper constructs a bivariate EGARCH model of dynamic conditional correlation coefficients. Using the correlation contagion test and Dungey et al.’s (2005 contagion test, we find contagion effects between the Vietnamese and four other stock markets, namely Japan, Singapore, China, and the US. Second, we show that the Japanese stock market causes stronger contagion risk in the Vietnamese stock market compared to the stock markets of China, Singapore, and the US. Finally, we show that the Chinese and US stock markets cause weaker contagion effects in the Vietnamese stock market because of stronger interdependence effects between the former two markets.

Functional Principal Components Analysis of Shanghai Stock Exchange 50 Index

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Zhiliang Wang

2014-01-01

Full Text Available The main purpose of this paper is to explore the principle components of Shanghai stock exchange 50 index by means of functional principal component analysis (FPCA. Functional data analysis (FDA deals with random variables (or process with realizations in the smooth functional space. One of the most popular FDA techniques is functional principal component analysis, which was introduced for the statistical analysis of a set of financial time series from an explorative point of view. FPCA is the functional analogue of the well-known dimension reduction technique in the multivariate statistical analysis, searching for linear transformations of the random vector with the maximal variance. In this paper, we studied the monthly return volatility of Shanghai stock exchange 50 index (SSE50. Using FPCA to reduce dimension to a finite level, we extracted the most significant components of the data and some relevant statistical features of such related datasets. The calculated results show that regarding the samples as random functions is rational. Compared with the ordinary principle component analysis, FPCA can solve the problem of different dimensions in the samples. And FPCA is a convenient approach to extract the main variance factors.

An analysis of seasonality fluctuations in the oil and gas stock returns

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Muhammad Surajo Sanusi

2016-12-01

Full Text Available This paper investigates the existence of seasonality anomalies in the stock returns of the oil and gas companies on the London Stock Exchange. It employs F-test, Kruskal–Wallis and Tukey tests to examine days-of-the-week effect. Generalised autoregressive conditional heteroscedasticity specification was also employed to investigate both the days-of-the-week and months-of-the-year effects. The analysis had been extended to some key FTSE indices. Our results showed no evidence of any regularity or seasonal fluctuation in the oil and gas stock returns despite the seasonal changes of demand in the companies’ products. However, January effect has been observed in FTSE All Share and FTSE 100 indices.

12 CFR 552.2-6 - Conversion from stock form depository institution to Federal stock association.

Science.gov (United States)

2010-01-01

... all applicable statutes and regulations, including, without limitation, section 5(d) of the Federal... stock organization at § 552.2-1. (b) Any and all of the assets and other property (whether real, personal, mixed, tangible or intangible, including choses in action, rights, and credits) of the former...

Volatility-constrained multifractal detrended cross-correlation analysis: Cross-correlation among Mainland China, US, and Hong Kong stock markets

Science.gov (United States)

Cao, Guangxi; Zhang, Minjia; Li, Qingchen

2017-04-01

This study focuses on multifractal detrended cross-correlation analysis of the different volatility intervals of Mainland China, US, and Hong Kong stock markets. A volatility-constrained multifractal detrended cross-correlation analysis (VC-MF-DCCA) method is proposed to study the volatility conductivity of Mainland China, US, and Hong Kong stock markets. Empirical results indicate that fluctuation may be related to important activities in real markets. The Hang Seng Index (HSI) stock market is more influential than the Shanghai Composite Index (SCI) stock market. Furthermore, the SCI stock market is more influential than the Dow Jones Industrial Average stock market. The conductivity between the HSI and SCI stock markets is the strongest. HSI was the most influential market in the large fluctuation interval of 1991 to 2014. The autoregressive fractionally integrated moving average method is used to verify the validity of VC-MF-DCCA. Results show that VC-MF-DCCA is effective.

Commodities and Stock Investment

Directory of Open Access Journals (Sweden)

Syed Jawad Hussain Shahzad

2014-09-01

Full Text Available This study is a multivariate analysis of commodities and stock investment in a newly established market scenario. Return distribution asymmetry is examined with higher order movements. Skewness in commodity future’s return is largely insignificant, whereas kurtosis is highly significant for both stock and commodity future contracts. Correlation analysis is done with Pearson’s and Kendall’s tau measures. Commodities provide significant diversification benefits when added in a portfolio of stocks. Compared with stocks, commodity future’s returns show stronger correlation with unexpected inflation. The volatility is measured through Glosten-Jagannathan-Runkle - Generalized Autoregressive Conditional Heteroskedasticity (GJR-GARCH model and reflects that commodities have inverted asymmetric behavior, that is, more impact from the upward shocks compared with downward. Stocks have asymmetric volatility, that is, more impact from negative shocks compared with positive. Gold has highest inverted asymmetric volatility. Tail dependence, measured through Student’s t copula, shows no combined downside movement. In conclusion, commodity investments provide diversification and inflation protection.

Stock Market Autoregressive Dynamics: A Multinational Comparative Study with Quantile Regression

Directory of Open Access Journals (Sweden)

Lili Li

2016-01-01

Full Text Available We study the nonlinear autoregressive dynamics of stock index returns in seven major advanced economies (G7 and China. The quantile autoregression model (QAR enables us to investigate the autocorrelation across the whole spectrum of return distribution, which provides more insightful conditional information on multinational stock market dynamics than conventional time series models. The relation between index return and contemporaneous trading volume is also investigated. While prior studies have mixed results on stock market autocorrelations, we find that the dynamics is usually state dependent. The results for G7 stock markets exhibit conspicuous similarities, but they are in manifest contrast to the findings on Chinese stock markets.

Parentage assignment of progeny in mixed milt fertilization of ...

African Journals Online (AJOL)

Parentage of a stock of mixed milt produced progeny in current artificial breeding protocol of endangered Caspian brown trout, Salmo trutta caspius, was determined using three microsatellite loci chosen after a primary analysis of genetic diversity at nine microsatellite loci in the eight used breeder individuals. Overall ...

Fish otoliths analysis by PIXE: application to stock discrimination

International Nuclear Information System (INIS)

Arai, Nobuaki; Takai, Noriyuki; Sakamoto, Wataru; Yoshida, Koji; Maeda, Kuniko.

1996-01-01

Fish otoliths are continuously deposited from fish birth to its death along with encoding environmental information. In order to decode the information, PIXE was adopted as trace elemental analysis of the otoliths. Strontium to calcium concentration ratios of red sea bream otoliths varied among rearing stations. The Sr/Ca ratios of Lake Biwa catfishes also varied between male and female and among fishing grounds. The PIXE analysis was applied to the fish stock discrimination. (author)

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation

DEFF Research Database (Denmark)

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun

itself. Macro-finance variables and the lagged realized correlation are simultaneously significant in forecasting the long-run stock-bond correlation. The behavior of the long-run stock-bond correlation is very different when estimated taking the macro-finance variables into account. Supporting......We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized correlation...

Islamic versus conventional stock market and its co-movement with crude oil: a wavelet analysis

OpenAIRE

Kamarudin, Eka Azrin; Masih, Mansur

2015-01-01

Crude oil market plays an important role in economic development and its price changes give huge impact to the financial markets. In this paper, the relationships between crude oil and stock markets are examined. This study has selected Malaysian Islamic and conventional stock markets as a case study. Financialisation of crude oil and its frequent inclusion into investment portfolios warrant an analysis of the relationship between crude oil and stock market indices at various time scales or i...

Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange

OpenAIRE

Febrian, Erie; Herwany, Aldrin

2007-01-01

For both risk management and portfolio selection purposes, modeling the linkage across financial markets is crucial, especially among neighboring stock markets. In investigating the dependence or co-movement of three or more stock markets in different countries, researchers frequently use co-integration and causality analysis. Nevertheless, they conducted the causality in mean tests but not the causality in variance tests. This paper examines the co-integration and causal relations among ...

Analysis of portfolio optimization with lot of stocks amount constraint: case study index LQ45

Science.gov (United States)

Chin, Liem; Chendra, Erwinna; Sukmana, Agus

2018-01-01

To form an optimum portfolio (in the sense of minimizing risk and / or maximizing return), the commonly used model is the mean-variance model of Markowitz. However, there is no amount of lots of stocks constraint. And, retail investors in Indonesia cannot do short selling. So, in this study we will develop an existing model by adding an amount of lot of stocks and short-selling constraints to get the minimum risk of portfolio with and without any target return. We will analyse the stocks listed in the LQ45 index based on the stock market capitalization. To perform this analysis, we will use Solver that available in Microsoft Excel.

Forecast Correlation Coefficient Matrix of Stock Returns in Portfolio Analysis

OpenAIRE

Zhao, Feng

2013-01-01

In Modern Portfolio Theory, the correlation coefficients decide the risk of a set of stocks in the portfolio. So, to understand the correlation coefficients between returns of stocks, is a challenge but is very important for the portfolio management. Usually, the stocks with small correlation coefficients or even negative correlation coefficients are preferred. One can calculate the correlation coefficients of stock returns based on the historical stock data. However, in order to control the ...

The Effects of Domestic Macroeconomic Determinants on Stock Returns: A Sector Level Analysis

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Şerife Özlen

2014-08-01

Full Text Available Investment analysis should be carefully performed in stock markets. Therefore, firms take necessary actions according to stock market behavior and macroeconomic variables. Therefore, the predictability of stock market determinants becomes important. This study aims to identify the effects of selected macroeconomic factors (interest rate, exchange rates, inflation-consumer price index, current account deficit, unemployment rates and sector indices on stock returns of selected 48 companies in 11 different sectors of Istanbul Stock Exchange including electric, food, communication, paper, chemistry, metal-main, metal-product, stone, textile, commerce and transportation sectors. The study employs ARDL approach on the period between the second month of 2005 and the second month of 2012 including 85 monthly observations. According to the results, Sector Indices are found to be quite influential through the selected sectors. Exchanges rate is also significantly influential on almost all the sectors except Communication and Textile sectors. The impacts of Interest Rate, Inflation Rate, Current Account Deficit, and Unemployment Rate are various through the selected sectors. Moreover, the influence of Istanbul Stock Exchange Market on the stock returns of considered companies is significantly clear through the sectors except six companies (two companies from Paper sector, one company from Metal-Main sector, two companies from Stone sector and one company from Textile sector out of 48 companies. Since it includes a wide range of companies and sectors, this study is expected to be useful for all policy makers and investment decisions.

TIME SERIES ANALYSIS ON STOCK MARKET FOR TEXT MINING CORRELATION OF ECONOMY NEWS

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Sadi Evren SEKER

2014-01-01

Full Text Available This paper proposes an information retrieval methodfor the economy news. Theeffect of economy news, are researched in the wordlevel and stock market valuesare considered as the ground proof.The correlation between stock market prices and economy news is an already ad-dressed problem for most of the countries. The mostwell-known approach is ap-plying the text mining approaches to the news and some time series analysis tech-niques over stock market closing values in order toapply classification or cluster-ing algorithms over the features extracted. This study goes further and tries to askthe question what are the available time series analysis techniques for the stockmarket closing values and which one is the most suitable? In this study, the newsand their dates are collected into a database and text mining is applied over thenews, the text mining part has been kept simple with only term frequency – in-verse document frequency method. For the time series analysis part, we havestudied 10 different methods such as random walk, moving average, acceleration,Bollinger band, price rate of change, periodic average, difference, momentum orrelative strength index and their variation. In this study we have also explainedthese techniques in a comparative way and we have applied the methods overTurkish Stock Market closing values for more than a2 year period. On the otherhand, we have applied the term frequency – inversedocument frequency methodon the economy news of one of the high-circulatingnewspapers in Turkey.

Persistent collective trend in stock markets

Science.gov (United States)

Balogh, Emeric; Simonsen, Ingve; Nagy, Bálint Zs.; Néda, Zoltán

2010-12-01

Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its stock components are studied between 1991 and 2008. Pearson-type correlations are computed between the stocks and averaged over stock pairs and time. The results indicate a general trend: whenever the stock index is falling the stock prices are changing in a more correlated manner than in case the stock index is ascending. A thorough statistical analysis of the data shows that the observed difference is significant, suggesting a constant fear factor among stockholders.

Energy and emergy analysis of mixed crop-livestock farming

Science.gov (United States)

Kuczuk, Anna; Pospolita, Janusz; Wacław, Stefan

2017-10-01

This paper contains substance and energy balances of mixed crop-livestock farming. The analysis involves the period between 2012 and 2015. The structure of the presentation in the paper includes: crops and their structure, details of the use of plants with a beneficial effect on soil and stocking density per 1ha of agricultural land. Cumulative energy intensity of agricultural animal and plant production was determined, which is coupled the discussion of the energy input in the production of a grain unit obtained from plant and animal production. This data was compared with the data from the literature containing examples derived from intensive and organic production systems. The environmental impact of a farm was performed on the basis of emergy analysis. Emergy fluxes were determined on the basis of renewable and non-renewable sources. As a consequence, several performance indicators were established: Emergy Yield Ratio EYR, Environmental Loading Ratio ELR and ratio of emergy from renewable sources R! . Their values were compared with the parameters characterizing other production patterns followed in agricultural production. As a consequence, conclusions were derived, in particular the ones concerning environmental sustainability of production systems in the analyzed farm.

Wavelet Analysis of Central European Stock Market Behaviour During the Crisis

Czech Academy of Sciences Publication Activity Database

Baruník, Jozef; Vácha, Lukáš

2009-01-01

Roč. 2009, č. 23 (2009), s. 1-14 R&D Projects: GA ČR GP402/08/P207; GA ČR GD402/09/H045 Grant - others:GAUK(CZ) 46108 Institutional research plan: CEZ:AV0Z10750506 Keywords : wavelet analysis * multiresolution analysis * Central European stock markets * financial crisis Subject RIV: AH - Economics

PORTFOLIO ANALYSIS BASED ON THE EXAMPLE OF ZAGREB STOCK EXCHANGE

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Sinisa Bogdan

2010-06-01

Full Text Available In this paper we analyze the portfolio that was selected from the Zagreb Stock Exchange and also try to assess its risks and its future offerings that are relevant in making the decisions about investments. Through the work we will explain the importance of diversification and how the very diversification reduces risk. We will also analyze the systemic risk of individual stocks within the portfolio and the systemic risk of the given portfolio and explain its importance. Through regression analysis we will analyze the securities with the highest and lowest systemic risk and will clarify the results. At the end we will explain the correlation in the selected portfolio and point out the importance of the correlation and diversification itself.

A cointegration analysis of wine stock indexes

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Sabina Introvigne

2017-12-01

Full Text Available This paper analyzes price patterns and long-run relationships for both fine wine and non-fine wine, with the aim to highlight price dynamics and co-movements between series, and to exploit potential diversification benefits. Data are from Liv-Ex 100 Fine Wine for fine wine, the Mediobanca Global Wine Industry Share Price for normal wine, and the MSCI World Index as a proxy of the overall stock market. Engle-Granger and Johansen tests were used to detect whether and to what extent the series co-move in the long run and which one of the variables contributes proactively to such an equilibrium by reacting to disequilibria from the long-run path. The estimates highlight that i the two wine indexes have a higher Sharpe ratio compared to the general stock market index, revealing wine stocks as a profitable investment per se, and ii the absence of cointegration among the three series and the existence of possible diversification benefits. In fact, in the long-run price do not move together and, therefore, investors may be better off by including wine stocks into investment portfolios and take advantage of diversification

Stock Market Expectations of Dutch Households.

Science.gov (United States)

Hurd, Michael; van Rooij, Maarten; Winter, Joachim

2011-04-01

Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other approaches to investigate this puzzle, recent research has started to elicit private households' expectations of stock market returns. This paper reports findings from a study that collected data over a two-year period both on households' stock market expectations (subjective probabilities of gains or losses) and on whether they own stocks. We document substantial heterogeneity in financial market expectations. Expectations are correlated with stock ownership. Over the two years of our data, stock market prices increased, and expectations of future stock market price changes also increased, lending support to the view that expectations are influenced by recent stock gains or losses.

An Empirical Analysis Of Stock Returns And Volatility: The Case Of Stock Markets From Central And Eastern Europe

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Okičić Jasmina

2015-04-01

Full Text Available The main goal of this paper is to investigate the behaviour of stock returns in the case of stock markets from Central and Eastern Europe (CEE, focusing on the relationship between returns and conditional volatility. Since there is relatively little empirical research on the volatility of stock returns in underdeveloped stock markets, with even fewer studies on markets in the transitional economies of the CEE region, this paper is designed to shed some light on the econometric modelling of the conditional mean and volatility of stock returns from this region. The results presented in this paper provide confirmatory evidence that ARIMA and GARCH processes provide parsimonious approximations of mean and volatility dynamics in the case of the selected stock markets. There is overwhelming evidence corroborating the existence of a leverage effect, meaning that negative shocks increase volatility more than positive shocks do. Since financial decisions are generally based upon the trade-off between risk and return, the results presented in this paper will provide valuable information in decision making for those who are planning to invest in stock markets from the CEE region.

Stock Analysis of S.C. ROPHARMA S.A. the Example of Romanian Pharmaceutical Entity

Directory of Open Access Journals (Sweden)

Mihaela-Cristina ONICA

2011-11-01

Full Text Available Stock performance analysis can not find a better place than after presentation of earnings per share, the latter being one of the indicators on the performance of companies listed on capital markets. Exchange rates are considered final term market performance of listed companies since they incorporate information concerning stock, but also financial and accounting data on the net result for the year, sales per share, dividend per share, book value per share, etc. Stock rate of action is the barometer of a company's overall performance, officially recognized by the public through the capital market. But changes in stock price is determined by the evolution of economic and financial results of the enterprise, but also investors' expectations about the possibilities of its development, progress and prospects the industry in which company operates, and national and international economic trends.

Analysis of cyclical behavior in time series of stock market returns

Science.gov (United States)

Stratimirović, Djordje; Sarvan, Darko; Miljković, Vladimir; Blesić, Suzana

2018-01-01

In this paper we have analyzed scaling properties and cyclical behavior of the three types of stock market indexes (SMI) time series: data belonging to stock markets of developed economies, emerging economies, and of the underdeveloped or transitional economies. We have used two techniques of data analysis to obtain and verify our findings: the wavelet transform (WT) spectral analysis to identify cycles in the SMI returns data, and the time-dependent detrended moving average (tdDMA) analysis to investigate local behavior around market cycles and trends. We found cyclical behavior in all SMI data sets that we have analyzed. Moreover, the positions and the boundaries of cyclical intervals that we found seam to be common for all markets in our dataset. We list and illustrate the presence of nine such periods in our SMI data. We report on the possibilities to differentiate between the level of growth of the analyzed markets by way of statistical analysis of the properties of wavelet spectra that characterize particular peak behaviors. Our results show that measures like the relative WT energy content and the relative WT amplitude of the peaks in the small scales region could be used to partially differentiate between market economies. Finally, we propose a way to quantify the level of development of a stock market based on estimation of local complexity of market's SMI series. From the local scaling exponents calculated for our nine peak regions we have defined what we named the Development Index, which proved, at least in the case of our dataset, to be suitable to rank the SMI series that we have analyzed in three distinct groups.

Ranking Tehran’s Stock Exchange Top Fifty Stocks Using Fundamental Indexes and Fuzzy TOPSIS

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E. S. Saleh

2017-08-01

Full Text Available Investment through the purchase of securities, constitute an important part of countries economic exchange. Therefore, making decisions about investing in a particular stock has become one of the most controversial areas of economic and financial research and various institutions have began to rank companies stock and determine priorities of stock purchase to investment. The current research, with the determination of important required indexes for companies ranking based on their shares value on the Tehran stock exchange, can greatly help to the accurate ranking of fifty premier listed companies. Initial ranking indicators are extracted and then a decision-making group (exchange experts with the use of the Delphi method and also non-parametric statistic methods, determines the final indexes. Then, by using Fuzzy ANP, weight criteria are obtained with taking into account their interaction with each other. Finally, using fuzzy TOPSIS and information extraction about the premier fifty listed companies of Tehran stock exchange in 2014 are ranked with the software "Rahavard Novin”. Sensitivity analysis to criteria weight and relevant analysis presentation was conducted at the end of the study procedures.

Market reaction to grouping equities in stock markets: An empirical analysis on Borsa Istanbul

Directory of Open Access Journals (Sweden)

Yilmaz Yildiz

2017-12-01

Full Text Available The main aim of this study is to investigate the market reaction to stock grouping announcements in Borsa Istanbul which requires stocks to be classified into groups “A”, “B” and “C” according to their market capitalization and floating rates. By utilizing event study analysis, our results suggest that grouping announcements have significant effect on stock prices and trading volume. The event day positive (negative relationship between abnormal return and volume for the upgraded (downgraded stocks supports the downward sloping demand curve hypothesis. Moreover, findings also suggest that stocks which are upgraded to Group A are exposed to more attention which is in line with the attention hypothesis. The reverse is valid for the downgraded firms. We find no evidence of price reversals and long-term symmetrical liquidity effect which lead us to reject price pressure and liquidity hypotheses. Finally, we reach controversial evidence for the information hypothesis. Keywords: Equity grouping, Regulation, Price and volume effects, Jel Classification: G11, G12, G14

Portfolio volatility of Islamic and conventional stock: The case of Indonesia stock market

Directory of Open Access Journals (Sweden)

Aldrin Herwany

2013-12-01

Full Text Available Conventional finance suggests that the higher the risk of an investment, the higher the return it should give. Nevertheless, whether Islamic stocks that offer alternative investment in the stock market suggest different risk-return relationship still needs to be investigated. This empirical study is aimed at assessing risk-return behavior of Islamic stocks. This study employs cross sectional data of portfolio developed using beta-rank and market capitalization, in which daily data will better reflect the real volatility. This study also measures volatility of both conventional and Islamic stocks using Value-at-Risk (VaR. To check whether Islamic stocks are immune from any impact of financial crisis, this study utilizes three periods of observation, i.e., before, during and after the 2008 crisis. This study assesses risk and return using Multi-index model, in which variables tested are the respective fundamental factors. Results of this study will provide more accurate approach in Islamic stocks analysis.

Make to stock and mix to order

DEFF Research Database (Denmark)

Akkerman, Renzo; van der Meer, Dirk; van Donk, Dirk Pieter

2010-01-01

In contrast to discrete manufacturers, food-processing companies can sometimes produce the same end products in different ways: either mix first and then process, or process first and mix later. Moreover, a final product can be mixed from different raw materials or intermediates. That adds a new...... dimension to postponement and decoupling point theory as choices have to be made not only with regard to where to locate inventory, but also which products to store. That aspect has not been covered so far. This paper explores this problem for a typical two-stage food production situation in a flour mill....... The number and composition of intermediate products in the decoupling point is determined using a stepwise solution approach supported by mathematical programming models. The procedure facilitates decision-making for the management of the mill regarding how many and what intermediates to store. Extensions...

Admixture analysis and stocking impact assessment in brown trout ( Salmo trutta ), estimated with incomplete baseline data

DEFF Research Database (Denmark)

Hansen, Michael Møller; Eg Nielsen, Einar; Bekkevold, Dorte

2001-01-01

the populations contributing to admixture. We applied the method to analyse the genetic contribution of domesticated brown trout (Salmo trutta) in samples of anadromous trout from two stocked populations with no genetic data available before stocking. Further, we estimated population level admixture proportions...... by the mean of individual admixture coefficients. This method proved more informative than a multidimensional scaling analysis of individual-based genetic distances and assignment tests. The results showed almost complete absence of stocked, domesticated trout in samples of trout from the rivers. Consequently......, stocking had little effect on improving fisheries. In one population, the genetic contribution by domesticated trout was small, whereas in the other population, some genetic impact was suggested. Admixture in this sample of anadromous trout despite absence of stocked domesticated trout could be because...

Stock Market Integration in Africa: The Case of the Johannesburg Stock Exchange and Selected African Countries

OpenAIRE

Gail Ncube; Kapingura Forget Mingiri

2015-01-01

African stock markets are deemed to be small, segmented and illiquid. Given this back ground, the study utilises monthly data for the period 2000-2008, employing the Johansen and Julius cointegration method to determine the long-run relationship between the five selected African stock markets. Granger causality tests were also conducted to establish if there are any causal links between the stock markets in Africa. The analysis in the study indicates that African stock markets are improving i...

Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation

DEFF Research Database (Denmark)

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun

We use Baker, Bloom, and Davis’s (2016) economic policy uncertainty indices in combination with the mixed data sampling (MIDAS) approach to investigate long-run stock market volatility and correlation, primarily for the US and UK. Long-run US–UK stock market correlation depends positively on US...... economic policy uncertainty shocks. The dependence is asymmetric, with only positive shocks - increasing uncertainty - being of importance. The US long-run stock market volatility depends significantly on US economic policy uncertainty shocks but not on UK shocks, while the UK long-run stock market...... volatility depends significantly on both. Allowing for US economic policy uncertainty shocks improves the out-of-sample forecasting of US–UK stock market correlation and enhances portfolio performance. Similar results apply to the long-run correlation between the US and Canada, China, and Germany....

Tick size and stock returns

Science.gov (United States)

Onnela, Jukka-Pekka; Töyli, Juuso; Kaski, Kimmo

2009-02-01

Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid-ask spread, influences the strategy of trading order placement in electronic markets, affects the price formation mechanism, and appears to be related to the long-term memory of volatility clustering. In this paper we investigate the impact of tick size on stock returns. We start with a simple simulation to demonstrate how continuous returns become distorted after confining the price to a discrete grid governed by the tick size. We then move on to a novel experimental set-up that combines decimalization pilot programs and cross-listed stocks in New York and Toronto. This allows us to observe a set of stocks traded simultaneously under two different ticks while holding all security-specific characteristics fixed. We then study the normality of the return distributions and carry out fits to the chosen distribution models. Our empirical findings are somewhat mixed and in some cases appear to challenge the simulation results.

Based on BP Neural Network Stock Prediction

Science.gov (United States)

Liu, Xiangwei; Ma, Xin

2012-01-01

The stock market has a high profit and high risk features, on the stock market analysis and prediction research has been paid attention to by people. Stock price trend is a complex nonlinear function, so the price has certain predictability. This article mainly with improved BP neural network (BPNN) to set up the stock market prediction model, and…

The Differences Between Stock Splits and Stock Dividends

DEFF Research Database (Denmark)

Bechmann, Ken L.; Raaballe, Johannes

It is often asserted that stock splits and stock dividends are purely cosmetic events. However, many studies have documented several stock market effects associated with stock splits and stock dividends. This paper examines the effects of these two types of events for the Danish stock market...... different. Second, the positive stock market reaction is closely related to associated changes in a firm's payout policy, but the relationship varies for the two types of events. Finally, there is only very weak evidence for a change in the liquidity of the stock. On the whole, after controlling...... for the firm's payout policy, the results suggest that a stock split is a cosmetic event and that a stock dividend on its own is considered negative news....

A quantum anharmonic oscillator model for the stock market

Science.gov (United States)

Gao, Tingting; Chen, Yu

2017-02-01

A financially interpretable quantum model is proposed to study the probability distributions of the stock price return. The dynamics of a quantum particle is considered an analog of the motion of stock price. Then the probability distributions of price return can be computed from the wave functions that evolve according to Schrodinger equation. Instead of a harmonic oscillator in previous studies, a quantum anharmonic oscillator is applied to the stock in liquid market. The leptokurtic distributions of price return can be reproduced by our quantum model with the introduction of mixed-state and multi-potential. The trend following dominant market, in which the price return follows a bimodal distribution, is discussed as a specific case of the illiquid market.

Dynamic Evolution Analysis of Stock Price Fluctuation and Its Control

Directory of Open Access Journals (Sweden)

Yuhua Xu

2018-01-01

Full Text Available This paper studies a simple dynamical system of stock price fluctuation time series based on the rule of stock market. When the stock price fluctuation system is disturbed by external excitations, the system exhibits obviously chaotic phenomena, and its basic dynamic properties are analyzed. At the same time, a new fixed-time convergence theorem is proposed for achieving fixed-time control of stock price fluctuation system. Finally, the effectiveness of the method is verified by numerical simulation.

STUDY ON FINANCIAL COMMUNICATIONS FROM PUBLIC RETAIL COMPANIES: COMPARATIVE ANALYSIS – MILANO STOCK EXCHANGE AND BUCHAREST STOCK EXCHANGE

Directory of Open Access Journals (Sweden)

Veronica R GROSU

2016-09-01

Full Text Available The economic and financial crisis that hit the world economy has shown that for retail companies, growth continued to record only for those who held full control over every point of sale. The objective of our work is focused on the analysis of the most important financial indicators that a retail company should focus on and include in communication with external stakeholders. We make the connection with problems of the real economy through a comparative study of Romania and Italy, in which we analyze retail companies listed on the Bucharest Stock Exchange (BSE and a similar number of retail companies listed on the Milan Stock Exchange (MSE. The importance of the topic stems from the fact that it is essential for understanding how consumers relate the various retail companies and how the latter model their structure or behavior depending on the requirements and needs of the former.

Exploring the multidimensional nature of stock structure: a case study on herring dynamics in a transition area

DEFF Research Database (Denmark)

Worsøe Clausen, Lotte

occupy areas without much environmental structuring and extensive mixing between populations occur. Many species of marine fishes have the capacity of dispersing over vast geographical areas, either passively by drifting eggs and larvae following ocean currents, or actively by migration of juveniles...... will aid a sustainable aggregated management of a fishery on a mixed herring stock. It will facilitate protecting the weaker populations from over harvesting in a mixed fishery and thus maintain the diversity and in turn the resilience of the stock to a fishery...

Statoil`s exposure to oil price fluctuations: An analysis on investment level and stock price

OpenAIRE

Nåmdal, Synne Meling; Meling, Kristine

2015-01-01

In this thesis an econometric analysis of Statoil’s investment level and stock return has been performed, with purpose of examine the affect that fluctuations in the price of crude oil has on these variables. The results revealed that crude oil prices have a significant impact on Statoil´s stock returns, due to the direct impact the crude oil price has on Statoil’s cash flows. The investment level does not seem to be affected by either of the variables in the analysis, and this could indicate...

THE EFFECT OF MACROECONOMIC VARIABLES ON BANKING STOCK PRICE INDEX IN INDONESIA STOCK EXCHANGE

Directory of Open Access Journals (Sweden)

Laduna R.

2018-01-01

Full Text Available Stock price index can be regarded as a barometer in the measuremet of a nation’s economic condition, besides it can also be used in conducting statistical analysis on the current market. Stock is the proof of one’s share in a company in the form of securities issued by the listed go-public companies. This study was conducted to measure the effect of macroeconomic variables such as inflation, interest rate, and exchange rate on banking stock price index in Indonesia stock exchange or Bursa Efek Indonesia (BEI. The results of study show that inflation and exchange rate posively influence the stock price index. The positive effect of the exchange rate shows that issuers who were positively affected by Rupiah (IDR depreciation appear to be the most dominant group. Meanwhile, the interest rate or Suku Bunga (SBI has a negative effect. Lower interest rate stimulates higher investments and better economic activities which increase the stock price.

Use of microsatellite markers for identification of indigenous brown trout in a geographical region heavily influenced by stocked domesticated trout

DEFF Research Database (Denmark)

Fritzner, N.G.; Hansen, Michael Møller; Madsen, S.S.

2001-01-01

Based on estimates of genetic differentiation between populations, assignment tests and analysis of isolation by distance, stocked populations of brown trout Salmo trutta of Funen Island, Denmark, had been genetically affected by domesticated trout, whereas the stocking of wild exogenous trout...... into one of the rivers had little or no impact. At the same time, there were clear indications of remaining indigenous gene pools in the Funen populations. The management implications of these findings are discussed and changes in trout release activity are recommended to avoid further mixing of trout gene...

Linkage between company scores and stock returns

Directory of Open Access Journals (Sweden)

Saban Celik

2017-12-01

Full Text Available Previous studies on company scores conducted at firm-level, generally concluded that there exists a positive relation between company scores and stock returns. Motivated by these studies, this study examines the relationship between company scores (Corporate Governance Score, Economic Score, Environmental Score, and Social Score and stock returns, both at portfolio-level analysis and firm-level cross-sectional regressions. In portfolio-level analysis, stocks are sorted based on each company scores and quintile portfolio are formed with different levels of company scores. Then, existence and significance of raw returns and risk-adjusted returns difference between portfolios with the extreme company scores (portfolio 10 and portfolio 1 is tested. In addition, firm-level cross-sectional regression is performed to examine the significance of company scores effects with control variables. While portfolio-level analysis results indicate that there is no significant relation between company scores and stock returns; firm-level analysis indicates that economic, environmental, and social scores have effect on stock returns, however, significance and direction of these effects change, depending on the included control variables in the cross-sectional regression.

Genetic stock identification of Atlantic salmon (Salmo salar populations in the southern part of the European range

Directory of Open Access Journals (Sweden)

McGinnity Philip

2010-04-01

Full Text Available Abstract Background Anadromous migratory fish species such as Atlantic salmon (Salmo salar have significant economic, cultural and ecological importance, but present a complex case for management and conservation due to the range of their migration. Atlantic salmon exist in rivers across the North Atlantic, returning to their river of birth with a high degree of accuracy; however, despite continuing efforts and improvements in in-river conservation, they are in steep decline across their range. Salmon from rivers across Europe migrate along similar routes, where they have, historically, been subject to commercial netting. This mixed stock exploitation has the potential to devastate weak and declining populations where they are exploited indiscriminately. Despite various tagging and marking studies, the effect of marine exploitation and the marine element of the salmon lifecycle in general, remain the "black-box" of salmon management. In a number of Pacific salmonid species and in several regions within the range of the Atlantic salmon, genetic stock identification and mixed stock analysis have been used successfully to quantify exploitation rates and identify the natal origins of fish outside their home waters - to date this has not been attempted for Atlantic salmon in the south of their European range. Results To facilitate mixed stock analysis (MSA of Atlantic salmon, we have produced a baseline of genetic data for salmon populations originating from the largest rivers from Spain to northern Scotland, a region in which declines have been particularly marked. Using 12 microsatellites, 3,730 individual fish from 57 river catchments have been genotyped. Detailed patterns of population genetic diversity of Atlantic salmon at a sub-continent-wide level have been evaluated, demonstrating the existence of regional genetic signatures. Critically, these appear to be independent of more commonly recognised terrestrial biogeographical and political

Analysis of genetic diversity and differentiation of seven stocks of Litopenaeus vannamei using microsatellite markers

Science.gov (United States)

Zhang, Kai; Wang, Weiji; Li, Weiya; Zhang, Quanqi; Kong, Jie

2014-08-01

Seven microsatellite markers were used to evaluate the genetic diversity and differentiation of seven stocks of Litopenaeus vannamei, which were introduced from Central and South America to China. All seven microsatellite loci were polymorphic, with polymorphism information content ( PIC) values ranging from 0.593 to 0.952. Totally 92 alleles were identified, and the number of alleles ( Na) and effective alleles ( Ne) varied between 4 and 21 and 2.7 and 14.6, respectively. Observed heterozygosity ( H o) values were lower than the expected heterozygosity ( H e) values (0.526-0.754), which indicated that the seven stocks possessed a rich genetic diversity. Thirty-seven tests were detected for reasonable significant deviation from Hardy-Weinberg equilibrium. F is values were positive at five loci, suggesting that there was a relatively high degree of inbreeding within stocks. Pairwise F st values ranged from 0.0225 to 0.151, and most of the stock pairs were moderately differentiated. Genetic distance and cluster analysis using UPGMA revealed a close genetic relationship of L. vannamei between Pop2 and Pop3. AMOVA indicated that the genetic variation among stocks (11.3%) was much lower than that within stocks (88.7%). Although the seven stocks had a certain degree of genetic differentiation and a rich genetic diversity, there is an increasing risk of decreased performance due to inbreeding in subsequent generations.

Do Sustainable Stocks Offer Diversification Benefits for Conventional Portfolios? An Empirical Analysis of Risk Spillovers and Dynamic Correlations

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Mehmet Balcilar

2017-10-01

Full Text Available This paper explores the potential diversification benefits of socially responsible investments for conventional stock portfolios by examining the risk spillovers and dynamic correlations between conventional and sustainability stock indexes from a number of regions. We observe significant unidirectional volatility transmissions from conventional to sustainable equities, suggesting that the criteria applied for socially responsible investments do not necessarily shield these securities from common market shocks. While significant dynamic correlations are observed between sustainable and conventional stocks, particularly in Europe, the analysis of both in- and out-of-sample dynamic portfolios suggests that supplementing conventional stock portfolios with sustainable counterparts improves the risk/return profile of stock portfolios in all regions. The findings overall suggest that sustainable investments can indeed provide diversification gains for conventional stock portfolios globally.

Standardizing commercial CPUE data in monitoring stock dynamics: Accounting for targeting behaviour in mixed fisheries

NARCIS (Netherlands)

Quirijns, F.J.; Poos, J.J.; Rijnsdorp, A.D.

2008-01-01

Catch per unit effort (CPUE) is commonly used as an indicator for monitoring developments in stock size. To ensure proportionality between average CPUE and total stock size, two processes that should be accounted for are the degree of targeting behaviour of the fleet and the management-induced

Correlation analysis of the Korean stock market: Revisited to consider the influence of foreign exchange rate

Science.gov (United States)

Jo, Sang Kyun; Kim, Min Jae; Lim, Kyuseong; Kim, Soo Yong

2018-02-01

We investigated the effect of foreign exchange rate in a correlation analysis of the Korean stock market using both random matrix theory and minimum spanning tree. We collected data sets which were divided into two types of stock price, the original stock price in Korean Won and the price converted into US dollars at contemporary foreign exchange rates. Comparing the random matrix theory based on the two different prices, a few particular sectors exhibited substantial differences while other sectors changed little. The particular sectors were closely related to economic circumstances and the influence of foreign financial markets during that period. The method introduced in this paper offers a way to pinpoint the effect of exchange rate on an emerging stock market.

Value Investing in the Stock Market of Thailand

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Gerardo “Gerry” Alfonso Perez

2017-11-01

Full Text Available Value investment and growth investment have attracted a large amount of research in recent decades, but most of this research focuses on the U.S. and Europe. This article covers the Thai stock market which has very different characteristics compared to western markets and even South East Asian countries such as Indonesia or Malaysia. Among South East Asian countries, Thailand has one of the most dynamic capital markets. In order to see if some well-known trends in other markets exist in Thailand the performance of value and growth stocks in the Thai market were analyzed for a period of 17 years using existing style indexes (MSCI as well as creating portfolios using individual stocks. For this entire period, when using the indexes, returns are statistically significant superior for value stocks compared to growth stocks. However, when analyzing the performance of the market in any given calendar year from 1999 to 2016, the results are much more mixed with in fact growth stocks outperforming in several of those years. Interestingly, when building portfolios using criteria such as low P/E or low P/B the results are not statistically different. Suggesting perhaps that the classification into value or growth stocks is more complex than it would appear. One of the common assumptions of value investing is that those stocks outperform over long periods of time. It might well be that in the Thai case one year is not a long enough period for value stocks to outperform. While there have been some clear efforts over recent years to modernize the stock market of Thailand, it remains relatively underdeveloped, particularly when compared to markets such as the U.S. Hence, its behavior regarding value versus growth investment might be rather different.

NewsMarket 2.0: Analysis of News for Stock Price Forecasting

Science.gov (United States)

Barazzetti, Alessandro; Mastronardi, Rosangela

Most of the existing financial research tools use a stock's historical price and technical indicators to predict future price trends without taking into account the impact of web news. The recent explosion of demand for information on financial investment management is driving the search for alternative methods of quantitative data analysis.

Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis

OpenAIRE

Wang Kuan-Min; Lai Hung-Cheng

2013-01-01

This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and the US. To facilitate the validation of contagion effects with market-related coefficients, this paper constructs a bivariate EGARCH model of dynamic conditional correlation coefficients. Using the...

Are oil and gas stocks from the Australian market riskier than coal and uranium stocks? Dependence risk analysis and portfolio optimization

International Nuclear Information System (INIS)

Arreola Hernandez, Jose

2014-01-01

This article models the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios from the Australian market in the context of the global financial crisis of 2008–2009. The modeling framework implemented consists of pair vine copulas and, linear and nonlinear portfolio optimization methods with respect to five risk measures. The paper's objectives are to find out if the oil and gas stocks are riskier than the coal and uranium stocks, to identify the optimization method and risk measure that produce the best risk-return trade-off, to recognize the stocks in which the optimal weight allocations converge on average, and to acknowledge the vine copula model that best accounts for the overall dependence of the energy portfolios. The research findings indicate that the oil stocks have higher dependence risk than the coal, uranium and gas stocks in financial crisis periods. The higher risk of the oil stocks is confirmed by the larger concentration of symmetric and asymmetric dependence they have in the negative tail. The canonical vine (c-vine) copula model is observed to better capture the overall dependence of the energy portfolios. The combination of a pair c-vine copula and nonlinear portfolio optimization produces the highest return relative to risk. The optimal weight allocations converge on average in some stocks. - Highlights: • Vine copula dependence modeling of coal, uranium, oil and gas stocks • Oil stocks are riskier than coal, uranium and gas stocks in financial crisis periods. • The c-vine model better captures the overall dependence of the energy portfolios. • Vine copulas and nonlinear optimization combined produce the best results. • The optimal weight allocations converge on average in some stocks

Application of otolith shape analysis for stock discrimination and species identification of five goby species (Perciformes: Gobiidae) in the northern Chinese coastal waters

Science.gov (United States)

Yu, Xin; Cao, Liang; Liu, Jinhu; Zhao, Bo; Shan, Xiujuan; Dou, Shuozeng

2014-09-01

We tested the use of otolith shape analysis to discriminate between species and stocks of five goby species ( Ctenotrypauchen chinensis, Odontamblyopus lacepedii, Amblychaeturichthys hexanema, Chaeturichthys stigmatias, and Acanthogobius hasta) found in northern Chinese coastal waters. The five species were well differentiated with high overall classification success using shape indices (83.7%), elliptic Fourier coefficients (98.6%), or the combination of both methods (94.9%). However, shape analysis alone was only moderately successful at discriminating among the four stocks (Liaodong Bay, LD; Bohai Bay, BH; Huanghe (Yellow) River estuary HRE, and Jiaozhou Bay, JZ stocks) of A. hasta (50%-54%) and C. stigmatias (65.7%-75.8%). For these two species, shape analysis was moderately successful at discriminating the HRE or JZ stocks from other stocks, but failed to effectively identify the LD and BH stocks. A large number of otoliths were misclassified between the HRE and JZ stocks, which are geographically well separated. The classification success for stock discrimination was higher using elliptic Fourier coefficients alone (70.2%) or in combination with shape indices (75.8%) than using only shape indices (65.7%) in C. stigmatias whereas there was little difference among the three methods for A. hasta. Our results supported the common belief that otolith shape analysis is generally more effective for interspecific identification than intraspecific discrimination. Moreover, compared with shape indices analysis, Fourier analysis improves classification success during inter- and intra-species discrimination by otolith shape analysis, although this did not necessarily always occur in all fish species.

Impact of company performances on the stock price: An empirical analysis on select companies in Serbia

Directory of Open Access Journals (Sweden)

Milošević-Avdalović Snežana

2017-01-01

Full Text Available The global financial crisis of the late 2007 has provoked unprecedented shocks to the world markets and weaken investors' confidence due to the turbulent movements and frequent changes of stock prices. Emerging capital markets suffer from unsatisfactory corporate governance, market manipulation and insider trade problems. In such circumstances, institutional investors, managers, analysts and other market participants are in constant search of the trading strategy that will outperform the market. This research is an instrument for the identification of the main determinants of stock prices on the Belgrade Stock Exchange. The panel data regression analysis includes 42 companies that represent the composition of the BelexLine index for the period from 2010 to 2014. The paper looks at the impact of specific (internal variables of companies, such as company size, return on assets, return on equity, earnings per stock, book value, price-earning ratio, price-to-book ratio and leverage and the stock price of companies that compose the BelexLine index. The results indicate that variables such as the size of the company measured by assets, return on assets, leverage, earnings per stock, book value and price-to-book ratio provide a unique contribution to a statistically significant predictor of stock prices.

Mixed-Species Effects on Soil C and N Stocks, C/N Ratio and pH Using a Transboundary Approach in Adjacent Common Garden Douglas-Fir and Beech Stands

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Seid Muhie Dawud

2017-03-01

Full Text Available Mixed forest of Douglas-fir and beech has been suggested as one of the possible future forest types in Northwest Europe but the effects of this mixed forest on soil properties relative to monoculture stands are unknown. In a transboundary investigation of adjacent common garden Douglas-fir and beech stands, we determined the effects on topsoil properties. However, responses of C and N stocks, the C/N ratio and pH were site- and soil layer-specific and were mainly single-sided and without synergistic effects. Beech reduced the soil C and N stocks in Douglas-fir at the nutrient-poor site, caused an increase in the C/N ratio in the forest floor and mineral soil at both nutrient-poor and -rich sites, and reduced the acidifying effect of Douglas-fir at the nutrient-poor site. These results do not support the hypothesis that mixture effects would be consistent across sites and soil layers. The lack of synergistic effects may be attributed to the relatively similar litter quality or rooting depth that prevented any larger niche differentiation and complementarity. The results indicate that the transboundary approach within a mature common garden proved useful as a platform to test tree species interactions, and this approach could be explored in soil studies until dedicated mixed-species common gardens reach maturity.

Risk management of stock index futures

Institute of Scientific and Technical Information of China (English)

无

2008-01-01

The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measurement of the stock index futures market. The results suggest that under normal market conditions it is feasible to apply the VaR method in the measurement of the market risks of stock index futures. The daily VaR value of the stock index futures provides a foreseeable profit and loss of the stock ...

Modelling the mixing of herring stocks between the Baltic and the North Sea from otolith data

DEFF Research Database (Denmark)

Ulrich, Clara; Post, Søren Lorentzen; Worsøe Clausen, Lotte

2012-01-01

and Swedish commercial landings and surveys samples for the purpose of stock assessment. But the split estimates from sampling data are highly variable and noisy. Better understanding of the migration and exploitation patterns involved could therefore potentially improve the stock assessment as well...... and are consistent with existing ideas about the migration patterns of WBSS and NSAS within Division IIIa and adjacent waters. This work therefore provides the foundation for the development of a more rational management of the herring stocks in this area...

Empirical behavior of a world stock index from intra-day to monthly time scales

Science.gov (United States)

Breymann, W.; Lüthi, D. R.; Platen, E.

2009-10-01

Most of the papers that study the distributional and fractal properties of financial instruments focus on stock prices or foreign exchange rates. This typically leads to mixed results concerning the distributions of log-returns and some multi-fractal properties of exchange rates, stock prices, and regional indices. This paper uses a well diversified world stock index as the central object of analysis. Such index approximates the growth optimal portfolio, which is demonstrated under the benchmark approach, it is the ideal reference unit for studying basic securities. When denominating this world index in units of a given currency, one measures the movements of the currency against the entire market. This provides a least disturbed observation of the currency dynamics. In this manner, one can expect to disentangle, e.g., the superposition of the two currencies involved in an exchange rate. This benchmark approach to the empirical analysis of financial data allows us to establish remarkable stylized facts. Most important is the observation that the repeatedly documented multi-fractal appearance of financial time series is very weak and much less pronounced than the deviation of the mono-scaling properties from Brownian-motion type scaling. The generalized Hurst exponent H(2) assumes typical values between 0.55 and 0.6. Accordingly, autocorrelations of log-returns decay according to a power law, and the quadratic variation vanishes when going to vanishing observation time step size. Furthermore, one can identify the Student t distribution as the log-return distribution of a well-diversified world stock index for long time horizons when a long enough data series is used for estimation. The study of dependence properties, finally, reveals that jumps at daily horizon originate primarily in the stock market while at 5min horizon they originate in the foreign exchange market. The principal message of the empirical analysis is that there is evidence that a diffusion model

Measurable inhomogeneities in stock trading volume flow

Science.gov (United States)

Cortines, A. A. G.; Riera, R.; Anteneodo, C.

2008-08-01

We investigate the statistics of volumes of shares traded in stock markets. We show that the stochastic process of trading volumes can be understood on the basis of a mixed Poisson process at the microscopic time level. The beta distribution of the second kind (also known as q-gamma distribution), that has been proposed to describe empirical volume histograms, naturally results from our analysis. In particular, the shape of the distribution at small volumes is governed by the degree of granularity in the trading process, while the exponent controlling the tail is a measure of the inhomogeneities in market activity. Furthermore, the present case furnishes empirical evidence of how power law probability distributions can arise as a consequence of a fluctuating intrinsic parameter.

Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation

DEFF Research Database (Denmark)

Asgharian, Hossein; Christiansen, Charlotte; Gupta, Rangan

We use the economic policy uncertainty indices of Baker, Bloom, and Davis (2016) in combination with the mixed data sampling (MIDAS) approach to investigate the US and UK stock market movements. The long-run US-UK stock market correlation depends positively on US economic policy uncertainty shocks....... The US long-run stock market volatility depends significantly on the US economic policy uncertainty shocks but not on UK shocks while the UK depends significantly on both....

ADVISABILITY OF MERGING THE BUCHAREST STOCK EXCHANGE AND THE SIBIU MONETARYFINANCIAL AND STOCK EXCHANGE

Directory of Open Access Journals (Sweden)

Aura Dudas

2011-01-01

Full Text Available Analysis of performances of local stock exchanges in the latest years points out thenecessity of increasing the visibility of the local capital market in the regional andEuropean landscape. A single stock market may have the effect of increased credibility,giving thus an impulse to the number of new listings and of new investors.

Linking material flow analysis and resource policy via future scenarios of in-use stock: an example for copper.

Science.gov (United States)

Gerst, Michael D

2009-08-15

A key aspect to achieving long-term resource sustainability is the development of methodologies that explore future material cycles and their environmental impact. Using a novel dynamic in-use stock model and scenario analysis, I analyzed the multilevel global copper cycle over the next 100 years. In 1990, the industrialized world had an in-use copper stock about twice as large as the developing world and a per capita in-use stock of about six times as large. By 2100, the developing world will have an in-use copper stock about three times as large as the industrialized world, but the industrialized world will maintain a per capita stock twice that of the developing world. Under a scenario of no material substitution or technological change in copper products, global in-use stock in 2100 will be about as large as currently known copper resources. However, current scrap recycling trends and exploration will alleviate absolute supply pressure but not environmental impacts from decreasing copper are grades. Additionally, unexpected emergent properties of dematerialization are observed from the in-use stock model that arise solely from the properties of stock dynamics, an infrequently discussed cause of dematerialization in the literature.

Stock price prediction using geometric Brownian motion

Science.gov (United States)

Farida Agustini, W.; Restu Affianti, Ika; Putri, Endah RM

2018-03-01

Geometric Brownian motion is a mathematical model for predicting the future price of stock. The phase that done before stock price prediction is determine stock expected price formulation and determine the confidence level of 95%. On stock price prediction using geometric Brownian Motion model, the algorithm starts from calculating the value of return, followed by estimating value of volatility and drift, obtain the stock price forecast, calculating the forecast MAPE, calculating the stock expected price and calculating the confidence level of 95%. Based on the research, the output analysis shows that geometric Brownian motion model is the prediction technique with high rate of accuracy. It is proven with forecast MAPE value ≤ 20%.

SUPPLY AND DEMAND ON THE RUSSIAN STOCK MARKET: A SOCIOECONOMIC ANALYSIS

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Podgornyy Boris Borisovich

2013-03-01

Full Text Available The stock market in advanced economies allows people to participate in the economic development by investing their savings in equities of leading and emerging industries. It solves a number of economic and social problems. There is less than 1% of the population takes part in investing in shares and other securities In Russia. The structure of Russian commercial organizations, the supply and demand of the Russian stock market are analyzes in the paper. Also the results of original sociological research explains the meaning of the factors wich are limiting the population to investing in the stock market instruments. And there are some measures proposed for the further development of the Russian stock market. The results of the research have both theoretical and practical significance. That can be used in the development of national and regional activities aimed at the development of the Stock Market and attracting the Russian population to invest the Stock Market instruments.

Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis

Science.gov (United States)

Mensi, Walid; Tiwari, Aviral Kumar; Yoon, Seong-Min

2017-04-01

This paper estimates the weak-form efficiency of Islamic stock markets using 10 sectoral stock indices (basic materials, consumer services, consumer goods, energy, financials, health care, industrials, technology, telecommunication, and utilities). The results based on the multifractal detrended fluctuation analysis (MF-DFA) approach show time-varying efficiency for the sectoral stock markets. Moreover, we find that they tend to show high efficiency in the long term but moderate efficiency in the short term, and that these markets become less efficient after the onset of the global financial crisis. These results have several significant implications in terms of asset allocation for investors dealing with Islamic markets.

Analysis of stock market anomalies: US cross-sectoral comparison

OpenAIRE

Jílek, Lukáš

2012-01-01

The purpose of this thesis is to analyze anomalies in the US stock market. Special attention is put on Day of the week effect, January effect, and Part of the month effect. We focus on comparison of companies with low and high capitalization. We perform an analysis across 6 major industrial sectors. Then, we discuss the findings with results of past projects and finally, we try to find a speculative investment strategy. We found out that neither Day of the week effect nor January effect do no...

An Analysis and Implementation of the Hidden Markov Model to Technology Stock Prediction

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Nguyet Nguyen

2017-11-01

Full Text Available Future stock prices depend on many internal and external factors that are not easy to evaluate. In this paper, we use the Hidden Markov Model, (HMM, to predict a daily stock price of three active trading stocks: Apple, Google, and Facebook, based on their historical data. We first use the Akaike information criterion (AIC and Bayesian information criterion (BIC to choose the numbers of states from HMM. We then use the models to predict close prices of these three stocks using both single observation data and multiple observation data. Finally, we use the predictions as signals for trading these stocks. The criteria tests’ results showed that HMM with two states worked the best among two, three and four states for the three stocks. Our results also demonstrate that the HMM outperformed the naïve method in forecasting stock prices. The results also showed that active traders using HMM got a higher return than using the naïve forecast for Facebook and Google stocks. The stock price prediction method has a significant impact on stock trading and derivative hedging.

Accuracy Combination Test of Classical and Modern Technical Analysis: A Case Study in Stock of PT Wijaya Karya Tbk

OpenAIRE

Agustini Hamid

2016-01-01

The research aimed to measure the accuracy and combination of Classic and Modern Technical Analysis. PT Wijaya Karya Tbk (WIKA)’s stock in two periods is the sample of research. Technical analysis was used to predict stock prices by observing changes in historical share price. Practically, technical analysis is divided into Classic Technical and Modern. Research was conducted by library study and using a computer software. Microsft Excel was used for the simulation and Chart Nexus for analyzi...

Material Stock Demographics: Cars in Great Britain.

Science.gov (United States)

Cabrera Serrenho, André; Allwood, Julian M

2016-03-15

Recent literature on material flow analysis has been focused on quantitative characterization of past material flows. Fewer analyses exist on past and prospective quantification of stocks of materials in-use. Some of these analyses explore the composition of products' stocks, but a focus on the characterization of material stocks and its relation with service delivery is often neglected. We propose the use of the methods of human demography to characterize material stocks, defined herein as stock demographics, exploring the insights that this approach could provide for the sustainable management of materials. We exemplify an application of stock demographics by characterizing the composition and service delivery of iron, steel, and aluminum stocks of cars in Great Britain, 2002-2012. The results show that in this period the stock has become heavier, it is traveling less, and it is idle for more time. The visualization of material stocks' dynamics demonstrates the pace of product replacement as a function of its usefulness and enables the formulation of policy interventions and the exploration of future trends.

Hot money and China's stock market volatility: Further evidence using the GARCH-MIDAS model

Science.gov (United States)

Wei, Yu; Yu, Qianwen; Liu, Jing; Cao, Yang

2018-02-01

This paper investigates the influence of hot money on the return and volatility of the Chinese stock market using a nonlinear Granger causality test and a new GARCH-class model based on mixed data sampling regression (GARCH-MIDAS). The empirical results suggest that no linear or nonlinear causality exists between the growth rate of hot money and the Chinese stock market return, implying that the Chinese stock market is not driven by hot money and vice versa. However, hot money has a significant positive impact on the long-term volatility of the Chinese stock market. Furthermore, the dependence between the long-term volatility caused by hot money and the total volatility of the Chinese stock market is time-variant, indicating that huge volatilities in the stock market are not always triggered by international speculation capital flow and that Chinese authorities should further focus on more systemic reforms in the trading rules and on effectively regulating the stock market.

A stock market forecasting model combining two-directional two-dimensional principal component analysis and radial basis function neural network.

Science.gov (United States)

Guo, Zhiqiang; Wang, Huaiqing; Yang, Jie; Miller, David J

2015-01-01

In this paper, we propose and implement a hybrid model combining two-directional two-dimensional principal component analysis ((2D)2PCA) and a Radial Basis Function Neural Network (RBFNN) to forecast stock market behavior. First, 36 stock market technical variables are selected as the input features, and a sliding window is used to obtain the input data of the model. Next, (2D)2PCA is utilized to reduce the dimension of the data and extract its intrinsic features. Finally, an RBFNN accepts the data processed by (2D)2PCA to forecast the next day's stock price or movement. The proposed model is used on the Shanghai stock market index, and the experiments show that the model achieves a good level of fitness. The proposed model is then compared with one that uses the traditional dimension reduction method principal component analysis (PCA) and independent component analysis (ICA). The empirical results show that the proposed model outperforms the PCA-based model, as well as alternative models based on ICA and on the multilayer perceptron.

Genetic diversity analysis in Malaysian giant prawns using expressed sequence tag microsatellite markers for stock improvement program.

Science.gov (United States)

Atin, K H; Christianus, A; Fatin, N; Lutas, A C; Shabanimofrad, M; Subha, B

2017-08-17

The Malaysian giant prawn is among the most commonly cultured species of the genus Macrobrachium. Stocks of giant prawns from four rivers in Peninsular Malaysia have been used for aquaculture over the past 25 years, which has led to repeated harvesting, restocking, and transplantation between rivers. Consequently, a stock improvement program is now important to avoid the depletion of wild stocks and the loss of genetic diversity. However, the success of such an improvement program depends on our knowledge of the genetic variation of these base populations. The aim of the current study was to estimate genetic variation and differentiation of these riverine sources using novel expressed sequence tag-microsatellite (EST-SSR) markers, which not only are informative on genetic diversity but also provide information on immune and metabolic traits. Our findings indicated that the tested stocks have inbreeding depression due to a significant deficiency in heterozygotes, and F IS was estimated as 0.15538 to 0.31938. An F-statistics analysis suggested that the stocks are composed of one large panmictic population. Among the four locations, stocks from Johor, in the southern region of the peninsular, showed higher allelic and genetic diversity than the other stocks. To overcome inbreeding problems, the Johor population could be used as a base population in a stock improvement program by crossing to the other populations. The study demonstrated that EST-SSR markers can be incorporated in future marker assisted breeding to aid the proper management of the stocks by breeders and stakeholders in Malaysia.

SUPPLY AND DEMAND ON THE RUSSIAN STOCK MARKET: A SOCIOECONOMIC ANALYSIS

Directory of Open Access Journals (Sweden)

Борис Борисович Подгорный

2013-04-01

Full Text Available The stock market in advanced economies allows people to participate in the economic development by investing their savings in equities of leading and emerging industries. It solves a number of economic and social problems. There is less than 1% of the population takes part in investing in shares and other securities In Russia.The structure of Russian commercial organizations, the supply and demand of the Russian stock market are analyzes in the paper. Also the results of original sociological research explains the meaning of  the factors wich are limiting the population to investing in the stock market instruments. And there are some measures proposed for the further development of the Russian stock market.The results of the research have both theoretical and practical significance. That can be used in the development of national and regional activities aimed at the development of the Stock Market and attracting the Russian population to invest the Stock Market instruments.DOI: http://dx.doi.org/10.12731/2218-7405-2013-3-23

Oil prices, stock markets and portfolio investment. Evidence from sector analysis in Europe over the last decade

International Nuclear Information System (INIS)

Hedi Arouri, Mohamed El; Khuong Nguyen, Duc

2010-01-01

This article extends the understanding of oil-stock market relationships over the last turbulent decade. Unlike previous empirical investigations, which have largely focused on broad-based market indices (national and/or regional indices), we examine short-term linkages in the aggregate as well as sector by sector levels in Europe using different econometric techniques. Our main findings suggest that the reactions of stock returns to oil price changes differ greatly depending on the activity sector. In the out-of-sample analysis we show that introducing oil asset into a diversified portfolio of stocks allows to significantly improve its risk-return characteristics. (author)

Enhanced index tracking modeling in portfolio optimization with mixed-integer programming z approach

Science.gov (United States)

Siew, Lam Weng; Jaaman, Saiful Hafizah Hj.; Ismail, Hamizun bin

2014-09-01

Enhanced index tracking is a popular form of portfolio management in stock market investment. Enhanced index tracking aims to construct an optimal portfolio to generate excess return over the return achieved by the stock market index without purchasing all of the stocks that make up the index. The objective of this paper is to construct an optimal portfolio using mixed-integer programming model which adopts regression approach in order to generate higher portfolio mean return than stock market index return. In this study, the data consists of 24 component stocks in Malaysia market index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index from January 2010 until December 2012. The results of this study show that the optimal portfolio of mixed-integer programming model is able to generate higher mean return than FTSE Bursa Malaysia Kuala Lumpur Composite Index return with only selecting 30% out of the total stock market index components.

The Financial Indicators’ and Listed Company‘s Stock Price Link Determining the Value

Directory of Open Access Journals (Sweden)

Rima Tamošiūnienė

2016-06-01

Full Text Available The demand for value determination increased after rising of the Lithuanian economics. The joint-stock company value depends on the stock price and the company’s profit according to the “stock pricing for profit” method. The purpose of this scientific paper is the financial indicators’ and listed company’s stock price link determining the value. The analysis methods are: the research of scientific literature, data analysis, summarizing and graphic visualization. The link between financial indicators and the stock price is determined on the basis of correlation regression analysis. The analysis showed that listed on the stock exchange company’s stocks already have some value as they raise the capital. The research results revealed the stock price’s direct dependence on the fixed asset turnover and the debt-to-asset ratios.

Modeling stock return distributions with a quantum harmonic oscillator

Science.gov (United States)

Ahn, K.; Choi, M. Y.; Dai, B.; Sohn, S.; Yang, B.

2017-11-01

We propose a quantum harmonic oscillator as a model for the market force which draws a stock return from short-run fluctuations to the long-run equilibrium. The stochastic equation governing our model is transformed into a Schrödinger equation, the solution of which features “quantized” eigenfunctions. Consequently, stock returns follow a mixed χ distribution, which describes Gaussian and non-Gaussian features. Analyzing the Financial Times Stock Exchange (FTSE) All Share Index, we demonstrate that our model outperforms traditional stochastic process models, e.g., the geometric Brownian motion and the Heston model, with smaller fitting errors and better goodness-of-fit statistics. In addition, making use of analogy, we provide an economic rationale of the physics concepts such as the eigenstate, eigenenergy, and angular frequency, which sheds light on the relationship between finance and econophysics literature.

Scaling and predictability in stock markets: a comparative study.

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Huishu Zhang

Full Text Available Most people who invest in stock markets want to be rich, thus, many technical methods have been created to beat the market. If one knows the predictability of the price series in different markets, it would be easier for him/her to make the technical analysis, at least to some extent. Here we use one of the most basic sold-and-bought trading strategies to establish the profit landscape, and then calculate the parameters to characterize the strength of predictability. According to the analysis of scaling of the profit landscape, we find that the Chinese individual stocks are harder to predict than US ones, and the individual stocks are harder to predict than indexes in both Chinese stock market and US stock market. Since the Chinese (US stock market is a representative of emerging (developed markets, our comparative study on the markets of these two countries is of potential value not only for conducting technical analysis, but also for understanding physical mechanisms of different kinds of markets in terms of scaling.

Scaling and predictability in stock markets: a comparative study.

Science.gov (United States)

Zhang, Huishu; Wei, Jianrong; Huang, Jiping

2014-01-01

Most people who invest in stock markets want to be rich, thus, many technical methods have been created to beat the market. If one knows the predictability of the price series in different markets, it would be easier for him/her to make the technical analysis, at least to some extent. Here we use one of the most basic sold-and-bought trading strategies to establish the profit landscape, and then calculate the parameters to characterize the strength of predictability. According to the analysis of scaling of the profit landscape, we find that the Chinese individual stocks are harder to predict than US ones, and the individual stocks are harder to predict than indexes in both Chinese stock market and US stock market. Since the Chinese (US) stock market is a representative of emerging (developed) markets, our comparative study on the markets of these two countries is of potential value not only for conducting technical analysis, but also for understanding physical mechanisms of different kinds of markets in terms of scaling.

Mixed-species allometric equations and estimation of aboveground biomass and carbon stocks in restoring degraded landscape in northern Ethiopia

Science.gov (United States)

Mokria, Mulugeta; Mekuria, Wolde; Gebrekirstos, Aster; Aynekulu, Ermias; Belay, Beyene; Gashaw, Tadesse; Bräuning, Achim

2018-02-01

Accurate biomass estimation is critical to quantify the changes in biomass and carbon stocks following the restoration of degraded landscapes. However, there is lack of site-specific allometric equations for the estimation of aboveground biomass (AGB), which consequently limits our understanding of the contributions of restoration efforts in mitigating climate change. This study was conducted in northwestern Ethiopia to develop a multi-species allometric equation and investigate the spatial and temporal variation of C-stocks following the restoration of degraded landscapes. We harvested and weighed 84 trees from eleven dominant species from six grazing exclosures and adjacent communal grazing land. We observed that AGB correlates significantly with diameter at stump height D 30 (R 2 = 0.78 P < 0.01), and tree height H (R 2 = 0.41, P < 0.05). Our best model, which includes D 30 and H as predictors explained 82% of the variations in AGB. This model produced the lowest bias with narrow ranges of errors across different diameter classes. Estimated C-stock showed a significant positive correlation with stem density (R 2 = 0.80, P < 0.01) and basal area (R 2 = 0.84, P < 0.01). At the watershed level, the mean C-stock was 3.8 (±0.5) Mg C ha-1. Plot-level C-stocks varied between 0.1 and 13.7 Mg C ha-1. Estimated C-stocks in three- and seven-year-old exclosures exceeded estimated C-stock in the communal grazing land by 50%. The species that contribute most to C-stocks were Leucaena sp. (28%), Calpurnia aurea (21%), Euclea racemosa (20.9%), and Dodonaea angustifolia (15.8%). The equations developed in this study allow monitoring changes in C-stocks and C-sequestration following the implementation of restoration practices in northern Ethiopia over space and time. The estimated C-stocks can be used as a reference against which future changes in C-stocks can be compared.

Fluctuations in a mixed IS-LM business cycle model

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Hamad Talibi Alaoui

2008-09-01

Full Text Available In the present paper, we extend a delayed IS-LM business cycle model by introducing an additional advance (anticipated capital stock in the investment function. The resulting model is represented in terms of mixed differential equations. For the deviating argument $au$ (advance and delay being a bifurcation parameter we investigate the local stability and the local Hopf bifurcation. Also some numerical simulations are given to support the theoretical analysis.

Value-at-Risk analysis using ARMAX GARCHX approach for estimating risk of banking subsector stock return’s

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Dewi Ratih, Iis; Sutijo Supri Ulama, Brodjol; Prastuti, Mike

2018-03-01

Value at Risk (VaR) is one of the statistical methods used to measure market risk by estimating the worst losses in a given time period and level of confidence. The accuracy of this measuring tool is very important in determining the amount of capital that must be provided by the company to cope with possible losses. Because there is a greater losses to be faced with a certain degree of probability by the greater risk. Based on this, VaR calculation analysis is of particular concern to researchers and practitioners of the stock market to be developed, thus getting more accurate measurement estimates. In this research, risk analysis of stocks in four banking sub-sector, Bank Rakyat Indonesia, Bank Mandiri, Bank Central Asia and Bank Negara Indonesia will be done. Stock returns are expected to be influenced by exogenous variables, namely ICI and exchange rate. Therefore, in this research, stock risk estimation are done by using VaR ARMAX-GARCHX method. Calculating the VaR value with the ARMAX-GARCHX approach using window 500 gives more accurate results. Overall, Bank Central Asia is the only bank had the estimated maximum loss in the 5% quantile.

Evidence of increment of efficiency of the Mexican Stock Market through the analysis of its variations

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Coronel-Brizio, H. F.; Hernández-Montoya, A. R.; Huerta-Quintanilla, R.; Rodríguez-Achach, M.

2007-07-01

It is well known that there exist statistical and structural differences between the stock markets of developed and emerging countries. In this work, and in order to find out if the efficiency of the Mexican Stock Market has been changing over time, we have performed and compared several analyses of the variations of the Mexican Stock Market index (IPC) and Dow Jones industrial average index (DJIA) for different periods of their historical daily data. We have analyzed the returns autocorrelation function (ACF) and used detrended fluctuation analysis (DFA) to study returns variations. We also analyze the volatility, mean value and standard deviation of both markets and compare their evolution. We conclude from the overall result of these studies, that they show compelling evidence of the increment of efficiency of the Mexican Stock Market over time. The data samples analyzed here, correspond to daily values of the IPC and DJIA for the period 10/30/1978-02/28/2006.

Range-based volatility, expected stock returns, and the low volatility anomaly

Science.gov (United States)

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics. PMID:29190652

Range-based volatility, expected stock returns, and the low volatility anomaly.

Science.gov (United States)

Blau, Benjamin M; Whitby, Ryan J

2017-01-01

One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility), which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.

Range-based volatility, expected stock returns, and the low volatility anomaly.

Directory of Open Access Journals (Sweden)

Benjamin M Blau

Full Text Available One of the foundations of financial economics is the idea that rational investors will discount stocks with more risk (volatility, which will result in a positive relation between risk and future returns. However, the empirical evidence is mixed when determining how volatility is related to future returns. In this paper, we examine this relation using a range-based measure of volatility, which is shown to be theoretically, numerically, and empirically superior to other measures of volatility. In a variety of tests, we find that range-based volatility is negatively associated with expected stock returns. These results are robust to time-series multifactor models as well as cross-sectional tests. Our findings contribute to the debate about the direction of the relationship between risk and return and confirm the presence of the low volatility anomaly, or the anomalous finding that low volatility stocks outperform high volatility stocks. In other tests, we find that the lower returns associated with range-based volatility are driven by stocks with lottery-like characteristics.

A viability analysis for a stock/price model

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Jerry, Chakib; Raissi, Nadia

2012-09-01

We examine the conditions for the sustainability of a stock/price system based on the use of a marine renewable resource. Instead of studying the environmental and economic interactions in terms of optimal control, we focus on the viability of the system. These viability/crisis situations are defined by a set of economic state constraints. This constraints combine a guaranteed consumption and a minimum income for fishermen. Using the mathematical concept of viability kernel, we reveal that with only economics constraints we guarantee a perennial stock/price system.

Comparative Analysis of Investment Funds Stocks-based Portfolios and BET Stocks-based Portfolios

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Ion STANCU

2010-04-01

Full Text Available In this paper we intend to find out what is the best choice of stocks-based portfolio. The major goal is to find whether is more efficient to invest the whole capital in a single sector, like financial investments, or to create a diversified portfolio, taking into account assets from various economic sectors. Capital allocation will be based on the concept of cointegration. We have chosen this method because it can be applied on non-stationary data series, and, besides, it has the advantage of using the whole set of information provided by the financial assets. Another goal is to study how the portfolio structure adjusts if a shock occurs during the period under analysis so that to preserve a certain return or minimize a potential loss. The study will result in an investment solution in the Romanian capital market, even in the context of financial crisis.

Statistical Control Charts: Performances of Short Term Stock Trading in Croatia

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Dumičić Ksenija

2015-03-01

Full Text Available Background: The stock exchange, as a regulated financial market, in modern economies reflects their economic development level. The stock market indicates the mood of investors in the development of a country and is an important ingredient for growth. Objectives: This paper aims to introduce an additional statistical tool used to support the decision-making process in stock trading, and it investigate the usage of statistical process control (SPC methods into the stock trading process. Methods/Approach: The individual (I, exponentially weighted moving average (EWMA and cumulative sum (CUSUM control charts were used for gaining trade signals. The open and the average prices of CROBEX10 index stocks on the Zagreb Stock Exchange were used in the analysis. The statistical control charts capabilities for stock trading in the short-run were analysed. Results: The statistical control chart analysis pointed out too many signals to buy or sell stocks. Most of them are considered as false alarms. So, the statistical control charts showed to be not so much useful in stock trading or in a portfolio analysis. Conclusions: The presence of non-normality and autocorellation has great impact on statistical control charts performances. It is assumed that if these two problems are solved, the use of statistical control charts in a portfolio analysis could be greatly improved.

Statoil`s exposure to oil price fluctuations: An analysis on investment level and stock price

OpenAIRE

Nåmdal, Synne Meling; Meling, Kristine

2015-01-01

Master's thesis in Finance In this thesis an econometric analysis of Statoil’s investment level and stock return has been performed, with purpose of examine the affect that fluctuations in the price of crude oil has on these variables. The results revealed that crude oil prices have a significant impact on Statoil´s stock returns, due to the direct impact the crude oil price has on Statoil’s cash flows. The investment level does not seem to be affected by either of the variables in the ana...

Stock Market Liquidity: Comparative Analysis of Croatian and Regional Markets

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Vladimir Benić

2008-12-01

Full Text Available On the Croatian stock market liquidity has never been in the focus of academic research thus we find it necessary to observe liquidity at the aggregate level. This paper observes multi-dimensional liquidity through the impact of turnover on price change together with several one-dimensional measures. In our empirical research we applythe illiquidity measureto seven different stock markets. We focus on the Croatian stock market as compared to other markets in the Central and Eastern Europe and German market. The results of the research indicate a substantial level of illiquidity in the Croatian and other developing markets.

Market Confidence Predicts Stock Price: Beyond Supply and Demand.

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Xiao-Qian Sun

Full Text Available Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.

Market Confidence Predicts Stock Price: Beyond Supply and Demand.

Science.gov (United States)

Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi; Zhang, Yuqing

2016-01-01

Stock price prediction is an important and challenging problem in stock market analysis. Existing prediction methods either exploit autocorrelation of stock price and its correlation with the supply and demand of stock, or explore predictive indictors exogenous to stock market. In this paper, using transaction record of stocks with identifier of traders, we introduce an index to characterize market confidence, i.e., the ratio of the number of traders who is active in two successive trading days to the number of active traders in a certain trading day. Strong Granger causality is found between the index of market confidence and stock price. We further predict stock price by incorporating the index of market confidence into a neural network based on time series of stock price. Experimental results on 50 stocks in two Chinese Stock Exchanges demonstrate that the accuracy of stock price prediction is significantly improved by the inclusion of the market confidence index. This study sheds light on using cross-day trading behavior to characterize market confidence and to predict stock price.

Voluntary Financial Reporting on the Internet: Analysis of the Practice of Stock-Market Listed Croatian and Slovene Joint Stock Companies

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Ivica Pervan

2006-03-01

Full Text Available An investigation into Internet financial reporting carried out in June 2005 that focused on stock-market listed Croatian and Slovene joint-stock companies has two basic aspects, comparative and explanatory. The comparative aspect of the research showed that Slovene corporations have a statistically significant higher level of financial reporting (as measured with IFR score. The average IFR score for 55 corporate entities from Croatia came to just 6.85, while the average IFR score for 30 Slovene firms was 17.63. The second aspect of the investigation was explanatory, and at the level of each state and sample the intention was to find the variables that affect IFR scores significantly. With respect to the Croatian sample it was shown that the IFR score was statistically significantly and positively correlated with size, profitability, number of shareholders, and amount of traffic on the stock markets. Then regression analysis showed that majority foreign ownership had a positive effect on the IFR score. A statistically significant but negative correlation was established for two sectors, tourism and marine transport. For the Slovene sample, comprising 30 firms, the size, profitability and number of stockholders were not significant variables. However, official listing, proportion of market capitalisation and ratio of market to book values of shares were statistically significantly and positively correlated with the IFR score. Only one sector, transport, was significantly and negatively correlated with the IFR score.

Renewable energy stocks and risk : (systematic risk factors in the renewable energy sector)

OpenAIRE

Strømme, Janne

2016-01-01

The renewable energy sector is an industry that expects tremendously growth in years to come. This opens interesting investment opportunities for investors and poses challenges for government and legislators as to how to best support the change to a low-carbon emission energy mix. In this study, we have explored the risk and returns characteristics for stocks, focusing on macroeconomic systematic risk. The stock returns from renewable energy sector was regressed on the macroeconomic variables...

Heuristics and stock buying decision: Evidence from Malaysian and Pakistani stock markets

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Habib Hussain Khan

2017-06-01

Full Text Available Applying both qualitative and quantitative approaches, we examine whether or not investors fall prey to three heuristics; namely, anchoring and adjustment, representativeness, and availability, while investing in stocks. We also compare investors' vulnerability to these heuristics based on their economic association, their type and demographic factors such as income, education and experience. For the data collection, a self-constructed questionnaire was administered to investors in the Malaysian and Pakistani stock exchanges. Data has been analyzed through description, correlation and regression analysis. The results indicate that all three heuristics are likely to affect the investors' stock buying decisions. The effect of heuristics is similar across the sample countries, the type of investors, and the income groups. However, the investors with a higher level of education and more experience are less likely to be affected by the heuristics.

Stock discrimination in Great Lakes Walleye using mitochondrial DNA restriction analysis

International Nuclear Information System (INIS)

Billington, N.; Hebert, P.D.N.

1986-01-01

Over the past two years it has become evident that because of its strict maternal inheritance and rapid rate of evolutionary differentiation, mitochondrial (mt) DNA diversity offers exceptional promise in the discrimination of fish stocks. The current project aims to determine the extent of mt DNA variation among stocks of walleye (Stizostedion vitreum) from the Great Lakes. At this point, mt DNA has been isolated from 68 walleye representing the Thames River stock and a reef breeding stock from western Lake Erie, as well as from individuals of S. canadense, a species which hybridizes with S. vitreum. Mitochondrial DNA was extracted from livers of these fish, purified by CsCl density gradient centrifugation and digested using 20 endonucleases. Polymorphisms were detected with 8 of the enzymes. There was a great deal of variation among fish from both spawning populations, so much so that individual fish could be identified by this technique. No single enzyme allowed discrimination of the two stocks, but restriction pattern variation following Dde I digestion permitted separation of 50% of Lake Erie fish from Thames River stock. Comparison of mt DNA restriction patterns of walleye and sauger showed that two species are easily separable, setting the stage for a more detailed study of hybridization between the taxa

A Network-Based Dynamic Analysis in an Equity Stock Market

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Juan Eberhard

2017-01-01

Full Text Available We study how changes in the structure of a brokers’ transaction network affect the probability with which the returns and volume of the traded financial assets change significantly. We analyze how the dynamics of the brokers’ transaction network are associated with the returns and volume observed in the Chilean stock market. To do this, we construct and validate an index that synthesizes the daily changes of the brokers’ transaction network structure of equity market transactions. We find that the changes of this structure are significantly correlated with variables that describe the local and international economic-financial environments. In addition, changes in the brokers’ transaction network structure are associated with a greater probability of positive shocks of more than two standard deviations in the stock exchange index return and total traded stock volume. These results suggest that the structure of the brokers’ trading relations plays a role in determining the returns and volume of transactions in the Chilean stock market.

Mark Stock | NREL

Science.gov (United States)

Stock Mark Stock Scientific Visualization Specialist Mark.Stock@nrel.gov | 303-275-4174 Dr. Stock , virtual reality, parallel computing, and manipulation of large spatial data sets. As an artist, he creates . Stock built the SUNLIGHT artwork that is installed on the Webb Building in downtown Denver. In addition

Influence of stocking, site quality, stand age, low-severity canopy disturbance, and forest composition on sub-boreal aspen mixedwood carbon stocks

Science.gov (United States)

Reinikainen, Michael; D’Amato, Anthony W.; Bradford, John B.; Fraver, Shawn

2014-01-01

Low-severity canopy disturbance presumably influences forest carbon dynamics during the course of stand development, yet the topic has received relatively little attention. This is surprising because of the frequent occurrence of such events and the potential for both the severity and frequency of disturbances to increase as a result of climate change. We investigated the impacts of low-severity canopy disturbance and average insect defoliation on forest carbon stocks and rates of carbon sequestration in mature aspen mixedwood forests of varying stand age (ranging from 61 to 85 years), overstory composition, stocking level, and site quality. Stocking level and site quality positively affected the average annual aboveground tree carbon increment (CAAI), while stocking level, site quality, and stand age positively affected tree carbon stocks (CTREE) and total ecosystem carbon stocks (CTOTAL). Cumulative canopy disturbance (DIST) was reconstructed using dendroecological methods over a 29-year period. DIST was negatively and significantly related to soil carbon (CSOIL), and it was negatively, albeit marginally, related to CTOTAL. Minima in the annual aboveground carbon increment of trees (CAI) occurred at sites during defoliation of aspen (Populus tremuloides Michx.) by forest tent caterpillar (Malacosoma disstria Hubner), and minima were more extreme at sites dominated by trembling aspen than sites mixed with conifers. At sites defoliated by forest tent caterpillar in the early 2000s, increased sequestration by the softwood component (Abies balsamea (L.) Mill. and Picea glauca (Moench) Voss) compensated for overall decreases in CAI by 17% on average. These results underscore the importance of accounting for low-severity canopy disturbance events when developing regional forest carbon models and argue for the restoration and maintenance of historically important conifer species within aspen mixedwoods to enhance stand-level resilience to disturbance agents and maintain

Mean reversion in the US stock market

International Nuclear Information System (INIS)

Serletis, Apostolos; Rosenberg, Aryeh Adam

2009-01-01

This paper revisits the evidence for the weaker form of the efficient market hypothesis, building on recent work by Serletis and Shintani [Serletis A, Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons and Fractals 2003;17:449-54], Elder and Serletis [Elder J, Serletis A. On fractional integrating dynamics in the US stock market. Chaos, Solitons and Fractals 2007;34;777-81], Koustas et al. [Koustas Z, Lamarche J.-F, Serletis A. Threshold random walks in the US stock market. Chaos, Solitons and Fractals, forthcoming], Hinich and Serletis [Hinich M, Serletis A. Randomly modulated periodicity in the US stock market. Chaos, Solitons and Fractals, forthcoming], and Serletis et al. [Serletis A, Uritskaya OY, Uritsky VM. Detrended Fluctuation analysis of the US stock market. Int J Bifurc Chaos, forthcoming]. In doing so, we use daily data, over the period from 5 February 1971 to 1 December 2006 (a total of 9045 observations) on four US stock market indexes - the Dow Jones Industrial Average, the Standard and Poor's 500 Index, the NASDAQ Composite Index, and the NYSE Composite Index - and a new statistical physics approach - namely the 'detrending moving average (DMA)' technique, recently introduced by Alessio et al. [Alessio E, Carbone A, Castelli G, Frappietro V. Second-order moving average and scaling of stochastic time series. Euro Phys J B 2002;27;197-200.] and further developed by Carbone et al. [Carbone A, Castelli G, Stanley HE. Time dependent hurst exponent in financial time series. Physica A 2004;344;267-71, Carbone A, Castelli G, Stanley HE. Analysis of clusters formed by the moving average of a long-range correlated time series. Phys Rev E 2004;69;026105.]. The robustness of the results to the use of alternative testing methodologies is also investigated, by using Lo's [Lo AW. Long-term memory in stock market prices. Econometrica 1991;59:1279-313.] modified rescaled range analysis. We conclude that US stock

Mean reversion in the US stock market

Energy Technology Data Exchange (ETDEWEB)

Serletis, Apostolos [Department of Economics, University of Calgary, Calgary, Alberta, T2N 1N4 (Canada)], E-mail: Serletis@ucalgary.ca; Rosenberg, Aryeh Adam [Department of Economics, University of Calgary, Calgary, Alberta, T2N 1N4 (Canada)

2009-05-30

This paper revisits the evidence for the weaker form of the efficient market hypothesis, building on recent work by Serletis and Shintani [Serletis A, Shintani M. No evidence of chaos but some evidence of dependence in the US stock market. Chaos, Solitons and Fractals 2003;17:449-54], Elder and Serletis [Elder J, Serletis A. On fractional integrating dynamics in the US stock market. Chaos, Solitons and Fractals 2007;34;777-81], Koustas et al. [Koustas Z, Lamarche J.-F, Serletis A. Threshold random walks in the US stock market. Chaos, Solitons and Fractals, forthcoming], Hinich and Serletis [Hinich M, Serletis A. Randomly modulated periodicity in the US stock market. Chaos, Solitons and Fractals, forthcoming], and Serletis et al. [Serletis A, Uritskaya OY, Uritsky VM. Detrended Fluctuation analysis of the US stock market. Int J Bifurc Chaos, forthcoming]. In doing so, we use daily data, over the period from 5 February 1971 to 1 December 2006 (a total of 9045 observations) on four US stock market indexes - the Dow Jones Industrial Average, the Standard and Poor's 500 Index, the NASDAQ Composite Index, and the NYSE Composite Index - and a new statistical physics approach - namely the 'detrending moving average (DMA)' technique, recently introduced by Alessio et al. [Alessio E, Carbone A, Castelli G, Frappietro V. Second-order moving average and scaling of stochastic time series. Euro Phys J B 2002;27;197-200.] and further developed by Carbone et al. [Carbone A, Castelli G, Stanley HE. Time dependent hurst exponent in financial time series. Physica A 2004;344;267-71, Carbone A, Castelli G, Stanley HE. Analysis of clusters formed by the moving average of a long-range correlated time series. Phys Rev E 2004;69;026105.]. The robustness of the results to the use of alternative testing methodologies is also investigated, by using Lo's [Lo AW. Long-term memory in stock market prices. Econometrica 1991;59:1279-313.] modified rescaled range analysis. We

Carbon and nutrient stocks of three Fabaceae trees used for forest restoration and subjected to fertilization in Amazonia.

Science.gov (United States)

Jaquetti, Roberto K; Gonçalves, José Francisco C

2017-01-01

Amazonia is crucial to global carbon cycle. Deforestation continues to be one of the main causes of the release of C into the atmosphere, but forest restoration plantations can reverse this scenario. However, there is still diffuse information about the C and nutrient stocks in the vegetation biomass. We investigated the carbon and nutrient stocks of Fabaceae trees (Inga edulis, Schizolobium amazonicum and Dipteryx odorata) subjected to fertilization treatments (T1 - no fertilization; T2 - chemical; T3 - organic; and T4 - organic and chemical fertilization) in a degraded area of the Balbina Hydroelectric Dam, AM - Brazil. As an early successional species, I. edulis stocked more C and nutrients than the other two species independent of the fertilization treatment, and S. amazonicum stocked more C than D. odorata under T1 and T4. The mixed species plantation had the potential to stock 4.1 Mg C ha-1 year-1, while I. edulis alone could stock 9.4 Mg C ha-1 year-1. Mixing species that rapidly assimilate C and are of significant ecological and commercial value (e.g., Fabaceae trees) represents a good way to restore degraded areas. Our results suggest that the tested species be used for forest restoration in Amazonia.

Carbon and nutrient stocks of three Fabaceae trees used for forest restoration and subjected to fertilization in Amazonia

Directory of Open Access Journals (Sweden)

ROBERTO K. JAQUETTI

2017-08-01

Full Text Available ABSTRACT Amazonia is crucial to global carbon cycle. Deforestation continues to be one of the main causes of the release of C into the atmosphere, but forest restoration plantations can reverse this scenario. However, there is still diffuse information about the C and nutrient stocks in the vegetation biomass. We investigated the carbon and nutrient stocks of Fabaceae trees (Inga edulis, Schizolobium amazonicum and Dipteryx odorata subjected to fertilization treatments (T1 - no fertilization; T2 - chemical; T3 - organic; and T4 - organic and chemical fertilization in a degraded area of the Balbina Hydroelectric Dam, AM - Brazil. As an early successional species, I. edulis stocked more C and nutrients than the other two species independent of the fertilization treatment, and S. amazonicum stocked more C than D. odorata under T1 and T4. The mixed species plantation had the potential to stock 4.1 Mg C ha-1 year-1, while I. edulis alone could stock 9.4 Mg C ha-1 year-1. Mixing species that rapidly assimilate C and are of significant ecological and commercial value (e.g., Fabaceae trees represents a good way to restore degraded areas. Our results suggest that the tested species be used for forest restoration in Amazonia.

The Effects of Asset Management and Profitability on Stock Returns: A Comparative Study between Conventional and Islamic Stock Markets in Indonesia

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Shelly Midesia

2016-09-01

Full Text Available This study aims at empirically examining whether there are differences in stock returns between conventional and Islamic stock returns In Indonesia for the period 2010-2013. This study also attempts to explore the effect of asset management and profitability both stock returns in Indonesia. Annual pooled data gathered from the annual financial reports of 100 conventional and Islamic stock returns, which were published by the Indonesian Stock Exchange from 2010 to 2013 were used and analyzed by using the independent t-test and panel multivariate regression analysis. The result shows that there was no difference in stock returns between the conventional and Islamic stock markets. Additionally, the study documents that only profitability, which is measured by market ratio, was found to have an influence on the conventional stock markets. Meanwhile, as for Islamic stock market, only management of assets was found to have a significant effect on the stock return. These findings imply that investors who are investing in both Islamic and conventional markets would gain similar returns. However, in predicting and stabilizing the stock markets, both investors and policy makers should focus on the profitability for the conventional and management of assets for the Islamic stock market.

The past and future of food stocks

International Nuclear Information System (INIS)

Laio, Francesco; Ridolfi, Luca; D’Odorico, Paolo

2016-01-01

Human societies rely on food reserves and the importation of agricultural goods as means to cope with crop failures and associated food shortage. While food trade has been the subject of intensive investigations in recent years, food reserves remain poorly quantified. It is unclear how food stocks are changing and whether they are declining. In this study we use food stock records for 92 products to reconstruct 50 years of aggregated food reserves, expressed in caloric equivalent (kcal), at the regional and global scales. A detailed statistical analysis demonstrates that the overall regional and global per-capita food stocks are stationary, challenging a widespread impression that food reserves are shrinking. We develop a statistically-sound stochastic representation of stock dynamics and take the stock-halving probability as a measure of the natural variability of the process. We find that there is a 20% probability that the global per-capita stocks will be halved by 2050. There are, however, some strong regional differences: Western Europe and the region encompassing North Africa and the Middle East have smaller halving probabilities and smaller per-capita stocks, while North America and Oceania have greater halving probabilities and greater per-capita stocks than the global average. Africa exhibits low per-capita stocks and relatively high probability of stock halving by 2050, which reflects a state of higher food insecurity in this continent. (letter)

Relationships between oil price shocks and stock market: An empirical analysis from China

DEFF Research Database (Denmark)

Cong, Ronggang; Wei, Yi-Ming; Jiao, Jian-Ling

2008-01-01

This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing...... index and some oil companies. Some “important” oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain...

South Africa and United States stock prices and the Rand/Dollar exchange rate

Directory of Open Access Journals (Sweden)

Matthew Ocran

2010-09-01

Full Text Available This paper seeks to examine the dynamic causal relations between the two major financial assets, stock prices of the US and South Africa and the rand/US$ exchange rate. The study uses a mixed bag of time series approaches such as cointegration, Granger causality, impulse response functions and forecasting error variance decompositions.  The paper identifies a bi-directional causality from the Standard & Poor’s 500 stock price index to the rand/US$ exchange rate in the Granger sense. It was also found that the Standard & Poor’s stock price index accounts for a significant portion of the variations in the Johannesburg Stock Exchange’s All Share index. Thus, while causality in the Granger sense could not be established for the relationship between the price indices of the two stock exchanges it can argued that there is some relationship between them. The results of the study have implications for both business and Government.

Influence of Economic Value and Fundamental Analysis Toward Stock Market (Studies on the Retail Trade Industry Sector)

OpenAIRE

Widyatmini, Widyatmini; Damanik, Michael Valentino

2009-01-01

The objective of this research is to measure the influence of economics value added and fundamental analysis toward stock price on retail industry. Data which was deployed on this research are company financial report and stock price. Further, data was analyzed using regression method by deploying SPSS software. Research result shows that all independent variables proposed (economics value added, current ratio, quick ratio, total asset turnover ratio, inventory turnover ratio, gross profit ma...

VOLATILITY AND KURTOSIS OF DAILY STOCK RETURNS AT MSE

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Zoran Ivanovski

2015-12-01

Full Text Available Prominent financial stock pricing models are built on assumption that asset returns follow a normal (Gaussian distribution. However, many authors argue that in the practice stock returns are often characterized by skewness and kurtosis, so we test the existence of the Gaussian distribution of stock returns and calculate the kurtosis of several stocks at the Macedonian Stock Exchange (MSE. Obtaining information about the shape of distribution is an important step for models of pricing risky assets. The daily stock returns at Macedonian Stock Exchange (MSE are characterized by high volatility and non-Gaussian behaviors as well as they are extremely leptokurtic. The analysis of MSE time series stock returns determine volatility clustering and high kurtosis. The fact that daily stock returns at MSE are not normally distributed put into doubt results that rely heavily on this assumption and have significant implications for portfolio management. We consider this stock market as good representatives of emerging markets. Therefore, we argue that our results are valid for other similar emerging stock markets.

MACROECONOMIC VARIABLES AND STOCK PRICE VOLATILITY IN NIGERIA

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OSAZEE GODWIN OMOROKUNWA

2014-10-01

Full Text Available The purpose of this paper is to examine the relationship between stock price volatility and few macroeconomic variables such as inflation, exchange rate, GDP and interest rate. Annual time series data ranging from 1980 to 2011 was used for this study. The generalized autoregressive conditional heteroskedasticity (GARCH model was used in the empirical analysis. The findings of the study showed that stock prices in Nigeria are volatile. And that past information in the market have effect on stock price volatility in Nigeria. In addition, the study showed that interest rate and exchange have a weak effect on stock price volatility while inflation is the main determinant of stock price volatility in Nigeria. The authors recommend that inflation should be targeted as the main monetary policy aimed at directing the stock market.

Foreign ownership in Vietnam stock markets - an empirical analysis

OpenAIRE

Vo, Xuan Vinh

2010-01-01

This paper investigates foreign ownership in the Vietnam stock market from 2007 to 2009 employing a rich and detailed dataset. From the perspective of informational asymmetry, the paper examines the relationship between the foreign ownership level and attributes of Vietnamese listed firm in Ho Chi Minh City Stock Exchange. The findings of the paper indicate that foreign investors have preference for large firms, firms with high book-to-market ratio and firms with low leverage. Foreign investo...

Relationships between oil price shocks and stock market: An empirical analysis from China

International Nuclear Information System (INIS)

Cong Ronggang; Wei Yiming; Jiao Jianlin; Fan Ying

2008-01-01

This paper investigates the interactive relationships between oil price shocks and Chinese stock market using multivariate vector auto-regression. Oil price shocks do not show statistically significant impact on the real stock returns of most Chinese stock market indices, except for manufacturing index and some oil companies. Some 'important' oil price shocks depress oil company stock prices. Increase in oil volatility may increase the speculations in mining index and petrochemicals index, which raise their stock returns. Both the world oil price shocks and China oil price shocks can explain much more than interest rates for manufacturing index

Analysis of mixed data methods & applications

CERN Document Server

de Leon, Alexander R

2013-01-01

A comprehensive source on mixed data analysis, Analysis of Mixed Data: Methods & Applications summarizes the fundamental developments in the field. Case studies are used extensively throughout the book to illustrate interesting applications from economics, medicine and health, marketing, and genetics. Carefully edited for smooth readability and seamless transitions between chaptersAll chapters follow a common structure, with an introduction and a concluding summary, and include illustrative examples from real-life case studies in developmental toxicolog

UNDERGROUND ECONOMY, GDP AND STOCK MARKET

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Caus Vasile Aurel

2012-07-01

Full Text Available Economic growth is affected by the size and dynamics of underground economy. Determining this size is a subject of research for many authors. In this paper we present the relationship between underground economy dynamics and the dynamics of stock markets. The observations are based on regression used by Tanzi (1983 and the relationship between GDP and stock market presented in Tudor (2008. The conclusion of this paper is that the dynamics of underground economy is influenced by dynamic of financial markets. Thus, using specific stock market mathematical tools analysis, one can analyze the dynamic of underground economy

Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility

OpenAIRE

Irshad Hira

2017-01-01

This study investigated the relationship of political instability with the stock prices. Results of the study indicated the negative relationship of stock prices with political instability. Moreover, results of suggested that instable political system ultimately leads decline in stock prices. Inflation has shown negative relationship with stock prices whereas, industrial production and Exports have positive relationship with stock prices.

Sector Identification in a Set of Stock Return Time Series Traded at the London Stock Exchange

Science.gov (United States)

Coronnello, C.; Tumminello, M.; Lillo, F.; Micciche, S.; Mantegna, R. N.

2005-09-01

We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of stocks traded at the London Stock Exchange. The investigated time series are recorded both at a daily time horizon and at a 5-minute time horizon. The correlation coefficient matrix is very different at different time horizons confirming that more structured correlation coefficient matrices are observed for long time horizons. All the considered methods are able to detect economic information and the presence of clusters characterized by the economic sector of stocks. However, different methods present a different degree of sensitivity with respect to different sectors. Our comparative analysis suggests that the application of just a single method could not be able to extract all the economic information present in the correlation coefficient matrix of a stock portfolio.

Operating revenue changes in a demutualized stock exchange

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Mohamed Hesham Abdel-Hafez

2015-03-01

Full Text Available Stock exchanges were traditionally run as cooperative venues. The globalization, the development of technology, and the increase of competition among stock exchanges forced these venues to change their structure and adopt a new one-demutualization- that can be a lifeline in facing these environmental changes in regards to stock exchanges. This new trend enables the exchange to expand their activities and supply the market with new products and services, therefore enhancing the value of the exchange itself. The main sources of revenue for traditional exchanges have been listing fees, transaction fees, membership fees and the sale of information services such as market data, quotations, and trade data. Due to the environmental changes the stock exchanges' services are now executed electronically, and in turn, this has led to an increase in the competition among exchanges. Furthermore, this increased competition has led to the re-adjustment of the regulation structure which gradually erodes the sources of revenues provided by the conventional stock exchanges. The paper divided the research plan into two sections: the first section is to highlight the concept of demutualization process; the phases of demutualization, the factors that push the stock exchanges to demutualize and the benefits of demutualization. The second section was based on statistical comparative analysis of the stock exchanges' revenues prior and after demutualization. The researcher used the regression analysis tool on seven demutualized stock exchanges during the period from 1997-2012. The paper aims to prove that demutualization has a positive effect on the revenues of the stock exchange, thus it enhances the value of the exchange.

Mitochondrial DNA variation in brood stocks of the lake trout

International Nuclear Information System (INIS)

Grewe, P.M.; Hebert, P.D.N.

1986-01-01

Efforts are in progress to restore lake trout populations in the Great Lakes from hatchery stocks. In most cases, plantings include a variety of brood stocks that originated from different portions of the Great Lakes. Members of the various stocks can be differentially fin clipped to permit comparison of their survival success, but this does not allow assessment of their reproductive capability in the wild. Assessment of reproductive success requires the existence of genetic markers between brook stocks which will ideally persist over many generations. Efforts to identify allozyme differences between brood stocks have met with little success. The present investigation has employed an alternative technique to identify genetic markers--the restriction analysis of mitochondrial DNA. Mitochondiral DNA analysis of 7 lake trout brood stocks has revealed the existence of 10 mitochondrial clones falling into 3 major groups. The results indicate that mt-DNA markers have great potential for brood stock management. Genetic variability in the nuclear genome of each stock can be maintained by utilizing a large number of male parents, while restricting female parents to members of a single mitochondrial clone. Genetically marked fry could then be produced with only minor shifts in hatchery management

Formation of an Integrated Stock Price Forecast Model in Lithuania

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Audrius Dzikevičius

2016-12-01

Full Text Available Technical and fundamental analyses are widely used to forecast stock prices due to lack of knowledge of other modern models and methods such as Residual Income Model, ANN-APGARCH, Support Vector Machine, Probabilistic Neural Network and Genetic Fuzzy Systems. Although stock price forecast models integrating both technical and fundamental analyses are currently used widely, their integration is not justified comprehensively enough. This paper discusses theoretical one-factor and multi-factor stock price forecast models already applied by investors at a global level and determines possibility to create and apply practically a stock price forecast model which integrates fundamental and technical analysis with the reference to the Lithuanian stock market. The research is aimed to determine the relationship between stock prices of the 14 Lithuanian companies listed in the Main List by the Nasdaq OMX Baltic and various fundamental variables. Based on correlation and regression analysis results and application of c-Squared Test, ANOVA method, a general stock price forecast model is generated. This paper discusses practical implications how the developed model can be used to forecast stock prices by individual investors and suggests additional check measures.

Relationship Among Political Instability, Stock Market Returns and Stock Market Volatility

Directory of Open Access Journals (Sweden)

Irshad Hira

2017-08-01

Full Text Available This study investigated the relationship of political instability with the stock prices. Results of the study indicated the negative relationship of stock prices with political instability. Moreover, results of suggested that instable political system ultimately leads decline in stock prices. Inflation has shown negative relationship with stock prices whereas, industrial production and Exports have positive relationship with stock prices.

A pre-crisis vs. crisis analysis of peripheral EU stock markets by means of wavelet transform and a nonlinear causality test

Science.gov (United States)

Polanco-Martínez, J. M.; Fernández-Macho, J.; Neumann, M. B.; Faria, S. H.

2018-01-01

This paper presents an analysis of EU peripheral (so-called PIIGS) stock market indices and the S&P Europe 350 index (SPEURO), as a European benchmark market, over the pre-crisis (2004-2007) and crisis (2008-2011) periods. We computed a rolling-window wavelet correlation for the market returns and applied a non-linear Granger causality test to the wavelet decomposition coefficients of these stock market returns. Our results show that the correlation is stronger for the crisis than for the pre-crisis period. The stock market indices from Portugal, Italy and Spain were more interconnected among themselves during the crisis than with the SPEURO. The stock market from Portugal is the most sensitive and vulnerable PIIGS member, whereas the stock market from Greece tends to move away from the European benchmark market since the 2008 financial crisis till 2011. The non-linear causality test indicates that in the first three wavelet scales (intraweek, weekly and fortnightly) the number of uni-directional and bi-directional causalities is greater during the crisis than in the pre-crisis period, because of financial contagion. Furthermore, the causality analysis shows that the direction of the Granger cause-effect for the pre-crisis and crisis periods is not invariant in the considered time-scales, and that the causality directions among the studied stock markets do not seem to have a preferential direction. These results are relevant to better understand the behaviour of vulnerable stock markets, especially for investors and policymakers.

Perbandingan Stock Market Crash 1987 : Dan Stock Market Crash 1997

OpenAIRE

Indridewi Atmadjaja, Yovita Vivianty

1999-01-01

Stock market crash refers to the condition, which is marked with the large dropping of stock Market price index. Historically, stock market crash has happened three times, namely in 1929, 1987 and 1997. This paper will discuss the causes of 1987's and 1997's stock market Crash and the similarities and the differences between 1987's and 1997's stock market crash. The structure of the paper is as follows. The paper starts with the introduction. The second Section briefly explains the causes of ...

Mechanistic approach to generalized technical analysis of share prices and stock market indices

Science.gov (United States)

Ausloos, M.; Ivanova, K.

2002-05-01

Classical technical analysis methods of stock evolution are recalled, i.e. the notion of moving averages and momentum indicators. The moving averages lead to define death and gold crosses, resistance and support lines. Momentum indicators lead the price trend, thus give signals before the price trend turns over. The classical technical analysis investment strategy is thereby sketched. Next, we present a generalization of these tricks drawing on physical principles, i.e. taking into account not only the price of a stock but also the volume of transactions. The latter becomes a time dependent generalized mass. The notion of pressure, acceleration and force are deduced. A generalized (kinetic) energy is easily defined. It is understood that the momentum indicators take into account the sign of the fluctuations, while the energy is geared toward the absolute value of the fluctuations. They have different patterns which are checked by searching for the crossing points of their respective moving averages. The case of IBM evolution over 1990-2000 is used for illustrations.

Energy usage and technical potential for energy saving measures in the Swedish residential building stock

International Nuclear Information System (INIS)

Mata, Érika; Sasic Kalagasidis, Angela; Johnsson, Filip

2013-01-01

This paper provides an analysis of the current energy usage (net energy and final energy by fuels) and associated carbon dioxide (CO 2 ) emissions of the Swedish residential building stock, which includes single-family dwellings and multi-family dwellings. Twelve energy saving measures (ESMs) are assessed using a bottom–up modeling methodology, in which the Swedish residential stock is represented by a sample of 1400 buildings (based on data from the year 2005). Application of the ESMs studied gives a maximum technical reduction potential in energy demand of 53%, corresponding to a 63% reduction in CO 2 emissions. Although application of the investigated ESMs would reduce CO 2 emissions, the measures that reduce electricity consumption for lighting and appliances (LA) will increase CO 2 emissions, since the saved electricity production is less CO 2 -intensive than the fuel mix used for the increased space heating required to make up for the loss in indirect heating obtained from LA. - Highlights: ► Analysis of year 2005energy use and CO2 emissions of Swedish residential buildings. ► Includes all single-family dwellings and multi-family dwellings. ► Bottom–up modeling of building stock represented by 1400 buildings. ► Technical effects of 12 energy saving measures are assessed. ► Energy demand can be reduced by53% and associated CO 2 emissions by 63%

STOCK Market Differences in Correlation-Based Weighted Network

Science.gov (United States)

Youn, Janghyuk; Lee, Junghoon; Chang, Woojin

We examined the sector dynamics of Korean stock market in relation to the market volatility. The daily price data of 360 stocks for 5019 trading days (from January, 1990 to August, 2008) in Korean stock market are used. We performed the weighted network analysis and employed four measures: the average, the variance, the intensity, and the coherence of network weights (absolute values of stock return correlations) to investigate the network structure of Korean stock market. We performed regression analysis using the four measures in the seven major industry sectors and the market (seven sectors combined). We found that the average, the intensity, and the coherence of sector (subnetwork) weights increase as market becomes volatile. Except for the "Financials" sector, the variance of sector weights also grows as market volatility increases. Based on the four measures, we can categorize "Financials," "Information Technology" and "Industrials" sectors into one group, and "Materials" and "Consumer Discretionary" sectors into another group. We investigated the distributions of intrasector and intersector weights for each sector and found the differences in "Financials" sector are most distinct.

Genetic diversity and stock identification of small abalone (Haliotis diversicolor) in Taiwan and Japan.

Science.gov (United States)

Hsu, Te-Hua; Gwo, Jin-Chywan

2017-01-01

Small abalone (Haliotis diversicolor) is a commercially valuable species for both fisheries and aquaculture. The production of annual farmed small abalone in Taiwan, once the highest in the world, has dramatically decreased in the past 15 years, and currently, the industry is close to collapse. Understanding the genetic diversity of small abalone and developing stock identification methods will be useful for genetic breeding, restoring collapsed stocks, managing stocks, and preventing illegal trade. We investigated 307 cultured and wild individuals from Taiwan, Japan, and Bali Island (Indonesia) by using the mitochondrial cytochrome c oxidase subunit I (COI) gene. Network analysis of mtDNA COI gene sequences revealed that the individuals collected from Taiwan, Japan, and Indonesia could be identified, and showed significant genetic divergence. In addition, the Indonesian population (Haliotis diversicolor squamata) was significantly different from the other populations and might need to be considered a separate species. We discovered a single nucleotide polymorphism marker in the mtDNA COI gene that can be used to distinguish the Taiwan population from the Japan population. We also developed a polymerase chain reaction-restriction fragment length polymorphism method for rapid detection. Furthermore, we could identify the cultured stocks, wild population, and hybrid stocks by using 6 microsatellites and amplified fragment length polymorphism. This study contributes useful tools for stock identification and the production of high-disease resistant small abalone strains (Japan × Taiwan or Taiwan × Japan). Efforts should be made to avoid unintentional random genetic mixing of the Taiwan population with the Japan population and subsequent breakdown of population differentiation, which impair local adaptation of the Taiwan wild population. Molecular markers revealed a split between the Taiwan and Japan populations, and the existence of a possible barrier to the free

Public sentiment analysis in Twitter data for prediction of a company's stock price movements

NARCIS (Netherlands)

Li, B.; Chan, K.C.C.; Ou, C.X.J.; Li, Y.; Guo, J.

2014-01-01

There has recently been some effort to mine social media for public sentiment analysis. Studies have suggested that public emotions shown through Tweeter may well be correlated with the Dow Jones Industrial Average. However, can public sentiment be analyzed to predict the movements of the stock

Do Earthquakes Shake Stock Markets?

Science.gov (United States)

Ferreira, Susana; Karali, Berna

2015-01-01

This paper examines how major earthquakes affected the returns and volatility of aggregate stock market indices in thirty-five financial markets over the last twenty years. Results show that global financial markets are resilient to shocks caused by earthquakes even if these are domestic. Our analysis reveals that, in a few instances, some macroeconomic variables and earthquake characteristics (gross domestic product per capita, trade openness, bilateral trade flows, earthquake magnitude, a tsunami indicator, distance to the epicenter, and number of fatalities) mediate the impact of earthquakes on stock market returns, resulting in a zero net effect. However, the influence of these variables is market-specific, indicating no systematic pattern across global capital markets. Results also demonstrate that stock market volatility is unaffected by earthquakes, except for Japan.

Crash protection of stock car racing drivers--application of biomechanical analysis of Indy car crash research.

Science.gov (United States)

Melvin, John W; Begeman, Paul C; Faller, Ronald K; Sicking, Dean L; McClellan, Scott B; Maynard, Edwin; Donegan, Michael W; Mallott, Annette M; Gideon, Thomas W

2006-11-01

Biomechanical analysis of Indy car crashes using on-board impact recorders (Melvin et al. 1998, Melvin et al. 2001) indicates that Indy car driver protection in high-energy crashes can be achieved in frontal, side, and rear crashes with severities in the range of 100 to 135 G peak deceleration and velocity changes in the range of 50 to 70 mph. These crashes were predominantly single-car impacts with the rigid concrete walls of oval tracks. This impressive level of protection was found to be due to the unique combination of a very supportive and tight-fitting cockpit-seating package, a six-point belt restraint system, and effective head padding with an extremely strong chassis that defines the seat and cockpit of a modern Indy car. In 2000 and 2001, a series of fatal crashes in stock car racing created great concern for improving the crash protection for drivers in those racecars. Unlike the Indy car, the typical racing stock car features a more spacious driver cockpit due to its resemblance to the shape of a passenger car. The typical racing seat used in stock cars did not have the same configuration or support characteristics of the Indy car seat, and five-point belt restraints were used. The tubular steel space frame chassis of a stock car also differs from an Indy car's composite chassis structure in both form and mechanical behavior. This paper describes the application of results of the biomechanical analysis of the Indy car crash studies to the unique requirements of stock car racing driver crash protection. Sled test and full-scale crash test data using both Hybrid III frontal crash anthropomorphic test devices (ATDs) and BioSID side crash ATDs for the purpose of evaluating countermeasures involving restraint systems, seats and head/neck restraints has been instrumental in guiding these developments. In addition, the development of deformable walls for oval tracks (the SAFER Barrier) is described as an adjunct to improved occupant restraint through control

Comparable stocks, boundedly rational stock markets and IPO entry rates.

Directory of Open Access Journals (Sweden)

Jay Chok

Full Text Available In this study, we examine how initial public offerings (IPO entry rates are affected when stock markets are boundedly rational and IPO firms infer information from their counterparts in the market. We hypothesize a curvilinear relationship between the number of comparable stocks and initial public offerings (IPO entry rates into the NASDAQ Stock Exchange. Furthermore, we argue that trading volume and changes in stock returns partially mediates the relationship between the number of comparable stocks and IPO entry rates. The statistical evidence provides strong support for the hypotheses.

State-Space Estimation of Soil Organic Carbon Stock

Science.gov (United States)

Ogunwole, Joshua O.; Timm, Luis C.; Obidike-Ugwu, Evelyn O.; Gabriels, Donald M.

2014-04-01

Understanding soil spatial variability and identifying soil parameters most determinant to soil organic carbon stock is pivotal to precision in ecological modelling, prediction, estimation and management of soil within a landscape. This study investigates and describes field soil variability and its structural pattern for agricultural management decisions. The main aim was to relate variation in soil organic carbon stock to soil properties and to estimate soil organic carbon stock from the soil properties. A transect sampling of 100 points at 3 m intervals was carried out. Soils were sampled and analyzed for soil organic carbon and other selected soil properties along with determination of dry aggregate and water-stable aggregate fractions. Principal component analysis, geostatistics, and state-space analysis were conducted on the analyzed soil properties. The first three principal components explained 53.2% of the total variation; Principal Component 1 was dominated by soil exchange complex and dry sieved macroaggregates clusters. Exponential semivariogram model described the structure of soil organic carbon stock with a strong dependence indicating that soil organic carbon values were correlated up to 10.8m.Neighbouring values of soil organic carbon stock, all waterstable aggregate fractions, and dithionite and pyrophosphate iron gave reliable estimate of soil organic carbon stock by state-space.

Pricing and Hedging Guaranteed Returns on Mix Funds

NARCIS (Netherlands)

Vellekoop, M.H.; van de Kamp, A.A.; Post, B.A.

2006-01-01

Abstract In this paper we propose a valuation and hedging strategy for a guaranteed minimal rate of return on a mix fund, which participates in both bonds and stocks. For the case where a fixed amount of money is invested, we show that a European put option on the mix fund replicates the cash flows

Systematic Risk Factors for Australian Stock Market Returns: a Cointegration Analysis

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Mazharul H. Kazi

2008-12-01

Full Text Available This paper identifies the systematic risk factors for the Australian stock market by applyingthe cointegration technique of Johansen. In conformity with the finance literature andinvestors’ common intuition, relevant a priori variables are chosen to proxy for Australiansystematic risk factors. The results show that only a few systematic risk factors are dominantfor Australian stock market price movements in the long-run while short-run dynamics are inplace. It is observed that the linear combination of all a priori variables is cointegratedalthough not all variables are significantly influential. The findings show that bank interestrate, corporate profitability, dividend yield, industrial production and, to a lesser extent, globalmarket movements are significantly influencing the Australian stock market returns in thelong-run; while in the short-run it is being adjusted each quarter by its own performance,interest rate and global stock market movements of previous quarter.

EVALUATION OF THE MODERN TENDENCIES IN THE UKRAINIAN STOCK MARKET DEVELOPMENT

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Oleksandr Trofimchuk

2015-11-01

Full Text Available The purpose of the article is to research and critically evaluate the features of functioning and development the stock market in Ukraine. The main point is to substantiate modern tendencies and to find ways of more efficient development of the Ukrainian stock market. Methodology. The research is based on the analysis of the important aspects which characterize stock market development. They are the volume of trading activity that was done on stock exchanges, level of market capitalization, economic concentration, price policy on market services, and control over the insider information use and manipulation identification. Results. On the basis of volume of trading activity that was done on stock exchanges, features of stock market structure are determined. Comparative analysis between the stock market capitalization level of Ukraine and average world index of stock market capitalization is done. The level and dynamic of economic concentration is defined. Features of competition between Ukrainian stock exchanges are analyzed. Great attention in research is paid to problems of control over the insider information use and principles of manipulation identification by stock exchanges. Value/originality. The research showed that main amount of trading operations was done in “shadow” stock market, capitalization level decreased and stock market in Ukraine does not meet international standards of transparency. Further research should be focused on problems of ensuring the effective implementation of the basic principles of competition between market participants. Main point is to provide law mechanisms to increase transparency level of the national stock market and to increase share of organized stock market in Ukraine.

MARKETING MIX: AN ATTEMPT AT CRITICAL ANALYSIS

OpenAIRE

Kotliarov I.D.

2012-01-01

The present paper contains an analysis of main directions of evolution of marketing mix concept. Typical problems of each approach are demonstrated. Classical form of marketing mix (4Ps) is recommended as the basic form of marketing mix, which, however, may be adapted to specific characteristics of the firm and its industry

Firm-specific impacts of CO_2 prices on the stock market value of the Spanish power industry

International Nuclear Information System (INIS)

Pereira da Silva, Patricia; Moreno, Blanca; Figueiredo, Nuno Carvalho

2016-01-01

European Union carbon emissions allowances (EUA) price fluctuations can affect electricity companies' stock market values as these oscillations may change firms' profitability and thus investors' decisions. This outcome can differ not only contingent on the EU ETS Phase, but also on firms' generation mix. Moreover, stock markets may react differently to EUA increases in comparison to decreases, thus asymmetrically. By using daily data from January 2008 to July 2014, this article analyses long-run equilibrium relations and short-run interactions between the aggregated electricity industry stock market returns and EUA price changes. Moreover, we test if the relationship between EUA price variations and electricity stock returns is asymmetric and if the carbon price effect and the asymmetry are power firm-specific. Adding to earlier studies, we initially provide an inspection of the individual impact of EU ETS Phase II and on-going Phase III; followed by a comparative analysis between power firms which core activity relies on renewable energy sources and those whose sources are fundamentally non-renewable ones. A statistically significant positive long-run impact of EU ETS on the aggregated power sector stock market return is found concerning Phase II and works asymmetrically. Moreover, evidence is provided demonstrating that asymmetry and EUA effects are power firm-specific. - Highlights: •EU ETS impacts on stock market returns of Spanish power sector. •Long-run positive effect of EU ETS on market returns is found only in Phase II. •No short-run effects were found. •EUA price effect is company-specific.

STOCK PRICES, 1900-1995: THE REAL AND NOMINAL STORY

Directory of Open Access Journals (Sweden)

Kenneth Weiher

2000-01-01

Full Text Available Prompted by the inflation-adjusted Dow Jones Industrials Average setting its first record high in almost thirty years in 1995, this paper studies the impact of inflation on nominal and real stock prices from a theoretical, historical, and empirical perspective. While stocks are an excellent longterm hedge against inflation, nominal stock prices stagnate and real stock prices fall during a period of rapid inflation. Both nominal and real stockprices then go through a catch-up phase during the subsequent disinflation period. The history for this century is consistent with this pattern. Regression analysis between real and nominal stock prices as the dependent variables and inflation as the independent variable shows statistically significant evidence that (a nominal stock returns are positively related to inflation while real stock returns are not; and (b both nominal and real stock returns are negatively related to accelerations of inflation and positively related to decelerations.

The zero inflation of standing dead tree carbon stocks

Science.gov (United States)

Christopher W. Woodall; David W. MacFarlane

2012-01-01

Given the importance of standing dead trees in numerous forest ecosystem attributes/processes such as carbon (C) stocks, the USDA Forest Service’s Forest Inventory and Analysis (FIA) program began consistent nationwide sampling of standing dead trees in 1999. Modeled estimates of standing dead tree C stocks are currently used as the official C stock estimates for the...

The Impact of Macroeconomic Indicators on Indian Stock Prices: An Empirical Analysis

Directory of Open Access Journals (Sweden)

Giri A. K.

2017-04-01

Full Text Available The purpose of the present study is to examine the long run and the short run relationship between stock price and a set of macroeconomic variables for Indian economy using annual data from 1979 to 2014. The long run relationship is examined by implementing the ARDL bounds testing approach to co-integration. VECM method is used to test the short and long run causality and variance decomposition is used to predict long run exogenous shocks of the variables. The results confirm a long run relationship among the variables. Evidence suggests that Economic growth, inflation and exchange rate influence stock prices positively. However, crude oil price influences the stock price negatively. This implies that the increase in oil price induces inflationary expectation in the mind of investors and hence stock prices are adversely affected. The VECM result indicates that short run and long run unidirectional causality running from economic growth and FDI to stock prices in India. The result of the variance decomposition shows that stock market development in India is mostly explained by its own shocks. The Government can take steps to control the crude oil price in India and Investors’ confidence has to be gained by boosting the economic growth of the economy through appropriate policy tools.

Multifractal structures for the Russian stock market

Science.gov (United States)

Ikeda, Taro

2018-02-01

In this paper, we apply the multifractal detrended fluctuation analysis (MFDFA) to the Russian stock price returns. To the best of our knowledge, this paper is the first to reveal the multifractal structures for the Russian stock market by financial crises. The contributions of the paper are twofold. (i) Finding the multifractal structures for the Russian stock market. The generalized Hurst exponents estimated become highly-nonlinear to the order of the fluctuation functions. (ii) Computing the multifractality degree according to Zunino et al. (2008). We find that the multifractality degree of the Russian stock market can be categorized within emerging markets, however, the Russian 1998 crisis and the global financial crisis dampen the degree when we consider the order of the polynomial trends in the MFDFA.

The stock selection problem: Is the stock selection approach more important than the optimization method? Evidence from the Danish stock market

OpenAIRE

Grobys, Klaus

2011-01-01

Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios' out-of-sample performance. The empirical study here takes into account the Danish stock market from 2000-2010 and gives evidence that stock portfolios including small companies' stocks being estimated via coin...

Increased topsoil carbon stock across China's forests.

Science.gov (United States)

Yang, Yuanhe; Li, Pin; Ding, Jinzhi; Zhao, Xia; Ma, Wenhong; Ji, Chengjun; Fang, Jingyun

2014-08-01

Biomass carbon accumulation in forest ecosystems is a widespread phenomenon at both regional and global scales. However, as coupled carbon-climate models predicted, a positive feedback could be triggered if accelerated soil carbon decomposition offsets enhanced vegetation growth under a warming climate. It is thus crucial to reveal whether and how soil carbon stock in forest ecosystems has changed over recent decades. However, large-scale changes in soil carbon stock across forest ecosystems have not yet been carefully examined at both regional and global scales, which have been widely perceived as a big bottleneck in untangling carbon-climate feedback. Using newly developed database and sophisticated data mining approach, here we evaluated temporal changes in topsoil carbon stock across major forest ecosystem in China and analysed potential drivers in soil carbon dynamics over broad geographical scale. Our results indicated that topsoil carbon stock increased significantly within all of five major forest types during the period of 1980s-2000s, with an overall rate of 20.0 g C m(-2) yr(-1) (95% confidence interval, 14.1-25.5). The magnitude of soil carbon accumulation across coniferous forests and coniferous/broadleaved mixed forests exhibited meaningful increases with both mean annual temperature and precipitation. Moreover, soil carbon dynamics across these forest ecosystems were positively associated with clay content, with a larger amount of SOC accumulation occurring in fine-textured soils. In contrast, changes in soil carbon stock across broadleaved forests were insensitive to either climatic or edaphic variables. Overall, these results suggest that soil carbon accumulation does not counteract vegetation carbon sequestration across China's forest ecosystems. The combination of soil carbon accumulation and vegetation carbon sequestration triggers a negative feedback to climate warming, rather than a positive feedback predicted by coupled carbon-climate models

The Warsaw Stock Exchange: A Test of Market Efficiency

OpenAIRE

Barry Gordon; Libby Rittenberg

1995-01-01

This paper analyzes the behavior of the Warsaw Stock Exchange in light of the efficient market hypothesis (EMH) and alternative models of market inefficiency. Following a brief history of the Warsaw Stock Exchange and a discussion of EMH and the Shiller (1991) critique, the Polish stock market is examined in terms of the extent to which the assumptions of EMH are met and in terms of the actual behavior of stock prices for the period of 1 June 1993 to 27 July 1994. The analysis suggests that E...

Stock Performance of Socially Responsible Companies

Directory of Open Access Journals (Sweden)

Huang Tzu-Man

2016-12-01

Full Text Available Every year Corporate Responsibility Magazine selects and ranks 100 companies on the basis of their corporate social responsibility. This study investigates the stock performance of socially responsible companies in the U.S. The monthly stock returns for these companies are analyzed and compared with the market performance, with the S&P 500 index designated as a proxy for the market. The empirical evidence suggests that these 100 companies outperform the market in their monthly stock returns. We also narrow down the number of companies selected to the top 75, 50, 25, and 10 firms. As we narrow down the companies selected, the difference between their returns and the market returns also narrows. In other words, a portfolio that includes all top 100 companies provides the best stock performance. We extend the analysis to long-term annual stock performance. We find that these socially responsible companies′ annual returns are higher than the market returns for up to seven years after they are listed. We also conduct the same analysis on the top 75, 50, 25, and 10 firms, respectively. Similarly, the larger the number of these top 100 companies, the greater the tendency to generate higher annual returns. We suspect that because the difference between the socially responsible companies′ average returns and the market returns is not dramatic, with a bigger population and thus a larger sample size, the difference becomes more significant. However, in practice, transaction costs must be considered. This study is limited in that it does not consider transaction costs. Nevertheless, we hope to shed some light on the issue of socially responsible companies′ stock performance to encourage companies to start thinking about the importance of corporate social responsibility.

Evaluation of removal of the size effect using data scaling and elliptic Fourier descriptors in otolith shape analysis, exemplified by the discrimination of two yellow croaker stocks along the Chinese coast

Science.gov (United States)

Zhao, Bo; Liu, Jinhu; Song, Junjie; Cao, Liang; Dou, Shuozeng

2017-11-01

Removal of the length effect in otolith shape analysis for stock identification using length scaling is an important issue; however, few studies have attempted to investigate the effectiveness or weakness of this methodology in application. The aim of this study was to evaluate whether commonly used size scaling methods and normalized elliptic Fourier descriptors (NEFDs) could effectively remove the size effect of fish in stock discrimination. To achieve this goal, length groups from two known geographical stocks of yellow croaker, Larimichthys polyactis, along the Chinese coast (five groups from the Changjiang River estuary of the East China Sea and three groups from the Bohai Sea) were subjected to otolith shape analysis. The results indicated that the variation of otolith shape caused by intra-stock fish length might exceed that due to inter-stock geographical separation, even when otolith shape variables are standardized with length scaling methods. This variation could easily result in misleading stock discrimination through otolith shape analysis. Therefore, conclusions about fish stock structure should be carefully drawn from otolith shape analysis because the observed discrimination may primarily be due to length effects, rather than differences among stocks. The application of multiple methods, such as otoliths shape analysis combined with elemental fingering, tagging or genetic analysis, is recommended for sock identification.

Correlation analysis between forest carbon stock and spectral vegetation indices in Xuan Lien Nature Reserve, Thanh Hoa, Viet Nam

Science.gov (United States)

Dung Nguyen, The; Kappas, Martin

2017-04-01

In the last several years, the interest in forest biomass and carbon stock estimation has increased due to its importance for forest management, modelling carbon cycle, and other ecosystem services. However, no estimates of biomass and carbon stocks of deferent forest cover types exist throughout in the Xuan Lien Nature Reserve, Thanh Hoa, Viet Nam. This study investigates the relationship between above ground carbon stock and different vegetation indices and to identify the most likely vegetation index that best correlate with forest carbon stock. The terrestrial inventory data come from 380 sample plots that were randomly sampled. Individual tree parameters such as DBH and tree height were collected to calculate the above ground volume, biomass and carbon for different forest types. The SPOT6 2013 satellite data was used in the study to obtain five vegetation indices NDVI, RDVI, MSR, RVI, and EVI. The relationships between the forest carbon stock and vegetation indices were investigated using a multiple linear regression analysis. R-square, RMSE values and cross-validation were used to measure the strength and validate the performance of the models. The methodology presented here demonstrates the possibility of estimating forest volume, biomass and carbon stock. It can also be further improved by addressing more spectral bands data and/or elevation.

The technical analysis of the stock exchange and physics: Japanese candlesticks for solar activity

Science.gov (United States)

Dineva, C.; Atanasov, V.

2013-09-01

In this article, we use the Japanese candlesticks, a method popular in the technical analysis of the Stock/Forex markets and apply it to a variable in physics-the solar activity. This method is invented and used exclusively for economic analysis and its application to a physical problem produced unexpected results. We found that the Japanese candlesticks are convenient tool in the analysis of the variables in the physics of the Sun. Based on our observations, we differentiated a new cycle in the solar activity.

The Relationship between Market Sentiment Index and Stock Rates of Return: a Panel Data Analysis

Directory of Open Access Journals (Sweden)

Claudia Emiko Yoshinaga

2012-04-01

Full Text Available This article analyzes the relationship between market sentiment and future stock rates of return. We used amethodology based on principal component analysis to create a sentiment index for the Brazilian market withdata from 1999 to 2008. The sample consisted of companies listed on BM&FBOVESPA which were groupedinto quintiles, each representing a portfolio, according to the magnitude of the following characteristics: marketvalue, total annualized risk and listing time on BM&FBOVESPA. Next, we calculated the average return of eachportfolio for every quarter. The data for the first and last quintiles were analyzed via two-factor ANOVA, usingsentiment index of the previous period (positive or negative as the main factor and each characteristic ascontrolling factors. Finally, the sentiment index was included in a panel data pricing model. The results indicatea significant and negative relationship between the market sentiment index and the future rates of return. Thesefindings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentimentperiod, the impact on subsequent stock returns is negative, and vice-versa.

Size-based estimation of the status of fish stocks: simulation analysis and comparison with age-based estimations

DEFF Research Database (Denmark)

Kokkalis, Alexandros; Thygesen, Uffe Høgsbro; Nielsen, Anders

, were investigated and our estimations were compared to the ICES advice. Only size-specific catch data were used, in order to emulate data limited situations. The simulation analysis reveals that the status of the stock, i.e. F/Fmsy, is estimated more accurately than the fishing mortality F itself....... Specific knowledge of the natural mortality improves the estimation more than having information about all other life history parameters. Our approach gives, at least qualitatively, an estimated stock status which is similar to the results of an age-based assessment. Since our approach only uses size...

Fractal patterns in Stock Intertrading Times

Science.gov (United States)

White, Ainslie; Lee, Youngki; Ivanov, Plamen Ch.

2003-03-01

We study intertrades times (ITT) of stock trades of a range of companies included in the New York Stock Exchange's Trades and Quotes (TAQ) database. The time between transactions is an indicator of the dynamics of the market, and in the field of econometrics, intertrade durations play a key role in the understanding of the market activity and microstructure. Previous work has mainly focused on the properties of price changes of individual company stocks as well as global financial indices (e.g. SP500, DJ etc.). We hypothesize that there is a relation between the dynamics of price change and the trading activity. To investigate this relation we first study the statistical features of ITT data. The TAQ database covers all transactions on the NSE, AMEX, NASDAQ and the US regional exchanges. We have performed a preliminary analysis of 100 company stocks from a range of industries of the US economy selecting predominantly those companies which have large market capitalisations (MC). We focus on companies with large MC, since the dynamics of the price change and trading activity of stocks of such companies has a considerable impact on the market behaviour.

Stock market reaction to xenophobic violence in an emerging economy

Directory of Open Access Journals (Sweden)

Collins C. Ngwakwe

2017-05-01

Full Text Available This paper presents an initial evaluation of possible effect of xenophobic violence on the Johannesburg Stock Market. Violence is inimical to economic development as it constraints normal business operations and causes a rebound on the stock market. The paper applied the event trend analysis combined with a statistical t-test of paired sample means in the pre and post-xenophobic period stock performance. Data was drawn from the JSE All Share Index - Capped Indices Performance (J303 - Capi DY for 2008 and 2015, during & after the xenophobic violence of 2008 and 2015. The economic consequences of social instability were substantiated with related literature. The theoretical foundation was inclined on the integrated threat theory and the social contract theory. Findings from the analysis of paired sample t-test showed a significant difference in means of stock performance with P<0.05 within and after the xenophobic period. Furthermore, a t-test of similarity in stock performance chart for periods of xenophobic violence 2008 and 2015 showed no significant difference in stock performance trend – indicating similarity in stock chart between 2008 and 2015 periods of xenophobic violence. The paper recommends the need for further research of a broader scope that will consider many years of xenophobic events or similar violence across countries using multiple stock performance and economic performance indicators.

Weibo sentiments and stock return: A time-frequency view.

Science.gov (United States)

Xu, Yingying; Liu, Zhixin; Zhao, Jichang; Su, Chiwei

2017-01-01

This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive), detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market.

Weibo sentiments and stock return: A time-frequency view.

Directory of Open Access Journals (Sweden)

Yingying Xu

Full Text Available This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive, detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market.

Weibo sentiments and stock return: A time-frequency view

Science.gov (United States)

Liu, Zhixin; Zhao, Jichang; Su, Chiwei

2017-01-01

This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter’s variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which have both frequency and time-varying features. Five detailed sentiments are positively related to the stock return for certain periods, particularly since October 2014 at medium to high frequencies of less than ten trading days, when the stock return is undergoing significant fluctuations. Sadness appears to have a closer relationship with the stock return than the other four sentiments. As to the lead-lag relationships, the stock return causes Weibo sentiments rather than reverse for most of the periods with significant linkages. Compared with polarity sentiments (negative vs. positive), detailed sentiments provide more information regarding relationships between Weibo sentiments and the stock market. The stock market exerts positive effects on bullishness and agreement of microblogs. Meanwhile, agreement leads the stock return in-phase at the frequency of approximately 40 trading days, indicating that less disagreement improves certainty about the stock market. PMID:28672026

Integrating make-to-order and make-to-stock in job shop control

NARCIS (Netherlands)

Beemsterboer, Bart; Land, Martin; Teunter, Ruud; Bokhorst, Jos

2017-01-01

Demand fluctuations in make-to-order job shops lead to utilisation fluctuations and delivery delays, particularly in periods with high demand. Many job shop production companies therefore include some standardised products in their product mix and use a hybrid make-to-order/ make-to-stock production

The future of copper in China--A perspective based on analysis of copper flows and stocks.

Science.gov (United States)

Zhang, Ling; Cai, Zhijian; Yang, Jiameng; Yuan, Zengwei; Chen, Yan

2015-12-01

This study attempts to speculate on the future of copper metabolism in China based on dynamic substance flow analysis. Based on tremendous growth of copper consumption over the past 63 years, China will depict a substantially increasing trend of copper in-use stocks for the next 30 years. The highest peak will be possibly achieved in 2050, with the maximum ranging between 163 Mt and 171 Mt. After that, total stocks are expected to slowly decline 147-154 Mt by the year 2080. Owing to the increasing demand of in-use stocks, China will continue to have a profound impact on global copper consumption with its high import dependence until around 2020, and the peak demand for imported copper are expected to approach 5.5 Mt/year. Thereafter, old scrap generated by domestic society will occupy an increasingly important role in copper supply. In around 2060, approximately 80% of copper resources could come from domestic recycling of old scrap, implying a major shift from primary production to secondary production. With regard to the effect of lifetime distribution uncertainties in different end-use sectors of copper stocks on the predict results, uncertainty evaluation was performed and found the model was relatively robust to these changes. Copyright © 2015 Elsevier B.V. All rights reserved.

Moyer's method of mixed dentition analysis: a meta-analysis ...

African Journals Online (AJOL)

The applicability of tables derived from the data Moyer used to other ethnic groups has ... This implies that Moyer's method of prediction may have population variations. ... Key Words: meta-analysis, mixed dentition analysis, Moyer's method

The q-dependent detrended cross-correlation analysis of stock market

Science.gov (United States)

Zhao, Longfeng; Li, Wei; Fenu, Andrea; Podobnik, Boris; Wang, Yougui; Stanley, H. Eugene

2018-02-01

Properties of the q-dependent cross-correlation matrices of the stock market have been analyzed by using random matrix theory and complex networks. The correlation structures of the fluctuations at different magnitudes have unique properties. The cross-correlations among small fluctuations are much stronger than those among large fluctuations. The large and small fluctuations are dominated by different groups of stocks. We use complex network representation to study these q-dependent matrices and discover some new identities. By utilizing those q-dependent correlation-based networks, we are able to construct some portfolios of those more independent stocks which consistently perform better. The optimal multifractal order for portfolio optimization is around q  =  2 under the mean-variance portfolio framework, and q\\in[2, 6] under the expected shortfall criterion. These results have deepened our understanding regarding the collective behavior of the complex financial system.

Modeling Philippine Stock Exchange Composite Index Using Time Series Analysis

Science.gov (United States)

Gayo, W. S.; Urrutia, J. D.; Temple, J. M. F.; Sandoval, J. R. D.; Sanglay, J. E. A.

2015-06-01

This study was conducted to develop a time series model of the Philippine Stock Exchange Composite Index and its volatility using the finite mixture of ARIMA model with conditional variance equations such as ARCH, GARCH, EG ARCH, TARCH and PARCH models. Also, the study aimed to find out the reason behind the behaviorof PSEi, that is, which of the economic variables - Consumer Price Index, crude oil price, foreign exchange rate, gold price, interest rate, money supply, price-earnings ratio, Producers’ Price Index and terms of trade - can be used in projecting future values of PSEi and this was examined using Granger Causality Test. The findings showed that the best time series model for Philippine Stock Exchange Composite index is ARIMA(1,1,5) - ARCH(1). Also, Consumer Price Index, crude oil price and foreign exchange rate are factors concluded to Granger cause Philippine Stock Exchange Composite Index.

DEA investment strategy in the Brazilian stock market

OpenAIRE

Newton da Costa, Jr.; Marcus Lima; Edgar Lanzer; Ana Lopes

2008-01-01

This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha.

An Intense Nigerian Stock Exchange Market Prediction Using Logistic

African Journals Online (AJOL)

analysis derives the stock movement from the stock's own historical value. The historical ... al.,2012), Business and Finance (Pompe et al., 1997, Holmes et al., 1998,. Huang et ... adequacy of ARIMA (1.1.1) model to forecast the NSE index was.

Genetic diversity of Prochilodus lineatus stocks using in the stocking program of Tietê River, Brazil

Directory of Open Access Journals (Sweden)

Ricardo Ribeiro

2013-11-01

Full Text Available Objective. Assess the genetic diversity in four brood stocks and one juvenile stock of curimba Prochilodus lineatus in a Hydropower plant in São Paulo - Brazil, using the Tietê River stocking program. Materials and methods. Five RAPD primers were used to amplify the extracted DNA from 150 fin-clip samples. Results. Fifty-nine fragments were polymorphic, 52 had frequencies with significant differences (p<0.05, 45 had low frequencies, 54 were excluded, and two were fixed fragments. High values for polymorphic fragments (71.19% to 91.53% and Shannon index (0.327 to 0.428 were observed. The genetic divergence values within each stock were greater than 50%. Most of the genetic variation was found within the groups through the AMOVA analysis, which was confirmed by the results of the identity and genetic distance. High ancestry levels (FST among the groups value indicated high and moderate genetic differentiation. The estimates of number of migrants by generation (Nm indicated low levels of gene flow. High and moderate genetic divergence between groups (0.58 to 0.83 was observed. Conclusions. The results indicate high variability within the stocks, and genetic differentiation among them. The fish stocks analyzed represent a large genetic base that will allow the fish technicians to release juveniles without genetic risks to wild populations present in the river. These genetic procedures may be used as models for other migratory species, including those threatened by extinction.

Evaluation of different estimating techniques to generate best possible total return on investing on individual stocks on Oslo Stock Exchange

OpenAIRE

Larikka, Jyri Egil

2010-01-01

Master's thesis in Finance My intension with this thesis is to present three different kinds of models to analyze stock market and to find good buy candidates. They use different methodology as the first is using pair-trading, the second is using technical analysis and the third is using regression analysis. The first model uses momentum strategy and adaptive market hypothesis in a pair trading context to dynamically generate good pairs of stocks based on their log return and correlatio...

Research on the fractal structure in the Chinese stock market

Science.gov (United States)

Zhuang, Xin-tian; Huang, Xiao-yuan; Sha, Yan-li

2004-02-01

Applying fractal theory, this paper probes and discusses self-similarity and scale invariance of the Chinese stock market. It analyses three kinds of scale indexes, i.e., autocorrelation index, Hurst index and the scale index on the basis of detrended fluctuation analysis (DFA) algorithm and promotes DFA into a recursive algorithm. Using the three kinds of scale indexes, we conduct empirical research on the Chinese Shanghai and Shenzhen stock markets. The results indicate that the rate of returns of the two stock markets does not obey the normal distribution. A correlation exists between the stock price indexes over time scales. The stock price indexes exhibit fractal time series. It indicates that the policy guide hidden at the back influences the characteristic of the Chinese stock market.

Analysis of Market Risk, Financial Leverage, and Firm Size Toward Stock Return on Non-banking Companies Listed in Lq45 Index of Idx

OpenAIRE

Tumewu, Ferdinand; Pangemanan, Sifrid S.; Koluku, Rini Feronica

2015-01-01

In the world of investment, one underlies the decision of investors is stock returns that are depend on many factors. The purpose of this study was to analyze the effect of Market Risk, Financial Leverage, and Firm Size to Stock Return. By counting these factors, investors can see the effect of stock returns are important in decision making. The research methods associative with regression analysis and classical assumption techniques that include normality, multicollinearity, heteroscedastici...

Global stock market in 1990-s

Directory of Open Access Journals (Sweden)

Moshenskyi S.Z.

2017-08-01

Full Text Available The 1990s became a period of long-term recovery, the main driving force of which was the high-tech companies of the so-called «new economy», mainly associated with information technology and Internet at the global stock market. Such innovations have led to unrealistic expectations of the profitability of new companies from the sale of goods and services on the Internet. This became a prerequisite for a speculative boom in equity markets in developed financial systems. The boom intensified the mass privatization of state-owned enterprises in UK, Germany, France and some other countries. The capitalization of the global stock market increased more than ten times although the world GDP grew only 2.5 times during two decades, from 1980 to 2000. Though the stock market is the source of capital only in the countries with the Anglo-American model of financial markets (for countries of continental Europe and Japan such sources are bank loans, stock markets increased in all countries with developed financial systems. The systematic analysis of such key indicators as market capitalization and liquidity is required for an objective assessment of such rise in stock markets. But statistical information at stock markets is often not systematized and fragmentary. Therefore, the author (based on the official statistics of such international financial organizations as the Organization for Economic Co-operation and Development and the World Federation of Exchanges has calculated and systematically analyzed capitalization and liquidity as the main indicators of the stock market for the largest countries with developed financial systems (USA, Great Britain, Germany, France, Japan. The paper displays the differences in the mechanisms of attraction of capital determined by the different models of financial markets (decentralized Anglo-American and centralized European as well as the features of the composition of the main investors in the world stock markets.

Portfolio analysis based on the example of Zagreb Stock Exchange

OpenAIRE

Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Sasa

2010-01-01

In this paper we analyze the portfolio that was selected from the Zagreb Stock Exchange and also try to assess its risks and its future offerings that are relevant in making the decisions about investments. Through the work we will explain the importance of diversification and how the very diversification reduces risk. We will also analyze the systemic risk of individual stocks within the portfolio and the systemic risk of the given portfolio and explain its importance. Through regression ana...

Impact of Derivative Trading On Stock Market Volatility in India: A Study of S&P CNX Nifty

Directory of Open Access Journals (Sweden)

Ruchika GAHLOT

2010-11-01

Full Text Available The Purpose of the study is to examine the impact of derivative trading on stock market volatility. The sample data consist of closing prices of S&P CNX Nifty as well as closing prices of five derivative stocks and five non derivative stocks from April 1, 2002 to March 31, 2005. The study uses GARCH model to capture nature of volatility over time and volatility clustering phenomenon of data. The evidences suggest that there is no significant change in the volatility of S &P CNX Nifty, but the structure of volatility has changed to some extent. However, results show mixed effect in case of 10 individual stocks. These results can assist investors in making investment decision. It also helps to identify need for regulation.

The overnight effect on the Taiwan stock market

Science.gov (United States)

Tsai, Kuo-Ting; Lih, Jiann-Shing; Ko, Jing-Yuan

2012-12-01

This study examines statistical regularities among three components of stocks and indices: daytime (trading hour) return, overnight (off-hour session) return, and total (close-to-close) return. Owing to the fact that the Taiwan Stock Exchange (TWSE) has the longest non-trading periods among major markets, the TWSE is selected to explore the correlation among the three components and compare it with major markets such as the New York Stock Exchange (NYSE) and the National Association of Securities Dealers Automated Quotation (NASDAQ). Analysis results indicate a negative cross correlation between the sign of daytime return and the sign of overnight return; possibly explaining why most stocks feature a negative cross correlation between daytime return and overnight return [F. Wang, S.-J. Shieh, S. Havlin, H.E. Stanley, Statistical analysis of the overnight and daytime return, Phys. Rev. E 79 (2009) 056109]. Additionally, the cross correlation between the magnitude of returns is analyzed. According to those results, a larger magnitude of overnight return implies a higher probability that the sign of the following daytime return is the opposite of the sign of overnight return. Namely, the predictability of daytime return might be improved when a stock undergoes a large magnitude of overnight return. Furthermore, the cross correlations of 29 indices of worldwide markets are discussed.

Determinants of Stock Price Movements: Evidence from Chittagong Stock Exchange, Bangladesh

Directory of Open Access Journals (Sweden)

Mohammed Syedul Islam

2015-01-01

Full Text Available Stock market plays a vital role in the economic development of an economy. It bridges up between savers and real manufacturers by raising funds from investors to companies. This process was broken down due to the 2010-2011 stock market crash in Bangladesh. Though the determinants of stock price have been settled empirically, the current paper aims to reexamine the relationship between stock price, dividend and retained earnings of 29 listed banks of Chittagong Stock Exchange, in the post-crash period. Cross-sectional data were collected from secondary sources. Using linear regression method, the study found that both, dividend and retained earnings of sample banks have strong influence over the stock price, though there was moderate explanatory power of those variables. After reviewing the causes of crisis 2010-2011, this study suggests the following: to control price manipulation, to publish proper financial statement, regulate the dividend policy, to ensure sufficient knowledge among investors, recruit technical expert and ensure proper settlement for transactions, prevent crises of stock market against speculation etc.

Modelling energy demand in the Norwegian building stock

Energy Technology Data Exchange (ETDEWEB)

Sartori, Igor

2008-07-15

Energy demand in the building stock in Norway represents about 40% of the final energy consumption, of which 22% goes to the residential sector and 18% to the service sector. In Norway there is a strong dependency on electricity for heating purposes, with electricity covering about 80% of the energy demand in buildings. The building sector can play an important role in the achievement of a more sustainable energy system. The work performed in the articles presented in this thesis investigates various aspects related to the energy demand in the building sector, both in singular cases and in the stock as a whole. The work performed in the first part of this thesis on development and survey of case studies provided background knowledge that was then used in the second part, on modelling the entire stock. In the first part, a literature survey of case studies showed that, in a life cycle perspective, the energy used in the operating phase of buildings is the single most important factor. Design of low-energy buildings is then beneficial and should be pursued, even though it implies a somewhat higher embodied energy. A case study was performed on a school building. First, a methodology using a Monte Carlo method in the calibration process was explored. Then, the calibrated model of the school was used to investigate measures for the achievement of high energy efficiency standard through renovation work. In the second part, a model was developed to study the energy demand in a scenario analysis. The results showed the robustness of policies that included conservation measures against the conflicting effects of the other policies. Adopting conservation measures on a large scale showed the potential to reduce both electricity and total energy demand from present day levels while the building stock keeps growing. The results also highlighted the inertia to change of the building stock, due to low activity levels compared to the stock size. It also became clear that a deeper

THE PLACE OF BUCHAREST STOCK EXCHANGE AMONGST THE CAPITAL MARKETS FROM CENTRAL AND EASTERN EUROPE

OpenAIRE

Iulia-Oana Stefan

2015-01-01

This study performs a thorough comparative analysis over the last five years on the activity of Bucharest Stock Exchange compared to that of the major stock exchanges in Central and Eastern Europe, respectively, the Bulgarian Stock Exchange, the Bratislava Stock Exchange, the CEESEG Budapest Stock Exchange, the CEESEG Ljubljana Stock Exchange, the CEESEG Prague Stock Exchange and the Warsaw Stock Exchange. Thus, through a correlated interpretation of both the evolution of the main stock marke...

INTERDEPENDENCE BETWEEN JAKARTA STOCK EXCHANGE AND OTHER PACIFIC-BASIN STOCK MARKETS

Directory of Open Access Journals (Sweden)

Noer Azam Achsani

2011-08-01

Full Text Available Normal 0 false false false MicrosoftInternetExplorer4 International capital markets linkages have been studied since early 90-es.  Most of these studies have mainly focused on the US and other developed markets. There were only a few researches on this topic in the emerging markets.  This paper examines the dynamic linkages among Indonesian and other Pacific-Basin stock markets using correlation analysis, Granger-causality and vector autoregressive (VAR approach. All the methods give generally similar results. Our empirical results indicate a high degree of international co-movement among the stock price indices.  The degree of integration among these markets after Asian Crisis increased substantially in compare to those before Asian Crisis. The results also show that there are close relationships among the geographically and economically closed markets such as ASEAN markets, New Zealand-Australian and also Hong Kong - South Korea.  The pattern of impulse-response functions illustrates a rapid transmission of stock market events. Shocks in the developed markets are immediately transmitted to other markets. Shocks in the emerging markets are also transmitted to other markets, but without such a big effect comparing to those in the developed markets. The Jakarta stock exchange is strongly correlated with other Pacific-Basin markets, especially with ASEAN markets, Hong Kong and Australia.   The strongest foreign effects for the JSX come from Singapore, Hong Kong and Thailand. They can explain about 5 – 8% of error variance of the Jakarta Index. In contrast, the JSX index can explain 3 - 5 % of their error variances. 

Annual trends in catchability and fish stock assessments

DEFF Research Database (Denmark)

Marchal, P.; Ulrich, Clara; Korsbrekke, K.

2003-01-01

. The performances of the new and traditional XSA assessments are compared using criteria based on the precision of catchability estimates, stationarity of Log-catchability residuals and retrospective patterns relative to fishing mortality, spawning stock biomass and recruitment estimates. The performances....... A range of catchability trends, including values derived from the "Hybrid" method, is then implemented to standardise the fishing effort of some tuning fleets used in the stock assessments performed by XSA (eXtended Survivors Analysis). Stocks being assessed are the North Sea cod, saithe, plaice and sole...

Fire suppression and fuels treatment effects on mixed-conifer carbon stocks and emissions

Science.gov (United States)

M. North; M Hurteau; J Innes

2009-01-01

Depending on management, forests can be an important sink or source of carbon that if released as CO2 could contribute to global warming. Many forests in the western United States are being treated to reduce fuels, yet the effects of these treatments on forest carbon are not well understood. We compared the immediate effects of fuels treatments on carbon stocks and...

Danish building typologies and building stock analyses

DEFF Research Database (Denmark)

Wittchen, Kim Bjarne; Kragh, Jesper

energy savings in residential buildings. The intension with this analysis was to investigate the possible energy reduction in Denmark if the same approach had been taken for the entire Danish building stock. The report concludes that the ZeroHome initiative clearly results in energy savings, but far from...... enough to meet the government’s plan to make Danish buildings free from use of fossil fuels by 2035. This will probably require around 50 % energy savings in the Danish building stock as a whole. However, the project has proven that dedicated engagement of locals can speed up market penetration...... for energy savings in the existing Building stock....

Empirical properties of inter-cancellation durations in the Chinese stock market

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Gao-Feng eGu

2014-03-01

Full Text Available Order cancellation process plays a crucial role in the dynamics of price formation in order-driven stock markets and is important in the construction and validation of computational finance models. Based on the order flow data of 23 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate the empirical statistical properties of inter-cancellation durations in units of events defined as the waiting times between two consecutive cancellations. The inter-cancellation durations for both buy and sell orders of all the stocks favor a $q$-exponential distribution when the maximum likelihood estimation method is adopted; In contrast, both cancelled buy orders of 9 stocks and cancelled sell orders of 4 stocks prefer Weibull distribution when the nonlinear least-square estimation is used. Applying detrended fluctuation analysis (DFA, centered detrending moving average (CDMA and multifractal detrended fluctuation analysis (MF-DFA methods, we unveil that the inter-cancellation duration time series process long memory and multifractal nature for both buy and sell cancellations of all the stocks. Our findings show that order cancellation processes exhibit long-range correlated bursty behaviors and are thus not Poissonian.

ANALYSIS OF THE BANKING SYSTEM THAT QUOTES AT BUCHAREST STOCK EXCHANGE

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SUCIU Titus

2014-06-01

Full Text Available This study analyses three important banks quoted at Bucharest Stock Exchange: Banca Transilvania SA, BRD – Groupe Société Générale SA, Banca Comecială Carpatica SA. The scope is to identify which is the best to invest in. We follow the instruments give us by the fundamental analysis: Price/ Earning ratio, Capitalization, Return on Assets, Return on Equity, Debt to Assets, Dept to Equity. Fundamental analysis presumes the future prospects of a security are best analyzed through a proper assessment of the intrinsic value of the underlying company. The risk is within us. In the end, the financial risk does not lie in what types of investments have we done, but in what type of investor we are.

Granger Causality between Stock Market and Macroeconomic Indicators: Evidence from Germany

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Tomáš Plíhal

2016-01-01

Full Text Available The aim of this paper is to investigate informational efficiency of the stock market in Germany. Granger causality between the stock market and the selected macroeconomic variables is investigated by bivariate analysis using Toda-Yamamoto (1995 approach. This study focuses on monthly data from January 1999 to September 2015, and the stock market is represented by blue chip stock market index DAX. Investigated macroeconomic indicators include industrial production, inflation, money supply, interest rate, trade balance and exchange rate. Stock market Granger-causes industrial production and interest rate, and is therefore leading indicator of these variables. Between money supply and stock prices is Granger causality in both directions. Other variables seem to be independent on development of the stock market. We do not find any violation of Efficient market hypothesis which indicates that the stock market in Germany is informational efficient.

Investigation of market efficiency and Financial Stability between S&P 500 and London Stock Exchange: Monthly and yearly Forecasting of Time Series Stock Returns using ARMA model

Science.gov (United States)

Rounaghi, Mohammad Mahdi; Nassir Zadeh, Farzaneh

2016-08-01

We investigated the presence and changes in, long memory features in the returns and volatility dynamics of S&P 500 and London Stock Exchange using ARMA model. Recently, multifractal analysis has been evolved as an important way to explain the complexity of financial markets which can hardly be described by linear methods of efficient market theory. In financial markets, the weak form of the efficient market hypothesis implies that price returns are serially uncorrelated sequences. In other words, prices should follow a random walk behavior. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality. Several studies find that the return volatility of stocks tends to exhibit long-range dependence, heavy tails, and clustering. Because stochastic processes with self-similarity possess long-range dependence and heavy tails, it has been suggested that self-similar processes be employed to capture these characteristics in return volatility modeling. The present study applies monthly and yearly forecasting of Time Series Stock Returns in S&P 500 and London Stock Exchange using ARMA model. The statistical analysis of S&P 500 shows that the ARMA model for S&P 500 outperforms the London stock exchange and it is capable for predicting medium or long horizons using real known values. The statistical analysis in London Stock Exchange shows that the ARMA model for monthly stock returns outperforms the yearly. ​A comparison between S&P 500 and London Stock Exchange shows that both markets are efficient and have Financial Stability during periods of boom and bust.

Achieving maximum sustainable yield in mixed fisheries: a management approach for the North Sea demersal fisheries

DEFF Research Database (Denmark)

Ulrich, Clara; Vermard, Youen; Dolder, Paul J.

2017-01-01

. An objective method is suggested that provides an optimal set of fishing mortality within the range, minimizing the risk of total allowable catch mismatches among stocks captured within mixed fisheries, and addressing explicitly the trade-offs between the most and least productive stocks........ Recent paths towards operationalizing MSY at the regional scale have suggested the expansion of the concept into a desirable area of “pretty good yield”, implemented through a range around FMSY that would allow for more flexibility in management targets. This article investigates the potential of FMSY...... ranges to combine long-term single-stock targets with flexible, short-term, mixed-fisheries management requirements applied to the main North Sea demersal stocks. It is shown that sustained fishing at the upper bound of the range may lead to unacceptable risks when technical interactions occur...

Advanced exergoeconomic analysis of the multistage mixed refrigerant systems

International Nuclear Information System (INIS)

Mehrpooya, Mehdi; Ansarinasab, Hojat

2015-01-01

Highlights: • Advanced exergoeconomic analysis is performed for mixed refrigerant systems. • Cost of investment is divided into avoidable/unavoidable and endogenous/exogenous. • Results show that interactions between the components is not considerable. - Abstract: Advanced exergoeconomic analysis is applied on three multi stage mixed refrigerant liquefaction processes. They are propane precooled mixed refrigerant, dual mixed refrigerant and mixed fluid cascade. Cost of investment and exergy destruction for the components with high inefficiencies are divided into avoidable/unavoidable and endogenous/exogenous parts. According to the avoidable exergy destruction cost in propane precooled mixed refrigerant process, C-2 compressor with 455.5 ($/h), in dual mixed refrigerant process, C-1 compressor with 510.8 ($/h) and in mixed fluid cascade process, C-2/1 compressor with 338.8 ($/h) should be considered first. A comparison between the conventional and advanced exergoeconomic analysis is done by three important parameters: Exergy efficiency, exergoeconomic factor and total costs. Results show that interactions between the process components are not considerable because cost of investment and exergy destruction in most of them are endogenous. Exergy destruction cost of the compressors is avoidable while heat exchangers and air coolers destruction cost are unavoidable. Investment cost of heat exchangers and air coolers are avoidable while compressor’s are unavoidable

Outlook of the world steel cycle based on the stock and flow dynamics.

Science.gov (United States)

Hatayama, Hiroki; Daigo, Ichiro; Matsuno, Yasunari; Adachi, Yoshihiro

2010-08-15

We present a comprehensive analysis of steel use in the future compiled using dynamic material flow analysis (MFA). A dynamic MFA for 42 countries depicted the global in-use stock and flow up to the end of 2005. On the basis of the transition of steel stock for 2005, the growth of future steel stock was then estimated considering the economic growth for every country. Future steel demand was estimated using dynamic analysis under the new concept of "stocks drive flows". The significant results follow. World steel stock reached 12.7 billion t in 2005, and has doubled in the last 25 years. The world stock in 2005 mainly consisted of construction (60%) and vehicles (10%). Stock in these end uses will reach 55 billion t in 2050, driven by a 10-fold increase in Asia. Steel demand will reach 1.8 billion t in 2025, then slightly decrease, and rise again by replacement of buildings. The forecast of demand clearly represents the industrial shift; at first the increase is dominated by construction, and then, after 2025, demand for construction decreases and demand for vehicles increases instead. This study thus provides the dynamic mechanism of steel stock and flow toward the future, which contributes to the design of sustainable steel use.

Self-declared stock ownership and association with positive trial outcome in randomized controlled trials with binary outcomes published in general medical journals: a cross-sectional study.

Science.gov (United States)

Falk Delgado, Alberto; Falk Delgado, Anna

2017-07-26

Describe the prevalence and types of conflicts of interest (COI) in published randomized controlled trials (RCTs) in general medical journals with a binary primary outcome and assess the association between conflicts of interest and favorable outcome. Parallel-group RCTs with a binary primary outcome published in three general medical journals during 2013-2015 were identified. COI type, funding source, and outcome were extracted. Binomial logistic regression model was performed to assess association between COI and funding source with outcome. A total of 509 consecutive parallel-group RCTs were included in the study. COI was reported in 74% in mixed funded RCTs and in 99% in for-profit funded RCTs. Stock ownership was reported in none of the non-profit RCTs, in 7% of mixed funded RCTs, and in 50% of for-profit funded RCTs. Mixed-funded RCTs had employees from the funding company in 11% and for-profit RCTs in 76%. Multivariable logistic regression revealed that stock ownership in the funding company among any of the authors was associated with a favorable outcome (odds ratio = 3.53; 95% confidence interval = 1.59-7.86; p < 0.01). COI in for-profit funded RCTs is extensive, because the factors related to COI are not fully independent, a multivariable analysis should be cautiously interpreted. However, after multivariable adjustment only stock ownership from the funding company among authors is associated with a favorable outcome.

Differential Emotions and the Stock Market - The Case of Company-Specific Trading

DEFF Research Database (Denmark)

Risius, Marten; Akolk, Fabian; Beck, Roman

2015-01-01

in sentiment analysis instead of the predominant assessment of the binary positive-negative valence of emotions. Therefore, based on emotion theory and an established sentiment lexicon, we develop and apply an open source dictionary for the analysis of seven different emotions (affection, happiness......, satisfaction, fear, anger, depression, and contempt). To investigate the connection between the differential emotions and stock movements we analyze approximately 5.5 million Twitter messages on 33 S&P 100 companies and their respective NYSE stock prices from Yahoo!Finance over a period of three months...... emotionality strength has a significant connection with company-specific stock price movements. The emotion specific analysis reveals that an increase in depression and happiness strength is associated with a significant decrease in company-specific stock prices....

Random matrix theory and portfolio optimization in Moroccan stock exchange

Science.gov (United States)

El Alaoui, Marwane

2015-09-01

In this work, we use random matrix theory to analyze eigenvalues and see if there is a presence of pertinent information by using Marčenko-Pastur distribution. Thus, we study cross-correlation among stocks of Casablanca Stock Exchange. Moreover, we clean correlation matrix from noisy elements to see if the gap between predicted risk and realized risk would be reduced. We also analyze eigenvectors components distributions and their degree of deviations by computing the inverse participation ratio. This analysis is a way to understand the correlation structure among stocks of Casablanca Stock Exchange portfolio.

MEASURES OF THE STATE FOR INTRODUCTION DEOFFSHORIZATION IN STOCK MARKET OF UKRAINE

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Oksana Kiktenko

2016-11-01

Full Text Available The purpose of the article is to improve monitoring and control in the system of state regulation of the stock market and to develop practical recommendations for an integrated mechanism, which is aimed at stabilizing and improving the functioning of its state regulators. Methodology. The following research methods were used: analysis and synthesis – to identify the most important factors affecting the operation of the stock market, consolidation of trends and evaluation the effectiveness of individual measures of government regulation; statistical analysis, comparison and generalization – to study the effectiveness of the regulatory bodies of the stock market in Ukraine. Results. It’s necessary to introduce deoffshorization, which is a tool of economic mechanism of the development of state regulation of the stock market and optimal combination of the tax burden, comfortable business environment and the country’s stock market capitalization. Practical significance. Practical recommendations on the need to introduce deoffshorization in the stock market of Ukraine are seen as a tool of economic mechanism for further state regulation development of the stock market, used in the formation of proposals to introduce deoffshorization in the stock market in the Regulations of the National Commission on Securities and Stock Market. Value/originality. Implementation of the deoffshorization in the stock market will allow the State to strengthen the protection of investors’ rights, it is a strategic goal of Ukraine, as well as to strengthen the local stock market and increase its credibility among the population.

Enterprises from NewConnect Stock Market

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Grzegorz Gołębiowski

2009-12-01

Full Text Available Corporate capital structure has been the subject of extensive research in the last decades. The article briefly examines the existing theories of corporate capital structure. However, applying those concepts in practice has brought mixed results. This study is another attempt to determine capital structure in selected companies as well as analyze impact of the pre-defined debt level on effectiveness of economic entity. Variables like size and sector and their influence on debt-raising ability have also been verified. 10 companies permitted to trade on NewConnect stock market constituted the sample for this study.

Stock Markets Indices in Artificial Insymmetrization Patterns

International Nuclear Information System (INIS)

Makowiec, D.

2002-01-01

The daily data of indices of Warsaw Stock Exchange - WIG, and New York Stock Exchange - NASDAQ, NYSE and S and P 500 for the last two years are being studied. Properties of fluctuations of daily returns found from scaling analysis of tails are confronted with patterns obtained by the artificial insymmetrization method to specify difference between the world-wide American market and local and rather marginal Polish market. (author)

METAHEURISTICS FOR OPTIMIZING SAFETY STOCK IN MULTI STAGE INVENTORY SYSTEM

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Gordan Badurina

2013-02-01

Full Text Available Managing the right level of inventory is critical in order to achieve the targeted level of customer service, but it also carries significant cost in supply chain. In majority of cases companies define safety stock on the most downstream level, i.e. the finished product level, using different analytical methods. Safety stock on upstream level, however, usually covers only those problems which companies face on that particular level (uncertainty of delivery, issues in production, etc.. This paper looks into optimizing safety stock in a pharmaceutical supply considering the three stages inventory system. The problem is defined as a single criterion mixed integer programming problem. The objective is to minimize the inventory cost while the service level is predetermined. In order to coordinate inventories at all echelons, the variable representing the so-called service time is introduced. Because of the problem dimensions, metaheuristics based on genetic algorithm and simulated annealing are constructed and compared, using real data from a Croatian pharmaceutical company. The computational results are presented evidencing improvements in minimizing inventory costs.

Investigating the relationship between auditor’s opinion and stock return in the companies listed at Tehran stock exchange market

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Ali Akbar Farzinfar

2013-01-01

Full Text Available This research investigates the relationship between auditor’s opinion and stock return in the companies listed at Tehran stock exchange market. In this study, all required data are collected from aware shareholders and provide a sampling of 130 questionnaires, the data collected over the period 2010-2011 using test methods such as computer software, data analysis and statistical methods to answer research questions. According to research result through questionnaires and tests, there is a significant relationship between stock returns and the auditor's opinion, in fact, for aware shareholders of the company the auditor’s opinion has a special message. This message is based on the results of study hypothesis in comparison with previous research with regard to changes in the questionnaire and provides assumptions that are more detailed. The first finding is that unqualified audit report has a positive impact on stock returns of companies with a medium to low degree. Adverse audit report has a negative impact on stock returns of companies with medium to high degree. Disclaimer of audit report has a negative impact on stock returns of companies with medium to high degree. Finally, qualifying paragraphs, which modified the items of income statement items have more impact in comparison with qualifying paragraphs which modified the Balance Sheet items.

PIXE analysis of fish otoliths. Application to fish stock discrimination

International Nuclear Information System (INIS)

Arai, Nobuaki; Sakamoto, Wataru; Tateno, Koji; Yoshida, Koji.

1996-01-01

PIXE was adopted to analyze trace elements in otoliths of Japanese flounder to discriminate among several local fish stocks. The otoliths were removed from samples caught at five different sea areas along with the coast of the Sea of Japan: Akita, Ishikawa, Kyoto (2 stations), and Fukuoka. Besides calcium as main component, strontium, manganese, and zinc were detected. Especially Sr concentrations were different among 4 areas except between 2 stations in Kyoto. It suggested that the fish in the 2 stations in Kyoto were the same stock differed to the others. (author)

A self-similar hierarchy of the Korean stock market

Science.gov (United States)

Lim, Gyuchang; Min, Seungsik; Yoo, Kun-Woo

2013-01-01

A scaling analysis is performed on market values of stocks listed on Korean stock exchanges such as the KOSPI and the KOSDAQ. Different from previous studies on price fluctuations, market capitalizations are dealt with in this work. First, we show that the sum of the two stock exchanges shows a clear rank-size distribution, i.e., the Zipf's law, just as each separate one does. Second, by abstracting Zipf's law as a γ-sequence, we define a self-similar hierarchy consisting of many levels, with the numbers of firms at each level forming a geometric sequence. We also use two exponential functions to describe the hierarchy and derive a scaling law from them. Lastly, we propose a self-similar hierarchical process and perform an empirical analysis on our data set. Based on our findings, we argue that all money invested in the stock market is distributed in a hierarchical way and that a slight difference exists between the two exchanges.

Market Structure and Stock Splits

OpenAIRE

David Michayluk; Paul Kofman

2001-01-01

Enhanced liquidity is one possible motivation for stock splits but empirical research frequently documents declines in liquidity following stock splits. Despite almost thirty years of inquiry, little is known about all the changes in a stock's trading activity following a stock split. We examine how liquidity measures change around more than 2,500 stock splits and find a pervasive decline in most measures. Large stock splits exhibit a more severe liquidity decline than small stock splits, esp...

Stock or stroke? Stock market movement and stroke incidence in Taiwan.

Science.gov (United States)

Chen, Chun-Chih; Chen, Chin-Shyan; Liu, Tsai-Ching; Lin, Ying-Tzu

2012-12-01

This paper investigates the impact of stock market movement on incidences of stroke utilizing population-based aggregate data in Taiwan. Using the daily data from the Taiwan Stock Exchange Capitalization Weighted Stock Index and from the National Health Insurance Research Database during 2001/1/1-2007/12/31, which consist of 2556 observations, we examine the effects of stock market on stroke incidence - the level effect and the daily change effects. In general, we find that both a low stock index level and a daily fall in the stock index are associated with greater incidences of stroke. We further partition the data on sex and age. The level effect is found to be significant for either gender, in the 45-64 and 65 ≥ age groups. In addition, two daily change effects are found to be significant for males and the elderly. Although stockholdings can increase wealth, they can also increase stroke incidence, thereby representing a cost to health. Copyright © 2012 Elsevier Ltd. All rights reserved.

Carbon stocks assessment in subtropical forest types of Kashmir Himalayas

International Nuclear Information System (INIS)

Shaheen, H.; Khan, R.W.A.; Hussain, K.; Ullah, T.S.; Mehmood, A.

2016-01-01

Estimation of carbon sequestration in forest ecosystem is necessary to mitigate impacts of climate change. Current research project was focused to assess the Carbon contents in standing trees and soil of different subtropical forest sites in Kashmir. Tree biomass was estimated by using allometric equations whereas Soil carbon was calculated by Walkey-Black titration method. Total carbon stock was computed as 186.27 t/ha with highest value of 326 t/ha recorded from Pinus roxburghii forest whereas lowest of 75.86 t/ha at mixed forest. Average biomass carbon was found to be 151.38 t/ha with a maximum value of 294.7 t/ha and minimum of 43.4 t/ha. Pinus roxburghii was the most significant species having biomass value of 191.8 t/ha, followed by Olea cuspidata (68.9 t/ha), Acacia modesta (12.71 t/ha), Dalbergia sissoo (12.01 t/ha), Broussonetia papyrifera (5.93 t/ha), Punica granatum (2.27 t/ha), Mallotus philippensis (2.2 t/ha), Albizia lebbeck (1.8t/ha), Ficus palmata (1.51 t/ha), Acacia arabica (1.4 t/ha), Melia azedarach, (1.14 t/ha) and Ficus carica (1.07 t/ha) respectively. Recorded value of tree density was 492/ha; average DBH was 87.27 cm; tree height was 13.3m; and regeneration value was 83 seedlings/ha. Soil carbon stocks were found to be 34.89 t/ha whereas agricultural soil carbon was calculated as 27.18 t/ha. Intense deforestation was represented by a stump density of 147.4/ha. The results of Principal Component Analysis (PCA) revealed the distinct species clusters on the basis of location, biomass and Carbon stock values. Pinus roxburghii and Olea cuspidata were found to be the major contributors of carbon stock having maximum vector lengths in the PCA Biplot. Forest in the area needs to be managed in a sustainable manner to increase its carbon sequestration potential. (author)

Energy prices, volatility, and the stock market. Evidence from the Eurozone

International Nuclear Information System (INIS)

Oberndorfer, Ulrich

2009-01-01

This paper constitutes a first analysis on stock returns of energy corporations from the Eurozone. It focuses on the relationship between energy market developments and the pricing of European energy stocks. According to our results, oil price hikes negatively impact on stock returns of European utilities. However, they lead to an appreciation of oil and gas stocks. Interestingly, forecastable oil market volatility negatively affects European oil and gas stocks, implying profit opportunities for strategic investors. In contrast, the gas market does not play a role for the pricing of Eurozone energy stocks. Coal price developments affect the stock returns of European utilities. However, this effect is small compared to oil price impacts, although oil is barely used for electricity generation in Europe. This suggests that for the European stock market, the oil price is the main indicator for energy price developments as a whole. (author)

Stock Status

Data.gov (United States)

National Oceanic and Atmospheric Administration, Department of Commerce — These data inform the public of the most recent stock status for all stocks (FSSI and non-FSSI) in the fishery management unit contained in a fishery managment plan....

Trading network predicts stock price.

Science.gov (United States)

Sun, Xiao-Qian; Shen, Hua-Wei; Cheng, Xue-Qi

2014-01-16

Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading network. We then classify the nodes of trading network into three roles according to their connectivity pattern. Strong Granger causality is found between stock price and trading relationship indices, i.e., the fraction of trading relationship among nodes with different roles. We further predict stock price by incorporating these trading relationship indices into a neural network based on time series of stock price. Experimental results on 51 stocks in two Chinese Stock Exchanges demonstrate the accuracy of stock price prediction is significantly improved by the inclusion of trading relationship indices.

The synchronicity between the stock and the stock index via information in market

Science.gov (United States)

Gao, Hai-Ling; Li, Jiang-Cheng; Guo, Wei; Mei, Dong-Cheng

2018-02-01

The synchronicity between the stock and the stock-index in a market system is investigated. The results show that: (i) the synchronicity between the stock and the stock-index increases with the rising degree of market information capitalized into stock prices in certain range; (ii) the synchronicity decreases for large firm-specific information; (iii) the stock return synchronicity is small compared to the big noise trading, however the variance noise facilitates the synchronization within the tailored realms. These findings may be helpful in understanding the effect of market information on synchronicity, especially for the response of firm-specific information and noise trading to synchronicity.

Framework of stock-recovery strategies: analyses of factors affecting success and failure

DEFF Research Database (Denmark)

Hammer, Cornelius; Dorrien, Christian von; Hopkins, Christopher C. E.

2010-01-01

The EU FP6 UNCOVER project was aimed at producing a rational scientific basis for developing recovery strategies for some ecologically and socio-economically important fish stocks/fisheries in European seas. The immediate objectives were to identify changes experienced during stock depletion...... to the recovery of more than 30 fish stocks/fisheries worldwide by multivariate exploratory analysis (canonical correspondence analysis), followed by model building [discriminant analysis (DA)] to quantify the relative importance of key performance criteria, singly or combined. Using the existing database, DA...... indicated that the four best additive predictors of successful recovery were “rapid reduction in fishing mortality”, “environmental conditions during the recovery period”, “life-history characteristics” of the target stock, and “management performance criteria”. The model classified the status “recovered...

Essays on Stock Exchange Competition and Pricing

OpenAIRE

Andersen, Atso

2005-01-01

This study deals with the industrial structure, the nature of competition and the pricing of stock exchange trading services in Europe. Specific for the study is that exchanges are considered to be profit-maximizing institutions that face competition. A conventional analysis of concentration ratios shows that the concentration of European stock exchanges is low. When the nature of competition is measured in more detail, regression results indicate that exchanges operate in monopolistic o...

Stock market in Ukraine: state and prospects of development

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Krasnova Iryna V.

2014-01-01

Full Text Available The article is devoted to analysis of the topical problem of detection of specific features of functioning and problem of development of the stock market of Ukraine and also justification of directions of increase of its liquidity and efficiency. It analyses main tendencies and regularities of development of the stock market in the context of institutional, instrumental and infrastructural components. It considers issues of changes of volumes of trade and other parameters of activity of stock exchanges during recent years. It focuses on existing problems on the way of development of the stock market of Ukraine, which interfere with its efficient functioning, in particular, a limited number of liquid and investment attractive financial instruments, high fragmentariness of the exchange and depositary infrastructure, and insufficient legislative regulation of the exchange activity. For solution of problem issues and stimulation of further development of the domestic stock market the article marks expediency of consolidation of stock exchanges, necessity to increase capitalisation, liquidity and transparency of the stock market; further formation and consolidation of the market infrastructure and ensuring its reliable and efficient functioning, and improvement of mechanisms of state regulation, supervision and protection of the rights of investors in the Ukrainian stock market.

Compression stockings

Science.gov (United States)

Call your health insurance or prescription plan: Find out if they pay for compression stockings. Ask if your durable medical equipment benefit pays for compression stockings. Get a prescription from your doctor. Find a medical equipment store where they can ...

ASSESSMENT OF PLASTIC FLOWS AND STOCKS IN SERBIA USING MATERIAL FLOW ANALYSIS

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Goran Vujić

2010-01-01

Full Text Available Material flow analysis (MFA was used to assess the amounts of plastic materials flows and stocks that are annually produced, consumed, imported, exported, collected, recycled, and disposed in the landfills in Serbia. The analysis revealed that approximatelly 269,000 tons of plastic materials are directly disposed in uncontrolled landfills in Serbia without any preatretment, and that siginificant amounts of these materials have already accumulated in the landfills. The substantial amounts of landfilled plastics represent not only a loss of valuable recourses, but also pose a seriuos treath to the environment and human health, and if the trend of direct plastic landfilling is continued, Serbia will face with grave consecequnces.

FAVAR Analysis of Foreign Investment with Capital Market Predictors: Evidence on Nigerian and Selected African Stock Exchanges

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David Umoru

2018-03-01

Full Text Available Econometrically, we analyzed role of selected African stock exchanges in welcoming FDI inflows by estimating time-varying factor augmented vector auto-regression (FAVAR model for 2006:Q1 to 2017:Q4. Our results support FDI being massively influenced by movements in two stock market predictors namely, stock market's size, that is, total market value of stock market's listed shares calculated by multiplying a stock market’s shares listed by current market price of one share and stock market liquidity which is total value of traded shares relative to the size of the economy. By empirical inference, African stock exchanges exhibit inordinate turnover ratio and so these markets are exceedingly liquid. Particularly, transactions at stock exchange are significant indicators for foreign investors and total market value of listed shares in stock markets is linked positively with FDI inflow into Africa. The empirical finding is that viable African stock exchanges are attractive indicator of market concentration and high investment profile in Africa. The study so remarked the requisite to advance the stock exchange in order to boost funds accumulation for investment drive. Also, African governments should project and implement stock market-friendly procedures acceptable to maximize welfares of spillover effects of FDI.

Social Interaction and Stock Market Participation: Evidence from China

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Zhifeng Liu

2014-01-01

Full Text Available Current research on the impact of social interaction on the stock market participation only involves the traditional way of social interaction, and this paper further investigates the modern social interaction effects on the stock market participation and its activeness. The sample containing 150 Chinese counties is selected, and we apply grouping analysis and linear regression to conclude that social interaction has positive influence on the stock market participation and its activeness. Both traditional and modern social interaction ways affect the stock market participation and its activeness to the similar extent, so modern social interaction is of the same importance. Controlling for the respondents’ age, wealth, and education level, the above conclusion still holds.

THE EFFECT OF MACROECONOMIC VARIABLES ON STOCK RETURNS ON DHAKA STOCK EXCHANGE

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Muhammed Monjurul Quadir

2012-01-01

Full Text Available This article investigates the effects of macroeconomic variables of treasury bill interest rate and industrial production on stock returns on Dhaka Stock Exchange for the period between January 2000 and February 2007 on the basis of monthly time series data using Autoregressive Integrated Moving Average (ARIMA model. The paper has taken the overall market stock returns as an independent variable. It does not consider the stock returns of different companies separately. Though the ARIMA model finds a positive relationship between Treasury bill interest rate and industrial production with market stock returns but the coefficients have turned out to be statistically insignificant.

Cost Analysis for a Supplier in an Inflationary Environment with Stock Dependent Demand Rate for Perishable Items

Directory of Open Access Journals (Sweden)

Madhu Jain

2014-01-01

Full Text Available The present study is concerned with the cost modeling of an inventory system with perishable multi-items having stock dependent demand rates under an inflationary environment of the market. The concept of permissible delay is taken into account. The study provides the cost analysis of inventory system under the decision criteria of time value of money, inflation, deterioration, and stock dependent demand. Numerical illustrations are derived from the quantitative model to validate the results. The cost of inventory and optimal time are also computed by varying different system parameters. The comparison of these results is facilitated by computing the results with neurofuzzy results.

Comparative study on DuPont analysis and DEA models for measuring stock performance using financial ratio

Science.gov (United States)

Arsad, Roslah; Shaari, Siti Nabilah Mohd; Isa, Zaidi

2017-11-01

Determining stock performance using financial ratio is challenging for many investors and researchers. Financial ratio can indicate the strengths and weaknesses of a company's stock performance. There are five categories of financial ratios namely liquidity, efficiency, leverage, profitability and market ratios. It is important to interpret the ratio correctly for proper financial decision making. The purpose of this study is to compare the performance of listed companies in Bursa Malaysia using Data Envelopment Analysis (DEA) and DuPont analysis Models. The study is conducted in 2015 involving 116 consumer products companies listed in Bursa Malaysia. The estimation method of Data Envelopment Analysis computes the efficiency scores and ranks the companies accordingly. The Alirezaee and Afsharian's method of analysis based Charnes, Cooper and Rhodes (CCR) where Constant Return to Scale (CRS) is employed. The DuPont analysis is a traditional tool for measuring the operating performance of companies. In this study, DuPont analysis is used to evaluate three different aspects such as profitability, efficiency of assets utilization and financial leverage. Return on Equity (ROE) is also calculated in DuPont analysis. This study finds that both analysis models provide different rankings of the selected samples. Hypothesis testing based on Pearson's correlation, indicates that there is no correlation between rankings produced by DEA and DuPont analysis. The DEA ranking model proposed by Alirezaee and Asharian is unstable. The method cannot provide complete ranking because the values of Balance Index is equal and zero.

A microsatellite baseline for genetic stock identification of European Atlantic salmon (Salmo salar L.)

DEFF Research Database (Denmark)

Gilbey, John; Coughlan, Jamie; Wennevik, Vidar

2018-01-01

Atlantic salmon (Salmo salar L.) populations from different river origins mix in the North Atlantic during the marine life stage. To facilitate marine stock identification, we developed a genetic baseline covering the European component of the species' range excluding the Baltic Sea, from the Rus...

InterCatch - a tool for fish stock assessment, status and methods

DEFF Research Database (Denmark)

Kjems-Nielsen, Henrik; Larsen, Lena Inger; Zarecki, Maria

2006-01-01

InterCatch is a web-based system for handling fish stock assessment data focusing on documenting characteristics of the catches. These national fish stock data are uploaded to InterCatch by national data submitters. After all data are uploaded the stock coordinators (working for the fish stock as...... assessment group) can then check and set up allocation schemes for unsampled catches. After applying the best allocation scheme to the unsampled catches, the catch data are aggregated as required and exported for analysis, e.g. XSA or ICA....

An analysis of the sectorial influence of CSI300 stocks within the directed network

Science.gov (United States)

Mai, Yong; Chen, Huan; Meng, Lei

2014-02-01

This paper uses the Partial Correlation Planar maximally filtered Graph (PCPG) method to construct a directed network for the constituent stocks underlying the China Securities Index 300 (CSI300). We also analyse the impact of individual stocks. We find that the CSI300 market is a scale-free network with a relatively small power law exponent. The volatility of the stock prices has significant impact on other stocks. In the sectorial network, the industrial sector is the most influential one over other sectors, the financial sector only has a modest influence, while the telecommunication services sector’s influence is marginal. In addition, such inter-sector influence displays quarterly stability.

A hybrid stock trading framework integrating technical analysis with machine learning techniques

Directory of Open Access Journals (Sweden)

Rajashree Dash

2016-03-01

Full Text Available In this paper, a novel decision support system using a computational efficient functional link artificial neural network (CEFLANN and a set of rules is proposed to generate the trading decisions more effectively. Here the problem of stock trading decision prediction is articulated as a classification problem with three class values representing the buy, hold and sell signals. The CEFLANN network used in the decision support system produces a set of continuous trading signals within the range 0–1 by analyzing the nonlinear relationship exists between few popular technical indicators. Further the output trading signals are used to track the trend and to produce the trading decision based on that trend using some trading rules. The novelty of the approach is to engender the profitable stock trading decision points through integration of the learning ability of CEFLANN neural network with the technical analysis rules. For assessing the potential use of the proposed method, the model performance is also compared with some other machine learning techniques such as Support Vector Machine (SVM, Naive Bayesian model, K nearest neighbor model (KNN and Decision Tree (DT model.

Stock Market Project.

Science.gov (United States)

Distel, Brenda D.

This project is designed to teach students the process of buying stocks and to tracking their investments over the course of a semester. The goals of the course are to teach students about the relationships between conditions in the economy and the stock market; to predict the effect of an economic event on a specific stock or industry; to relate…

Group Chemical Changes and Physical Property Correlations in Refining of Lube Base Stocks. Physico-Chemical and Adsorption Chromatography Parameters Corrélations entre les propriétés physiques et les changements de composition chimique au cours du raffinage des huiles de base. Paramètres physico-chimiques et de chromatographie par adsorption

Directory of Open Access Journals (Sweden)

Singh H.

2006-11-01

Full Text Available Changes in twenty-two lubricating oil base stocks prepared from Darius and Assam Mix Crudes by different types of refining treatment and severity of refining have been investigated. Changes in the viscosity index with progressive refining in base stocks of different viscosity have been studied in relation to physico-chemical properties, structural analysis and saturate contents of the base oils. Correlations between the concentration of saturates, saturate-to-aromatic ratio and VI of the base stocks are reported.

MEASURING THE SENSITIVITY OF TURKISH AND ROMANIAN STOCK MARKETS TO EUROPEAN STOCK MARKETS: A COMPARATIVE ANALYSIS

Directory of Open Access Journals (Sweden)

Ismet ATES

2009-05-01

Full Text Available Since the process of globalization accelerates all over the world, trade and economic relations among countries become very intensive and the stock markets in these countries started to integrate to each other quickly. As a result of this, world wide stoc

Cross-correlation matrix analysis of Chinese and American bank stocks in subprime crisis

International Nuclear Information System (INIS)

Zhu Shi-Zhao; Li Xin-Li; Zhang Wen-Qing; Wang Bing-Hong; Nie Sen; Yu Gao-Feng; Han Xiao-Pu

2015-01-01

In order to study the universality of the interactions among different markets, we analyze the cross-correlation matrix of the price of the Chinese and American bank stocks. We then find that the stock prices of the emerging market are more correlated than that of the developed market. Considering that the values of the components for the eigenvector may be positive or negative, we analyze the differences between two markets in combination with the endogenous and exogenous events which influence the financial markets. We find that the sparse pattern of components of eigenvectors out of the threshold value has no change in American bank stocks before and after the subprime crisis. However, it changes from sparse to dense for Chinese bank stocks. By using the threshold value to exclude the external factors, we simulate the interactions in financial markets. (paper)

Dynamic structure of stock communities: a comparative study between stock returns and turnover rates

Science.gov (United States)

Su, Li-Ling; Jiang, Xiong-Fei; Li, Sai-Ping; Zhong, Li-Xin; Ren, Fei

2017-07-01

The detection of community structure in stock market is of theoretical and practical significance for the study of financial dynamics and portfolio risk estimation. We here study the community structures in Chinese stock markets from the aspects of both price returns and turnover rates, by using a combination of the PMFG and infomap methods based on a distance matrix. An empirical study using the overall data set shows that for both returns and turnover rates the largest communities are composed of specific industrial or conceptional sectors and the correlation inside a sector is generally larger than the correlation between different sectors. However, the community structure for turnover rates is more complex than that for returns, which indicates that the interactions between stocks revealed by turnover rates may contain more information. This conclusion is further confirmed by the analysis of the changes in the dynamics of community structures over five sub-periods. Sectors like banks, real estate, health care and New Shanghai take turns to comprise a few of the largest communities in different sub-periods, and more interestingly several specific sectors appear in the communities with different rank orders for returns and turnover rates even in the same sub-period. To better understand their differences, a comparison between the evolution of the returns and turnover rates of the stocks from these sectors is conducted. We find that stock prices only had large changes around important events while turnover rates surged after each of these events relevant to specific sectors, which shows strong evidence that the turnover rates are more susceptible to exogenous shocks than returns and its measurement for community detection may contain more useful information about market structure.

ResStock - Targeting Energy and Cost Savings for U.S. Homes

Energy Technology Data Exchange (ETDEWEB)

Wilson, Eric J [National Renewable Energy Laboratory (NREL), Golden, CO (United States)

2017-09-29

The ResStock analysis tool is helping states, municipalities, utilities, and manufacturers identify which home upgrades save the most energy and money. Across the country there's a vast diversity in the age, size, construction practices, installed equipment, appliances, and resident behavior of the housing stock, not to mention the range of climates. These variations have hindered the accuracy of predicting savings for existing homes. Researchers at the National Renewable Energy Laboratory (NREL) developed ResStock. It's a versatile tool that takes a new approach to large-scale residential energy analysis by combining: large public and private data sources, statistical sampling, detailed subhourly building simulations, high-performance computing. This combination achieves unprecedented granularity and most importantly - accuracy - in modeling the diversity of the single-family housing stock.

Should U.S. investors hold foreign stocks?

OpenAIRE

Asani Sarkar; Kai Li

2002-01-01

U.S. investors have traditionally been reluctant to acquire foreign securities_in part, perhaps, because they fear that restrictions on trading in foreign markets will sharply limit any gains they might realize from diversifying their portfolios. An analysis of the effects of one type of restriction, short-sale constraints, on stock returns between 1976 and 1999 suggests that investing in emerging market stocks offers substantial benefits even when a ban on short sales is in place.

Trading in Target Stocks Before Takeover Announcements: An Analysis of Stock and Option Markets

OpenAIRE

Marcus Clements; Harminder Singh; Antonie Van Eekelen

2007-01-01

In this study we examine both informed trading and contraire trading preceding takeover announcements on US target firms. Our findings suggest that both informed trading and contraire trading exists within the period preceding takeover announcements on both the stock and option markets as evident through abnormal returns and trading volumes. In regard to contraire trading, this study investigates possible explanations for its existence including liquidity clustering, falsely informed trading ...

High-order fuzzy time-series based on multi-period adaptation model for forecasting stock markets

Science.gov (United States)

Chen, Tai-Liang; Cheng, Ching-Hsue; Teoh, Hia-Jong

2008-02-01

Stock investors usually make their short-term investment decisions according to recent stock information such as the late market news, technical analysis reports, and price fluctuations. To reflect these short-term factors which impact stock price, this paper proposes a comprehensive fuzzy time-series, which factors linear relationships between recent periods of stock prices and fuzzy logical relationships (nonlinear relationships) mined from time-series into forecasting processes. In empirical analysis, the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) and HSI (Heng Seng Index) are employed as experimental datasets, and four recent fuzzy time-series models, Chen’s (1996), Yu’s (2005), Cheng’s (2006) and Chen’s (2007), are used as comparison models. Besides, to compare with conventional statistic method, the method of least squares is utilized to estimate the auto-regressive models of the testing periods within the databases. From analysis results, the performance comparisons indicate that the multi-period adaptation model, proposed in this paper, can effectively improve the forecasting performance of conventional fuzzy time-series models which only factor fuzzy logical relationships in forecasting processes. From the empirical study, the traditional statistic method and the proposed model both reveal that stock price patterns in the Taiwan stock and Hong Kong stock markets are short-term.

The effects of mergers and acquisitions on stock price behavior in banking sector of Pakistan

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Zahoor Rahman

2018-03-01

Full Text Available Mergers and Acquisitions are considered as one of the useful strategies for growth and expansion of businesses. These strategies have widely been adopted in developed economies while are quite often practiced in developing countries like Pakistan. This study aims to explore the effect of Mergers and Acquisitions on stock price behavior of banking sector in Pakistan by using event study analysis for the period of 2002–2012. Market Study Method was used to compute the abnormal and cumulative abnormal returns for analyzing pre and post events effect of the phenomenon on share prices. The results reveal mixed observations of the activity of mergers and acquisitions on stock price performance. Our findings indicate that most of the firms experienced negative while some firms have shown positive abnormal and cumulative abnormal returns following the activity. Overall, the results indicate that the market responded negatively towards the phenomenon of mergers and acquisition in Banking sector of Pakistan. The results would be useful in providing new insights to the investors and management in making their investment related decisions.

Stock-market efficiency in thin-trading markets : the case of the Vietnamese stock market

NARCIS (Netherlands)

Truong Dong Loc, [No Value; Lanjouw, Ger; Lensink, Robert

2010-01-01

This article reviews developments in the Stock Trading Centre (STC) in Ho Chi Minh City, Vietnam, the main stock market in the country, since its start in 2000. It presents information about developments in the number of stocks traded, trading activity and stock-price developments. This article

Stock Market Efficiency in Thin Trading Markets: The Case of the Vietnamese Stock Market

NARCIS (Netherlands)

Dong Loc, T.; Lanjouw, G.; Lensink, B.W.

2010-01-01

This article reviews developments in the Stock Trading Centre (STC) in Ho Chi Minh City, Vietnam, the main stock market in the country, since its start in 2000. It presents information about developments in the number of stocks traded, trading activity and stock-price developments. This article

Oil Price Shocks and Stock Markets in BRICs

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Ono, Shigeki

2011-06-01

Full Text Available This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.

Stock Price Performance Following Equity Offerings at Oslo Stock Exchange: Is Investing in SEO Companies Hazardous to Your Wealth?

OpenAIRE

Grieg, Benedicte Willumsen

2012-01-01

I examine the stock price performance following a seasoned equity offering at Oslo Stock Exchange. Through an empirical analysis I find that the existence of a negative announcement effect associated with issuing seasoned equity, as well as a long-run underperformance, is also applicable in the Norwegian market. The level of asymmetry can to a large extent explain the price drop and varies with characteristics like sector, offering size, floatation method, and pre-offer performance. The long-...

Causality between regional stock markets: A frequency domain approach

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Gradojević Nikola

2013-01-01

Full Text Available Using a data set from five regional stock exchanges (Serbia, Croatia, Slovenia, Hungary and Germany, this paper presents a frequency domain analysis of a causal relationship between the returns on the CROBEX, SBITOP, CETOP and DAX indices, and the return on the major Serbian stock exchange index, BELEX 15. We find evidence of a somewhat dominant effect of the CROBEX and CETOP stock indices on the BELEX 15 stock index across a range of frequencies. The results also indicate that the BELEX 15 index and the SBITOP index interact in a bi-directional causal fashion. Finally, the DAX index movements consistently drive the BELEX 15 index returns for cycle lengths between 3 and 11 days without any feedback effect.

Exploitation dynamics of small fish stocks like Arctic cisco

Science.gov (United States)

Nielsen, Jennifer L.

2004-01-01

Potential impacts to the Arctic cisco population fall into both demographic and behavioral categories. Possible demographic impacts include stock recruitment effects, limited escapement into marine habitats, and variable age-class reproductive success. Potential behavioral impacts involve migratory patterns, variable life histories, and strategies for seasonal feeding. Arctic cisco stocks are highly susceptible to over-exploitation due to our limited basic knowledge of the highly variable Arctic environment and the role they play in this dynamic ecosystem.Our knowledge of potential demographic changes is very limited, and it is necessary to determine the abundance and recruitment of the hypothesized Mackenzie River source population, the extent of the coastal migratory corridor, growth patterns, and coastal upwelling and mixing effects on population dynamics for this species. Information needed to answer some of the demographic questions includes basic evolutionary history and molecular genetics of Arctic cisco (for instance, are there contributions to the Arctic cisco stock from the Yukon?), what is the effective population size (i.e., breeding population size), and potential links to changes in climate. The basic behavioral questions include migratory and variable life history questions. For instance, the extent of movement back and forth between freshwater and the sea, age-specific differences in food web dynamics, and nearshore brackish and high salinity habitats are topics that should be studied. Life history data should be gathered to understand the variation in age at reproduction, salinity tolerance, scale and duration of the freshwater stage, survival, and adult migration. Both molecular and ecological tools should be integrated to manage the Arctic cisco stock(s), such as understanding global climate changes on patterns of harvest and recruitment, and the genetics of population structure and colonization. Perhaps other populations are contributing to the

Stock Indices as Generalizing Indicators of the Stock Markets Condition in the European Union Countries

Directory of Open Access Journals (Sweden)

Shuba M. V.

2015-03-01

Full Text Available The aim of the article is to determine the degree of interdependence of stock markets in separate countries of the European Union, namely: France, Germany, Great Britain, Poland, the Czech Republic and Hungary on the basis of studying the changes in stock indexes, as well as determining the existence of tendencies of approximating the dynamics of the national stock index «PFTS Index» to the corresponding dynamics of stock indexes in surveyed countries. The article analyzes the dynamics of changes in stock indices in the UK (FTSE, Germany (DAX 30, France (CAC 40 and pan-European ones (EURO STOXX 50, as well as changes in stock indices in Poland (WIG 20, Czech Republic (PX, Hungary (BUX. Calculations of the coefficients of pair correlation between changes in stock indices in the studied countries have been performed. The calculation results show a substantial connection between the indicators of changes in stock indices and allow to make a conclusion that in the dynamics of stock indices of national stock markets of the studied EU countries some common trends are observed, moreover, in the behavior of the considered indices common local trends are noticed as well. The author calculated the coefficient of pair correlation between the indicators of changes in the national stock index «PFTS Index» and the stock indices of the «old» and «new» EU countries. The calculations showed that the PFTS Index does not demonstrate a high level of correlation with stock indices of the «old» EU countries and has a tendency of approaching the corresponding dynamics of stock indices of the «new» EU countries.

An Analysis of Theories on Stock Returns

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Ahmet Sekreter

2017-03-01

Full Text Available Objective in writing this article is to provide an overview of the theories that has been developed for stock returns which is an important area of financial markets’ researches. Since the researches in this field are very active for the past quarter, it is not possible to describe all works that has been done in this area. Most important researches will be discussed without going deeper in mathematical tools and theories.

Price performance following stock's IPO in different price limit systems

Science.gov (United States)

Wu, Ting; Wang, Yue; Li, Ming-Xia

2018-01-01

An IPO burst occurred in China's stock markets in 2015, while price limit trading rules usually help to reduce the short-term trading mania on individual stocks. It is interesting to make clear the function of the price limits after IPOs. We firstly make a statistical analysis based on all the IPO stocks listed from 1990 to 2015. A high dependency exists between the activities in stock's IPO and various market environment. We also focus on the price dynamics in the first 40 trading days after the stock listed. We find that price limit system will delay the price movement, especially for the up-trend movements, which may lead to longer continuous price limit hits. Similar to our previous work, many results such as ;W; shape can be also observed in the future daily return after the price limit open. At last, we find most IPO measures show evident correlations with the following price limit hits. IPO stocks with lower first-day turnover and earning per share will be followed with a longer continuous price limit hits and lower future daily return under the newest trading rules, which give us a good way to estimate the occurrence of price limit hits and the following price dynamics. Our analysis provides a better understanding of the price dynamics after IPO events and offers potential practical values for investors.

Long - Memory Persistence in African Stock Markets

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Emmanuel Numapau Gyamfi

2016-05-01

Full Text Available Emerging stock markets are said to become efficient with time. This study seeks to investigate this assertion by analyzing long - memory persistence in 8 African stock markets covering the period from 28 August 2000 to 28 August 2015. The Hurst exponent is used as our efficiency measure which is evaluated by the Detrended Fluctuation Analysis (DFA. Our findings show strong evidence of long - memory persistence in the markets studied therefore violating the weak - form Efficient Market Hypothesis (EMH.

Changing recruitment capacity in global fish stocks.

Science.gov (United States)

Britten, Gregory L; Dowd, Michael; Worm, Boris

2016-01-05

Marine fish and invertebrates are shifting their regional and global distributions in response to climate change, but it is unclear whether their productivity is being affected as well. Here we tested for time-varying trends in biological productivity parameters across 262 fish stocks of 127 species in 39 large marine ecosystems and high-seas areas (hereafter LMEs). This global meta-analysis revealed widespread changes in the relationship between spawning stock size and the production of juvenile offspring (recruitment), suggesting fundamental biological change in fish stock productivity at early life stages. Across regions, we estimate that average recruitment capacity has declined at a rate approximately equal to 3% of the historical maximum per decade. However, we observed large variability among stocks and regions; for example, highly negative trends in the North Atlantic contrast with more neutral patterns in the North Pacific. The extent of biological change in each LME was significantly related to observed changes in phytoplankton chlorophyll concentration and the intensity of historical overfishing in that ecosystem. We conclude that both environmental changes and chronic overfishing have already affected the productive capacity of many stocks at the recruitment stage of the life cycle. These results provide a baseline for ecosystem-based fisheries management and may help adjust expectations for future food production from the oceans.

Stocks as Money: Convenience Yield and the Tech-Stock Bubble

OpenAIRE

John H. Cochrane

2002-01-01

What caused the rise and fall of tech stocks? I argue that a mechanism much like the transactions demand for money drove many stock prices above the 'fundamental value' they would have had in a frictionless market. I start with the Palm/3Com microcosm and then look at tech stocks in general. High prices are associated with high volume, high volatility, low supply of shares, wide dispersion of opinion, and restrictions on long-term short selling. I review competing theories, and only the conve...

Endogenous and exogenous dynamics in the fluctuations of capital fluxes. An empirical analysis of the Chinese stock market

Science.gov (United States)

Jiang, Z.-Q.; Guo, L.; Zhou, W.-X.

2007-06-01

A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is carried out on the Chinese stock market using mean-variance analysis, fluctuation analysis, and their generalizations to higher orders. Non-universal dynamics have been found not only in the scaling exponent α, which is different from the universal values 1/2 and 1, but also in the distributions of the ratio η= σexo / σendo of individual stocks. Both the scaling exponent α of fluctuations and the Hurst exponent Hi increase in logarithmic form with the time scale Δt and the mean traded value per minute , respectively. We find that the scaling exponent αendo of the endogenous fluctuations is independent of the time scale. Multiscaling and multifractal features are observed in the data as well. However, the inhomogeneous impact model is not verified.

The Use of Indicators in Modified Historical Model to Estimate the Intrinsic Value of a Stock

Directory of Open Access Journals (Sweden)

Gottwald Radim

2012-06-01

Full Text Available The article mentions several methods of a fundamental analysis used to value stocks. It primarily focuses on the historical model. This model enables undervalued, correctly valued and overvalued stocks to be identified. The model is further modified in the article, using selected accounting indicators. The modified model versions are applied to selected stocks in the SPAD segment, Prague Stock Exchange, within the 2005-2010 period. Empirical analysis is applied to a comparison of accuracy of the accounting indicator value estimates and accuracy of stock intrinsic value estimates, both separately for each stock and accounting indicator. The comparisons of accuracy of the accounting indicator value estimates and the accuracy of the stock intrinsic value estimates are also done based on the length of applied time period. With respect to the obvious fierce competition between stock issuers within the financial markets, the model enables potential investors, who are to select from an extensive offer of stocks, to make better informed investment decisions.

Design Analysis of the Mixed Mode Bending Sandwich Specimen

DEFF Research Database (Denmark)

Quispitupa, Amilcar; Berggreen, Christian; Carlsson, Leif A.

2010-01-01

A design analysis of the mixed mode bending (MMB) sandwich specimen for face–core interface fracture characterization is presented. An analysis of the competing failure modes in the foam cored sandwich specimens is performed in order to achieve face–core debond fracture prior to other failure modes...... for the chosen geometries and mixed mode loading conditions....

the mauritius stock exchange: sectoral analysis, risk and return

African Journals Online (AJOL)

cistvr

In Section III beta estimates are calculated for each share using the Capital. Asset Pricing ... In a stock market therefore, investors would need information such as the ..... In Mauritius however, capital account restrictions were lifted only in 1995 ...

Stock and option portfolio using fuzzy logic approach

Science.gov (United States)

Sumarti, Novriana; Wahyudi, Nanang

2014-03-01

Fuzzy Logic in decision-making process has been widely implemented in various problems in industries. It is the theory of imprecision and uncertainty that was not based on probability theory. Fuzzy Logic adds values of degree between absolute true and absolute false. It starts with and builds on a set of human language rules supplied by the user. The fuzzy systems convert these rules to their mathematical equivalents. This could simplify the job of the system designer and the computer, and results in much more accurate representations of the way systems behave in the real world. In this paper we examine the decision making process of stock and option trading by the usage of MACD (Moving Average Convergence Divergence) technical analysis and Option Pricing with Fuzzy Logic approach. MACD technical analysis is for the prediction of the trends of underlying stock prices, such as bearish (going downward), bullish (going upward), and sideways. By using Fuzzy C-Means technique and Mamdani Fuzzy Inference System, we define the decision output where the value of MACD is high then decision is "Strong Sell", and the value of MACD is Low then the decision is "Strong Buy". We also implement the fuzzification of the Black-Scholes option-pricing formula. The stock and options methods are implemented on a portfolio of one stock and its options. Even though the values of input data, such as interest rates, stock price and its volatility, cannot be obtain accurately, these fuzzy methods can give a belief degree of the calculated the Black-Scholes formula so we can make the decision on option trading. The results show the good capability of the methods in the prediction of stock price trends. The performance of the simulated portfolio for a particular period of time also shows good return.

An Intelligent Model for Stock Market Prediction

Directory of Open Access Journals (Sweden)

IbrahimM. Hamed

2012-08-01

Full Text Available This paper presents an intelligent model for stock market signal prediction using Multi-Layer Perceptron (MLP Artificial Neural Networks (ANN. Blind source separation technique, from signal processing, is integrated with the learning phase of the constructed baseline MLP ANN to overcome the problems of prediction accuracy and lack of generalization. Kullback Leibler Divergence (KLD is used, as a learning algorithm, because it converges fast and provides generalization in the learning mechanism. Both accuracy and efficiency of the proposed model were confirmed through the Microsoft stock, from wall-street market, and various data sets, from different sectors of the Egyptian stock market. In addition, sensitivity analysis was conducted on the various parameters of the model to ensure the coverage of the generalization issue. Finally, statistical significance was examined using ANOVA test.

An Agent-Based Computational Model for China’s Stock Market and Stock Index Futures Market

Directory of Open Access Journals (Sweden)

Hai-Chuan Xu

2014-01-01

Full Text Available This study presents an agent-based computational cross market model for Chinese equity market structure, which includes both stocks and CSI 300 index futures. In this model, we design several stocks and one index future to simulate this structure. This model allows heterogeneous investors to make investment decisions with restrictions including wealth, market trading mechanism, and risk management. Investors’ demands and order submissions are endogenously determined. Our model successfully reproduces several key features of the Chinese financial markets including spot-futures basis distribution, bid-ask spread distribution, volatility clustering, and long memory in absolute returns. Our model can be applied in cross market risk control, market mechanism design, and arbitrage strategies analysis.

Price-volume multifractal analysis of the Moroccan stock market

Science.gov (United States)

El Alaoui, Marwane

2017-11-01

In this paper, we analyzed price-volume multifractal cross-correlations of Moroccan Stock Exchange. We chose the period from January 1st 2000 to January 20th 2017 to investigate the multifractal behavior of price change and volume change series. Then, we used multifractal detrended cross-correlations analysis method (MF-DCCA) and multifractal detrended fluctuation analysis (MF-DFA) to analyze the series. We computed bivariate generalized Hurst exponent, Rényi exponent and spectrum of singularity for each pair of indices to measure quantitatively cross-correlations. Furthermore, we used detrended cross-correlations coefficient (DCCA) and cross-correlation test (Q(m)) to analyze cross-correlation quantitatively and qualitatively. By analyzing results, we found existence of price-volume multifractal cross-correlations. The spectrum width has a strong multifractal cross-correlation. We remarked that volume change series is anti-persistent when we analyzed the generalized Hurst exponent for all moments q. The cross-correlation test showed the presence of a significant cross-correlation. However, DCCA coefficient had a small positive value, which means that the level of correlation is not very significant. Finally, we analyzed sources of multifractality and their degree of contribution in the series.

Base-Stock Level yang Meminimasi Biaya pada Permasalahan Single Order

Directory of Open Access Journals (Sweden)

Tanti Octavia

2011-01-01

Full Text Available The purpose of this research is to conduct an analysis on demand characteristic and inventory cost which might potentially influence the determination of base-stock level. Appropriate base-stock level will determine the maximum profit and also reduce the stockout cost for fashion products which has high demand uncertainty and single order problem. Case study is applied on a garment company with eight fashion product types that can be classified into short and long lifetime. The effect of coefficient variation, salvage price and stockout cost is analyzed towards profits and base stock level. It can be concluded that demand variability does not affect base stock level, while stockout cost and salvage price does.

The Role of Stock Market Development on Economic Growth in ...

African Journals Online (AJOL)

The method of analysis used is Ordinary Least Square (OLS) techniques. The study measures the relationship between stock market development indices and economic growth. The stock market capitalization ratio was used as a proxy for market size while value traded ratio and turnover ratio were used as proxy for market ...

Quantifying Fire's Impacts on Total and Pyrogenic Carbon Stocks in Mixed-Conifer Forests: Results from Pre- and Post-Fire Measurements in Active Wildfire Incidents

Science.gov (United States)

Miesel, J. R.; Reiner, A. L.; Ewell, C. M.; Sanderman, J.; Maestrini, B.; Adkins, J.

2016-12-01

Widespread US fire suppression policy has contributed to an accumulation of vegetation in many western forests relative to historic conditions, and these changes can exacerbate wildfire severity and carbon (C) emissions. Serious concern exists about positive feedbacks between wildfire emissions and global climate; however, fires not only release C from terrestrial to atmospheric pools, they also create "black" or pyrogenic C (PyC) which contributes to longer-term C stability. Our objective was to quantify wildfire impacts on aboveground and belowground total C and PyC stocks in California mixed-conifer forests. We worked with incident management teams to access five active wildfires to establish and measure plots within days before and after fire. We measured pre- and post-fire aboveground forest structure and woody fuels to calculate aboveground biomass, biomass C, and PyC, and we collected pre- and post-fire forest floor and 0-5 cm mineral soil samples to measure belowground C and PyC stocks. Our preliminary results show that fire had minimal impact on the number of trees per hectare, whereas C losses from the tree layer occurred via consumption of foliage, and PyC gain occurred in tree bark. Fire released 54% to 100% of surface fuel C. In the forest floor layer, we observed 33 to 100% C loss, whereas changes in PyC stocks ranged from 100% loss to 186% gain relative to pre-fire samples. In general, fire had minimal to no impact on 0-5 cm mineral soil C. We will present relationships between total C, PyC and post-fire C and N dynamics in one of the five wildfire sites. Our data are unique because they represent nearly immediate pre- and post-fire measurements in major wildfires in a widespread western U.S. forest type. This research advances understanding of the role of fire on forest C fluxes and C sequestration potential as PyC.

Multiscale Shannon entropy and its application in the stock market

Science.gov (United States)

Gu, Rongbao

2017-10-01

In this paper, we perform a multiscale entropy analysis on the Dow Jones Industrial Average Index using the Shannon entropy. The stock index shows the characteristic of multi-scale entropy that caused by noise in the market. The entropy is demonstrated to have significant predictive ability for the stock index in both long-term and short-term, and empirical results verify that noise does exist in the market and can affect stock price. It has important implications on market participants such as noise traders.

Accuracy Combination Test of Classical and Modern Technical Analysis: A Case Study in Stock of PT Wijaya Karya Tbk

Directory of Open Access Journals (Sweden)

Agustini Hamid

2016-05-01

Full Text Available The research aimed to measure the accuracy and combination of Classic and Modern Technical Analysis. PT Wijaya Karya Tbk (WIKA’s stock in two periods is the sample of research. Technical analysis was used to predict stock prices by observing changes in historical share price. Practically, technical analysis is divided into Classic Technical and Modern. Research was conducted by library study and using a computer software. Microsft Excel was used for the simulation and Chart Nexus for analyzing Modern Technical Analysis. The research period started in January 1, 2013 until December 31, 2013 and January 1, 2014 until December 31, 2014. The Classic Technical Analysis used Support, Resistance, Trendline, and Flag Patern. Meanwhile for Modern Technical Analysis used Moving Average, Stochastic, Moving Average Convergence Divergence (MACD indicator. The Classical Technical Analysis gave less result than Modern Technical Analysis. The classical give 14 investment decisions in two periods. The average return of Classical Technical is 15,50%. Meanwhile the Modern Technical Analysis gave 18 investment decisions in two periods. The average return of Modern Technical is 18,14%. Combining Classic Technical Analysis and Modern Technical Analysis gave 20 investment decisions with the average rate of return 20,41%.

Seasonal Trends in Lithuanian Stock Market

Directory of Open Access Journals (Sweden)

Žaneta Simanavičienė

2013-11-01

Full Text Available Purpose of the article is to disentangle different calendar effects which leave efficiency holes in Lithuanian market. This paper presents and tests if commonly described seasonal patterns exist in Lithuanian stock market. Analysis of three different sections: period-of-the-year; week-of-the-month and day-of-the-week, suggests that calendar effects do exist in this market. The multitude of explanations for the seasonal effect leaves the reader confused about its primary cause(s: is it tax-loss selling, window dressing, information, bid-ask bounce, or a combination of these causes? The confusion arises, in part, because evidence has generally been presented in support of a particular hypothesis though the same evidence may be consistent with another hypothesis. Methodology/methods are logical and systemic analysis of research literature based on the comparative and generalization methods as well as statistical methods. Scientific aim of the article is the lack of arguments questioning if market prices operating system is fully effective. Novelty of the paper is to the answer to the question what seasonal anomalies are also present in the stock market of new open economy countries. Findings show that using this modified strategy investor could achieve 20.7% compounded annual growth rate versus 7.8% achieved using simply holding stocks throughout. The hypothesis asserts that returns generally will be greater following the “January effect”. There is limited amount of data for constructing robust seasonal strategies so we modified Buy and Hold strategy with simple rules of using best and worst months to show how they influence OMXV index performance. In the conclusions, empirical results using stock index returns for 2000 - 2010 support the hypothesis in Lithuaian stock market. Abnormal activity of OMXV index’s performance is found in the end of summer and throughout autumn. August is best performer of the year while October is

Stock Identification of Columbia River Chinook Salmon and Steelhead Trout, 1984-1985 Annual Report.

Energy Technology Data Exchange (ETDEWEB)

Schreck, Carl B.; Sharpe, Cameron; Li, Hiram W. (Oregon State University, Oregon Cooperative Fishery Research Unit, Corvallis, OR)

1985-09-21

Fish were collected from 60 stocks of chinook salmon and 62 stocks of steelhead trout. Electrophoretic analyses were completed on 43 stocks of chinook salmon and 41 stocks of steelhead trout and meristic counts were completed on 43 stocks of chinook and 41 stocks of steelhead. Statistical comparisons between year classes of our electrophoretic data indicate that most enzyme systems are stable over time but some may be dynamic and should be used with caution in our analyses. We also compared neighboring stocks of both spring chinook and steelhead trout. These comparisons were between stocks of the same race from adjacent stream systems and/or hatcheries. Differences in isozyme gene frequencies can be used to estimate genetic segregation between pairs of stocks. Analysis of the chinook data suggests that, as expected, the number of statistically significant differences in isozyme gene frequencies increases as the geographic distance between stocks increases. The results from comparisons between adjacent steelhead stocks were inconclusive and must await final analysis with more data. Cluster analyses using either isozyme gene frequencies or meristic characters both tended to group the chinook and steelhead stocks by geographic areas and by race and both methods resulted in generally similar grouping patterns. However, cluster analyses using isozyme gene frequencies produced more clusters than the analyses using meristic characters probably because of the greater number of electrophoretic characters compared to the number of meristic characters. Heterozygosity values for each stock were computed using the isozyme gene frequencies. The highest heterozygosity values for chinook were observed in summer chinook and the hatchery stocks while the lowest values were observed in the spring chinook and wild stocks. The results of comparisons of heterozygosity values among areas were inconclusive. The steelhead heterozygosity values were higher in the winter stocks than in the

The Mauritius stock exchange: Sectoral analysis, risk and return ...

African Journals Online (AJOL)

Companies listed on the Mauritius Stock Exchange are classified into seven sectors of the economy, namely Banking & Insurance, Industry, Investments, Sugar, Commerce, Leisure & Hotels and Transport. Significant improvements in market capitalisation and turnover are noted in all sectors except the Transport sector.

Distribution characteristics of stock market liquidity

Science.gov (United States)

Luo, Jiawen; Chen, Langnan; Liu, Hao

2013-12-01

We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the distributions of stock market liquidity well with the diagnosis test. We also find that the stock market index exhibits a significant impact on the distributions of stock market liquidity. The stock market liquidity usually exhibits a positive skewness, but a normal distribution at a low level of stock market index and a high-peak and fat-tail shape at a high level of stock market index.

Intra- and Inter-Regional Return and Volatility Spillovers Across Emerging and Developing Markets: Evidence from Stock Indices and Stock Index Futures

OpenAIRE

Yarovaya, Larisa; Brzeszczynski, Janusz; Lau, Marco Chi Keung

2016-01-01

We provide empirical evidence on the patterns of intra- and inter-regional transmission of information across 10 developed and 11 emerging markets in Asia, the Americas, Europe and Africa using both stock indices and stock index futures. The main transmission channels are examined in the period from 2005 to 2014 through the analysis of return and volatility spillovers around the most recent crises based on the generalized vector autoregressive framework. Our findings demonstrate that markets ...

STOCK AND STOCK EXCHANGE AS A PART OF FINANCIAL INSTITUTIONS IN DEVELOPED COUNTRIES

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Vesna Petrović

2018-01-01

Full Text Available The authors have tried to present the term, meaning and importance of stocks and stock exchange as a part of the financial system of developed countries. By observing the financial system growth, especially in financial institutions, it can be noticed that there are changes in relative positions of various types of financial agents in developed market industries. What determines financial markets, and by that the stocks and stock exchange is the permanent movement of financial instruments and neglecting the national market boundaries.

Market Risk in Demutualised Self-Listed Stock Exchanges: An International Analysis of Selected Time-Varying Betas

OpenAIRE

Andrew Worthington; Helen Higgs

2005-01-01

This paper examines market risk in four demutualised and self-listed stock exchanges: the Australian Stock Exchange, the Deutsche Börse, the London Stock Exchange and the Singapore Stock Exchange. Daily company and MSCI index returns provide the respective asset and market portfolio data. A bivariate MA-GARCH model is used to estimate time-varying betas for each exchange from listing until 7 June 2005. While the results indicate significant beta volatility, unit root tests show the betas to b...

Prediction of Safety Stock Using Fuzzy Time Series (FTS) and Technology of Radio Frequency Identification (RFID) for Stock Control at Vendor Managed Inventory (VMI)

Science.gov (United States)

Mashuri, Chamdan; Suryono; Suseno, Jatmiko Endro

2018-02-01

This research was conducted by prediction of safety stock using Fuzzy Time Series (FTS) and technology of Radio Frequency Identification (RFID) for stock control at Vendor Managed Inventory (VMI). Well-controlled stock influenced company revenue and minimized cost. It discussed about information system of safety stock prediction developed through programming language of PHP. Input data consisted of demand got from automatic, online and real time acquisition using technology of RFID, then, sent to server and stored at online database. Furthermore, data of acquisition result was predicted by using algorithm of FTS applying universe of discourse defining and fuzzy sets determination. Fuzzy set result was continued to division process of universe of discourse in order to be to final step. Prediction result was displayed at information system dashboard developed. By using 60 data from demand data, prediction score was 450.331 and safety stock was 135.535. Prediction result was done by error deviation validation using Mean Square Percent Error of 15%. It proved that FTS was good enough in predicting demand and safety stock for stock control. For deeper analysis, researchers used data of demand and universe of discourse U varying at FTS to get various result based on test data used.

Prediction of Safety Stock Using Fuzzy Time Series (FTS and Technology of Radio Frequency Identification (RFID for Stock Control at Vendor Managed Inventory (VMI

Directory of Open Access Journals (Sweden)

Mashuri Chamdan

2018-01-01

Full Text Available This research was conducted by prediction of safety stock using Fuzzy Time Series (FTS and technology of Radio Frequency Identification (RFID for stock control at Vendor Managed Inventory (VMI. Well-controlled stock influenced company revenue and minimized cost. It discussed about information system of safety stock prediction developed through programming language of PHP. Input data consisted of demand got from automatic, online and real time acquisition using technology of RFID, then, sent to server and stored at online database. Furthermore, data of acquisition result was predicted by using algorithm of FTS applying universe of discourse defining and fuzzy sets determination. Fuzzy set result was continued to division process of universe of discourse in order to be to final step. Prediction result was displayed at information system dashboard developed. By using 60 data from demand data, prediction score was 450.331 and safety stock was 135.535. Prediction result was done by error deviation validation using Mean Square Percent Error of 15%. It proved that FTS was good enough in predicting demand and safety stock for stock control. For deeper analysis, researchers used data of demand and universe of discourse U varying at FTS to get various result based on test data used.

Cross-Correlation Asymmetries and Causal Relationships between Stock and Market Risk

Science.gov (United States)

Borysov, Stanislav S.; Balatsky, Alexander V.

2014-01-01

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994–2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa. PMID:25162697

Cross-correlation asymmetries and causal relationships between stock and market risk.

Science.gov (United States)

Borysov, Stanislav S; Balatsky, Alexander V

2014-01-01

We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock prices from the Standard & Poor's 500 index for 1994-2013. We focus on the behavior of the cross-correlations at the times of financial crises with significant jumps of market volatility. The observed historical dynamics showed that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when the volatility of an individual stock follows the market volatility and vice versa.

The Stock Market Game: A Simulation of Stock Market Trading. Grades 5-8.

Science.gov (United States)

Draze, Dianne

This guide to a unit on a simulation game about the stock market contains an instructional text and two separate simulations. Through directed lessons and reproducible worksheets, the unit teaches students about business ownership, stock exchanges, benchmarks, commissions, why prices change, the logistics of buying and selling stocks, and how to…

Weak Form Efficiency of the Chittagong Stock Exchange: An Empirical Analysis (2006-2016

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Shahadat Hussain

2017-01-01

Full Text Available We study the random walk behavior of Chittagong Stock Exchange (CSE by using daily returns of three indices for the period of 2006 to 2016 employing both non-parametric test (run test and parametric tests [autocorrelation coefficient test, Ljung– Box (LB statistics]. The skewness and kurtosis properties of daily return series are non-normal, with a hint of positively skewed and leptokurtic distribution. The results of run test; autocorrelation and Ljung–Box (LB statistics provide evidences against random walk behavior in the Chittagong Stock Exchange. Overall our result suggest that Chittagong Stock Exchange does not exhibit weak form of efficiency. Hence, there is opportunity of generating a superior return by the active investors.

Otolith edge fingerprints as approach for stock identification of Genidens barbus

Science.gov (United States)

Avigliano, Esteban; Maichak de Carvalho, Barbara; Leisen, Mathieu; Romero, Rurik; Velasco, Gonzalo; Vianna, Marcelo; Barra, Fernando; Volpedo, Alejandra Vanina

2017-07-01

The purpose of this paper is to assess the use of multi-elemental otolith fingerprints as a tool to delimit catfish Genidens barbus fish stocks in four estuaries from the southwestern Atlantic Ocean. Barium:Calcium (Ca), Magnesium:Ca, Manganese:Ca, Sodium:Ca and Strontium:Ca ratios in the otolith edge were determined by LA-ICPMS. PERMANOVA analysis reveal significant differences in the multi-element signatures among estuaries (p = 0.0001-0.002). Reclassification rates of quadratic discriminant analysis are high, averaging 89.9% (78-100%). The new data presented here show that the otolith chemistry is a potential tool for stock identification, and indicates the presence of at least four stocks which should probably be handled independently.

Stock Picking via Nonsymmetrically Pruned Binary Decision Trees

OpenAIRE

Anton Andriyashin

2008-01-01

Stock picking is the field of financial analysis that is of particular interest for many professional investors and researchers. In this study stock picking is implemented via binary classification trees. Optimal tree size is believed to be the crucial factor in forecasting performance of the trees. While there exists a standard method of tree pruning, which is based on the cost-complexity tradeoff and used in the majority of studies employing binary decision trees, this paper introduces a no...

Dynamics Analysis Of Land-Based Carbon Stock In The Region Of Samarinda East Kalimantan Province

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Zikri Azham

2017-10-01

Full Text Available This study aims to determine the potential dynamics of carbon stocks in various land cover classes in the city of Samarinda in the calculation of carbon stocks land cover only devided into three 3 Class Land Cover CLC is a secondary forest CLC CLC thickets and CLC shrubs. Research results show that the above ground carbon AGC stocks on Secondary Forest Land Cover Class average of 71.93 tonnesha the land cover classes thickets of 32.34 tonnes hectares and shrubs land cover classes of 19.66 tonnes hectare. The carbon stocks in 2009 amounted to 2589929 tonnes in 2012 there were 2347477 tons and in 2015 there were 2201005 tonnes. Estimated decrease in land-based stock carbon in the city of Samarinda during the period 2009-2015 amounted to 388943 tonnes or an average of 70170 tonnes per year or approximately 2.73year or the emissions in the field of land amounting to 254538 tonnes of CO2 equivalent.

US forest carbon calculation tool: forest-land carbon stocks and net annual stock change

Science.gov (United States)

James E. Smith; Linda S. Heath; Michael C. Nichols

2007-01-01

The Carbon Calculation Tool 4.0, CCTv40.exe, is a computer application that reads publicly available forest inventory data collected by the U.S. Forest Service's Forest Inventory and Analysis Program (FIA) and generates state-level annualized estimates of carbon stocks on forest land based on FORCARB2 estimators. Estimates can be recalculated as...

An Empirical Analysis of the Effect of Stock Market Crisis on Economic Growth: The Nigerian Case

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Omowunmi Felicia Olokoyo

2011-08-01

Full Text Available Stock market crashes are social phenomena where external economic events combine with crowd behavior and psychology in a positive feedback loop where selling by some market participants drives more market participants to sell. This study empirically established the relationship between stock market crisis and Nigeria’s economic growth and also showed the relationship between stock market price crash and the crisis itself. In this light, this paper examined the interactive influence of movements in the major indicators of the performance of the Nigerian Stock Exchange Market such as the Market Capitalization (MK, All Share Index (ASI, Number of Deals (NOD, Volume and Value of Stock (VV, Total Number of New Issues (TNI and Inflation (INFR on the Nigerian Gross Domestic Product (GDP using data from 1985-2009. To achieve the two objectives stated above, the Ordinary Least Square (OLS method was employed. To correct for the OLS result biasness the log was applied to GDP and MK and also AR(1 was introduced to the first model. The result shows that stock market crisis has a highly significant effect on Nigeria’s economic growth. The result also shows a significant relationship between stock market price crash and the market crisis itself. It is therefore recommended that in the face of the ongoing crisis in the global stock market, the Nigerian stock market authorities should aim at making the market meet a world class standard. Also, all the sectors of the economy should act in a collaborative manner such that optimum benefits can be realized from their economic activities in the Nigeria market even in the hub of global crisis.

Stock price forecasting based on time series analysis

Science.gov (United States)

Chi, Wan Le

2018-05-01

Using the historical stock price data to set up a sequence model to explain the intrinsic relationship of data, the future stock price can forecasted. The used models are auto-regressive model, moving-average model and autoregressive-movingaverage model. The original data sequence of unit root test was used to judge whether the original data sequence was stationary. The non-stationary original sequence as a first order difference needed further processing. Then the stability of the sequence difference was re-inspected. If it is still non-stationary, the second order differential processing of the sequence is carried out. Autocorrelation diagram and partial correlation diagram were used to evaluate the parameters of the identified ARMA model, including coefficients of the model and model order. Finally, the model was used to forecast the fitting of the shanghai composite index daily closing price with precision. Results showed that the non-stationary original data series was stationary after the second order difference. The forecast value of shanghai composite index daily closing price was closer to actual value, indicating that the ARMA model in the paper was a certain accuracy.

Stock price estimation using ensemble Kalman Filter square root method

Science.gov (United States)

Karya, D. F.; Katias, P.; Herlambang, T.

2018-04-01

Shares are securities as the possession or equity evidence of an individual or corporation over an enterprise, especially public companies whose activity is stock trading. Investment in stocks trading is most likely to be the option of investors as stocks trading offers attractive profits. In determining a choice of safe investment in the stocks, the investors require a way of assessing the stock prices to buy so as to help optimize their profits. An effective method of analysis which will reduce the risk the investors may bear is by predicting or estimating the stock price. Estimation is carried out as a problem sometimes can be solved by using previous information or data related or relevant to the problem. The contribution of this paper is that the estimates of stock prices in high, low, and close categorycan be utilized as investors’ consideration for decision making in investment. In this paper, stock price estimation was made by using the Ensemble Kalman Filter Square Root method (EnKF-SR) and Ensemble Kalman Filter method (EnKF). The simulation results showed that the resulted estimation by applying EnKF method was more accurate than that by the EnKF-SR, with an estimation error of about 0.2 % by EnKF and an estimation error of 2.6 % by EnKF-SR.

Advantage of make-to-stock strategy based on linear mixed-effect model: a comparison with regression, autoregressive, times series, and exponential smoothing models

Directory of Open Access Journals (Sweden)

Yu-Pin Liao

2017-11-01

Full Text Available In the past few decades, demand forecasting has become relatively difficult due to rapid changes in the global environment. This research illustrates the use of the make-to-stock (MTS production strategy in order to explain how forecasting plays an essential role in business management. The linear mixed-effect (LME model has been extensively developed and is widely applied in various fields. However, no study has used the LME model for business forecasting. We suggest that the LME model be used as a tool for prediction and to overcome environment complexity. The data analysis is based on real data in an international display company, where the company needs accurate demand forecasting before adopting a MTS strategy. The forecasting result from the LME model is compared to the commonly used approaches, including the regression model, autoregressive model, times series model, and exponential smoothing model, with the results revealing that prediction performance provided by the LME model is more stable than using the other methods. Furthermore, product types in the data are regarded as a random effect in the LME model, hence demands of all types can be predicted simultaneously using a single LME model. However, some approaches require splitting the data into different type categories, and then predicting the type demand by establishing a model for each type. This feature also demonstrates the practicability of the LME model in real business operations.

A cointegration analysis of wine stock indexes

OpenAIRE

Sabina Introvigne; Emanuele Bacchiocchi; Daniela Vandone

2017-01-01

This paper analyzes price patterns and long-run relationships for both fine wine and non-fine wine, with the aim to highlight price dynamics and co-movements between series, and to exploit potential diversification benefits. Data are from Liv-Ex 100 Fine Wine for fine wine, the Mediobanca Global Wine Industry Share Price for normal wine, and the MSCI World Index as a proxy of the overall stock market. Engle-Granger and Johansen tests were used to detect whether and to what extent the series c...

Lead-lag relationships between stock and market risk within linear response theory

Science.gov (United States)

Borysov, Stanislav; Balatsky, Alexander

2015-03-01

We study historical correlations and lead-lag relationships between individual stock risks (standard deviation of daily stock returns) and market risk (standard deviation of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over stocks, using historical stock prices from the Standard & Poor's 500 index for 1994-2013. The observed historical dynamics suggests that the dependence between the risks was almost linear during the US stock market downturn of 2002 and after the US housing bubble in 2007, remaining at that level until 2013. Moreover, the averaged cross-correlation function often had an asymmetric shape with respect to zero lag in the periods of high correlation. We develop the analysis by the application of the linear response formalism to study underlying causal relations. The calculated response functions suggest the presence of characteristic regimes near financial crashes, when individual stock risks affect market risk and vice versa. This work was supported by VR 621-2012-2983.

In search of optimal compression therapy for venous leg ulcers: a meta-analysis of studies comparing diverse [corrected] bandages with specifically designed stockings.

Science.gov (United States)

Amsler, Felix; Willenberg, Torsten; Blättler, Werner

2009-09-01

In search of an optimal compression therapy for venous leg ulcers, a systematic review and meta-analysis was performed of randomized controlled trials (RCT) comparing compression systems based on stockings (MCS) with divers bandages. RCT were retrieved from six sources and reviewed independently. The primary endpoint, completion of healing within a defined time frame, and the secondary endpoints, time to healing, and pain were entered into a meta-analysis using the tools of the Cochrane Collaboration. Additional subjective endpoints were summarized. Eight RCT (published 1985-2008) fulfilled the predefined criteria. Data presentation was adequate and showed moderate heterogeneity. The studies included 692 patients (21-178/study, mean age 61 years, 56% women). Analyzed were 688 ulcerated legs, present for 1 week to 9 years, sizing 1 to 210 cm(2). The observation period ranged from 12 to 78 weeks. Patient and ulcer characteristics were evenly distributed in three studies, favored the stocking groups in four, and the bandage group in one. Data on the pressure exerted by stockings and bandages were reported in seven and two studies, amounting to 31-56 and 27-49 mm Hg, respectively. The proportion of ulcers healed was greater with stockings than with bandages (62.7% vs 46.6%; P bandages better than MCS. Pain was assessed in three studies (219 patients) revealing an important advantage of stockings (P bandages, has a positive impact on pain, and is easier to use.

Analysis of the force exercised in pipes by accumulation of water in the head stock of turbine bypass

International Nuclear Information System (INIS)

Cecenas F, M.; Ovando C, R.; Campos G, R. M.

2011-11-01

The head stock and valves of turbine bypass allow canalize the main vapor coming from the reactor toward the condenser, without carrying out work in the turbo-generator. In this work is assumed that is accumulates condensed in the head stock during a time period in which the bypass system does not operate. For operation maneuvers, the opening of the bypass is demanded, for what the accumulated water is suddenly dragged by the vapor to high pressure coming from the reactor toward the condenser, which operates to inferior pressures to the atmospheric. The generated flow produces a mechanical effort in the lines and its supports. By means of the RELAP5 code the bypass system is modeled, the discharge transitory to the condenser is simulated and the speeds of the mixture water/vapor are calculated. Processing the exit of RELAP5 the mechanical effort that is subjected the pipe is calculated, and the study is complemented with a sensibility analysis to the quantity of stored water in the volume of the bypass head stock. (Author)

Optimization Stock Portfolio With Mean-Variance and Linear Programming: Case In Indonesia Stock Market

Directory of Open Access Journals (Sweden)

Yen Sun

2010-05-01

Full Text Available It is observed that the number of Indonesia’s domestic investor who involved in the stock exchange is very less compare to its total number of population (only about 0.1%. As a result, Indonesia Stock Exchange (IDX is highly affected by foreign investor that can threat the economy. Domestic investor tends to invest in risk-free asset such as deposit in the bank since they are not familiar yet with the stock market and anxious about the risk (risk-averse type of investor. Therefore, it is important to educate domestic investor to involve in the stock exchange. Investing in portfolio of stock is one of the best choices for risk-averse investor (such as Indonesia domestic investor since it offers lower risk for a given level of return. This paper studies the optimization of Indonesian stock portfolio. The data is the historical return of 10 stocks of LQ 45 for 5 time series (January 2004 – December 2008. It will be focus on selecting stocks into a portfolio, setting 10 of stock portfolios using mean variance method combining with the linear programming (solver. Furthermore, based on Efficient Frontier concept and Sharpe measurement, there will be one stock portfolio picked as an optimum Portfolio (Namely Portfolio G. Then, Performance of portfolio G will be evaluated by using Sharpe, Treynor and Jensen Measurement to show whether the return of Portfolio G exceeds the market return. This paper also illustrates how the stock composition of the Optimum Portfolio (G succeeds to predict the portfolio return in the future (5th January – 3rd April 2009. The result of the study observed that optimization portfolio using Mean-Variance (consistent with Markowitz theory combine with linear programming can be applied into Indonesia stock’s portfolio. All the measurements (Sharpe, Jensen, and Treynor show that the portfolio G is a superior portfolio. It is also been found that the composition (weights stocks of optimum portfolio (G can be used to

Population size and yield of Baffin Bay beluga (Delphinapterus leucas stocks

Directory of Open Access Journals (Sweden)

Stuart Innes

2002-07-01

Full Text Available A surplus production model within a Sampling, Importance Resampling (SIR Bayesian analysis was used to estimate stock sizes and yields of Baffin Bay belugas. The catch of belugas in West Greenland increased in 1968 and has remained well above sustainable rates. SIR analysis indicated a decline of about 50% between 1981 and 1994, with a credibility interval that included a previous estimate of 62%. The estimated stock sizes of belugas wintering off West Greenland in 1998 and 1999 were approximately 5,100 and 4,100 respectively and were not significantly different than an estimate based on aerial surveys combined for both years. Projected to 1999 this stock can sustain median landings of 109 whales with a total kill of about 155, based on posterior estimates of struck and lost plus under-reporting. The declining stock size index series did not provide sufficient information to estimate the potential maximum rate of population growth, the number of whales struck and lost, or the shape of the production curve with precision. Estimating these parameters requires an index time series with a marked step change in catch or a series with increasing stock sizes. The stock size estimate for the belugas wintering in the North Water in 1999 was approximately 14,800 but there is no information about the population biology of these whales. The estimated maximum sustainable yield (landed for the North Water stock was 317 belugas.

Predictability of Stock Returns

Directory of Open Access Journals (Sweden)

Ahmet Sekreter

2017-06-01

Full Text Available Predictability of stock returns has been shown by empirical studies over time. This article collects the most important theories on forecasting stock returns and investigates the factors that affecting behavior of the stocks’ prices and the market as a whole. Estimation of the factors and the way of estimation are the key issues of predictability of stock returns.

The Impulsive Stock Market of Bangladesh and the Great Recession

Directory of Open Access Journals (Sweden)

Saif Hossain

2013-07-01

Full Text Available The paper investigates whether the stock market of Bangladesh can be related with the last world recession. The Pearson’s correlation analysis model was used to find the correlation between the Dhaka Stock Exchange General index and real GDP growth rate of the world. The findings show that no statistically significant correlation exists between the two variables inferring that the stock market of Bangladesh was not significantly affected by ‘the great recession’ (2007-2009. The findings of this study are inconsistent with the results of previous studies which claimed that the Bangladesh stock market shares a common stochastic trend with the capital market of USA. The results of this study may be explained mainly by domestic factors such as low market capitalization, market inefficiency, strict monitoring and control by the Security and Exchange Commission and low international participation in the stock market of Bangladesh. All these factors, along with the inconsistency with past results, instigate further investigation.

Oil risk in oil stocks

NARCIS (Netherlands)

Scholtens, Bert; Wang, L

2008-01-01

We assess the oil price sensitivities and oil risk premiums of NYSE listed oil & gas firms' returns by using a two-step regression analysis under two different arbitrage pricing models. Thus, we apply the Fama and French (1992) factor returns in a study of oil stocks. In all, we find that the return

RELATIONSHIP BETWEEN STOCK MARKET RETURNS AND EXCHANGERATES IN EMERGING STOCK MARKETS

Directory of Open Access Journals (Sweden)

M.N. Arshad

2017-04-01

Full Text Available Abstract-This paper aims to study the relationship between stock market returns and exchange rates in emerging stock markets including Malaysia, Singapore, Thailand, Indonesia and Philippines. The data is taken from January 2003 to December 2012 using weekly closing indices and separated in two periods; before (2003-2007 and second, after (2008-2012 the financial crisis of 2008. Johansen-Juselius (JJ. Granger causality tests show that unidirectional causality exists between the stock market returns and exchange rates for Thailand before the financial crisis, whilst, for Indonesia and Singapore, the unidirectional causality between the two variables is detected in the period after the financial crisis. Error Correction Model (ECM indicates the existence of long run causality between the two variables for Philippines. This study also finds that most of the emerging stock markets are informationally inefficient.

An Analysis of Short- Term Overreaction to Stock Market News: Iranian Evidence

OpenAIRE

Masoumeh Naderi; Sasan Mekanik

2012-01-01

In Financial markets information is in the form of signs, news and different predictions coming from inside or outside of the company which makes reactions and as a result changes in stock prices. Such as increase and decrease over the limit or long period of times. However, this behavior is non-rational behavior of market which can be a rational response to perceived uncertainty that is understood by investors. We investigate the stock market short –term overreaction. The Aim of this project...

Investigation of multifractality in the Brazilian stock market

Science.gov (United States)

Maganini, Natália Diniz; Da Silva Filho, Antônio Carlos; Lima, Fabiano Guasti

2018-05-01

Many studies point to a possible new stylized fact for financial time series: the multifractality. Several authors have already detected this characteristic in multiple time series in several countries. With that in mind and based on Multifractal Detrended Fluctuation Analysis (MFDFA) method, this paper analyzes the multifractality in the Brazilian market. This analysis is performed with daily data from IBOVESPA index (Brazilian stock exchange's main index) and other four highly marketable stocks in the Brazilian market (VALE5, ITUB4, BBDC4 and CIEL3), which represent more than 25% of the index composition, making up 1961 observations for each asset in the period from June 26 2009 to May 31 2017. We found that the studied stock prices and Brazilian index are multifractal, but that the multifractality degree is not the same for all the assets. The use of shuffled and surrogated series indicates that for the period and the actions considered the long-range correlations do not strongly influence the multifractality, but the distribution (fat tails) exerts a possible influence on IBOVESPA and CIEL3.

EFFICIENCY AND STOCK PERFORMANCE OF BANKS IN TRANSITION COUNTRIES: IS THERE A RELATIONSHIP?

Directory of Open Access Journals (Sweden)

Gülin Vardar

2013-04-01

Full Text Available The study investigates the link between the cost and profit efficiency scores of the banks in the Central and Eastern European Countries as well as Turkey along with their stock price performance to determine whether the efficiency scores are priced accordingly in bank stocks. Changes in efficiency scores of banks, obtained from Stochastic Frontier Analysis (SFA model, are regressed against their stock price performance by applying fixed effects panel regression technique. Empirical results indicate that changes in profit efficiency estimates have a positive and significant impact on stock returns; however, a significant but negative relationship is found between changes in cost efficiency and stock returns.

Comparative evaluation of a mixed-fisheries effort-management system based on the Faroe Islands example

DEFF Research Database (Denmark)

Baudron, Alan; Ulrich, Clara; Nielsen, J. Rasmus

2010-01-01

-specific measures may not be appropriate for such fisheries. A management strategy evaluation model was developed to compare an effort-management system based on the Faroese example with a TAC system as currently applied in EU fisheries. Results show that when stocks are considered in isolation, a total allowable...... effort system does not necessarily perform better than a TAC one. It depends on stock status and dynamics, the level of uncertainty, and the reactivity of the system to changes in scientific advice. When the stocks are considered together in mixed fisheries, effort management seems, however...

Stock prices and business investment

OpenAIRE

Yaron Leitner

2007-01-01

Is there a link between the stock market and business investment? Empirical evidence indicates that there is. A firm tends to invest more when its stock price increases, and it tends to invest less when the price falls. In “Stock Prices and Business Investment,” Yaron Leitner discusses existing research that explains this relationship. One question under consideration is whether the stock market actually improves investment decisions.

Which stocks are profitable? A network method to investigate the effects of network structure on stock returns

Science.gov (United States)

Chen, Kun; Luo, Peng; Sun, Bianxia; Wang, Huaiqing

2015-10-01

According to asset pricing theory, a stock's expected returns are determined by its exposure to systematic risk. In this paper, we propose a new method for analyzing the interaction effects among industries and stocks on stock returns. We construct a complex network based on correlations of abnormal stock returns and use centrality and modularity, two popular measures in social science, to determine the effect of interconnections on industry and stock returns. Supported by previous studies, our findings indicate that a relationship exists between inter-industry closeness and industry returns and between stock centrality and stock returns. The theoretical and practical contributions of these findings are discussed.

Cross-correlation matrix analysis of Chinese and American bank stocks in subprime crisis

Science.gov (United States)

Zhu, Shi-Zhao; Li, Xin-Li; Nie, Sen; Zhang, Wen-Qing; Yu, Gao-Feng; Han, Xiao-Pu; Wang, Bing-Hong

2015-05-01

In order to study the universality of the interactions among different markets, we analyze the cross-correlation matrix of the price of the Chinese and American bank stocks. We then find that the stock prices of the emerging market are more correlated than that of the developed market. Considering that the values of the components for the eigenvector may be positive or negative, we analyze the differences between two markets in combination with the endogenous and exogenous events which influence the financial markets. We find that the sparse pattern of components of eigenvectors out of the threshold value has no change in American bank stocks before and after the subprime crisis. However, it changes from sparse to dense for Chinese bank stocks. By using the threshold value to exclude the external factors, we simulate the interactions in financial markets. Project supported by the National Natural Science Foundation of China (Grant Nos. 11275186, 91024026, and FOM2014OF001) and the University of Shanghai for Science and Technology (USST) of Humanities and Social Sciences, China (Grant Nos. USST13XSZ05 and 11YJA790231).

The role of managerial stock option programs in governance: evidence from REIT stock repurchases

NARCIS (Netherlands)

Ghosh, C.; Giambona, E.; Harding, J.P.; Sezer, O.; Sirmans, C.F.

2010-01-01

This article examines the role of stock option programs and executive holdings of stock options in real estate investment trust (REIT) governance. We study the issue by analyzing how the market reaction to a stock repurchase announcement varies as a function of the individual REIT's governance

Subchannel analysis with turbulent mixing rate of supercritical pressure fluid

International Nuclear Information System (INIS)

Wu, Jianhui; Oka, Yoshiaki

2015-01-01

Highlights: • Subchannel analysis with turbulent mixing rate law of supercritical pressure fluid (SPF) is carried out. • Turbulent mixing rate is enhanced, compared with that calculated by the law of pressurized water reactor (PWR). • Increase in maximum cladding surface temperature (MCST) is smaller comparing with PWR model. • The sensitivities of MCST on non-uniformity of subchannel area and power peaking are reduced by using SPF model. - Abstract: The subchannel analysis with turbulent mixing rate law of supercritical pressure fluid (SPF) is carried out for supercritical-pressurized light water cooled and moderated reactor (Super LWR). It is different from the turbulent mixing rate law of pressurized water reactor (PWR), which is widely adopted in Super LWR subchannel analysis study, the density difference between adjacent subchannels is taken into account for turbulent mixing rate law of SPF. MCSTs are evaluated on three kinds of fuel assemblies with different pin power distribution patterns, gap spacings and mass flow rates. Compared with that calculated by employing turbulent mixing rate law of PWR, the increase in MCST is smaller even when peaking factor is large and gap spacing is uneven. The sensitivities of MCST on non-uniformity of the subchannel area and power peaking are reduced

Effects of land use on soil inorganic carbon stocks in the Russian Chernozem.

Science.gov (United States)

Mikhailova, Elena A; Post, Christopher J

2006-01-01

Little is known about changes in soil inorganic carbon (SIC) stocks with depth and with land use in grassland ecosystems. This study was conducted to determine SIC stocks under different management regimes in the Mollisol, one of the typical soils in grasslands. Four sites were sampled: a native grassland field (not cultivated for at least 300 yr), an adjacent 50-yr continuous fallow field, a yearly cut hay field in the V.V. Alekhin Central-Chernozem Biosphere State Reserve in the Kursk region of Russia, and a continuously cropped field in the Experimental Station of the Kursk Institute of Agronomy and Soil Erosion Control. All sampled soils were classified as fine-silty, mixed, frigid Pachic Hapludolls. Significant differences occurred in SIC stocks between cultivated and grassland soil. The inorganic carbon stocks in the top 2 m were 107 Mg ha(-1) for the native grassland, 91 Mg ha(-1) for the yearly cut hay field, 242 Mg ha(-1) for the continuously cropped field, and 196 Mg ha(-1) for the 50-yr continuous fallow. The SIC was in the form of calcium carbonate and was mostly stored below the 1-m depth. The largest difference between inorganic carbon stocks was observed between the continuously cropped field and native grassland. The increase in inorganic carbon in the continuously cropped field and continuous fallow was attributed to initial cultivation and fertilization. Soil inorganic carbon in Mollisols is not accounted for in the current global carbon estimates.

Study on mixing phenomena in T-pipe junction. Experimental analysis using DNS and investigation of mixing process

International Nuclear Information System (INIS)

Igarashi, Minoru; Tanaka, Masaaki; Kimura, Nobuyuki; Kamide, Hideki

2003-02-01

In the place where hot and cold fluids are mixed, a time and spatial temperature fluctuation occurs. When this temperature fluctuation amplitude is large, it causes high cycle thermal fatigue in surrounding structure (thermal striping phenomena). Mixing area of high and low temperature fluid exists not only in an atomic power plant but also in a general plant, then, it is significant to investigate this phenomena and also to establish an evaluation rule. In Japan Nuclear Cycle Development Institute, several experiments and the improvement of the analysis methods have been carried out to understand thermal striping phenomena and also to construct an evaluation rule, which can be applied to design. Water Experiment on Fluid Mixing in T-pipe with Long Cycle Fluctuation (WATLON), aiming at examining thermal striping phenomena in a mixing tee, is performed to investigate key factors of mixing phenomena. In this study, in order to investigate the fluid mixing phenomena, temperature and flow velocity distribution were measured by movable thermocouple tree and particle image velocimetry (PIV). And the analysis using a in-house direct numerical simulation (DNS) code, DINUS-3 was performed to understand applicability of the analytical method in mixing tee. The temperature and velocity fields obtained from the DINUS-3 were in good agreement with the experimental results. And the prominent frequency of temperature fluctuation was also in good agreement. The DINUS-3 calculation simulated vortex structure in the wake region behind the branch pipe jet. The results of analysis showed that a Karman vortex generated in the wake region behind the branch pipe jet influenced the temperature fluctuation behavior in the mixing tee. And the analytical results revealed that the vortex generated in the wake region behind the branch pipe jet showed the 3-dimensional behavior. (author)

The Impact of Macroeconomic Fundamentals on Stock Prices Revisited: Evidence from Indian Data

Directory of Open Access Journals (Sweden)

Pramod Kumar NAIK

2012-11-01

Full Text Available The study investigates the relationships between the Indian stock market index (BSE Sensex and five macroeconomic variables, namely, industrial production index, wholesale price index, money supply, treasury bills rates and exchange rates over the period 1994:04–2011:06. Johansen’s co-integration and vector error correction model have been applied to explore the long-run equilibrium relationship between stock market index and macroeconomic variables. The analysis reveals that macroeconomic variables and the stock market index are co-integrated and, hence, a long-run equilibrium relationship exists between them. It is observed that the stock prices positively relate to the money supply and industrial production but negatively relate to inflation. The exchange rate and the short-term interest rate are found to be insignificant in determining stock prices. In the Granger causality sense, macroeconomic variable causes the stock prices in the long-run but not in the short-run. There is bidirectional causality exists between industrial production and stock prices whereas, unidirectional causality from money supply to stock price, stock price to inflation and interest rates to stock prices are found.

Dynamics of sediment carbon stocks across intertidal wetland habitats of Moreton Bay, Australia.

Science.gov (United States)

Hayes, Matthew A; Jesse, Amber; Hawke, Bruce; Baldock, Jeff; Tabet, Basam; Lockington, David; Lovelock, Catherine E

2017-10-01

Coastal wetlands are known for high carbon storage within their sediments, but our understanding of the variation in carbon storage among intertidal habitats, particularly over geomorphological settings and along elevation gradients, is limited. Here, we collected 352 cores from 18 sites across Moreton Bay, Australia. We assessed variation in sediment organic carbon (OC) stocks among different geomorphological settings (wetlands within riverine settings along with those with reduced riverine influence located on tide-dominated sand islands), across elevation gradients, with distance from shore and among habitat and vegetation types. We used mid-infrared (MIR) spectroscopy combined with analytical data and partial least squares regression to quantify the carbon content of ~2500 sediment samples and provide fine-scale spatial coverage of sediment OC stocks to 150 cm depth. We found sites in river deltas had larger OC stocks (175-504 Mg/ha) than those in nonriverine settings (44-271 Mg/ha). Variation in OC stocks among nonriverine sites was high in comparison with riverine and mixed geomorphic settings, with sites closer to riverine outflow from the east and south of Moreton Bay having higher stocks than those located on the sand islands in the northwest of the bay. Sediment OC stocks increased with elevation within nonriverine settings, but not in riverine geomorphic settings. Sediment OC stocks did not differ between mangrove and saltmarsh habitats. OC stocks did, however, differ between dominant species across the research area and within geomorphic settings. At the landscape scale, the coastal wetlands of the South East Queensland catchments (17,792 ha) are comprised of approximately 4,100,000-5,200,000 Mg of sediment OC. Comparatively high variation in OC storage between riverine and nonriverine geomorphic settings indicates that the availability of mineral sediments and terrestrial derived OC may exert a strong influence over OC storage potential across

Long-run equilibrium relationships in the international stock market factor systems

Directory of Open Access Journals (Sweden)

Hyung-Suk Choi

2014-06-01

Full Text Available The main objective of this paper is to investigate the international linkages among local, country-specific stock market factors in order to better understand the dependence structure of increasingly integrated world financial markets. The seeming discordance between Fama and French (1998 and Griffin (2002 regarding the multi-factor model in the international stock markets motivates us to study the international relationship among local factors. With the individual stock data from the six major developed countries in the international stock market, we compose daily returns to the Fama-French three factors (i.e. market, size, and value and the momentum factor over the period from January 2000 to June 2010. We investigate the international linkages among local stock market factors, focusing on their equilibrium relationship in the integrated world financial market. The cointegration analysis indicates that local factor indices, constructed from the cumulative factor returns, are cointegrated for each of the four factor classes. Thus, we conclude that local factors are globally bound to each other through a long-run equilibrium relationship and that although stock market factors may be local, rather than global, individual stock returns are driven by common global stochastic trends.

Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price

Science.gov (United States)

Zhuang, Xiaoyang; Wei, Yu; Ma, Feng

2015-07-01

In this paper, the multifractality and efficiency degrees of ten important Chinese sectoral indices are evaluated using the methods of MF-DFA and generalized Hurst exponents. The study also scrutinizes the dynamics of the efficiency of Chinese sectoral stock market by the rolling window approach. The overall empirical findings revealed that all the sectoral indices of Chinese stock market exist different degrees of multifractality. The results of different efficiency measures have agreed on that the 300 Materials index is the least efficient index. However, they have a slight diffidence on the most efficient one. The 300 Information Technology, 300 Telecommunication Services and 300 Health Care indices are comparatively efficient. We also investigate the cross-correlations between the ten sectoral indices and WTI crude oil price based on Multifractal Detrended Cross-correlation Analysis. At last, some relevant discussions and implications of the empirical results are presented.

Comparison between global financial crisis and local stock disaster on top of Chinese stock network

Science.gov (United States)

Xia, Lisi; You, Daming; Jiang, Xin; Guo, Quantong

2018-01-01

The science of complex network theory can be usefully applied in many important fields, one of which is the finance. In these practical cases, a massive dataset can be represented as a very large network with certain attributes associated with its nodes and edges. As one of the most important components of financial market, stock market has been attracting more and more attention. In this paper, we propose a threshold model to build Chinese stock market networks and study the topological properties of these networks. To be specific, we compare the effects of different crises, namely the 2008 global crisis and the stock market disaster in 2015, on the threshold networks. Prices of the stocks belonging to the Shanghai and Shenzhen 300 index are considered for three periods: the global crisis, common period and the stock market disaster. We find the probability distribution of the cross-correlations of the stocks during the stock market disaster is fatter than that of others. Besides, the thresholds of cross-correlations are assigned to obtain the threshold networks and the power-law of degree distribution in these networks are observed in a certain range of threshold values. The networks during the stock market disaster also appear to have larger mean degree and modularity, which reveals the strong correlations among these stock prices. Our findings to some extent crosscheck the liquidity shortage reason which is believed to result in the outbreak of the stock market disaster. Moreover, we hope that this paper could give us a deeper understanding of the market's behavior and also lead to interesting future research about the problems of modern finance theory.

17 CFR 240.15g-2 - Penny stock disclosure document relating to the penny stock market.

Science.gov (United States)

2010-04-01

... 17 Commodity and Securities Exchanges 3 2010-04-01 2010-04-01 false Penny stock disclosure document relating to the penny stock market. 240.15g-2 Section 240.15g-2 Commodity and Securities Exchanges... Section 15(d) of the Act § 240.15g-2 Penny stock disclosure document relating to the penny stock market...

The Phenomenon of Bearish and Bullish in The Indonesian Stock Exchange

Directory of Open Access Journals (Sweden)

Berto Usman

2016-09-01

Full Text Available The Phenomenon of Bearish and Bullish in The Indonesian Stock ExchangeBearish and bullish pattern commonly exist in any of stock exchanges all over the world. Hereby, the volatility of price on specific stock and index will generally perform a typical co-movement. This study is officially intended to reveal the existence of bearish and bullish phenomenon in Indonesia stock exchange. The technical tool used in this study was known as candlestick analysis. It is utilized to discover the inclination of price movement and the percentage of bearish and bullish shown by the index. Further, it is noted that the object of this study is Indonesia stock exchange, which is surrogated by IDX Composite (IHSG. This research finally proved that there were 61 bearish (38.85% and 96 time bulish (61.15% patterns in IDX Composite (IHSG.DOI: 10.15408/ess.v6i2.3750

Growth and contribution of stocked channel catfish, Ictalurus punctatus (Rafinesque, 1818): the importance of measuring post-stocking performance

Science.gov (United States)

Stewart, David R.; Long, James M.

2015-01-01

In this study it was sought to quantify post-stocking growth, survival, and contribution of advanced size (178 mm total length [TL]) channel catfish Ictalurus punctatus fingerlings, something rarely done. Channel catfish populations were evaluated before (May 2010) and after (May to August 2011 and 2012) stocking. Relative abundance, stocking contribution, and growth were different (P stocked in Lake Lone Chimney, stocking contribution was lower (3–35%), and average length and weight of stocked fish by age-2 reached 230 mm TL and 85 g, whereas the stocking contribution (84–98%) and growth in length (340 mm TL) and weight (280 g) were higher by age-2 in Lake Greenleaf. Given these unambiguous differences of post-stocking performance, benchmark metrics that represent population-level information such as relative abundance and average length and weight of the sample masked these significant differences, highlighting the importance of marking hatchery-fish and then following them through time to determine the effectiveness of stocking. These results suggest that stock enhancement programmes would benefit from studies that quantify post-stocking performance of hatchery fish.

An Analysis of Manipulation Strategies in Stock Markets

OpenAIRE

Rasim Ozcan

2012-01-01

Manipulative transactions, which affect both the supply and demand side of the markets, have been studied by academic circles and it was concluded that manipulation exerts negative impact on markets. A market with manipulation is considered as less trustworthy and credible compared to a market without manipulation, which in turn, affects demand. Manipulations affecting both the supply and demand should be closely monitored by stock market investors as well as legislative, executive, and regul...

Statistical Analysis Of The Share Price Movement Of Stocks ...

African Journals Online (AJOL)

This study was aimed at providing the investor with timing evidence in decisions with regards to the purchase of and sale of equities that will lead towards higher annual returns from his stock investment as well as to understand the causes and pattern of shares price movements as it affects investment decisions in the ...

EU Emission Allowances and the stock market Evidence from the electricity industry

International Nuclear Information System (INIS)

Oberndorfer, Ulrich

2009-01-01

This paper constitutes - to our best knowledge - the first econometric analysis on stock market effects of the EU Emission Trading Scheme (EU ETS). Our results suggest that EU Emission Allowance (EUA) price developments matter to the stock performance of electricity firms: EUA price changes and stock returns of the most important European electricity corporations are shown to be positively related. This effect does not work asymmetrically, so that stock markets do not seem to react differently to EUA appreciations in comparison to depreciations. The carbon market effect is shown to be both time- and country-specific: It is particularly strong for the period of EUA market shock in early 2006, and differs with respect to the countries where the electricity corporations analysed are headquartered. Stock market reactions to EUA volatility could not be shown. (author)

Co-Movements Of U.S. And European Stock Markets Before And After The 2008 Gloal Stock Market Crash

Directory of Open Access Journals (Sweden)

Meric Ilhan

2015-08-01

Full Text Available Empirical studies show that correlation between national stock markets increased and the benefits of global portfolio diversification decreased significantly after the global stock market crash of 1987. The 1987 and 2008 crashes are the two most important global stock market crashes since the 1929 Great depression. Although the effects of the 1987 crash on the comovements of national stock markets have been investigated extensively, the effects of the 2008 crash have not been studied sufficiently. In this paper we study this issue with a research sample that includes the U.S stock market and twenty European stock markets. We find that correlation between the twenty-one stock markets increased and the benefits of portfolio diversification decreased significantly after the 2008 stock market crash.

Multifractal temporally weighted detrended cross-correlation analysis to quantify power-law cross-correlation and its application to stock markets

Science.gov (United States)

Wei, Yun-Lan; Yu, Zu-Guo; Zou, Hai-Long; Anh, Vo

2017-06-01

A new method—multifractal temporally weighted detrended cross-correlation analysis (MF-TWXDFA)—is proposed to investigate multifractal cross-correlations in this paper. This new method is based on multifractal temporally weighted detrended fluctuation analysis and multifractal cross-correlation analysis (MFCCA). An innovation of the method is applying geographically weighted regression to estimate local trends in the nonstationary time series. We also take into consideration the sign of the fluctuations in computing the corresponding detrended cross-covariance function. To test the performance of the MF-TWXDFA algorithm, we apply it and the MFCCA method on simulated and actual series. Numerical tests on artificially simulated series demonstrate that our method can accurately detect long-range cross-correlations for two simultaneously recorded series. To further show the utility of MF-TWXDFA, we apply it on time series from stock markets and find that power-law cross-correlation between stock returns is significantly multifractal. A new coefficient, MF-TWXDFA cross-correlation coefficient, is also defined to quantify the levels of cross-correlation between two time series.

Application of integrated data mining techniques in stock market forecasting

Directory of Open Access Journals (Sweden)

Chin-Yin Huang

2014-12-01

Full Text Available Stock market is considered too uncertain to be predictable. Many individuals have developed methodologies or models to increase the probability of making a profit in their stock investment. The overall hit rates of these methodologies and models are generally too low to be practical for real-world application. One of the major reasons is the huge fluctuation of the market. Therefore, the current research focuses in the stock forecasting area is to improve the accuracy of stock trading forecast. This paper introduces a system that addresses the particular need. The system integrates various data mining techniques and supports the decision-making for stock trades. The proposed system embeds the top-down trading theory, artificial neural network theory, technical analysis, dynamic time series theory, and Bayesian probability theory. To experimentally examine the trading return of the presented system, two examples are studied. The first uses the Taiwan Semiconductor Manufacturing Company (TSMC data-set that covers an investment horizon of 240 trading days from 16 February 2011 to 23 January 2013. Eighty four transactions were made using the proposed approach and the investment return of the portfolio was 54% with an 80.4% hit rate during a 12-month period in which the TSMC stock price increased by 25% (from $NT 78.5 to $NT 101.5. The second example examines the stock data of Evergreen Marine Corporation, an international marine shipping company. Sixty four transactions were made and the investment return of the portfolio was 128% in 12 months. Given the remarkable investment returns in trading the example TSMC and Evergreen stocks, the proposed system demonstrates promising potentials as a viable tool for stock market forecasting.

Retail Out-of-stocks in the Context of Centralized and Direct Delivery

Directory of Open Access Journals (Sweden)

Nikola Milićević

2018-03-01

Full Text Available The delivery of the right product, at the right time to the retail store, only seems to be an easy process. The smallest problem can cause the out-of-stock (OOS situation, which may prevent customers to buy products they were looking for. Consequently, it affects retailers and their suppliers through potential operational inefficiencies, sale losses and eventually the losses of their loyal customers. Starting from these problems, by using the data of a large Serbian retailer, this paper analyses out-of-stocks in the context of two alternative delivery systems, centralized and direct. For calculating OOS rates the perpetual inventory aggregation metrics was used, while the occurrence of out-of-stocks was modelled by the application of probit regression analysis. The results have shown that delivery system has a significant impact on the probability of a stock-out, indicating potential problems in the centralized system. In addition, the analysis included certain product and store characteristics that also significantly affect the average probability of stock-outs.

Performance Convergence Analysis of Stock Exchanges: the Situation of the Ibovespa in the World Scenario

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Paulo Rogério Faustino Matos

2011-09-01

Full Text Available This paper studies the behavior of the most relevant worldwide stock exchanges indices. The semiparametric time series technique proposed by Phillips and Sul (2007 is used to a panel containing 36 stock exchanges allocated in economies with different development levels situated on all continents, during the period from January 1998 to December 2007. According to the results, there is no common trend, corroborating Antzolautos et al. (2009. The traditional São Paulo Stock Exchange Index (Ibovespa is the oldest one of the group with the highest level of the trend for the dynamic transition, which is comprised by volatile indices of stock exchanges with a reasonable level of maturity, located in developing economies with high rates of inflation in Central and Latin America. The second club comprises most of the indices, characterized by a higher level of maturity and tradition of financial markets and development, located mainly in Europe, North America and Asia. The third club with only four indices, has no clear patterns. The evidence that the convergence clubs composition has macroeconomic, geographical and financial patterns can be a useful to infer about the post world financial crisis behavior of stock exchanges.

The Impact of Inventory Management on Stock-Outs of Essential Drugs in Sub-Saharan Africa: Secondary Analysis of a Field Experiment in Zambia.

Science.gov (United States)

Leung, Ngai-Hang Z; Chen, Ana; Yadav, Prashant; Gallien, Jérémie

2016-01-01

To characterize the impact of widespread inventory management policies on stock-outs of essential drugs in Zambia's health clinics and develop related recommendations. Daily clinic storeroom stock levels of artemether-lumefantrine (AL) products in 2009-2010 were captured in 145 facilities through photography and manual transcription of paper forms, then used to determine historical stock-out levels and estimate demand patterns. Delivery lead-times and estimates of monthly facility accessibility were obtained through worker surveys. A simulation model was constructed and validated for predictive accuracy against historical stock-outs, then used to evaluate various changes potentially affecting product availability. While almost no stock-outs of AL products were observed during Q4 2009 consistent with primary analysis, up to 30% of surveyed facilities stocked out of some AL product during Q1 2010 despite ample inventory being simultaneously available at the national warehouse. Simulation experiments closely reproduced these results and linked them to the use of average past monthly issues and failure to capture lead-time variability in current inventory control policies. Several inventory policy enhancements currently recommended by USAID | DELIVER were found to have limited impact on product availability. Inventory control policies widely recommended and used for distributing medicines in sub-Saharan Africa directly account for a substantial fraction of stock-outs observed in common situations involving demand seasonality and facility access interruptions. Developing central capabilities in peripheral demand forecasting and inventory control is critical. More rigorous independent peer-reviewed research on pharmaceutical supply chain management in low-income countries is needed.

RO1 Funding for Mixed Methods Research: Lessons learned from the Mixed-Method Analysis of Japanese Depression Project

OpenAIRE

Arnault, Denise Saint; Fetters, Michael D.

2011-01-01

Mixed methods research has made significant in-roads in the effort to examine complex health related phenomenon. However, little has been published on the funding of mixed methods research projects. This paper addresses that gap by presenting an example of an NIMH funded project using a mixed methods QUAL-QUAN triangulation design entitled “The Mixed-Method Analysis of Japanese Depression.” We present the Cultural Determinants of Health Seeking model that framed the study, the specific aims, ...

The Difference Between Stock Splits and Stock Dividends - Evidence from Denmark

DEFF Research Database (Denmark)

Raaballe, Johannes; Bechmann, Ken L.

2007-01-01

splits is closely related to changes in a firm's payout policy, but that the relationship differs for the two types of events. A stock dividend implies an increase in nominal share capital and hence a decrease in retained earnings. Firms announcing stock dividends finance growth entirely by debt...

MODELING OF THE TRACK AND ROLLING STOCK INTERACTION

Directory of Open Access Journals (Sweden)

N. V. Khalipova

2013-09-01

Full Text Available Purpose. Interaction of system’s elements of "carriage–track" modelling requires consideration of various criteria, it also requires analysis of many uncertainty and randomness factors’ influence on the basic parameters to ensure optimal or rational parameters of the system. The researching of interactions’ process requires new theoretical approaches to formulation of objectives, based on a generalization of existing modeling approaches. The purpose of this work is development of interaction models between track and rolling stock based on multiple structures of objects. Methodology. Dedicated and formed the main evaluation criteria of dynamic interaction between track and rolling stock optimization - quality assurance and safety of transportation process, improving of their efficiency and reducing of prime cost’s. Based on vector optimization methods, proposed model of rolling stock and track’s elements interaction. For the synthesis of the model used mathematical machine of multiple objects structures. Findings. Generalized approaches to modeling in the interaction of rolling stock and track for different structural elements of the system under different exploitation conditions. This theoretical approach demonstrated on the examples of modeling of passenger and freight cars with track under different exploitation conditions. Originality. Proposed theoretical approach to the problem of track and rolling stock interaction, based on a synthesis of existing models by using of multiple objects structures. Practical value. Using of proposed model allows to structure key data and rational parameters of rolling stock and track interaction’s modeling and to formulate optimal and rational parameters of the system, to determine the effective exploitation parameters and measurement system for rational use of infrastructure.

Network analysis of returns and volume trading in stock markets: The Euro Stoxx case

Science.gov (United States)

Brida, Juan Gabriel; Matesanz, David; Seijas, Maria Nela

2016-02-01

This study applies network analysis to analyze the structure of the Euro Stoxx market during the long period from 2002 up to 2014. The paper generalizes previous research on stock market networks by including asset returns and volume trading as the main variables to study the financial market. A multidimensional generalization of the minimal spanning tree (MST) concept is introduced, by adding the role of trading volume to the traditional approach which only includes price returns. Additionally, we use symbolization methods to the raw data to study the behavior of the market structure in different, normal and critical, situations. The hierarchical organization of the network is derived, and the MST for different sub-periods of 2002-2014 is created to illustrate how the structure of the market evolves over time. From the structural topologies of these trees, different clusters of companies are identified and analyzed according to their geographical and economic links. Two important results are achieved. Firstly, as other studies have highlighted, at the time of the financial crisis after 2008 the network becomes a more centralized one. Secondly and most important, during our second period of analysis, 2008-2014, we observe that hierarchy becomes more country-specific where different sub-clusters of stocks belonging to France, Germany, Spain or Italy are found apart from their business sector group. This result may suggest that during this period of time financial investors seem to be worried most about country specific economic circumstances.

Mixed-culture transcriptome analysis reveals the molecular basis of mixed-culture growth in Streptococcus thermophilus and Lactobacillus bulgaricus.

Science.gov (United States)

Sieuwerts, Sander; Molenaar, Douwe; van Hijum, Sacha A F T; Beerthuyzen, Marke; Stevens, Marc J A; Janssen, Patrick W M; Ingham, Colin J; de Bok, Frank A M; de Vos, Willem M; van Hylckama Vlieg, Johan E T

2010-12-01

Many food fermentations are performed using mixed cultures of lactic acid bacteria. Interactions between strains are of key importance for the performance of these fermentations. Yogurt fermentation by Streptococcus thermophilus and Lactobacillus bulgaricus (basonym, Lactobacillus delbrueckii subsp. bulgaricus) is one of the best-described mixed-culture fermentations. These species are believed to stimulate each other's growth by the exchange of metabolites such as folic acid and carbon dioxide. Recently, postgenomic studies revealed that an upregulation of biosynthesis pathways for nucleotides and sulfur-containing amino acids is part of the global physiological response to mixed-culture growth in S. thermophilus, but an in-depth molecular analysis of mixed-culture growth of both strains remains to be established. We report here the application of mixed-culture transcriptome profiling and a systematic analysis of the effect of interaction-related compounds on growth, which allowed us to unravel the molecular responses associated with batch mixed-culture growth in milk of S. thermophilus CNRZ1066 and L. bulgaricus ATCC BAA-365. The results indicate that interactions between these bacteria are primarily related to purine, amino acid, and long-chain fatty acid metabolism. The results support a model in which formic acid, folic acid, and fatty acids are provided by S. thermophilus. Proteolysis by L. bulgaricus supplies both strains with amino acids but is insufficient to meet the biosynthetic demands for sulfur and branched-chain amino acids, as becomes clear from the upregulation of genes associated with these amino acids in mixed culture. Moreover, genes involved in iron uptake in S. thermophilus are affected by mixed-culture growth, and genes coding for exopolysaccharide production were upregulated in both organisms in mixed culture compared to monocultures. The confirmation of previously identified responses in S. thermophilus using a different strain combination

Parasites as biological tags of fish stocks: a meta-analysis of their discriminatory power.

Science.gov (United States)

Poulin, Robert; Kamiya, Tsukushi

2015-01-01

The use of parasites as biological tags to discriminate among marine fish stocks has become a widely accepted method in fisheries management. Here, we first link this approach to its unstated ecological foundation, the decay in the similarity of the species composition of assemblages as a function of increasing distance between them, a phenomenon almost universal in nature. We explain how distance decay of similarity can influence the use of parasites as biological tags. Then, we perform a meta-analysis of 61 uses of parasites as tags of marine fish populations in multivariate discriminant analyses, obtained from 29 articles. Our main finding is that across all studies, the observed overall probability of correct classification of fish based on parasite data was about 71%. This corresponds to a two-fold improvement over the rate of correct classification expected by chance alone, and the average effect size (Zr = 0·463) computed from the original values was also indicative of a medium-to-large effect. However, none of the moderator variables included in the meta-analysis had a significant effect on the proportion of correct classification; these moderators included the total number of fish sampled, the number of parasite species used in the discriminant analysis, the number of localities from which fish were sampled, the minimum and maximum distance between any pair of sampling localities, etc. Therefore, there are no clear-cut situations in which the use of parasites as tags is more useful than others. Finally, we provide recommendations for the future usage of parasites as tags for stock discrimination, to ensure that future applications of the method achieve statistical rigour and a high discriminatory power.

Do stock prices drive people crazy?

Science.gov (United States)

Lin, Chung-Liang; Chen, Chin-Shyan; Liu, Tsai-Ching

2015-03-01

This is the first research to examine a potential relation between stock market volatility and mental disorders. Using data on daily incidences of mental disorders in Taiwan over 4000 days from 1998 through 2009 to assess the time-series relation between stock price movements and mental disorders, we observe that stock price fluctuation clearly affects the hospitalization of mental disorders. We find that during a 12-year follow-up period, a low stock price index, a daily fall in the stock price index and consecutive daily falls in the stock price index are all associated with greater of mental disorders hospitalizations. A 1000-point fall in the TAIEX (Taiwan Stock Exchange Capitalization Weighted Stock Index) increases the number of daily mental disorders hospitalizations by 4.71%. A 1% fall in the TAIEX in one single day increases daily hospitalizations for mental disorders by 0.36%. When the stock price index falls one consecutive day, it causes a daily increase of approximately 0.32% hospitalizations due to mental disorders on that day. Stock price index is found to be significant for both gender and all age groups. In addition, daily change is significant for both gender and middle-age groups, whereas accumulated change is significant for males and people aged 45-64. Stockholdings can help people accumulate wealth, but they can also increase mental disorders hospitalizations. In other words, stock price fluctuations do drive people crazy. Published by Oxford University Press in association with The London School of Hygiene and Tropical Medicine © The Author 2014; all rights reserved.

Effects of interest rate, exchange rate and their volatilities on stock prices: evidence from banking industry of Pakistan

Directory of Open Access Journals (Sweden)

Syed Tehseen JAWAID

2012-08-01

Full Text Available This study investigates the effects of exchange rate, interest rates, and their volatilities on stock prices of banking industry of Pakistan. Cointegration results suggests the existance of significant negative long run relationship between exchange rate and short term interest rate with stock prices. On the other hand, positive and significant relationship exists between volatilities of exchange rate and interest rate with stock prices. Causality analysis confirms bidirectional causality between exchange rate and stock prices. Whereas, unidirectional causality runs from short term interest rate to stock prices. Sensitivity analysis confirms that the results are robust. It is suggested that investors should invest in banking sector stocks when exchange rate and interest rates are highly volatile. The result also supports the view that exchange rate and interest rate can be used as an indicator for investment decision making in banking sector stocks.

Life Cycle Cost Analysis of Ready Mix Concrete Plant

Science.gov (United States)

Topkar, V. M.; Duggar, A. R.; Kumar, A.; Bonde, P. P.; Girwalkar, R. S.; Gade, S. B.

2013-11-01

India, being a developing nation is experiencing major growth in its infrastructural sector. Concrete is the major component in construction. The requirement of good quality of concrete in large quantities can be fulfilled by ready mix concrete batching and mixing plants. The paper presents a technique of applying the value engineering tool life cycle cost analysis to a ready mix concrete plant. This will help an investor or an organization to take investment decisions regarding a ready mix concrete facility. No economic alternatives are compared in this study. A cost breakdown structure is prepared for the ready mix concrete plant. A market survey has been conducted to collect realistic costs for the ready mix concrete facility. The study establishes the cash flow for the ready mix concrete facility helpful in investment and capital generation related decisions. Transit mixers form an important component of the facility and are included in the calculations. A fleet size for transit mixers has been assumed for this purpose. The life cycle cost has been calculated for the system of the ready mix concrete plant and transit mixers.

Performance of maximum likelihood mixture models to estimate nursery habitat contributions to fish stocks: a case study on sea bream Sparus aurata

Directory of Open Access Journals (Sweden)

Edwin J. Niklitschek

2016-10-01

Full Text Available Background Mixture models (MM can be used to describe mixed stocks considering three sets of parameters: the total number of contributing sources, their chemical baseline signatures and their mixing proportions. When all nursery sources have been previously identified and sampled for juvenile fish to produce baseline nursery-signatures, mixing proportions are the only unknown set of parameters to be estimated from the mixed-stock data. Otherwise, the number of sources, as well as some/all nursery-signatures may need to be also estimated from the mixed-stock data. Our goal was to assess bias and uncertainty in these MM parameters when estimated using unconditional maximum likelihood approaches (ML-MM, under several incomplete sampling and nursery-signature separation scenarios. Methods We used a comprehensive dataset containing otolith elemental signatures of 301 juvenile Sparus aurata, sampled in three contrasting years (2008, 2010, 2011, from four distinct nursery habitats. (Mediterranean lagoons Artificial nursery-source and mixed-stock datasets were produced considering: five different sampling scenarios where 0–4 lagoons were excluded from the nursery-source dataset and six nursery-signature separation scenarios that simulated data separated 0.5, 1.5, 2.5, 3.5, 4.5 and 5.5 standard deviations among nursery-signature centroids. Bias (BI and uncertainty (SE were computed to assess reliability for each of the three sets of MM parameters. Results Both bias and uncertainty in mixing proportion estimates were low (BI ≤ 0.14, SE ≤ 0.06 when all nursery-sources were sampled but exhibited large variability among cohorts and increased with the number of non-sampled sources up to BI = 0.24 and SE = 0.11. Bias and variability in baseline signature estimates also increased with the number of non-sampled sources, but tended to be less biased, and more uncertain than mixing proportion ones, across all sampling scenarios (BI < 0.13, SE < 0

Performance of maximum likelihood mixture models to estimate nursery habitat contributions to fish stocks: a case study on sea bream Sparus aurata

Science.gov (United States)

Darnaude, Audrey M.

2016-01-01

Background Mixture models (MM) can be used to describe mixed stocks considering three sets of parameters: the total number of contributing sources, their chemical baseline signatures and their mixing proportions. When all nursery sources have been previously identified and sampled for juvenile fish to produce baseline nursery-signatures, mixing proportions are the only unknown set of parameters to be estimated from the mixed-stock data. Otherwise, the number of sources, as well as some/all nursery-signatures may need to be also estimated from the mixed-stock data. Our goal was to assess bias and uncertainty in these MM parameters when estimated using unconditional maximum likelihood approaches (ML-MM), under several incomplete sampling and nursery-signature separation scenarios. Methods We used a comprehensive dataset containing otolith elemental signatures of 301 juvenile Sparus aurata, sampled in three contrasting years (2008, 2010, 2011), from four distinct nursery habitats. (Mediterranean lagoons) Artificial nursery-source and mixed-stock datasets were produced considering: five different sampling scenarios where 0–4 lagoons were excluded from the nursery-source dataset and six nursery-signature separation scenarios that simulated data separated 0.5, 1.5, 2.5, 3.5, 4.5 and 5.5 standard deviations among nursery-signature centroids. Bias (BI) and uncertainty (SE) were computed to assess reliability for each of the three sets of MM parameters. Results Both bias and uncertainty in mixing proportion estimates were low (BI ≤ 0.14, SE ≤ 0.06) when all nursery-sources were sampled but exhibited large variability among cohorts and increased with the number of non-sampled sources up to BI = 0.24 and SE = 0.11. Bias and variability in baseline signature estimates also increased with the number of non-sampled sources, but tended to be less biased, and more uncertain than mixing proportion ones, across all sampling scenarios (BI nursery signatures improved reliability

Evidence of Macroeconomic Policy Effects over Company-Sector Stock Returns

Directory of Open Access Journals (Sweden)

Mara Madaleno

2014-11-01

Full Text Available Given that stock markets may act as an economy mirror, it is explored the sensitivity of company-sector-specific stock returns to macroeconomic news reflecting different economic environments for the UK, US, Germany, Japan and Australian markets between March 1993 and February 2013 using monthly data. Results seem to indicate that portfolio investors need to be aware that movements in the market index is the best predictor to forecast stock returns of individual companies and sectors in developed economies. Sentiment influences individual company’s returns of the utilities sector, even if these are considered of limited growth and stable earnings, for UK, USA and Australia, turning investor confidence a relevant variable to be included. Information increases about industrial production have no influence on company and sector stocks, thus not affecting investor’s decision in developed countries. As for Japan, results seem to indicate that the higher the need of oil imports of a country, the higher will be the positive impact of oil price changes over company returns. Finally, the riskless interest rate has no effect on sector stock returns independently of the country under analysis. For developed economies, we confirm the finding that stocks cannot be used as a hedge against inflation.

ORGANIC ACIDS CONCENTRATION IN WINE STOCKS AFTER Saccharomyces cerevisiae FERMENTATION

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V. N. Bayraktar

2013-04-01

Full Text Available The biochemical constituents in wine stocks that influence the flavor and quality of wine are investigated in the paper. The tested parameters consist of volume fraction of ethanol, residual sugar, phenolic compounds, tartaric, malic, citric, lactic, acetic acids, titratable acidity and volatile acids. The wine stocks that were received from white and red grape varieties Tairov`s selection were tested. There was a correlation between titratable acidity and volatile acids in the wine stocks from white and red grape varieties. High correlation was also found between lactic and acetic acids, between volatile acids, acetic acid and sugar. It was determined that wine stocks with a high concentration of ethanol originated from those yeast strains of Saccharomyces cerevisiae, in a fermented grape must of high speed of enzyme activity. The taste of wine stocks correlated with the ratio of tartaric to malic acid. Analysis showed significant differences between the varieties of white and red wine stocks in concentrations of organic acids, phenolic compounds, residual sugar, and volume fraction of ethanol. Positive correlation was indicated for both studied groups for volatile acids and acetic acid, tartaric, malic, lactic acids and total sugar. Prospective yeast cultures with high productivity of alcohol (ethanol were selected for winemaking biotechnology.

Estimating uncertainty of data limited stock assessments

DEFF Research Database (Denmark)

Kokkalis, Alexandros; Eikeset, Anne Maria; Thygesen, Uffe Høgsbro

2017-01-01

-limited. Particular emphasis is put on providing uncertainty estimates of the data-limited assessment. We assess four cod stocks in the North-East Atlantic and compare our estimates of stock status (F/Fmsy) with the official assessments. The estimated stock status of all four cod stocks followed the established stock...

41 CFR 109-27.5003 - Stock control.

Science.gov (United States)

2010-07-01

... 41 Public Contracts and Property Management 3 2010-07-01 2010-07-01 false Stock control. 109-27... control. (a) Stock control shall be maintained on the basis of stock record accounts of inventories on... property under stock control for greater than 90 days shall be maintained in stock record accounts. ...

Revisiting the investor sentiment-stock returns relationship: A multi-scale perspective using wavelets

Science.gov (United States)

Lao, Jiashun; Nie, He; Jiang, Yonghong

2018-06-01

This paper employs SBW proposed by Baker and Wurgler (2006) to investigate the nonlinear asymmetric Granger causality between investor sentiment and stock returns for US economy while considering different time-scales. The wavelet method is utilized to decompose time series of investor sentiment and stock returns at different time-scales to focus on the local analysis of different time horizons of investors. The linear and nonlinear asymmetric Granger methods are employed to examine the Granger causal relationship on similar time-scales. We find evidence of strong bilateral linear and nonlinear asymmetric Granger causality between longer-term investor sentiment and stock returns. Furthermore, we observe the positive nonlinear causal relationship from stock returns to investor sentiment and the negative nonlinear causal relationship from investor sentiment to stock returns.

Applying big data technologies in the financial sector – using sentiment analysis to identify correlations in the stock market

Directory of Open Access Journals (Sweden)

Eszter Katalin Bognár

2016-06-01

Full Text Available The aim of this article is to introduce a system that is capable of collecting and analyzing different types of financial data to support traders in their decision - making. Oracle’s Big Data platform Oracle Advanced Analytics was utilized, which extends the Oracle Database with Oracle R, thus providing the opportunity to run embedded R scripts on the database server to speed up data processing. The extract, transform and load (ETL process was combined with a dictionary - based sentiment analysis module to examine cross - correlation and causality between numerical and textual financial data for a 10 week period. A notable correlation (0.42 was found between daily news sentiment scores and daily stock returns. By applying cross - correlation analysis and Granger causality testing, the results show that the news’ impact is incorporated into stock prices rapidly, having the highest correlation on the first day, while the returns’ impact on market sentiment is seen only after a few days.

Valuation of common and preferred stocks

Directory of Open Access Journals (Sweden)

Nikolić Ljubica

2014-01-01

Full Text Available Buying stocks is a modern way of investing. The investors may place the available capital on the domestic and foreign stock market, they may buy more stocks of a single issuer or distribute money to purchase stocks of various public (stock-exchange companies, and they may form a portfolio of various securities. The investors' decisions on these options are based on their estimate on returns and risks underlying individual security instruments (securities. The two basic approaches to valuation of common stocks are: the Present Value Approach (method of valuating the capitalization of income and the P/E Ratio Approach (the method of valuating the multiple of per-share earnings. Instead of viewing these methods as competing alternatives, they should better be viewed as mutually complementary methods. Both methods are equally useful and their concurrent use may provide better grounds for the analysts' valuation of stocks.

Potential gains in storage on productive forestlands in the northeastern United Sates through stocking management

Science.gov (United States)

Coeli Hoover; Linda S. Heath

2011-01-01

One method of increasing forest carbon stocks that is often discussed is increasing stocking levels on existing forested lands. However, estimates of the potential increases in forest carbon sequestration as a result of increased stocking levels are not readily available. Using the USDA Forest Service's Forest Inventory and Analysis data coupled with the Forest...

Optimization of Eisenia fetida stocking density for the bioconversion of rock phosphate enriched cow dung–waste paper mixtures

International Nuclear Information System (INIS)

Unuofin, F.O.; Mnkeni, P.N.S.

2014-01-01

Highlights: • Vermidegradation of RP-enriched waste mixtures is dependent on E. fetida stocking density. • A stocking density of 12.5 g-worms kg -1 resulted in highly humified vermicomposts. • P release from RP-enriched waste vermicomposts increases with E. fetida stocking density. • RP-enriched waste vermicomposts had no inhibitory effect on seed germination. - Abstract: Vermitechnology is gaining recognition as an environmental friendly waste management strategy. Its successful implementation requires that the key operational parameters like earthworm stocking density be established for each target waste/waste mixture. One target waste mixture in South Africa is waste paper mixed with cow dung and rock phosphate (RP) for P enrichment. This study sought to establish optimal Eisenia fetida stocking density for maximum P release and rapid bioconversion of RP enriched cow dung–paper waste mixtures. E. fetida stocking densities of 0, 7.5, 12.5, 17.5 and 22.5 g-worms kg −1 dry weight of cow dung–waste paper mixtures were evaluated. The stocking density of 12.5 g-worms kg −1 resulted in the highest earthworm growth rate and humification of the RP enriched waste mixture as reflected by a C:N ratio of <12 and a humic acid/fulvic acid ratio of >1.9 in final vermicomposts. A germination test revealed that the resultant vermicompost had no inhibitory effect on the germination of tomato, carrot, and radish. Extractable P increased with stocking density up to 22.5 g-worm kg −1 feedstock suggesting that for maximum P release from RP enriched wastes a high stocking density should be considered

Optimization of Eisenia fetida stocking density for the bioconversion of rock phosphate enriched cow dung–waste paper mixtures

Energy Technology Data Exchange (ETDEWEB)

Unuofin, F.O., E-mail: funmifrank2009@gmail.com; Mnkeni, P.N.S., E-mail: pmnkeni@ufh.ac.za

2014-11-15

Highlights: • Vermidegradation of RP-enriched waste mixtures is dependent on E. fetida stocking density. • A stocking density of 12.5 g-worms kg{sup -1} resulted in highly humified vermicomposts. • P release from RP-enriched waste vermicomposts increases with E. fetida stocking density. • RP-enriched waste vermicomposts had no inhibitory effect on seed germination. - Abstract: Vermitechnology is gaining recognition as an environmental friendly waste management strategy. Its successful implementation requires that the key operational parameters like earthworm stocking density be established for each target waste/waste mixture. One target waste mixture in South Africa is waste paper mixed with cow dung and rock phosphate (RP) for P enrichment. This study sought to establish optimal Eisenia fetida stocking density for maximum P release and rapid bioconversion of RP enriched cow dung–paper waste mixtures. E. fetida stocking densities of 0, 7.5, 12.5, 17.5 and 22.5 g-worms kg{sup −1} dry weight of cow dung–waste paper mixtures were evaluated. The stocking density of 12.5 g-worms kg{sup −1} resulted in the highest earthworm growth rate and humification of the RP enriched waste mixture as reflected by a C:N ratio of <12 and a humic acid/fulvic acid ratio of >1.9 in final vermicomposts. A germination test revealed that the resultant vermicompost had no inhibitory effect on the germination of tomato, carrot, and radish. Extractable P increased with stocking density up to 22.5 g-worm kg{sup −1} feedstock suggesting that for maximum P release from RP enriched wastes a high stocking density should be considered.

Cross-sectional fluctuation scaling in the high-frequency illiquidity of Chinese stocks

Science.gov (United States)

Cai, Qing; Gao, Xing-Lu; Zhou, Wei-Xing; Stanley, H. Eugene

2018-03-01

Taylor's law of temporal and ensemble fluctuation scaling has been ubiquitously observed in diverse complex systems including financial markets. Stock illiquidity is an important nonadditive financial quantity, which is found to comply with Taylor's temporal fluctuation scaling law. In this paper, we perform the cross-sectional analysis of the 1 min high-frequency illiquidity time series of Chinese stocks and unveil the presence of Taylor's law of ensemble fluctuation scaling. The estimated daily Taylor scaling exponent fluctuates around 1.442. We find that Taylor's scaling exponents of stock illiquidity do not relate to the ensemble mean and ensemble variety of returns. Our analysis uncovers a new scaling law of financial markets and might stimulate further investigations for a better understanding of financial markets' dynamics.

Study on mixed analysis method for fatigue analysis of oblique safety injection nozzle on main piping

International Nuclear Information System (INIS)

Lu Xifeng; Zhang Yixiong; Ai Honglei; Wang Xinjun; He Feng

2014-01-01

The simplified analysis method and the detailed analysis method were used for the fatigue analysis of the nozzle on the main piping. Because the structure of the oblique safety injection nozzle is complex and some more severe transients are subjected. The results obtained are more penalized and cannot be validate when the simplified analysis method used for the fatigue analysis. It will be little conservative when the detailed analysis method used, but it is more complex and time-consuming and boring labor. To reduce the conservatism and save time, the mixed analysis method which combining the simplified analysis method with the detailed analysis method is used for the fatigue analysis. The heat transfer parameters between the fluid and the structure which used for analysis were obtained by heat transfer property experiment. The results show that the mixed analysis which heat transfer property is considered can reduce the conservatism effectively, and the mixed analysis method is a more effective and practical method used for the fatigue analysis of the oblique safety injection nozzle. (authors)

Internal and external influence in the US stock market

Science.gov (United States)

Borysov, Stanislav; Roudi, Yasser; Balatsky, Alexander

2014-03-01

We analyze the multivariate distribution of the US stock returns using pairwise interaction models, inspired by Ising models in glasses and neural networks. Using the inference methods from neural networks analysis we find unique descriptors of the dynamics of stock returns in periods of crisis. Our findings suggest that the near crash dynamics is primarily governed by external factors (external fields), while internal network structure (J couplings) are not significantly affected. This work is supported by Nordita and VR VCB 621-2012-2983.

From single-species advice to mixed-species management: taking the next step

DEFF Research Database (Denmark)

Vinther, Morten; Reeves, S.A.; Patterson, K.R.

2004-01-01

Fishery management advice has traditionally been given on a stock-by-stock basis. Recent problems in implementing this advice, particularly for the demersal fisheries of the North Sea, have highlighted the limitations of the approach. In the long term, it would be desirable to give advice...... that accounts for mixed-fishery effects, but in the short term there is a need for approaches to resolve the conflicting management advice for different species within the same fishery, and to generate catch or effort advice that accounts for the mixed-species nature of the fishery. This paper documents...... a recent approach used to address these problems. The approach takes the single-species advice for each species in the fishery as a starting point, then attempts to resolve it into consistent catch or effort advice using fleet-disaggregated catch forecasts in combination with explicitly stated management...

Physiological effects of diet mixing on consumer fitness: a meta-analysis.

Science.gov (United States)

Lefcheck, Jonathan S; Whalen, Matthew A; Davenport, Theresa M; Stone, Joshua P; Duffy, J Emmett

2013-03-01

The degree of dietary generalism among consumers has important consequences for population, community, and ecosystem processes, yet the effects on consumer fitness of mixing food types have not been examined comprehensively. We conducted a meta-analysis of 161 peer-reviewed studies reporting 493 experimental manipulations of prey diversity to test whether diet mixing enhances consumer fitness based on the intrinsic nutritional quality of foods and consumer physiology. Averaged across studies, mixed diets conferred significantly higher fitness than the average of single-species diets, but not the best single prey species. More than half of individual experiments, however, showed maximal growth and reproduction on mixed diets, consistent with the predicted benefits of a balanced diet. Mixed diets including chemically defended prey were no better than the average prey type, opposing the prediction that a diverse diet dilutes toxins. Finally, mixed-model analysis showed that the effect of diet mixing was stronger for herbivores than for higher trophic levels. The generally weak evidence for the nutritional benefits of diet mixing in these primarily laboratory experiments suggests that diet generalism is not strongly favored by the inherent physiological benefits of mixing food types, but is more likely driven by ecological and environmental influences on consumer foraging.

12 CFR 221.119 - Applicability of plan-lender provisions to financing of stock options and stock purchase rights...

Science.gov (United States)

2010-01-01

... experience that in some nonqualified plans, particularly stock purchase plans, the credit arrangement is... financing of stock options and stock purchase rights qualified or restricted under Internal Revenue Code... PURCHASING OR CARRYING MARGIN STOCK (REGULATION U) Interpretations § 221.119 Applicability of plan-lender...

Assessment of 48 Stock markets using adaptive multifractal approach

Science.gov (United States)

Ferreira, Paulo; Dionísio, Andreia; Movahed, S. M. S.

2017-11-01

In this paper, Stock market comovements are examined using cointegration, Granger causality tests and nonlinear approaches in context of mutual information and correlations. Since underlying data sets are affected by non-stationarities and trends, we also apply Adaptive Multifractal Detrended Fluctuation Analysis (AMF-DFA) and Adaptive Multifractal Detrended Cross-Correlation Analysis (AMF-DXA). We find only 170 pair of Stock markets cointegrated, and according to the Granger causality and mutual information, we realize that the strongest relations lies between emerging markets, and between emerging and frontier markets. According to scaling exponent given by AMF-DFA, h(q = 2) > 1, we find that all underlying data sets belong to non-stationary process. According to Efficient Market Hypothesis (EMH), only 8 markets are classified in uncorrelated processes at 2 σ confidence interval. 6 Stock markets belong to anti-correlated class and dominant part of markets has memory in corresponding daily index prices during January 1995 to February 2014. New-Zealand with H = 0 . 457 ± 0 . 004 and Jordan with H = 0 . 602 ± 0 . 006 are far from EMH. The nature of cross-correlation exponents based on AMF-DXA is almost multifractal for all pair of Stock markets. The empirical relation, Hxy ≤ [Hxx +Hyy ] / 2, is confirmed. Mentioned relation for q > 0 is also satisfied while for q behavior of markets for small fluctuations is affected by contribution of major pair. For larger fluctuations, the cross-correlation contains information from both local (internal) and global (external) conditions. Width of singularity spectrum for auto-correlation and cross-correlation are Δαxx ∈ [ 0 . 304 , 0 . 905 ] and Δαxy ∈ [ 0 . 246 , 1 . 178 ] , respectively. The wide range of singularity spectrum for cross-correlation confirms that the bilateral relation between Stock markets is more complex. The value of σDCCA indicates that all pairs of stock market studied in this time interval

Stock flow diagram analysis on solid waste management in Malaysia

Science.gov (United States)

Zulkipli, Faridah; Nopiah, Zulkifli Mohd; Basri, Noor Ezlin Ahmad; Kie, Cheng Jack

2016-10-01

The effectiveness on solid waste management is a major importance to societies. Numerous generation of solid waste from our daily activities has risked for our communities. These due to rapid population grow and advance in economic development. Moreover, the complexity of solid waste management is inherently involved large scale, diverse and element of uncertainties that must assist stakeholders with deviating objectives. In this paper, we proposed a system dynamics simulation by developing a stock flow diagram to illustrate the solid waste generation process and waste recycle process. The analysis highlights the impact on increasing the number of population toward the amount of solid waste generated and the amount of recycled waste. The results show an increment in the number of population as well as the amount of recycled waste will decrease the amount of waste generated. It is positively represent the achievement of government aim to minimize the amount of waste to be disposed by year 2020.

78 FR 17066 - Indirect Stock Transfers and Coordination Rule Exceptions; Transfers of Stock or Securities in...

Science.gov (United States)

2013-03-19

... Indirect Stock Transfers and Coordination Rule Exceptions; Transfers of Stock or Securities in Outbound... issue of the Federal Register, the IRS and the Treasury Department are issuing temporary regulations... stock transfers for certain outbound asset reorganizations. The temporary regulations also modify the...

Multiscale Analysis of the Predictability of Stock Returns

Directory of Open Access Journals (Sweden)

Paweł Fiedor

2015-06-01

Full Text Available Due to the strong complexity of financial markets, economics does not have a unified theory of price formation in financial markets. The most common assumption is the Efficient-Market Hypothesis, which has been attacked by a number of researchers, using different tools. There were varying degrees to which these tools complied with the formal definitions of efficiency and predictability. In our earlier work, we analysed the predictability of stock returns at two time scales using the entropy rate, which can be directly linked to the mathematical definition of predictability. Nonetheless, none of the above-mentioned studies allow any general understanding of how the financial markets work, beyond disproving the Efficient-Market Hypothesis. In our previous study, we proposed the Maximum Entropy Production Principle, which uses the entropy rate to create a general principle underlying the price formation processes. Both of these studies show that the predictability of price changes is higher at the transaction level intraday scale than the scale of daily returns, but ignore all scales in between. In this study we extend these ideas using the multiscale entropy analysis framework to enhance our understanding of the predictability of price formation processes at various time scales.

Site productivity and forest carbon stocks in the United States: Analysis and implications for forest offset project planning

Science.gov (United States)

Coeli M. Hoover; James E. Smith

2012-01-01

The documented role of United States forests in sequestering carbon, the relatively low cost of forest-based mitigation, and the many co-benefits of increasing forest carbon stocks all contribute to the ongoing trend in the establishment of forest-based carbon offset projects. We present a broad analysis of forest inventory data using site quality indicators to provide...

Transmission of Shock across International Stock Markets: An Econometric Analysis

Directory of Open Access Journals (Sweden)

Shalini TALWAR

2018-05-01

Full Text Available The risk of spillover of volatility among international stock markets has increased manifold and it needs to be diagnosed comprehensively. In this paper, the authors have used 11 stock indices to identify influential markets and detect the direction of transmission of shock across markets in different time zones using Granger causality test, Johansen cointegration test and vector autoregression. The findings of VAR show that the forecast error at the 10-day horizon explained by their own innovation is highest for the Australian and Chinese markets followed by Japan, India, Brazil and Russia.Markets of Germany, UK, USA and Canada are influenced by the Australian market. In fact, the Australian market is seen to be the most influential market among the markets under the study. The impact of Chinese and Canadian markets is found to be the least. These results can be useful for optimal option valuation, effective portfolio allocation and performance benchmarking

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