3 resultados para Efficient Market Hypothesis


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This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation. The regimes of Bai and Ng (2004), Moon and Perron (2004) and Pesaran (2007) are assessed in the presence of multiple factors and also other non-standard situations. The behaviour of some information criteria used to determine the number of factors in a panel is examined and new information criteria with improved properties in small-N panels proposed. An application to the efficient markets hypothesis is also provided. The null hypothesis of a panel random walk is not rejected by any of the tests, supporting the efficient markets hypothesis in the financial services sector of the Australian Stock Exchange.

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Following the collapse of the Soviet Union in 1991, the newly independent oil-rich country of Kazakhstan has become a major recipient of foreign direct investment (FDI). Although international organisations such as the IMF and UNCTAD have claimed that FDI could be considered an engine in the transition from state socialism and as a powerful force for integration of this region into the global economy; this investment also poses significant risks to Kazakhstan. These risks fall into two broad categories: The first category can be broadly described as issues associated with the “resource curse” or the “Dutch Disease”. The term Dutch Disease describes a situation where booming demand in oil exporting countries, due to high oil revenues, leads to shift of an economy’s productive resources from the tradeable sector to the non-tradeable sector. The second category is associated with the over-dependency of oil exporting countries on a relatively small number of large multinational corporations (MNCs). This over-dependency can lead to a situation where licenses and concessions are granted at less favourable conditions than if they were auctioned in an efficient market. Examining the licensing policy of the Kazakhstani Energy and Mineral Resource Ministry, this paper notes that the latter issue of over-dependency has become less of a risk due to deliberate efforts to diversify investment relationships. Notwithstanding this situation there is some evidence that it remains difficult for oil exporting nations such as Kazakhstan to ensure that oil revenues are channelled into sustainable economic development.

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Invasion ecology urgently requires predictive methodologies that can forecast the ecological impacts of existing, emerging and potential invasive species. We argue that many ecologically damaging invaders are characterised by their more efficient use of resources. Consequently, comparison of the classical ‘functional response’ (relationship between resource use and availability) between invasive and trophically analogous native species may allow prediction of invader ecological impact. We review the utility of species trait comparisons and the history and context of the use of functional responses in invasion ecology, then present our framework for the use of comparative functional responses. We show that functional response analyses, by describing the resource use of species over a range of resource availabilities, avoids many pitfalls of ‘snapshot’ assessments of resource use. Our framework demonstrates how comparisons of invader and native functional responses, within and between Type II and III functional responses, allow testing of the likely population-level outcomes of invasions for affected species. Furthermore, we describe how recent studies support the predictive capacity of this method; for example, the invasive ‘bloody red shrimp’ Hemimysis anomala shows higher Type II functional responses than native mysids and this corroborates, and could have predicted, actual invader impacts in the field. The comparative functional response method can also be used to examine differences in the impact of two or more invaders, two or more populations of the same invader, and the abiotic (e.g. temperature) and biotic (e.g. parasitism) context-dependencies of invader impacts. Our framework may also address the previous lack of rigour in testing major hypotheses in invasion ecology, such as the ‘enemy release’ and ‘biotic resistance’ hypotheses, as our approach explicitly considers demographic consequences for impacted resources, such as native and invasive prey species. We also identify potential challenges in the application of comparative functional responses in invasion ecology. These include incorporation of numerical responses, multiple predator effects and trait-mediated indirect interactions, replacement versus non-replacement study designs and the inclusion of functional responses in risk assessment frameworks. In future, the generation of sufficient case studies for a meta-analysis could test the overall hypothesis that comparative functional responses can indeed predict invasive species impacts.