Common trends and common cycles in stock markets

In this paper we examine the role of permanent and transitory shocks in explaining variations in the S&P 500, Dow Jones and the NASDAQ. Our modeling technique involves imposing both common trend and common cycle restrictions in extracting the variance decomposition of shocks. We find that: (1) the three stock price indices are characterized by a common trend and common cycle relationship; and (2) permanent shocks explain the bulk of the variations in stock prices over short horizons.

Investor heterogeneity and the cross-sectional stock returns in China

We examine the relationship between divergence of opinion and the cross-sectional stock returns in Chinese A share market where short-selling of stocks is prohibited by law. Using a proxy for divergence of opinion among the entire investor base, we document a positive relationship between divergent beliefs and future stock returns. This is in sharp contrast to Miller's (1977) prediction of a negative relationship between the two. The result is likely to be driven by the dominance of individual investors and their speculative trading behaviors in China. Miller's prediction is confirmed when divergence of opinion is measured using data on mutual fund holdings. Our results are robust to a number of common return predictors. We also find a significantly negative relationship between the fraction of tradable shares in listed Chinese companies and future stock returns. Increase in the fraction of tradable shares tends to reduce the predictability of stock returns using divergence of opinion.

Determinants of stock price bubbles

In this paper we propose a cross-sectional model of the determinants of asset price bubbles. Using 589 firms listed on the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant effects on asset price bubbles. However, evidence from sector-based stocks is mixed. We find that for firms belonging to electricity, energy, financial, and banking sectors, and for the smallest size firms, trading volume has a statistically significant and positive effect on bubbles. We do not discover any robust evidence of a statistically significant effect of share price volatility on bubbles at the sector-level.

Neural network and interval type-2 fuzzy system for stock price forecasting

Stock price forecast has long been received special attention of investors and financial institutions. As stock prices are changeable over time and increasingly uncertain in modern financial markets, their forecasting becomes more important than ever before. A hybrid approach consisting of two components, a neural network and a fuzzy logic system, is proposed in this paper for stock price prediction. The first component of the hybrid, i.e. a feedforward neural network (FFNN), is used to select inputs that are highly relevant to the dependent variables. An interval type-2 fuzzy logic system (IT2 FLS) is employed as the second component of the hybrid forecasting method. The IT2 FLS’s parameters are initialized through deployment of the k-means clustering method and they are adjusted by the genetic algorithm. Experimental results demonstrate the efficiency of the FFNN input selection approach as it reduces the complexity and increase the accuracy of the forecasting models. In addition, IT2 FLS outperforms the widely used type-1 FLS and FFNN models in stock price forecasting. The combination of the FFNN and the IT2 FLS produces dominant forecasting accuracy compared to employing only the IT2 FLSs without the FFNN input selection.

Has political instability contributed to price clustering on Fiji's stock market?

The goal of this article is to examine evidence of stock price clustering on the South Pacific Stock Exchange, located in Fiji, and explore its determinants. We find that stock prices cluster at the decimal of 0 and 5, with almost half of prices settling on these two decimals. Upon investigating the determinants of price clustering on the South Pacific Stock Exchange we find that price level and volume of trade have a statistically significant positive effect on price clustering. We also propose and test a ‘panic trading’ hypothesis which states political instability induces price clustering. We find evidence that political instability in Fiji induces price clustering behaviour.

N-dimensional animal energetic niches clarify behavioural options in a variable marine environment

Animals respond to environmental variation by exhibiting a number of different behaviours and/or rates of activity, which result in corresponding variation in energy expenditure. Successful animals generally maximize efficiency or rate of energy gain through foraging. Quantification of all features that modulate energy expenditure can theoretically be modelled as an animal energetic niche or power envelope; with total power being represented by the vertical axis and n-dimensional horizontal axes representing extents of processes that affect energy expenditure. Such an energetic niche could be used to assess the energetic consequences of animals adopting particular behaviours under various environmental conditions. This value of this approach was tested by constructing a simple mechanistic energetics model based on data collected from recording devices deployed on 41 free-living Magellanic penguins (Spheniscus magellanicus), foraging from four different colonies in Argentina and consequently catching four different types of prey. Energy expenditure was calculated as a function of total distance swum underwater (horizontal axis 1) and maximum depth reached (horizontal axis 2). The resultant power envelope was invariant, irrespective of colony location, but penguins from the different colonies tended to use different areas of the envelope. The different colony solutions appeared to represent particular behavioural options for exploiting the available prey and demonstrate how penguins respond to environmental circumstance (prey distribution), the energetic consequences that this has for them, and how this affects the balance of energy acquisition through foraging and expenditure strategy.

Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market

We extend Vassalou (2003) by conditioning the Fama–French model with the same macroeconomic variables used to construct a GDP factor. The motivation for doing so is to ascertain whether the ability of the GDP-augmented model to explain equity returns is actually due to news about future GDP growth or whether it is due to the macroeconomic conditioning variables used to construct the GDP factor. We compare the performance of a GDP-enhanced Fama–French model with the conditional Fama–French model using non-nested testing techniques. We find that the GDP-augmented model considerably underperforms the conditional version of the model.

Stores healthy options project in remote indigenous communities (SHOP@RIC): a protocol of a randomised trial promoting healthy food and beverage purchases through price discounts and in-store nutrition education

Background
Indigenous Australians suffer a disproportionate burden of preventable chronic disease compared to their non-Indigenous counterparts – much of it diet-related. Increasing fruit and vegetable intakes and reducing sugar-sweetened soft-drink consumption can reduce the risk of preventable chronic disease. There is evidence from some general population studies that subsidising healthier foods can modify dietary behaviour. There is little such evidence relating specifically to socio-economically disadvantaged populations, even though dietary behaviour in such populations is arguably more likely to be susceptible to such interventions.

This study aims to assess the impact and cost-effectiveness of a price discount intervention with or without an in-store nutrition education intervention on purchases of fruit, vegetables, water and diet soft-drinks among remote Indigenous communities.

Methods/Design
We will utilise a randomised multiple baseline (stepped wedge) design involving 20 communities in remote Indigenous Australia. The study will be conducted in partnership with two store associations and twenty Indigenous store boards. Communities will be randomised to either i) a 20% price discount on fruit, vegetables, water and diet soft-drinks; or ii) a combined price discount and in-store nutrition education strategy. These interventions will be initiated, at one of five possible time-points, spaced two-months apart. Weekly point-of-sale data will be collected from each community store before, during, and for six months after the six-month intervention period to measure impact on purchasing of discounted food and drinks. Data on physical, social and economic factors influencing weekly store sales will be collected in order to identify important covariates. Intervention fidelity and mediators of behaviour change will also be assessed.

Discussion
This study will provide original evidence on the effectiveness and cost-effectiveness of price discounts with or without an in-store nutrition education intervention on food and drink purchasing among a socio-economically disadvantaged population in a real-life setting.

Adolescent depressive disorders and family based interventions in the family options multicenter evaluation: study protocol for a randomized controlled trial

Background
There is increasing community and government recognition of the magnitude and impact of adolescent depression. Family based interventions have significant potential to address known risk factors for adolescent depression and could be an effective way of engaging adolescents in treatment. The evidence for family based treatments of adolescent depression is not well developed. The objective of this clinical trial is to determine whether a family based intervention can reduce rates of unipolar depressive disorders in adolescents, improve family functioning and engage adolescents who are reluctant to access mental health services.

Methods/Design
The Family Options study will determine whether a manualized family based intervention designed to target both individual and family based factors in adolescent depression (BEST MOOD) will be more effective in reducing unipolar depressive disorders than an active (standard practice) control condition consisting of a parenting group using supportive techniques (PAST). The study is a multicenter effectiveness randomized controlled trial. Both interventions are delivered in group format over eight weekly sessions, of two hours per session. We will recruit 160 adolescents (12 to 18 years old) and their families, randomized equally to each treatment condition. Participants will be assessed at baseline, eight weeks and 20 weeks. Assessment of eligibility and primary outcome will be conducted using the KID-SCID structured clinical interview via adolescent and parent self-report. Assessments of family mental health, functioning and therapeutic processes will also be conducted. Data will be analyzed using Multilevel Mixed Modeling accounting for time x treatment effects and random effects for group and family characteristics. This trial is currently recruiting. Challenges in design and implementation to-date are discussed. These include diagnosis and differential diagnosis of mental disorders in the context of adolescent development, non-compliance of adolescents with requirements of assessment, questionnaire completion and treatment attendance, breaking randomization, and measuring the complexity of change in the context of a family-based intervention.

Developing economies and the emergence of new stakeholder group: an examination of stakeholders in the Chinese stock market

As a consequence of the development of the Chinese economy, there has been an emergence of “new” stakeholder groups for the Chinese listed firms. New stakeholder groups include creditors, regulatory agencies, private investors, professional associations and environmentalists. With the use of secondary data, a review was undertaken to explore the emergence of these new stakeholder groups and discuss their influence over listed firms in China. The stakeholder typology developed by Mitchell et al (1997) is used to identify stakeholder attributes of each stakeholder group and assess their stakeholder power. The changes of stakeholder power over the years mirror China’s transition from a centrally planned economy to a more market oriented one.

Institutional Ownership, Audit Committee and Risk Disclosure – Evidence from Australian Stock Market

This study investigates the influence of institutional ownership and audit committees corporate risk disclosures. Focusing on analysing firms’ risk disclosures make in their 2009 annual reports, our sample constitutes a sample of 66 Australian listed firms. We divide institutional shareholders into dedicated-type institutional block shareholders and transient-type institutional block shareholders. We find that while there is no significant relationship between dedicated-type institutional block shareholders and risk disclosure, there is a positive relationship between transient-type institutional block shareholders and risk disclosures. Our result is consistent with a principal that wields limited monitoring resources while achieving high resource dependency over management. We also find a significant and positive relationship between audit committee independence and risk disclosures, showing the positive role played by audit committee in improving the information transparency and reducing information asymmetry in capital market.

Rating downgrade and the price impact of CDS spread on stock return

We investigate the time-varying informativeness of credit default swap (CDS) trading on stock returns for 302 US firms from July 2004 to August 2010. Using the Acharya and Johnson (2007) measure, we find that CDS trading becomes informative for an increasing number of firms as we approach the global financial crisis (GFC). Firm numbers gradually decline post-GFC, but remain high compared to the pre-GFC period. furthermore, CDS trading imposes the largest conditional price impact on firms that are recently downgraded, regardless of rating levels. Interestingly, this holds during and after the GFC, but not before. We offer two implications. First, despite post-GFC outcry against the CDS market, our results suggest it exhibits enhanced price discovery during the GFC. Second, our findings support criticism that, in the lead-up to the GFC, rating agencies are slow in downgrading firms. However, if downgrade decisions made during and after the GFC induce informed trading in the CDS market, this necessarily implies that during the midst of the GFC, rating agencies have got their act together.