Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests

This paper provides evidence on the random walk hypothesis in G7 stock price indices using unit root tests which allow for one and two structural breaks in the trend. Of the seven countries we find, at best, evidence of mean reversion in the stock price index of Japan. Thus, overall, our results support the random walk hypothesis. We also consider the implications of the identified structural breaks for movement in stock prices over time. Our main conclusion from this exercise is that the second break in stock prices has had a detrimental effect on movements in stock prices in the G7 countries.

Mean reversion in stock prices: new evidence from panel unit root tests

Purpose – There are several studies that investigate evidence for mean reversion in stock prices. However, there is no consensus as to whether stock prices are mean reverting or random walk (unit root) processes. The goal of this paper is to re-examine mean reversion in stock prices.
Design/methodology/approach – The authors use five different panel unit root tests, namely the Im, Pesaran and Shin t-bar test statistic, the Levin and Lin test, the Im, Lee, and Tieslau Lagrangian multiplier test statistic, the seemingly unrelated regression test, and the multivariate augmented Dickey Fuller test advocated by Taylor and Sarno.
Findings – The main finding is that there is no mean reversion of stock prices, consistent with the efficient market hypothesis.
Research limitations/implications – One issue not considered by this study is the role of structural breaks. It may be the case that the efficient market hypothesis is contingent on structural breaks in stock prices. Future studies should model structural breaks.
Practical implications – The findings have implications for econometric modelling, in particular forecasting.
Originality/value – This paper adds to the scarce literature on the mean reverting property of stock prices based on panel data; thus, it should be useful for researchers.

Are OECD stock prices characterized by a random walk? Evidence from sequential trend break and panel data models

This paper examines whether stock prices for a sample of 22 OECD countries can be best represented as mean reversion or random walk processes. A sequential trend break test proposed by Zivot and Andrews is implemented, which has the advantage that it can take account of a structural break in the series, as well as panel data unit root tests proposed by Im et al., which exploits the extra power in the panel properties of the data. Results provide strong support for the random walk hypothesis.

Neutrosophic information fusion applied to the options market

In this paper we basically make two propositions - firstly a non-linear process that is primarily fuelled by mass cognitive dissonance could generate systematic deviations between the theoretical and market prices of long-term options, and secondly such deviations are best reconciled in terms of neutrosophic rather than ruled-based reasoning, especially in the context of the users of automated trading systems designed to generate trading signals based on analysis of information  from conflicting sources.

Time-varying hedge ratios: an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.

Time varying hedge ratios : an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.

Real interest rates, inflation and the open economy : a regime-switching perspective on Australia and New Zealand

We investigate the time-series properties of Australian and New Zealand real interest rates within a Markov-switching framework. This enables us to identify characteristics in real interest rate behavior hitherto unacknowledged. We find that rates switch between alternative stationary regimes characterized by differing means, speeds of mean-reversion and volatility. For New Zealand, high rates of inflation increase the probability of remaining in a regime characterized by a faster speed of adjustment. Further application of this methodology considers the real interest rate differential between Australia and New Zealand and points to differing regimes based on volatility rather than persistence.

Predicting future earnings growth: a test of the dividend payout ratio in the Australian market

This paper examines the use of the payout ratio as a predictor of a firm’s future earnings growth. Recent evidence rejects the hypothesis that firm which retain a large portion of their earnings have strong future earnings growth. Higher dividend payout ratios instead correspond to higher future earnings growth. Examining both listed and delisted firms on the Australian stock exchange over the period 1989 to 2008, we provide further evidence that the dividend payout ratio is positively linked to future earnings growth. The results hold over both one, three and five year periods. Furthermore, our results rejected claims that such a relationship was caused by simple mean reversion in earnings. We find no evidence to support the cash flow signaling and free cash flow hypotheses as an explanation for this relationship.

Decreasing dietary sodium while following a self-selected potassium-rich diet reduces blood pressure

Reducing dietary sodium reduces blood pressure (BP), a major risk factor for cardiovascular disease, but few studies have specifically examined the effect on BP of altering dietary sodium in the context of a high potassium diet. This randomized, crossover study compared BP values in volunteer subjects self-selecting food intake and consuming low levels of sodium (Na+; 50 mmol/d) with those consuming high levels of sodium (> or =20 mmol/d), in the context of a diet rich in potassium (K+). Sodium supplementation (NaSp) produced the difference in Na+ intake. Subjects (n = 108; 64 women, 44 men; 16 on antihypertensive therapy) had a mean age of 47.0 ± 10.1 y. Subjects were given dietary advice to achieve a low sodium (LS) diet with high potassium intake (50 mmol Na+/d, >80 mmol K+/d) and were allocated to NaSp (120 mmol Na+/d) or placebo treatment for 4 wk before crossover. The LS diet decreased urinary Na+ from baseline, 138.7 ± 5.3 mmol/d to 57.8 ± 3.8 mmol/d (P < 0.001). The NaSp treatment returned urinary Na+ to baseline levels 142.4 ± 3.7 mmol/d. Urinary K+ increased from baseline, 78.6 ± 2.3 to 86.6 ± 2.1 mmol/d with the LS diet and to 87.1 ± 2.1 mmol/d with NaSp treatment (P < 0.001). The LS diet reduced home systolic blood pressure (SBP) by 2.5 ± 0.8 mm Hg (P = 0.004), compared with the NaSp treatment. Hence, reducing Na+ intake from 140 to 60 mmol/d significantly decreased home SBP in subjects dwelling in a community setting who consumed a self-selected K+-rich diet, and this dietary modification could assist in lowering blood pressure in the general population.

Depression, anxiety and stress in women following acute coronary syndrome: implications for secondary prevention

Objective
To document incidence of depression, anxiety, and stress in women more than 6 months following an acute coronary syndrome.

Design
Participants were identified from a coronary care unit database. The Depression Anxiety Stress Scales 21 (DASS 21) was sent to potential participants via postal survey.

Setting
A metropolitan teaching hospital in Melbourne, Australia.

Participants
The cohort of women was aged between 55 and 70 years. They had been admitted to hospital with a diagnosis of acute coronary syndrome (ACS) between 6 and 14 months prior to participating in this study.

Main outcome measures
Scores on Depression, Anxiety, and Stress Scale (DASS 21).

Results
Of the 117 posted questionnaires, 39 women with a mean age of 63 (S.D. 4.97) responded to the survey, representing a response rate of 33.3%. Most participants scored within normal levels of depression (66.7%), anxiety (60.5%), and stress (70.3%), however, mild to extremely severe levels of each construct (33.4%, 39.6%, and 29.7%, respectively) were found.

Conclusions
The reporting of elevated levels of depression, anxiety and stress in a subset of women more than 6 months following an ACS event underscores the importance of ongoing screening for risk factors impacting on psychological well-being and the inclusion of this information in education and counseling strategies in both the inpatient and outpatient settings. Based on these pilot data, consideration of a screening system in the immediate post discharge period for women at risk and an education or support service are recommended.

Recovery following laparoscopic cholecystectomy in either a 23 hour or an 8 hour facility

Research confirms that laparoscopic cholecystectomy (LC) results in shorter lengths of hospital stay and earlier return to usual activity than the traditional cholecystectomy procedure. Research in this area, however, focuses more on the medical aspects of patient recovery, but very few studies have evaluated how these patients manage their recovery at home or what types of problems they encounter. A total of 28 LC patients were randomly assigned to two groups: (1) 23 h stay (overnight) in a general surgical ward or (2) day procedure unit (DPU) stay. Data was collected by a self-administered Postoperative Symptoms Diary and telephone interview. Results showed no significant difference between the two groups of patients recovery symptoms scores. Problems with mobility, pain and elimination recorded the highest mean scores for both groups of patients. Overnight patients also experienced problems with tiredness and eating. All DPU patients were able to manage their postoperative symptoms, compared to only 44% of patients who had stayed in overnight. Carer assistance was needed with regard to activities of daily living, child care and reassurance. Results showed that with careful selection of patients, LC cases performed as day procedures did not impact at all on the patients' recovery trajectory.

Acetylcysteine for prevention of acute deterioration of renal function following elective coronary angiography and intervention

Context The antioxidant acetylcysteine prevents acute contrast nephrotoxicity in patients with impaired renal function who undergo computed tomography scanning. However, its role in coronary angiography is unclear.

Objective To determine whether oral acetylcysteine prevents acute deterioration in renal function in patients with moderate renal insufficiency who undergo elective coronary angiography.

Design and Setting Prospective, randomized, double-blind, placebo-controlled trial conducted from May 2000 to December 2001 at the Grantham Hospital at the University of Hong Kong.

Participants Two hundred Chinese patients aged mean (SD) 68 (6.5) years with stable moderate renal insufficiency (creatinine clearance <60 mL/min [1.00 mL/s]) who were undergoing elective coronary angiography with or without intervention.

Intervention Participants were randomly assigned to receive oral acetylcysteine(600 mg twice per day; n = 102) or matching placebo tablets (n = 98) on the day before and the day of angiography. All patients received low-osmolality contrast agent.

Main Outcome Measures Occurrence of more than a 25% increase in serum creatinine level within 48 hours after contrast administration; change in creatinine clearance and serum creatinine level.

Results Twelve control patients (12%) and 4 acetylcysteine patients (4%) developed a more than 25% increase in serum creatinine level within 48 hours after contrast administration (relative risk, 0.32; 95% confidence interval [CI], 0.10-0.96; P = .03). Serum creatinine was lower in the acetylcysteine group (1.22 mg/dL [107.8 µmol/L]; 95% CI, 1.11-1.33 mg/dL vs 1.38 mg/dL [122.9 µmol/L]; 95% CI, 1.27-1.49 mg/dL; P = .006) during the first 48 hours after angiography. Acetylcysteine treatment significantly increased creatinine clearance from 44.8 mL/min (0.75 mL/s) (95% CI, 42.7-47.6 mL/min) to 58.9 mL/min (0.98 mL/s) (95% CI, 55.6-62.3 mL/min) 2 days after the contrast administration (P<.001).The increase was not significant in the control group (from 42.1 to 44.1 mL/min [0.70 to 0.74 mL/s]; P = .15). The benefit of acetylcysteine was consistent among various patient subgroups and persistent for at least 7 days. There were no major treatment-related adverse events.

Conclusion Acetylcysteine protects patients with moderate chronic renal insufficiency from contrast-induced deterioration in renal function after coronary angiographic procedures, with minimal adverse effects and at a low cost.

Temporal changes in macroinvertebrate assemblages following experimental flooding in permanent and temporary wetlands in an Australian floodplain forest

The River Murray, Australia, is a highly regulated river from which almost 80% of mean annual flow is removed for human use, primarily irrigated agriculture. Consequent changes to the pattern and volume of river flow are reflected in floodplain hydrology and, therefore, the wetting/drying patterns of floodplain wetlands. To explore the significance of these changes, macroinvertebrate samples were compared between permanent and temporary wetlands following experimental flooding in a forested floodplain of the River Murray. Weekly samples from two permanent wetlands and four associated temporary sites were used to track changes in macroinvertebrate assemblage composition. Non-metric multidimensional scaling was used to ordinate the macroinvertebrate data, indicating consistent differences between the biota of permanent and temporary wetlands and between the initial and later assemblages in the temporary sites. There were marked changes over time, but little sign that the permanent and temporary assemblages were becoming more alike over the 25-week observation period. The apparent heterogeneity of these systems is of particular importance in developing river management plans which are likely to change flooding patterns. Such plans need to maintain a mosaic of wetland habitats if floodplain biodiversity is to be supported.

The Melbourne 2006 Commonwealth Games : what does it mean for the local property market?

In 2006 Melbourne will host the 18th Commonwealth Games with Brisbane being the last Australian city to host this event over two decades ago in 1982. Melbourne has not held a major global sporting event since the 1956 Olympic Games, although the 2006 Commonwealth Games follows on from the successful 2000 Sydney Olympics. These sporting events have continued to grow from strength to strength, and have been assisted by Australia's close affiliation with sport and the widespread global media coverage. In a similar manner to other sporting events that Melbourne hosts, including the Australian Tennis Open, Formula One Grand Prix, Motorcycle Grand Prix, Melbourne Cup and Australian Football League, the city and its inhabitants are consumed by these events. The 2006 Commonwealth Games is certain to follow this trend.
The task of hosting the Commonwealth Games is enormous, although actively pursued in a fierce bidding process by competing cities. The benefits are undisputed and include an influx of visitors to the host city, an opportunity to enhance or rebuild infrastructure such as transport, plus the worldwide focus on the host city before and during the event. A high level of planning is undertaken for years well in advance of the event, and this may have an effect on the surrounding property market. Through the media both buyers and sellers are constantly reminded of the upcoming Games, the venues and the increased demand that will occur. Accordingly, this research investigates the task of hosting a major global sporting event such as the Commonwealth Games, and importantly how affects infrastructure in a host city. Attention is placed on the 2006 Commonwealth Games and the Melbourne property market. Whilst every host city differs in characteristics such as size, location and timing of the event, the findings of this study will assist a future host city to plan for the highly irregular circumstances that accompany a high profile one-off major sporting event.

Nutrition, growth and production of Cherax Destructor Clark, 1936 (Decapoda, Parastacidae)

In this study the nutrition, growth and production of C. destructor was examined. Selected nutritional requirements of juvenile animals were determined under controlled conditions with the aim of developing a pelleted diet for use in hatcheries, nurseries and growout situations. The best developed diet was assessed for its potential as a supplementary feed for animals cultured in earthen environments. The protein requirements were first determined simultaneously with an evaluation of the effect of replacing animal protein (fishmeal) by soybean meal. Juveniles were reared communally for 59 d on isoenergetic diets containing 15-30% protein and graded levels of soybean meal (0-60%, of protein). When soybean meal was included at a level of 40-60%, growth was reduced relative to that achieved with control diets containing 15% and 20% protein, but this was not the case at a 20% soybean meal substitution level. A two-way interaction occurred between dietary protein and soybean meal content. Higher protein feeds enabled higher soybean meal inclusion levels without significantly affecting growth. Protein increases of 5% produced better growth at the 40% and 60% soybean meal substitution levels. This effect was less pronounced in the control and the 20% soybean meal diets. Carcass %protein increased and %lipid decreased as dietary protein increased. A similar effect occurred by increasing the soybean meal level to 60%. No obvious trend in carcass moisture, energy, and ash occurred. A protein requirement of 30% was apparent when fish meal and soybean meal were included in diets at levels of 20% and 24% (dry matter) respectively. Alternative protein sources to soybean meal were subsequently identified. Juveniles were maintained for 12 weeks on isoenergetic diets containing 30% protein and differing in the primary source of protein used, with meat, snail, soybean, yabby, and zooplankton meals comprising the major protein ingredient. No significant difference occurred in mean weight (MW), percentage weight gain (%WG), SGR or survival among diets. Food conversion ratios (FCR) were low, with a minimum value of 0.95 for the snail-based diet. The apparent net protein utilisation (ANPU) varied from 29.6% (zooplankton-based diet) to 41.2% (snail-based diet). Carcass composition varied with diet, with the greatest difference occurring in carapace colour. Animals fed the zooplankton-based diet developed the strongest, most natural pigmentation. A new combination of previously used protein-based ingredients was subsequently tested with reference to two yabby species, Cherax albidus and Cherax destructor, that were grown simultaneously in identical conditions. Juvenile male animals were reared individually for 20 weeks on isoenergetic diets containing 15% or 30% protein with fish meal, soybean meal, yabby meal and wheat products forming the basis of the diets. C albidus grew the fastest and utilised the food the most effectively. Carcass composition was influenced by diet with the 30% protein diet resulting in an increase in carcass protein and ash and a decrease in carcass lipid and energy relative to the low protein diet. Carcass moisture and calcium were not affected by diet. The intermoult period (IP) was highly dependent on the premoult weight (W) but the mean moult increment (WI, as weight) was independent of the PM. The orbital carapace length (OCL) and the abdominal length (ABL) %moult increments generally declined with an increase in PM whereas the propus length (PL) %moult increment generally increased. The IP, WI, %OCL, %ABL, and %PL moult increments varied according to diet and to species. Elevated dietary protein caused a reduction to the IP (for similar sized animals) by 11 d and 7 d and an increase to the WI by 85% and 81% in C. albidus and C destructor respectively. Dietary induced morphological changes also occurred. Animals of a standard OCL (both species) had significantly larger abdomens when fed the higher protein diet. Growth on the best developed diet was compared to the growth obtained on a natural diet of freshwater zooplankton. Juveniles were reared individually for 12 weeks on the two diets. The MW, %WG and SGR were higher for the zooplankton diet. Carcass composition was influenced by diet and the zooplankton fed animals had a higher carcass %protein, %lipid, %ash and %fibre content and were more richly pigmented than animals fed pellets. The IP and the WI were highly dependent on the PM and varied according to diet; feeding with zooplankton reduced the IP by 1.2 days and increased the WI by 13.7% compared to pellets. Nutrient digestibility was determined for the pelleted diets evaluated in the growth trials. Protein digestibility (PD) and dry matter digestibility (DMD), using chromic oxide (Cr2O3) as an exogenous marker, were high for all diets, at around 93% and 83% respectively. Ash digestibility varied considerably from 17% to 73% for the snail and yabby meal diets respectively. Crude fibre digestibility was around 50% and probably indicates cellulase activity. Alternative markers to Cr2O3 were evaluated. Ash was considered to be the most suitable alternative to Cr2O3, providing a reasonable, albeit lower, estimate of nutrient digestibility. Cr2O3 and ash were preferentially excreted whereas fibre was retained in the digestive system for a longer period, consequently, the collection of a particular fraction of the deposited faeces (late or early) substantially affected the digestibility coefficients. In earthen-based environments, animals fed the best developed diet were compared to animals cultured using a forage crop of clover (Trifolium repens). Three supplementary feeding strategies representing varying levels of management intensity were evaluated in a series of trials conducted in ponds and pond microcosms. Growth on pellets consistently exceeded that obtained with the forage crop, with final MW being 67-159% higher than that using clover and appeared to be the result of direct pellet consumption and from a pellet fertiliser effect (on the sediment). Within-pond DMD and PD were high and similar for each treatment (DMD = 51-58%; PD = 89-92%). In the control pond, DMD and PD increased with each successive flood. The faecal egestion rate (PER) decreased with each successive flood in all ponds, and is negatively related to animal weight and to foregut fullness (FF) according to power curves. FF was consistently lowest in the control pond. Mean FF was 48.5%, 62.3%, and 26.7% for the pellet, crop and control ponds respectively. FF increased to the third flood in each pond. The foregut protein content was high in all samples and the mean values were 33.9%, 32.7% and 35.6% for the pellet, crop and control ponds respectively. Foregut ash was highly variable within each pond and is inversely related to the foregut protein content. In the control and pellet ponds the highest foregut ash content occurred during flood 1. The culture system (aquaria or pond) strongly influenced the composition of the foregut content. The foregut of animals fed the manufactured diet (B2) in ponds contained approximately 176% more ash and 5% more protein than the foregut of animals fed in bare-bottom tanks. The FF of the tank fed animals was approximately 45% higher than the FF of pond fed animals after a similar feeding period. Base-line yields for extensive production systems appeared to be around 400kg ha-1. The supplementary addition of T. repens produced yields of approximately 635kg ha-1 (in ponds) to around 1086kg ha-1 (in tanks). The sequential addition of cut-clover to tanks stimulated growth to levels approaching those achieved on pellets. Yabbies stocked into ponds at 15-20 m-2 with a mean weight of 2.67g and fed a 30% protein pelleted diet for 100 d, resulted in a yield of approximately 1117kg ha-1, but only 2% of the population were above a marketable size of 50g. The feed utilisation indices were better for animals reared on pellets in bare-bottom tanks than in earthen environments, indicating some degree of pellet wastage when natural feeds are simultaneously present. High apparent food conversion ratios and low protein efficiency ratios occurred when the forage crop was provided. A considerable quantity of the dry matter and protein content of the forage crop was either inefficiently utilised or directed into other production pathways. Sowing a forage crop into pond microcosms to which a pelleted diet was also provided, did not enhance growth performance. Pelleted feed inputs at a rate of approximately 129g m-2 to 198g m-2 (dry matter) and 38g -2 to 64g m-2 (protein) over 70-100 d resulted in acceptable growth and feed utilisation indices for animals reared in ponds and pond microcosms. Forage crop inputs of approximately 533g m-2 to 680g m-2 (as dry matter) or 84g m-2 to 177g m-2 (as protein) over a 70-100 d period produced reasonable growth rates but poor feed utilisation indices. Low inputs of dry matter (from 113-296g m-2) and protein (from 24-54g m-2) from clover were sufficient to maintain high growth rates in pond microcosms for around 28 d. In ponds, a very low level of 21g m-2 (dry matter) and 4.3g m-2 (protein) was sufficient for around 3 weeks. Forage depletion appeared to occur beyond week 3-4 and was probably a major growth limiting factor. The mean hepatosomatic index (HSI) was 9.44, 7.68, and 6.79 for the pellet, crop, and control ponds respectively. The relationship between hepatopancreas weight and overall animal weight was significantly different between treatments. The hepatopancreas of pellet-fed animals had the highest %lipid and lowest %ash, %protein, %carbohydrate and %moisture content. In terms of absolute quantities, the only major difference in hepatopancreas composition between treatments occurred for lipid and dry matter content. The hepatopancreas of the pellet-fed animals was a cream/cream-yellow colour and was very fragile, whereas in the other ponds it was a more ‘natural’ bright yellow colour and was structurally more robust. C. destructor has a capacious foregut, being approximately 5 times the volume of similar sized Penaeids. The foregut volume (V, ml) of the yabby is related to animal weight (W, g) according to V = 0.048 W0.9543. Animals that were starved for 96 h and then fed diet B2 were almost completely foil after 30 min. The ‘apparent enzymatic response’ of animals fed various natural and artificial diets in tanks was evaluated. Nutrient processing time and the enzymatic response following ingestion appeared to be regulated by the chemical and physical properties of the diet. For the natural feeds, foregut protein was 1.2% higher (for zooplankton) and up to 300% higher (for detritus) than dietary protein, whereas ash was 7.5% higher (zooplankton) and 46-63% lower (detritus) than dietary ash. For animals fed diet B2 after 48 h without food, FF was approximately half that of 96 h starved animals after a similar feeding period but foregut protein and ash contents were similar. Finally, the physiological and morphological attributes elucidated in this study are discussed with reference to the ecology of the yabby. High growth rates, excellent feed utilisation indices and high digestibility coefficients for a wide range of diet-types illustrate nutritional flexibility. A capacious foregut, a large hepatopancreas with a high energy storage capacity, the ability to partition and preferentially excrete the low nutrient value inorganic component of the diet, the capacity to alter body form, nutrient processing time and enzymatic secretions in relation to diet-type, and modified behaviour according to feed availability also demonstrate plasticity/adaptability/flexibility. The combined effect of these important characteristics ensures survival in environments that may be adverse and highly variable in terms of nutrient availability. Collectively the morphological and digestive traits elucidated in this study reflect the generalist-type nature of C destructor and indicate that a polytrophic classification still seems appropriate. Several priority areas for further nutrition research are identified and recommendations are made regarding the best-practices to use in the commercial culture of the yabby. Of paramount importance is the further clarification of the nutritional requirements and feeding preferences of animals in various phases of development.