Efficiency, cointegration and contagion in equity markets : evidence from China, Japan and South Korea

This paper empirically examines whether three East Asian stock markets, namely, those of China, Japan and South Korea, are individually and/or jointly efficient, and whether contagion exists between the cointegrated markets. While individual market efficiency is examined through testing for the random walk hypothesis, joint market efficiency is examined through testing for cointegration and contagion. The present study finds that the hypothesis of individual market efficiency is strongly rejected for the Chinese stock market, but not for the Japanese and the South Korean stock markets. However, when testing for cointegration, market efficiency is strongly rejected for all these markets. We take a simple case of contagion and find that although there is a long-term relationship among the three markets, the contagion hypothesis cannot be rejected only between Japanese and South Korean stock markets, indicating short-run portfolio diversification benefits from these two markets.

External shocks and tourist arrivals to Cambodia

This article investigates how external shocks affect tourist arrivals to Cambodia. The study relies on the random walk approach to test whether the shocks to tourist arrivals are temporary or persistent in nature. To facilitate the empirical investigation, the study applies and compares the results from different unit root tests and variance-ratio tests to the monthly tourists' arrival data from 1994 to December 2012. Both tests provide evidence of random walk hypothesis, implying that shocks to tourists' arrival to Cambodia have a persistent effect requiring short- to medium-term policies to combat the vulnerability due to those shocks. Public-private coordinated policies could reduce the impact, as we found that once the crisis (external shocks) is minimized, the magnitude of the shocks decays slowly.

Interday and intraday volatility: additional evidence from the Shanghai Stock Exchange

After examining both the interday and intraday return volatility of the Shanghai Composite Stock Index, it was found that the open-to-open return variance is consistently greater than the close-to-close variance. Examining the volatility of interday returns and variance ratio tests with five-minute intervals reveals an L-shaped pattern, or more precisely, two L-shaped patterns, starting with a small hump during both the morning and the afternoon sessions, with the morning session having a much higher interday volatility than the afternoon session. This L -shaped interday volatility is supported by the similarly shaped intraday volatility pattern. This result suggests that the high volatility of intraday returns for the market open is not entirely due to the trading mechanisms (call auction in the market opening) but also due to both the accumulated overnight information and the trading halt effect. The five-minute breaks after the auction and blind auction procedures are the two major driving forces which exaggerate the high intraday volatility observed at the market open.

Fuzzy portfolio allocation models through a new risk measure and fuzzy sharpe ratio

A new portfolio risk measure that is the uncertainty of portfolio fuzzy return is introduced in this paper. Beyond the well-known Sharpe ratio (i.e., the reward-to-variability ratio) in modern portfolio theory, we initiate the so-called fuzzy Sharpe ratio in the fuzzy modeling context. In addition to the introduction of the new risk measure, we also put forward the reward-to-uncertainty ratio to assess the portfolio performance in fuzzy modeling. Corresponding to two approaches based on TM and TW fuzzy arithmetic, two portfolio optimization models are formulated in which the uncertainty of portfolio fuzzy returns is minimized, while the fuzzy Sharpe ratio is maximized. These models are solved by the fuzzy approach or by the genetic algorithm (GA). Solutions of the two proposed models are shown to be dominant in terms of portfolio return uncertainty compared with those of the conventional mean-variance optimization (MVO) model used prevalently in the financial literature. In terms of portfolio performance evaluated by the fuzzy Sharpe ratio and the reward-to-uncertainty ratio, the model using TW fuzzy arithmetic results in higher performance portfolios than those obtained by both the MVO and the fuzzy model, which employs TM fuzzy arithmetic. We also find that using the fuzzy approach for solving multiobjective problems appears to achieve more optimal solutions than using GA, although GA can offer a series of well-diversified portfolio solutions diagrammed in a Pareto frontier.

Performance of juvenile Murray cod, Maccullochella peelii peelii (Mitchell), fed with diets of different protein to energy ratio

The results of a 56-day experiment on juvenile Murray cod, Maccullochella peelii peelii, an Australian native fish with a high aquaculture potential, of mean weight 14.9 ± 0.04 g, fed with five experimental diets, one a series of 40% protein content and lipid levels of 10, 17 and 24% (P40L10, P40L17 and P40L24), and another of 50% protein and 17 and 24% (P50L17 and P50L24) lipid are presented. The specific growth rate (SGR) (% day−1) of fish maintained on different diets ranged from 1.18 to 1.41, and was not significantly different between dietary treatments, except P40L10 and the rest. However, there was a general tendency for SGR to increase with increasing dietary lipid content at both protein levels. The food conversion ratio (FCR) for the 40% protein series diets were poorer compared with those of the 50% protein diets, and the best FCR of 1.14 was observed with the P50L17 diet. The protein efficiency ratio (PER), however, was better in fish reared on low protein diets. The net protein utilization (NPU) also did not differ significantly (P > 0.05) in relation to dietary treatment. As in the case of PER the highest NPU was observed in Murray cod reared on diet P40L24 and the lowest in fish fed with diet P50L24. The carcass lipid content reflected that of the diets, when significant increases in the lipid content was observed in relation to dietary lipid content at both protein levels. However, body muscle lipid content did not increase with increasing dietary lipid content, and was significantly lower than in the whole body. The fatty acids found in highest concentration amongst the saturates, monoenes and polyunsaturates (PUFAs) were 16 : 0, 18 : 1n-9 and 22 : 6n-3, respectively, and each of these accounted for more than 60% of each of the group's total. The muscle fatty acid content was affected by the dietary lipid content; for example the total amount (in μg mg−1 lipid) of monoenes ranged from 72 ± 5.1 (P40L10) to 112 ± 10 (P40L24) and 112 ± 2.8 (P50L17) to 132 ± 11.8 (P50L24) and the n-6 series fatty acids increased with increasing dietary lipid content, although not always significant. Most notably, 18 : 2n-6 increased with the dietary lipid level in both series of diets.

Methodological shifts in ratio-based modelling of corporate collapse

The year 1968 saw a major shift from univariate to multivariate methodological approaches to ratio-based modelling of corporate collapse. This was facilitated by the introduction of a new statistical tool called Multiple Discriminant Analysis (MDA). However, it did not take long before other statistical tools were developed. The primary objective for developing these tools was to enable deriving models that would at least do as good a job asMDA, but rely on fewer assumptions. With the introduction of new statistical tools, researchers became pre-occupied with testing them in signalling collapse. lLTUong the ratio-based approaches were Logit analysis, Neural Network analysis, Probit analysis, ID3, Recursive Partitioning Algorithm, Rough Sets analysis, Decomposition analysis, Going Concern Advisor, Koundinya and Purl judgmental approach, Tabu Search and Mixed Logit analysis. Regardless of which methodological approach was chosen, most were compared to MDA. This paper reviews these various approaches. Emphasis is placed on how they fared against MDA in signalling corporate collapse.

A dynamic ratio-based model for signalling corporate collapse

The recognition of behavioural elements in finance has caused major shifts in the analytic framework pertaining to ratio-based modeling of corporate collapse. The modeling approach so far has been based on the classical rational theory in behavioural economics, which assumes that the financial ratios (i.e., the predictors of collapse) are static over time. The paper argues that, in the absence of rational economic theory, a static model is flawed, and that a suitable model instead is one that reflects the heuristic behavioural framework, which is what characterises behavioural attributes of company directors and in turn influences the accounting numbers used in calculating the financial ratios. This calls for a dynamic model: dynamic in the sense that it does not rely on a coherent assortment of financial ratios for signaling corporate collapse over multiple time periods. This paper provides empirical evidence, using a data set of Australian publicly listed companies, to demonstrate that a dynamic model consistently outperforms its static counterpart in signaling the event of collapse. On average, the overall predictive power of the dynamic model is 86.83% compared to an average overall predictive power of 69.35% for the static model.

Regulatory Change v's volume of trade effects in HSIF and HSI volatility

In an earlier paper we adopted a BEKK-GARCH framework and employed a systematic approach to examine structural breaks in the HSIF and HSI volatility. Switching dummy variables were included and tested in the variance equations to check for any structural changes in the autoregressive volatility structure due to the events that have taken place in the Hong Kong market. A Bi-variate GARCH model with 3 switching points was found to be superior as it captured the potential structural changes in return volatilities. Abolishment of the uptick rule, increase of initial margins for the HSIF and electronic trading of HSIF were found to have significant impact on the volatility structure of HSIF and HSI. In this paper we include measures of daily trading volume from both markets in the estimation. Likelihood ratio tests indicate the switching dummy variables become insignificant and the GARCH effects diminish but remain significant.

Waist-to-Hip Ratio and Unhealthy Body Change in Women

The role of waist-to-hip ratio (WHR) in unhealthy body change was examined in a sample of 143 women university students. They completed the Eating Disorder Examination-Questionnaire (EDE-Q), reported their level of concern with weight and with WHR, and used unmarked measuring tapes to record their subjective (self-perceived), ideal, and objective (measured) waist and hip circumference. Although body shape was reported as important, and concern with WHR correlated significantly with symptoms of disordered eating, the relationships involving WHR were not independent of those involving body weight. Thus, there appears to be little behavioural and/or clinical significance in the aesthetic evaluations made by women of their WHR. Reasons for this are considered in light of evidence that women regard WHR as more difficult to control and less amenable to change than their overall body weight.

An empirical evaluation of sampling controversies in ratio-based modelling of corporate collapse

Empirical investigations regarding ratio-based modelling of corporate collapse have been on going for decades. With any study of an empirical nature, a data sample is a necessary prerequisite. It allows testing the performance of the prediction model, thereby establishing its practical relevance. However, it is necessary to first ensure that the data sample used satisfies certain conditions, and these have lead to some choice controversies. This paper considers the controversial issues that arise in data sampling, provides a critical evaluation of these issues, and makes choice recommendations on the controversial aspects, by empirically examining the literature.

A heuristic framework for ratio-based modelling of corporate collapse

This paper draws on empirical evidence to demonstrate that a heuristic framework signals collapse with significantly higher accuracy than the traditional static approach. Using a sample of 494 US publicly listed companies comprising 247 collapsed matched with 247 financially healthy ones, a heuristic framework is decisively superior the closer one gets to the event of collapse, culminating in 12.5% more overall accuracy than a static approach during
the year of collapse. An even more dramatic improvement occurs in relation to reduction of Type I error, with a heuristic framework delivering an improvement of 66.7% over its static counterpart.

Benefits of a year-long workplace weight loss program on cardiovascular risk factors

Objective: To assess the effectiveness of a year-long workplace weight loss program in reducing risk factors of coronary heart disease.

Design: A randomised, controlled study of low fat (25% of dietary energy) diet- and/or moderate exercise-induced weight loss interventions in free-living, middle-aged men. Compliance was monitored from food and activity diaries at monthly blood pressure measurement sessions. Blood was sampled and body composition determined from dual energy X-ray absorptiometry before and after 12 months.

Subjects and setting: Fifty-eight overweight men (mean [+ or -] SD age: 43.4 [+ or -] 5.7 years; BMI 29.0 [+ or -] 2.6 kg/[m.sup.2]), recruited from a national corporation, were instructed into diet (n = 18) exercise (a 21) or control (n = 19) groups over 12 months; 16 control subjects combined diet and exercise (n = 16) for the subsequent 12 months.

Main outcome measures: At 12 months, weight, total and regional fat and lean mass, dietary energy and percentage dietary fat intake, physical activity indices, systolic and diastolic blood pressure, serum insulin, blood lipids and lipoproteins.

Statistical analyses: Differences between groups were tested using analysis of variance with Scheffe post hoc test. Differences between pre- and post-intervention variables were tested using Students' paired t-tests. Pearson's correlation coefficient and univariate linear regression identified association between dependent variables, multiple stepwise regression identified specific predictors.

Results: Weight loss with either diet or exercise resulted in a reduction in systolic blood pressure (-3.3 [+ or -] 1.7%), diastolic blood pressure (-4.8 [+ or -] 1.3%) and LDL cholesterol (-3.9 [+ or -] 2.8%), a rise in HDL cholesterol (+10.0 [+ or -] 3.8%) and a change in the LDL/HDL ratio (-8.9 [+ or -] 3.5%). Abdominal fat loss (-26.8 [+ or -] 3.6% after diet; -16.6 [+ or -] 4.5% after exercise; -21.0 [+ or -] 4.7% after diet and exercise) was the strongest predictor of change in blood pressure: twenty percent abdominal fat loss predicted a percentage fall of 2.4 [+ or -] 0.05% in systolic blood pressure and 5.4 [+ or -] 0.07% in diastolic blood pressure. Greater abdominal fat loss was associated with the greatest decrease in serum insulin (P < 0.05).

Conclusion: Modest changes in diet and exercise effected by a low cost workplace-based education program achieved weight loss, loss of abdominal fat, reduced blood pressure and serum insulin and improved blood lipid concentrations. (Nutr Diet 2002;59:87-96)

Primary sex ratio bias in an endangered cooperatively breeding bird, the Black-eared Miner, and its implications for conservation

The aim of our study was to investigate primary and adult sex ratios in the cooperatively breeding black-eared miner, Manorina melanotis. We used genetic methods to determine the sex of all birds. Observations were made to quantify differences in helping behaviour between the sexes. As in other miners, Manorina spp., non-breeding males provided most of the help in raising young. Male and female nestlings did not differ significantly in weight, suggesting that both sexes are equally costly to produce. Like other miners, the adult sex ratio in black-eared miners is male-biased (64.4%). However, unlike its congeners, the black-eared miner’s primary sex ratio was strongly biased toward females (62.5%). This suggests that females suffer higher juvenile mortality than males. Our study illustrates how understanding sex ratios is both of theoretical interest and relevant to biological conservation.