Weak Form Tests of Efficient Market Hypothesis: Evidence from CEE-Countries and Russian Stock Markets

Tämän tutkielman tavoitteena on selvittää Venäjän, Slovakian, Tsekin, Romanian, Bulgarian, Unkarin ja Puolan osakemarkkinoiden heikkojen ehtojen tehokkuutta. Tämä tutkielma on kvantitatiivinen tutkimus ja päiväkohtaiset indeksin sulkemisarvot kerättiin Datastreamin tietokannasta. Data kerättiin pörssien ensimmäisestä kaupankäyntipäivästä aina vuoden 2006 elokuun loppuun saakka. Analysoinnin tehostamiseksi dataa tutkittiin koko aineistolla, sekä kahdella aliperiodilla. Osakemarkkinoiden tehokkuutta on testattu neljällä tilastollisella metodilla, mukaan lukien autokorrelaatiotesti ja epäparametrinen runs-testi. Tavoitteena on myös selvittääesiintyykö kyseisillä markkinoilla viikonpäiväanomalia. Viikonpäiväanomalian esiintymistä tutkitaan käyttämällä pienimmän neliösumman menetelmää (OLS). Viikonpäiväanomalia on löydettävissä kaikilta edellä mainituilta osakemarkkinoilta paitsi Tsekin markkinoilta. Merkittävää, positiivista tai negatiivista autokorrelaatiota, on löydettävissä kaikilta osakemarkkinoilta, myös Ljung-Box testi osoittaa kaikkien markkinoiden tehottomuutta täydellä periodilla. Osakemarkkinoiden satunnaiskulku hylätään runs-testin perusteella kaikilta muilta paitsi Slovakian osakemarkkinoilla, ainakin tarkastellessa koko aineistoa tai ensimmäistä aliperiodia. Aineisto ei myöskään ole normaalijakautunut minkään indeksin tai aikajakson kohdalla. Nämä havainnot osoittavat, että kyseessä olevat markkinat eivät ole heikkojen ehtojen mukaan tehokkaita

Identification-commitment inventory (ICI-Model): confirmatory factor analysis and construct validity

The aim of this study is to confirm the factorial structure of the Identification-Commitment Inventory (ICI) developed within the frame of the Human System Audit (HSA) (Quijano et al. in Revist Psicol Soc Apl 10(2):27-61, 2000; Pap Psicól Revist Col Of Psicó 29:92-106, 2008). Commitment and identification are understood by the HSA at an individual level as part of the quality of human processes and resources in an organization; and therefore as antecedents of important organizational outcomes, such as personnel turnover intentions, organizational citizenship behavior, etc. (Meyer et al. in J Org Behav 27:665-683, 2006). The theoretical integrative model which underlies ICI Quijano et al. (2000) was tested in a sample (N = 625) of workers in a Spanish public hospital. Confirmatory factor analysis through structural equation modeling was performed. Elliptical least square solution was chosen as estimator procedure on account of non-normal distribution of the variables. The results confirm the goodness of fit of an integrative model, which underlies the relation between Commitment and Identification, although each one is operatively different.

Factors affecting hospital admission and recovery stay duration of in-patient motor victims in Spain

Hospital expenses are a major cost driver of healthcare systems in Europe, with motor injuries being the leading mechanism of hospitalizations. This paper investigates the injury characteristics which explain the hospitalization of victims of traffic accidents that took place in Spain. Using a motor insurance database with 16.081 observations a generalized Tobit regression model is applied to analyse the factors that influence both the likelihood of being admitted to hospital after a motor collision and the length of hospital stay in the event of admission. The consistency of Tobit estimates relies on the normality of perturbation terms. Here a semi-parametric regression model was fitted to test the consistency of estimates, concluding that a normal distribution of errors cannot be rejected. Among other results, it was found that older men with fractures and injuries located in the head and lower torso are more likely to be hospitalized after the collision, and that they also have a longer expected length of hospital recovery stay.

Diversidade e índice sucessional de uma vegetação de cerrado sensu stricto na Universidade Estadual de Goiás-UEG, campus de Anápolis

A composição vegetal, estrutura, diversidade, estádio sucessional e distribuição de espécies do cerrado do campus da UEG com 6 ha, foram inventariados usando 30 parcelas com 100 m² cada. A partir de dbs superior ou igual a 5 cm foram amostrados 515 indivíduos, representados por 20 famílias, 28 gêneros e 46 espécies. As famílias de maior riqueza foram Leguminosae, Vochysiaceae e Malpighiaceae. As espécies Qualea grandiflora, Byrsonima crassa, Erytroxylum tortuosum, Qualea parviflora e Miconia ferruginata apresentaram os maiores VIs. A diversidade da área (H¢ = 1,353) é menor que valores descritos para Cerrado, o que pode ser conseqüência tanto da abundância de espécies como Q. grandiflora e B. crasssa quanto de interferências antrópicas no local, incluindo queimadas. O valor do índice sucessional (IS = 2,3) indica uma comunidade em estágio intermediário de sucessão, já que seu valor oscila de 1 a 3 . A comunidade ajustou-se apenas ao modelo log-normal, o que, de acordo com a literatura, pode ser influência da proporção da abundância de espécies dominantes, intermediárias e raras.

FRUIT MORPHOLOGY AND PRODUCTIVITY OF BABASSU PALMS IN NORTHERN MINAS GERAIS STATE, BRAZIL1

ABSTRACT The objectives of this study were to morphologically characterize fruits of the babassu palm tree (Attalea vitrivir) and to estimate their productivity in the north of Minas Gerais State, Brazil. Twenty mature fruits were collected from 10 plants in three different areas in Januária, Minas Gerais. Eighteen biometric parameters of the fruits were measured, the oil contents of the seeds was determined, the adherence to normal distribution was evaluated, distribution frequencies were evaluated and the effects of individuals and areas on the variables and the correlations between them were analyzed. The production of fruit bunches per plant and the number of fruits per bunch from 10 plants were quantified in three areas and the potential production under both natural harvesting and cultivation conditions were estimated. Significant differences were found among all of the biometric parameters examined between the different individuals and the different areas, which shows wide morphological variability in the fruits. The average oil content was 45.7%, but with significant differences among individuals. The observed variability favors the selection of productive individuals in genetic improvement programs. The potential productivity of endocarps and oil based on a density of 400/plants per hectare would be respectively 6.4 and 1.2 tons/ha, which indicates the possibility of using A. vitrivir for producing charcoal, bio fuels, and for carbon fixation.

Spatial variability of leaf nutrient contents in a drip irrigated citrus orchard

This study aimed to evaluate the spatial variability of leaf content of macro and micronutrients. The citrus plants orchard with 5 years of age, planted at regular intervals of 8 x 7 m, was managed under drip irrigation. Leaf samples were collected from each plant to be analyzed in the laboratory. Data were analyzed using the software R, version 2.5.1 Copyright (C) 2007, along with geostatistics package GeoR. All contents of macro and micronutrients studied were adjusted to normal distribution and showed spatial dependence.The best-fit models, based on the likelihood, for the macro and micronutrients were the spherical and matern. It is suggest for the macronutrients nitrogen, phosphorus, potassium, calcium, magnesium and sulfur the minimum distances between samples of 37; 58; 29; 63; 46 and 15 m respectively, while for the micronutrients boron, copper, iron, manganese and zinc, the distances suggests are 29; 9; 113; 35 and 14 m, respectively.

Monte Carlo Hypothesis Testing with The Sharpe Ratio

The purpose of this master thesis was to perform simulations that involve use of random number while testing hypotheses especially on two samples populations being compared weather by their means, variances or Sharpe ratios. Specifically, we simulated some well known distributions by Matlab and check out the accuracy of an hypothesis testing. Furthermore, we went deeper and check what could happen once the bootstrapping method as described by Effrons is applied on the simulated data. In addition to that, one well known RobustSharpe hypothesis testing stated in the paper of Ledoit and Wolf was applied to measure the statistical significance performance between two investment founds basing on testing weather there is a statistically significant difference between their Sharpe Ratios or not. We collected many literatures about our topic and perform by Matlab many simulated random numbers as possible to put out our purpose; As results we come out with a good understanding that testing are not always accurate; for instance while testing weather two normal distributed random vectors come from the same normal distribution. The Jacque-Berra test for normality showed that for the normal random vector r1 and r2, only 94,7% and 95,7% respectively are coming from normal distribution in contrast 5,3% and 4,3% failed to shown the truth already known; but when we introduce the bootstrapping methods by Effrons while estimating pvalues where the hypothesis decision is based, the accuracy of the test was 100% successful. From the above results the reports showed that bootstrapping methods while testing or estimating some statistics should always considered because at most cases the outcome are accurate and errors are minimized in the computation. Also the RobustSharpe test which is known to use one of the bootstrapping methods, studentised one, were applied first on different simulated data including distribution of many kind and different shape secondly, on real data, Hedge and Mutual funds. The test performed quite well to agree with the existence of statistical significance difference between their Sharpe ratios as described in the paper of Ledoit andWolf.

Erythrocyte phosphoglucomutase activity of bipolar I patients currently using lithium or carbamazepine

Lithium has been used for the last five decades to treat bipolar disorder, but the molecular basis of its therapeutic effect is unknown. Phosphoglucomutase is a key enzyme in the metabolism of glycogen. In yeast, rabbit and human HEK293 cells, it is inhibited by lithium in the therapeutic concentration range. We measured the phosphoglucomutase activity in erythrocytes and the inhibitor constant for lithium in a population of healthy subjects and compared them to those of bipolar patients treated with lithium or carbamazepine. The specific activity of phosphoglucomutase measured in vitro in erythrocytes from control subjects presented a normal distribution, with the difference between the lowest and the highest activity being approximately 2-fold (0.53-1.10 nmol mg Hb-1 min-1). Comparison of phosphoglucomutase activity in untreated bipolar patients and control subjects showed no significant difference, whereas comparison between bipolar patients treated with carbamazepine or lithium revealed significantly lower mean values in patients treated with carbamazepine (747.3 ± 27.6 vs 879.5 ± 35.9 pmol mg Hb-1 min-1, respectively). When we studied the concentration of lithium needed to inhibit phosphoglucomutase activity by 50%, a bimodal distribution among the population tested was obtained. The concentration of LiCl needed to inhibit phosphoglucomutase activity by 50% was 0.35 to 1.8 mM in one group of subjects and in the other it was 3 to 4 mM. These results suggest that phosphoglucomutase activity may be significant in patients with bipolar disorder treated with lithium and carbamazepine.

A morphometric study of the lumbar spinous process in the Chinese population

Our goal was to analyze the anatomical parameters of the lumbar spine spinous process for an interspinous stabilization device designed for the Chinese population and to offer an anatomical basis for its clinical application. The posterior lumbar spines (T12-S1) of 52 adult cadavers were used for measuring the following: distance between two adjacent spinous processes (DB), distance across two adjacent spinous processes (DA), thickness of the central spinous processes (TC), thickness of the superior margin of the spinous processes (TS), thickness of the inferior margin of the spinous processes (TI), and height of the spinous processes (H). Variance and correlation analyses were conducted for these data, and the data met the normal distribution and homogeneity of variance. DB decreased gradually from L1-2 to L5-S1. DA increased from T12-L1 to L2-3 and then decreased from L2-3 to L4-5. The largest H in males was noted at L3 (25.45±5.96 mm), whereas for females the largest H was noted at L4 (18.71±4.50 mm). Usually, TS of the adjacent spinous process was lower than TI. Based on the anatomical parameters of the lumbar spinous processes obtained in this study, an “H”-shaped coronal plane (posterior view) was proposed as an interspinous stabilization device for the Chinese population. This study reports morphometric data of the lumbar spinous processes in the Chinese population, which provides an anatomical basis for future clinical applications.

Educators' attitudes to philosophies of music education

This study used Q methodology to measure the extent to which individuals with five educational roles (student teacher, elementary music teacher, principal, high school music teacher, and music consultant) held five proposed philosophies of music education (hedonic, utilitarian, aesthetic cognitivism, aesthetic formalist, and praxial). Twenty-seven sUbjects participated in the Q study. These subjects were a convenience sample based on their educational role, accessibility, and willingness to participate. Participants completed a background sheet which indicated their background in music, and their responsibility for teaching music. The sUbjects in this Q study rank-ordered a set of 60 Q sort items (each item representing a proposed philosophical position) twice: Sort P to reflect current practice, and Sort I to reflect the ideal situation. The results of the sorting procedures were recorded by the participant on the response page which organized the rankings according to an approximated normal distribution as required by Q methodology. The analysis of the data suggested that the comparison across philosophical positions was significant and that the results of the interaction between philosophical position and educational role were significant, although educational role alone was not significant. Post-hoc analysis of the data was used to determine the significant differences between the levels of the, independent variables used in the model: philosophical position, educational role, and music background. A model of the association of the five philosophical positions was presented and discussed in relation to the Q study results. Further research could refine the Q sort items to better reflect each philosophical position.

The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity.

This paper studies seemingly unrelated linear models with integrated regressors and stationary errors. By adding leads and lags of the first differences of the regressors and estimating this augmented dynamic regression model by feasible generalized least squares using the long-run covariance matrix, we obtain an efficient estimator of the cointegrating vector that has a limiting mixed normal distribution. Simulation results suggest that this new estimator compares favorably with others already proposed in the literature. We apply these new estimators to the testing of purchasing power parity (PPP) among the G-7 countries. The test based on the efficient estimates rejects the PPP hypothesis for most countries.

A Theoretical Comparison Between Integrated and Realized Volatilies

In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the difference between the realized and the integrated volatilities for a given frequency of observations. Then, we compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the Eigenfunction Stochastic Volatility model of Meddahi (2001a). This model has, as special examples, log-normal, affine, and GARCH diffusion models. Using some previous empirical works, we show that the standard deviation of the noise is not negligible with respect to the mean and the standard deviation of the integrated volatility, even if one considers returns at five minutes. We also propose a simple approach to capture the information about the integrated volatility contained in the returns through the leverage effect.

An Eigenfunction Approach for Volatility Modeling.

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the loading function is ad hoc (e.g., exponential or affine), we assume that it is a linear combination of the eigenfunctions of the conditional expectation (resp. infinitesimal generator) operator associated to the state variable in discrete (resp. continuous) time. Special examples are the popular log-normal and square-root models where the eigenfunctions are the Hermite and Laguerre polynomials respectively. The eigenfunction approach has at least six advantages: i) it is general since any square integrable function may be written as a linear combination of the eigenfunctions; ii) the orthogonality of the eigenfunctions leads to the traditional interpretations of the linear principal components analysis; iii) the implied dynamics of the variance and squared return processes are ARMA and, hence, simple for forecasting and inference purposes; (iv) more importantly, this generates fat tails for the variance and returns processes; v) in contrast to popular models, the variance of the variance is a flexible function of the variance; vi) these models are closed under temporal aggregation.

Statistiques appliquées en chirurgie cardiaque adulte : analyses de survie et applications du “propensity score”

L'objectif principal de ce travail est d’étudier en profondeur certaines techniques biostatistiques avancées en recherche évaluative en chirurgie cardiaque adulte. Les études ont été conçues pour intégrer les concepts d'analyse de survie, analyse de régression avec “propensity score”, et analyse de coûts. Le premier manuscrit évalue la survie après la réparation chirurgicale de la dissection aigüe de l’aorte ascendante. Les analyses statistiques utilisées comprennent : analyses de survie avec régression paramétrique des phases de risque et d'autres méthodes paramétriques (exponentielle, Weibull), semi-paramétriques (Cox) ou non-paramétriques (Kaplan-Meier) ; survie comparée à une cohorte appariée pour l’âge, le sexe et la race utilisant des tables de statistiques de survie gouvernementales ; modèles de régression avec “bootstrapping” et “multinomial logit model”. L'étude a démontrée que la survie s'est améliorée sur 25 ans en lien avec des changements dans les techniques chirurgicales et d’imagerie diagnostique. Le second manuscrit est axé sur les résultats des pontages coronariens isolés chez des patients ayant des antécédents d'intervention coronarienne percutanée. Les analyses statistiques utilisées comprennent : modèles de régression avec “propensity score” ; algorithme complexe d'appariement (1:3) ; analyses statistiques appropriées pour les groupes appariés (différences standardisées, “generalized estimating equations”, modèle de Cox stratifié). L'étude a démontrée que l’intervention coronarienne percutanée subie 14 jours ou plus avant la chirurgie de pontages coronariens n'est pas associée à des résultats négatifs à court ou long terme. Le troisième manuscrit évalue les conséquences financières et les changements démographiques survenant pour un centre hospitalier universitaire suite à la mise en place d'un programme de chirurgie cardiaque satellite. Les analyses statistiques utilisées comprennent : modèles de régression multivariée “two-way” ANOVA (logistique, linéaire ou ordinale) ; “propensity score” ; analyses de coûts avec modèles paramétriques Log-Normal. Des modèles d’analyse de « survie » ont également été explorés, utilisant les «coûts» au lieu du « temps » comme variable dépendante, et ont menés à des conclusions similaires. L'étude a démontrée que, après la mise en place du programme satellite, moins de patients de faible complexité étaient référés de la région du programme satellite au centre hospitalier universitaire, avec une augmentation de la charge de travail infirmier et des coûts.

Analysis of Stochastic Volatility Sequences Generated by Product Autoregressive Models

The classical methods of analysing time series by Box-Jenkins approach assume that the observed series uctuates around changing levels with constant variance. That is, the time series is assumed to be of homoscedastic nature. However, the nancial time series exhibits the presence of heteroscedasticity in the sense that, it possesses non-constant conditional variance given the past observations. So, the analysis of nancial time series, requires the modelling of such variances, which may depend on some time dependent factors or its own past values. This lead to introduction of several classes of models to study the behaviour of nancial time series. See Taylor (1986), Tsay (2005), Rachev et al. (2007). The class of models, used to describe the evolution of conditional variances is referred to as stochastic volatility modelsThe stochastic models available to analyse the conditional variances, are based on either normal or log-normal distributions. One of the objectives of the present study is to explore the possibility of employing some non-Gaussian distributions to model the volatility sequences and then study the behaviour of the resulting return series. This lead us to work on the related problem of statistical inference, which is the main contribution of the thesis