U.S. subprime financial crisis contagion on BRIC and European Union stock markets

ABSTRACTThe Copula Theory was used to analyze contagion among the BRIC (Brazil, Russia, India and China) and European Union stock markets with the U.S. Equity Market. The market indexes used for the period between January 01, 2005 and February 27, 2010 are: MXBRIC (BRIC), MXEU (European Union) and MXUS (United States). This article evaluated the adequacy of the main copulas found in the financial literature using log-likelihood, Akaike information and Bayesian information criteria. This article provides a groundbreaking study in the area of contagion due to the use of conditional copulas, allowing to calculate the correlation increase between indexes with non-parametric approach. The conditional Symmetrized Joe-Clayton copula was the one that fitted better to the considered pairs of returns. Results indicate evidence of contagion effect in both markets, European Union and BRIC members, with a 5% significance level. Furthermore, there is also evidence that the contagion of U.S. financial crisis was more pronounced in the European Union than in the BRIC markets, with a 5% significance level. Therefore, stock portfolios formed by equities from the BRIC countries were able to offer greater protection during the subprime crisis. The results are aligned with recent papers that present an increase in correlation between stock markets, especially in bear markets.

Behavioral aspects of investment fund's markets: are good managers lucky or skilled?

It is generally accepted that financial markets are efficient in the long run a lthough there may be some deviations in the short run. It is also accepted that a good portfolio manager is the one who beats the market persistently along time, this type of manager could not exist if markets were perfectly efficient According to this in a pure efficient market we should find that managers know that they can not beat the market so they would undertake only pure passive management strategies. Assuming a certain degree of inefficiency in the short run, a market may show some managers who tr y to beat the market by undertaking active strategies. From Fama’s efficient markets theory we can state that these active managers may beat the market occasionally although they will not be able to enhance significantly their performance in the long run. On the other hand, in an inefficient market it would be expected to find a higher level of activity related with the higher probability of beating the market. In this paper we follow two objectives: first, we set a basis to analyse the level of efficiency in an asset invest- ment funds market by measuring performance, strategies activity and it’s persistence for a certain group of funds during the period of study. Second, we analyse individual performance persistence in order to determine the existence of skilled managers. The CAPM model is taken as theoretical background and the use of the Sharpe’s ratio as a suitable performance measure in a limited information environment leads to a group performance measurement proposal. The empiri- cal study takes quarterly data from 1999-2007 period, for the whole population of the Spanish asset investment funds market, provided by the CNMV (Comisión Nacional del Mercado de Valores). This period of study has been chosen to ensure a wide enough range of efficient market observation so it would allow us to set a proper basis to compare with the following period. As a result we develop a model that allows us to measure efficiency in a given asset mutual funds market, based on the level of strategy’s activity undertaken by managers. We also observe persistence in individual performance for a certain group of funds

Main Street Messenger, Summer 2001

Newsletter for Economic Development

Main Street Messenger, Spring, 2002

Newsletter for Economic Development

Main Street Messenger, Autumn 2002

Newsletter for Economic Development

Non-medical prescription drug and illicit street drug use among young Swiss men and associated mental health issues.

Non-medical use of prescription drugs (NMUPD) is increasing among the general population, particularly among teenagers and young adults. Although prescription drugs are considered safer than illicit street drugs, NMUPD can lead to detrimental consequences. The aim of the present study was to investigate the relationship between drug use (NMUPD on the one side, illicit street drugs on the other side) with mental health issues and then compare these associations. A representative sample of 5719 young Swiss men aged around 20 years filled in a questionnaire as part of the ongoing baseline Cohort Study on Substance Use Risk Factors (C-SURF). Drug use (16 illicit street drugs and 5 NMUPDs, including sleeping pills, sedatives, pain killers, antidepressants, stimulants) and mental health issues (depression, SF12) were assessed. Simple and multiple linear regressions were employed. In simple regressions, all illicit and prescription drugs were associated with poorer mental health. In multiple regressions, most of the NMUPDs, except for stimulants, were significantly associated with poorer mental health and with depression. On the contrary, the only associations that remained significant between illicit street drugs and mental health involved cannabis. NMUPD is of growing concern not only because of its increasing occurrence, but also because of its association with depression and mental health problems, which is stronger than the association observed between these problems and illicit street drug use, excepted for cannabis. Therefore, NMUPD must be considered in screening for substance use prevention purposes.

Review of Alternative Distribution Methodologies for the Street Construction Fund of the Cities, December 26, 2003

Review of Alternative Distribution Methodologies for the Street Construction Fund of the Cities

Suboptimal access to primary healthcare among street-based sex workers in southwest Switzerland.

OBJECTIVES: Street-based sex workers (SSWs) in Lausanne, Switzerland, are poorly characterised. We set out to quantify potential vulnerability factors in this population and to examine SSW healthcare use and unmet healthcare requirements. METHODS: We conducted a cross-sectional questionnaire-based survey among SSWs working in Lausanne's red light district between 1 February and 31 July 2010, examining SSW socio-demographic characteristics and factors related to their healthcare. RESULTS: We interviewed 50 SSWs (76% of those approached). A fifth conducted their interviews in French, the official language in Lausanne. 48 participants (96%) were migrants, of whom 33/48 (69%) held no residence permit. 22/50 (44%) had been educated beyond obligatory schooling. 28/50 (56%) had no health insurance. 18/50 (36%) had been victims of physical violence. While 36/50 (72%) had seen a doctor during the preceding 12 months, only 15/50 (30%) were aware of a free clinic for individuals without health insurance. Those unaware of free services consulted emergency departments or doctors outside Switzerland. Gynaecology, primary healthcare and dental services were most often listed as needed. Two individuals (of 50, 4%) disclosed positive HIV status; of the others, 24/48 (50%) had never had an HIV test. CONCLUSIONS: This vulnerable population comprises SSWs who, whether through mobility, insufficient education or language barriers, are unaware of services they are entitled to. With half the participants reporting no HIV testing, there is a need to enhance awareness of available facilities as well as to increase provision and uptake of HIV testing.

Conférence des alliés à Downing street, résidence de M. Lloyd George, le maréchal Foch et le général Weygand quittant Downing street : [photographie de presse] / [Agence Rol]

Référence bibliographique : Rol, 57998

Direct and indirect subsidies in markets with system goods in the presence of externalities. Preliminary version

This paper derives a model of markets with system goods and two technological standards. An established standard incurs lower unit production costs but causes a negative externality. The paper derives the conditions for policy intervention and compares the effect of direct and indirect cost-reducing subsidies in two markets with system goods in the presence of externalities. If consumers are committed to the technology by purchasing one of the components, direct subsidies are preferable. For a medium-low cost difference between technological standards and a low externality cost it is optimal to provide a direct subsidy only to the first technology adopter. As the higher the externality cost raises, the more technology adopters should be provided with direct subsidies. This effect is robust in all extensions. In the absence of consumers commitment to a technological standard indirect and direct subsidies are both desirable. In this case, the subsidy to the first adopter is lower then the subsidy to the second adopter. Moreover, for the low cost difference between technological standards and low externality cost the fi rst fi rm chooses a superior standard without policy intervention. Finally, a perfect compatibility between components based on different technological standards enhances an advantage of indirect subsidies for medium-high externality cost and cost difference between technological standards. Journal of Economic Literature Classi fication Numbers: C72, D21, D40, H23, L13, L22, L51, O25, O33, O38. Keywords: Technological standards; complementary products; externalities; cost-reducing subsidies; compatibility.

The Effects of Expanding Ethanol Markets On Ethanol Production Feed Markets And the Iowa Economy, June 30 2001

Report produced by Iowa Departmment of Agriculture and Land Stewardship

Investigation into the Department of Natural Resources' Investigation of Asian Markets in Polk County, August 2004

Investigative report produced by Iowa Citizens' Aide/Ombudsman

Contagion or Interdependence in the recent Global Financial Crisis? An application to the stock markets using unconditional cross-market correlations

We consider stock market contagion as a significant increase in cross-market linkages after a shock to one country or group of countries. Under this definition we study if contagion occurred from the U.S. Financial Crisis to the rest of the major stock markets in the world by using the adjusted (unconditional) correlation coefficient approach (Forbes and Rigobon, 2002) which consists of testing if average crossmarket correlations increase significantly during the relevant period of turmoil. We would not reject the null hypothesis of interdependence in favour of contagion if the increase in correlation only suggests a continuation of high linkages in all state of the world. Moreover, if contagion occurs, this would justify the intervention of the IMF and the suddenly portfolio restructuring during the period under study.