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.

Evaluating irradiation dose for sterility induction and quality control of mass-produced fruit fly Bactrocera tryoni (Diptera : Tephritidae)

The sterile insect technique has been routinely used to eradicate fruit fly Bactrocera tryoni (Froggatt) incursions. This study considers whether fly quality in a mass-rearing facility can be improved by reducing irradiation doses, without sacrificing reproductive sterility. Pupae were exposed to one of five target irradiation dose ranges: 0, 40-45, 50-55, 60-65, and 70-75 Gy. Pupae were then assessed using routine quality control measures: flight ability, sex ratio, longevity under nutritional stress, emergence, and reproductive sterility. Irradiation did not have a significant effect on flight ability or sex ratio tests. Longevity under nutritional stress was significantly increased at 70-75 Gy, but no other doses differed from 0 Gy. Emergence was slightly reduced in the 50-55, 60-65, and 70-75 Gy treatments, but 40-45 Gy treatments did not differ from 0 Gy, though confounding temporal factors complicate interpretation. Reproductive sterility remained acceptable (> 99.5%) for all doses--40-45 Gy (99.78%), 50-55 Gy (100%), 60-65 Gy (100%), and 70-75 Gy (99.99%). We recommend that B. tryoni used in sterile insect technique releases be irradiated at a target dose of 50-55 Gy, providing improved quality and undiminished sterility in comparison with the current 70-75 Gy standard while also providing a substantial buffer against risk of under dosing.

A random coefficient approach to the predictability of stock returns in panels

© The Author, 2014. Most studies of the predictability of returns are based on time series data, and whenever panel data are used, the testing is almost always conducted in an unrestricted unit-by-unit fashion, which makes for a very heavy parametrization of the model. On the other hand, the few panel tests that exist are too restrictive in the sense that they are based on homogeneity assumptions that might not be true. As a response to this, the current study proposes new predictability tests in the context of a random coefficient panel data model, in which the null of no predictability corresponds to the joint restriction that the predictive slope has zero mean and variance. The tests are applied to a large panel of stocks listed at the New York Stock Exchange. The results suggest that while the predictive slopes tend to average to zero, in case of book-to-market and cash flow-to-price the variance of the slopes is positive, which we take as evidence of predictability.

Predictability of equity models

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the “stepwise regression” model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs.

Preços futuros brasileiros seguem um passeio aleatório? um estudo empírico

A pesquisa teve como objetivo testar se preços no mercado futuro brasileiro seguem um passeio aleatório - uma das versões da chamada Hipótese do Mercado Eficiente. Foram estudados os preços dos contratos futuros de Ibovespa e de dólar comercial, de 30 de junho de 1994 a 31 de dezembro de 1998. Aplicação de testes paramétricos e não-paramétricos envolvendo a Relação de Variâncias (Variance Ratio) de Lo-MacKinlay levam à conclusão de que a hipótese testada não pode ser rejeitada, apontando, portanto, para eficiência em tais mercados.

Estado nutricional antropométrico, perfil lipídico e consumo alimentar como fatores de risco para doença cardiovascular em adolescentes

The dyslipidemia and excess weight in adolescents, when combined, suggest a progression of risk factors for cardiovascular disease (CVD). Besides these, the dietary habits and lifestyle have also been considered unsuitable impacting the development of chronic diseases. The study objectives were: (1) estimate the prevalence of lipid profile and correlate with body mass index (BMI), waist circumference (WC) and waist / height ratio (WHR) in adolescents, considering the maturation sexual, (2) know the sources of variance in the diet and the number of days needed to estimate the usual diet of adolescents and (3) describe the dietary patterns and lifestyle of adolescents, family history of CVD and age correlates them with the patterns of risk for CVD, adjusted for sexual maturation. A cross-sectional study was performed with 432 adolescents, aged 10-19 years from public schools of the Natal city, Brazil. The dyslipidemias were evaluated considering the lipid profile, the index of I Castelli (TC / HDL) and II (LDL / HDL) and non-HDL cholesterol. Anthropometric indicators were BMI, WC and WHR. The intake of energy, nutrients including fiber, fatty acids and cholesterol was estimated from two 24-hour recalls (24HR). The variables of lipid profile, anthropometric and clinical data were used in the models of Pearson correlation and linear regression, considering the sexual maturation. The variance ratio of the diet was calculated from the component-person variance, determined by analysis of variance (ANOVA). The definition of the number of days to estimate the usual intake of each nutrient was obtained by taking the hypothetical correlation (r) ≥ 0.9, between nutrient intake and the true observed. We used the principal component analysis as a method of extracting factors that 129 accounted for the dependent variables and known cardiovascular risk obtained from the lipid profile, the index for Castelli I and II, non-HDL cholesterol, BMI, and WC the WHR. Dietary patterns and lifestyle were obtained from the independent variables, based on nutrients consumed and physical activity weekly. In the study of principal component analysis (PCA) was investigated associations between the patterns of cardiovascular risk factors in dietary patterns and lifestyle, age and positive family history of CVD, through bivariate and multiple logistic regression adjusted for sexual maturation. The low HDL-C dyslipidemia was most prevalent (50.5%) for adolescents. Significant correlations were observed between hypercholesterolemia and positive family history of CVD (r = 0.19, p <0.01) and hypertriglyceridemia with BMI (r = 0.30, p <0.01), with the CC (r = 0.32, p <0.01) and WHR (r = 0.33, p <0.01). The linear model constructed with sexual maturation, age and BMI explained about 1 to 10.4% of the variation in the lipid profile. The sources of variance between individuals were greater for all nutrients in both sexes. The reasons for variances were  1 for all nutrients were higher in females. The results suggest that to assess the diet of adolescents with greater precision, 2 days would be enough to R24h consumption of energy, carbohydrates, fiber, saturated and monounsaturated fatty acids. In contrast, 3 days would be recommended for protein, lipid, polyunsaturated fatty acids and cholesterol. Two cardiovascular risk factors as have been extracted in the ACP, referring to the dependent variables: the standard lipid profile (HDL-C and non-HDL cholesterol) and "standard anthropometric index (BMI, WC, WHR) with a power explaining 75% of the variance of the original data. The factors are representative of two independent variables led to dietary patterns, "pattern 130 western diet" and "pattern protein diet", and one on the lifestyle, "pattern energy balance". Together, these patterns provide an explanation power of 67%. Made adjustment for sexual maturation in males remained significant variables: the associations between puberty and be pattern anthropometric indicator (OR = 3.32, CI 1.34 to 8.17%), and between family history of CVD and the pattern lipid profile (OR = 2.62, CI 1.20 to 5.72%). In females adolescents, associations were identified between age after the first stage of puberty with anthropometric pattern (OR = 3.59, CI 1.58 to 8.17%) and lipid profile (OR = 0.33, CI 0.15 to 0.75%). Conclusions: The low HDL-C was the most prevalent dyslipidemia independent of sex and nutritional status of adolescents. Hypercholesterolemia was influenced by family history of CVD and sexual maturation, in turn, hypertriglyceridemia was closely associated with anthropometric indicators. The variance between the diets was greater for all nutrients. This fact reflected in a variance ratio less than 1 and consequently in a lower number of days requerid to estimate the usual diet of adolescents considering gender. The two dietary patterns were extracted and the pattern considered unhealthy lifestyle as healthy. The associations were found between the patterns of CVD risk with age and family history of CVD in the studied adolescents

Phylogeny, Ecology, and Heart Position in Snakes

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Temporomandibular disorders, sleep bruxism, and primary headaches are mutually associated.

To investigate the association among temporomandibular disorders (TMD), sleep bruxism, and primary headaches, assessing the risk of occurrence of primary headaches in patients with or without painful TMD and sleep bruxism. The sample consisted of 301 individuals (253 women and 48 men) with ages varying from 18 to 76 years old (average age of 37.5 years). The Research Diagnostic Criteria for Temporomandibular Disorders were used to classify TMD. Sleep bruxism was diagnosed by clinical criteria proposed by the American Academy of Sleep Medicine, and primary headaches were diagnosed according to the International Classification of Headache Disorders-II. Data were analyzed by chi-square and odds ratio tests with a 95% confidence interval, and the significance level adopted was .05. An association was found among painful TMD, migraine, and tension-type headache (P < .01). The magnitude of association was higher for chronic migraine (odds ratio = 95.9; 95% confidence intervals = 12.51-734.64), followed by episodic migraine (7.0; 3.45-14.22) and episodic tension-type headache (3.7; 1.59-8.75). With regard to sleep bruxism, the association was significant only for chronic migraine (3.8; 1.83-7.84). When the sample was stratified by the presence of sleep bruxism and painful TMD, only the presence of sleep bruxism did not increase the risk for any type of headache. The presence of painful TMD without sleep bruxism significantly increased the risk in particular for chronic migraine (30.1; 3.58-252.81), followed by episodic migraine (3.7; 1.46-9.16). The association between painful TMD and sleep bruxism significantly increased the risk for chronic migraine (87.1; 10.79-702.18), followed by episodic migraine (6.7; 2.79-15.98) and episodic tension-type headache (3.8; 1.38-10.69). The association of sleep bruxism and painful TMD greatly increased the risk for episodic migraine, episodic tension-type headache, and especially for chronic migraine.

Validação de questionário quantitativo de freqüência alimentar para crianças de 5 a 10 anos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Aspectos nutricionais do baru (Dipteryx alata Vog.) em casa de vegetação e em campo

With the objective of evaluating the response of baru (Dipteryx alata Vog.) to nutrient limitation and to the different levels of fertilization, seven experiments were conducted. Experiment 1: Nutritional limitation in greenhouse. We employed 12 treatments in a completely randomized design with eight replicates. Experiment 2: Levels of liming and P in greenhouse. The experimental design was completely randomized in a factorial scheme with four levels of liming (V23.2% (natural soil), V45%, V65% and V85%) and four doses of P (0, 100, 300 and 500 mg kg -1 of P). Experiment 3: Doses of N in greenhouse. We used seven treatments (0, 75, 150, 225, 300, 375 and 450 mg kg -1 of N) in a completely randomized design. Experiment 4: Doses of K in greenhouse. We used seven treatments (0, 75, 150, 225, 300, 375 and 450 mg kg -1 ) in a completely randomized design. Experiment 5: Levels of liming under field conditions. We used four treatments (V6.7% (natural soil), V35%, V55% and V75%) in a randomized blocks design. Experiment 6: doses of P under field conditions. We used five treatments (0, 23.67, 53.34, 106.67 and 213.36 kg ha -1 of P 2O5) in a randomized blocks design. Experiment 7: Doses of N under field conditions. We used five treatments (0, 30, 60, 120 and 240 kg ha -1 of N) in Latin square. In greenhouse, the evaluations were conducted at eight months (for experiments 1 and 2) and 12 months (for experiments 3 and 4) after seeding, when the measurements of height and root collar diameter of the seedlings. Subsequently, the plants were harvested and separated into shoot and root system, for weighing and evaluating dry biomass gain. In the field, the evaluations were conducted at six, 12, 18, 24 and 30 months (for experiments 5 and 6) and at six, 12 and 18 months (for experiment 7). In these experiments, we evaluated the survival of the seedlings, height of the plants and diameter of the stem at soil height. The data obtained were submitted to analysis of variance, mean tests and regression analysis. In conclusion, during the phase of seedling formation, the species is little demanding in S and B, negatively responds to liming, positively responds to phosphate fertilization and does not respond to nitrogen and potassium fertilization. In the field, in general, the species does not respond to the application of P or to liming, and is negatively influenced by the application of elevated doses of nitrogen.

A simple and portable instrument for determination of captopril in pharmaceutical formulations

Objective: This article describes the application and the performance of a cheap, simple and portable device that can be used for colorimetric quantitative determination of captopril (CPT) in pharmaceutical preparations. Methods: The sensor is a light detector resistor (LDR) placed into a black PTFE cell and coupled to a low cost multimeter (Ohmmeter). The instrument has been tested and is easy and fast to use. The quantitative study is based mainly on reduction of ammonium molybdate by captopril, in the presence of sulphuric acid, producing a green-yellow compound (max 407 nm). The calibration curves were obtained by plotting the electric resistance of the LDR against the CPT concentration on the range of 4.60 x 10-4 to 1.84 x 10-3 mol l-1 with a good coefficient of determination (R2 = 0.9962). Results: Statistical analysis of the obtained results showed no significant difference between the proposed methodology and the official reported method as evident from the t-test and variance ratio at 95% confidence level. Conclusion: The results of this study demonstrate that the instrument can be used for simple, accurate, precise, fast, in situ and low-cost colorimetric analysis of captopril in pharmaceuticals products.

Fenologia reprodutiva e distribuição espacial de Oeceoclades maculata (Lindl.) Lindl. (Orchidaceae) em Cerrado do município de Mogi Guaçu, São Paulo, Brasil

Oeceoclades aculate (Lindl.) Lindl., an invasive orchid, was analyzed as to its reproductive phenology and spatial distribution, correlation between abundance of mature and immature individuals, and verifying these with microclimate patterns in the Cerrado (savanna-like vegetation) of Mogi Guacu, Sao Paulo State, Brazil. For the reproductive phenology 100 plants were followed and the distribution pattern was identified by the Morisita Index (MI) and the Variance Ratio/Average (R) in 20 plots of 20x10m, reduced to 10x10m afterwards. The phenology presented seasonality, with flowering from November to February, fructification from February to June, and dehiscence from June to July. Mature and immature individuals aggregated and correlated to each other, indicating dependence between the ontogenetic stages. The luminosity was the preponderant microclimatic factor in the allocation of plants. Seasonal climatic changes and intensity of anthropogenic disturbances seem to be more important for the establishment of the species than microclimate.

Qualidade da carne de bovinos recriados em pastagens associada a suplementação e terminação a pasto ou no confinamento

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Bartlett corrections in Birnbaum-Saunders nonlinear regression models

Lemonte and Cordeiro [Birnbaum-Saunders nonlinear regression models, Comput. Stat. Data Anal. 53 (2009), pp. 4441-4452] introduced a class of Birnbaum-Saunders (BS) nonlinear regression models potentially useful in lifetime data analysis. We give a general matrix Bartlett correction formula to improve the likelihood ratio (LR) tests in these models. The formula is simple enough to be used analytically to obtain several closed-form expressions in special cases. Our results generalize those in Lemonte et al. [Improved likelihood inference in Birnbaum-Saunders regressions, Comput. Stat. DataAnal. 54 (2010), pp. 1307-1316], which hold only for the BS linear regression models. We consider Monte Carlo simulations to show that the corrected tests work better than the usual LR tests.

Assessing malaria transmission in a low endemicity area of north-western Peru

Background Where malaria endemicity is low, control programmes need increasingly sensitive tools for monitoring malaria transmission intensity (MTI) and to better define health priorities. A cross-sectional survey was conducted in a low endemicity area of the Peruvian north-western coast to assess the MTI using both molecular and serological tools. Methods Epidemiological, parasitological and serological data were collected from 2,667 individuals in three settlements of Bellavista district, in May 2010. Parasite infection was detected using microscopy and polymerase chain reaction (PCR). Antibodies to Plasmodium vivax merozoite surface protein-119 (PvMSP119) and to Plasmodium falciparum glutamate-rich protein (PfGLURP) were detected by ELISA. Risk factors for exposure to malaria (seropositivity) were assessed by multivariate survey logistic regression models. Age-specific antibody prevalence of both P. falciparum and P. vivax were analysed using a previously published catalytic conversion model based on maximum likelihood for generating seroconversion rates (SCR). Results The overall parasite prevalence by microscopy and PCR were extremely low: 0.3 and 0.9%, respectively for P. vivax, and 0 and 0.04%, respectively for P. falciparum, while seroprevalence was much higher, 13.6% for P. vivax and 9.8% for P. falciparum. Settlement, age and occupation as moto-taxi driver during previous year were significantly associated with P. falciparum exposure, while age and distance to the water drain were associated with P. vivax exposure. Likelihood ratio tests supported age seroprevalence curves with two SCR for both P. vivax and P. falciparum indicating significant changes in the MTI over time. The SCR for PfGLURP was 19-fold lower after 2002 as compared to before (λ1 = 0.022 versus λ2 = 0.431), and the SCR for PvMSP119 was four-fold higher after 2006 as compared to before (λ1 = 0.024 versus λ2 = 0.006). Conclusion Combining molecular and serological tools considerably enhanced the capacity of detecting current and past exposure to malaria infections and related risks factors in this very low endemicity area. This allowed for an improved characterization of the current human reservoir of infections, largely hidden and heterogeneous, as well as providing insights into recent changes in species specific MTIs. This approach will be of key importance for evaluating and monitoring future malaria elimination strategies.