Predicting stock index volatility: can market volume help?

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than the other way around. The out-of-sample forecasting performance of various linear, GARCH, EGARCH, GJR and neural network models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to very modest improvements, if any, in forecasting performance.

Land use and climate change impacts on soil organic carbon stocks in semi-arid Spain

Purpose The sensitivity of soil organic carbon to global change drivers, according to the depth profile, is receiving increasing attention because of its importance in the global carbon cycle and its potential feedback to climate change. A better knowledge of the vertical distribution of SOC and its controlling factors—the aim of this study—will help scientists predict the consequences of global change. Materials and methods The study area was the Murcia Province (S.E. Spain) under semiarid Mediterranean conditions. The database used consists of 312 soil profiles collected in a systematic grid, each 12 km2 covering a total area of 11,004 km2. Statistical analysis to study the relationships between SOC concentration and control factors in different soil use scenarios was conducted at fixed depths of 0–20, 20–40, 40–60, and 60–100 cm. Results and discussion SOC concentration in the top 40 cm ranged between 6.1 and 31.5 g kg−1, with significant differences according to land use, soil type and lithology, while below this depth, no differences were observed (SOC concentration 2.1–6.8 g kg−1). The ANOVA showed that land use was the most important factor controlling SOC concentration in the 0–40 cm depth. Significant differences were found in the relative importance of environmental and textural factors according to land use and soil depth. In forestland, mean annual precipitation and texture were the main predictors of SOC, while in cropland and shrubland, the main predictors were mean annual temperature and lithology. Total SOC stored in the top 1 m in the region was about 79 Tg with a low mean density of 7.18 kg Cm−3. The vertical distribution of SOC was shallower in forestland and deeper in cropland. A reduction in rainfall would lead to SOC decrease in forestland and shrubland, and an increase of mean annual temperature would adversely affect SOC in croplands and shrubland. With increasing depth, the relative importance of climatic factors decreases and texture becomes more important in controlling SOC in all land uses. Conclusions Due to climate change, impacts will be much greater in surface SOC, the strategies for C sequestration should be focused on subsoil sequestration, which was hindered in forestland due to bedrock limitations to soil depth. In these conditions, sequestration in cropland through appropriate management practices is recommended.

Simple measures of climate, soil properties and plant traits predict national scale grassland soil carbon stocks

1. Soil carbon (C) storage is a key ecosystem service. Soil C stocks play a vital role in soil fertility and climate regulation, but the factors that control these stocks at regional and national scales are unknown, particularly when their composition and stability are considered. As a result, their mapping relies on either unreliable proxy measures or laborious direct measurements. 2. Using data from an extensive national survey of English grasslands we show that surface soil (0-7cm) C stocks in size fractions of varying stability can be predicted at both regional and national scales from plant traits and simple measures of soil and climatic conditions. 3. Soil C stocks in the largest pool, of intermediate particle size (50-250 µm), were best explained by mean annual temperature (MAT), soil pH and soil moisture content. The second largest C pool, highly stable physically and biochemically protected particles (0.45-50 µm), was explained by soil pH and the community abundance weighted mean (CWM) leaf nitrogen (N) content, with the highest soil C stocks under N rich vegetation. The C stock in the small active fraction (250-4000 µm) was explained by a wide range of variables: MAT, mean annual precipitation, mean growing season length, soil pH and CWM specific leaf area; stocks were higher under vegetation with thick and/or dense leaves. 4. Testing the models describing these fractions against data from an independent English region indicated moderately strong correlation between predicted and actual values and no systematic bias, with the exception of the active fraction, for which predictions were inaccurate. 5. Synthesis and Applications: Validation indicates that readily available climate, soils and plant survey data can be effective in making local- to landscape-scale (1-100,000 km2) soil C stock predictions. Such predictions are a crucial component of effective management strategies to protect C stocks and enhance soil C sequestration.

Avaliação do impacto da lei Sarbanes-Oxley no Value-at-Risk das empresas que operam na NYSE: uma abordagem de quebra estrutural em regressão quantílica

O objetivo do presente estudo é avaliar a existência de quebra estrutural no Value-at-Risk (VaR) das empresas que negociam suas ações na bolsa de valores de Nova Iorque (NYSE). O evento que justi ca a suspeita de mudança estrutural é a lei de governança corporativa conhecida como Sarbanes-Oxley Act (ou simplesmente SOX), a mais profunda reforma implementada no sistema de legislação nanceira dos Estados Unidos desde 1934. A metodologia empregada é baseada em um teste de quebra estrutural endógeno para modelos de regressão quantílica. A amostra foi composta de 176 companhias com registro ativo na NYSE e foi analisado o VaR de 1%, 5% e 10% de cada uma delas. Os resultados obtidos apontam uma ligação da SOX com o ponto de quebra estrutural mais notável nos VaRs de 10% e 5%, tomando-se como base a concentração das quebras no período de um ano após a implementação da SOX, a partir do teste de Qu(2007). Utilizando o mesmo critério para o VaR de 1%, a relação encontrada não foi tão forte quanto nos outros dois casos, possivelmente pelo fato de que para uma exposição ao risco tão extrema, fatores mais especí cos relacionados à companhia devem ter maior importância do que as informações gerais sobre o mercado e a economia, incluídas na especi cação do VaR. Encontrou-se ainda uma forte relação entre certas características como tamanho, liquidez e representação no grupo industrial e o impacto da SOX no VaR.

Atraso no ajuste de preços das ações de baixa liquidez no mercado brasileiro: autocorrelações cruzadas e previsibilidade dos retornos das ações

Esta dissertação investigou, no mercado brasileiro, se o atraso no ajuste de preços das ações de baixa liquidez gera previsibilidade do retorno dessas ações quando comparadas às mais líquidas. O interesse estava em confrontar os resultados com os existentes na literatura internacional que apresentavam esse efeito. Para tanto, utilizamos a metodologia proposta no artigo “Trading volume and cross-autocorrelations in stock returns”, de Chordia e Swaminathan (2000), onde foi analisada a Bolsa de Valores de Nova York (NYSE). Verificamos que, na Bolsa de Valores de São Paulo (BOVESPA), uma vez controlados pelo tamanho das empresas, os retornos, sejam diários ou semanais, de portfólios com maior liquidez antecipam os retornos dos portfólios de menor liquidez, mais explicitamente nos quartis com pequenas e médias empresas. Os efeitos de não sincronia nas negociações e as autocorrelações próprias não são suficientes para explicar os padrões de antecipação-defasagem observados nos retornos das ações, já que esses são mais significativamente influenciados pelo volume negociado. As diferenças na velocidade da incorporação de novas informações aos preços ocorrem porque as ações menos líquidas parecem responder mais lentamente a informações de mercado, pelo menos nos portfólios de empresas de menor tamanho. Dessa maneira, podemos afirmar que no Brasil, assim como nos Estados Unidos, a baixa liquidez induz um atraso no ajuste de preços das ações de pequenas e médias empresas capaz de gerar previsibilidade dos retornos dessas ações, sugerindo alguma ineficiência do mercado. Os resultados são interessantes, já que indicam que, tanto no mercado nacional quanto nos de países desenvolvidos, os volumes negociados possuem um papel significativo na velocidade em que os preços se ajustam, jogando uma luz sobre como eles podem se tornar mais eficientes.

Price discovery in dual-class shares across multiple markets

We extend the standard price discovery analysis to estimate the information share of dual-class shares across domestic and foreign markets. By examining both common and preferred shares, we aim to extract information not only about the fundamental value of the rm, but also about the dual-class premium. In particular, our interest lies on the price discovery mechanism regulating the prices of common and preferred shares in the BM&FBovespa as well as the prices of their ADR counterparts in the NYSE and in the Arca platform. However, in the presence of contemporaneous correlation between the innovations, the standard information share measure depends heavily on the ordering we attribute to prices in the system. To remain agnostic about which are the leading share class and market, one could for instance compute some weighted average information share across all possible orderings. This is extremely inconvenient given that we are dealing with 2 share prices in Brazil, 4 share prices in the US, plus the exchange rate (and hence over 5,000 permutations!). We thus develop a novel methodology to carry out price discovery analyses that does not impose any ex-ante assumption about which share class or trading platform conveys more information about shocks in the fundamental price. As such, our procedure yields a single measure of information share, which is invariant to the ordering of the variables in the system. Simulations of a simple market microstructure model show that our information share estimator works pretty well in practice. We then employ transactions data to study price discovery in two dual-class Brazilian stocks and their ADRs. We uncover two interesting ndings. First, the foreign market is at least as informative as the home market. Second, shocks in the dual-class premium entail a permanent e ect in normal times, but transitory in periods of nancial distress. We argue that the latter is consistent with the expropriation of preferred shareholders as a class.

Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil

We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility of these securities. The results show the persistent behavior of volatility and the relationship between interest rate and volatility. The results also showed that a reduction in stock prices are associated with an increase in volatility. Finally we found a greater trading volume tends to increase the volatility.

Morphometric characteristics of Prochilodus lineatus (Valenciennes 1847), of the migratory and resident stocks of the river Mogí-Guaçu, São Paulo State, Brazil

A espécie Prochilodus lineatus é de grande importância comercial na região dos rios Grande, Pardo e Mogi-Guaçu e tem como característica a formação de grandes cardumes, apta a desenvolver amplos deslocamentos migratórios. O presente trabalho objetivou avaliar, por meio das características morfométricas e etária, se os curimbatás (P. lineatus) dos diferentes estoques migradores e residentes constituem uma única população, havendo interação entre as sub-populações no período de piracema (migração reprodutiva). Utilizou-se um delineamento inteiramente casualizado em esquema fatorial 4 x 2, com quatro tipos de estoques (um residente e três migradores) e dois sexos (macho e fêmea) com trinta repetições, considerando cada peixe como unidade experimental. Foi observada variação de 80,19% para o primeiro componente principal e 8,09% do segundo componente principal fornecida pelas dez variáveis morfométricas dos estoques residentes e migradores. O estoque residente correspondeu aos maiores valores para todas as variáveis morfométricas. Houve sobreposição dos escores individuais das mesmas características entre os estoques migradores. Observou-se predominância de machos entre os estoques residentes e migrador I e II. As semelhanças morfométricas verificadas entre os estoques migradores indicam tratar-se de uma única população, com pequenas variações interpopulacional.

NORs inheritance analysis in crossings including individuals from two stocks of rainbow trout (Oncorhynchus mykiss)

Silver nitrate staining of rainbow trouts (Oncorhynchus mykiss) chromosomes, for the identification of the nucleolar organizing regions (NORs), revealed that in individuals from Nucleo Experimental de Salmonicultura de Campos do Jordao (Brazil) NORs were located in the long arms of a submetacentric pair while in specimens from Mount Shasta (USA) NORs were located in the short arms of a submetacentric pair. Cytogenetic analysis of the offspring, obtained through artificial crosses including individuals from both stocks, allowed the identification of NORs in two submetacentric chromosomes, one in the short arms and the other in the long arms, confirming the effectiveness of the hybridization process. Complementary results obtained using the FISH technique with 18S and 5S rDNA probes showed that NOR-bearing chromosomes exhibited a cluster of 5S genes located in tandem with the 18S gene cluster in both stocks. The results allow us to suggest that the difference in NOR-bearing chromosomes found between the two stocks is likely to be due to a pericentric inversion involving the chromosome segment where 18S and 5S rDNA genes are located. The presence of ribosomal genes in the long arms of a submetacentric chromosome is apparently a particular characteristic of the rainbow trout stock of Campos do Jordao and might be used as a chromosome marker in studies of controlled crosses in this species.

Detection of hybrids and genetic introgression in wild stocks of two catfish species (Siluriformes: Pimelodidae): The impact of hatcheries in Brazil

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

Analysis of NOR distribution in cultivated and naturalized stocks of rainbow trout (Oncorhynchus mykiss)

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

PRODUCTIVITY IN MASS CROSSES OF DROSOPHILA-STURTEVANTI - A COMPARATIVE-STUDY OF LABORATORY STOCKS AND RECENTLY COLLECTED FLIES

Drosophila sturtevanti from several geographic origins were analyzed for their capacity to intercross and to yield progeny. Mass intercrosses involving laboratory stocks and recently collected strains were fertile, which suggests that the genetic differentiation among these geographically isolated populations did not affect their reproductive patterns sufficiently to lead to reproductive isolation. Analysis of the number of progeny (productivity) in intracrosses and intercrosses was informative as to the amount of variation this feature exhibits in the laboratory stocks and in the recently collected strains. Also laboratory stocks and recently collected flies shared a positive correlation in that the greater the control productivity of a strain the greater the number of its intercrosses which exhibited reduced productivity.

Carbon Stocks and Isotopic Composition of the Organic Matter in Soils Covered by Native Vegetation and Pasture in Sorocaba, SP, Brazil

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