Momentum and seasonality in Chinese stock markets

In this paper, we follow Jegadeesh and Titman's (1993, Journal of Finance) approach to examine 25 momentum/contrarian trading strategies using monthly stock returns in China for the period from 1994 to 2007. Our results suggest that there is no momentum profitability in any of the 25 strategies. In contrast, there is some evidence of reversal effects where the past winners become losers and past losers become winners afterward. The contrarian profit is statistically significant for the strategies using short formation and holding periods, especially for the formation periods of 1 to 3 months and the holding periods of 1 to 3 months. The contrarian strategies can generate about 12% per annum on average. Moreover, we follow Heston and Sadka (2008, Journal of Financial Economics) to investigate where there is any seasonal pattern in the cross-sectional variation of average stock returns in our momentum/contrarian strategies. There is no evidence of any seasonal pattern, and the results are robust to different formation and holding periods.

Seasonality of suicide in Shandong China, 1991–2009 : associations with gender, age, area and methods of suicide

Backgrounds Whether suicide in China has significant seasonal variations is unclear. The aim of this study is to examine the seasonality of suicide in Shandong China and to assess the associations of suicide seasonality with gender, residence, age and methods of suicide. Methods Three types of tests (Chi-square, Edwards' T and Roger's Log method) were used to detect the seasonality of the suicide data extracted from the official mortality data of Shandong Disease Surveillance Point (DSP) system. Peak/low ratios (PLRs) and 95% confidence intervals (CIs) were calculated to indicate the magnitude of seasonality. Results A statistically significant seasonality with a single peak in suicide rates in spring and early summer, and a dip in winter was observed, which remained relatively consistent over years. Regardless of gender, suicide seasonality was more pronounced in rural areas, younger age groups and for non-violent methods, in particular, self-poisoning by pesticide. Conclusions There are statistically significant seasonal variations of completed suicide for both men and women in Shandong, China. Differences exist between residence (urban/rural), age groups and suicide methods. Results appear to support a sociological explanation of suicide seasonality.

Designing a seasonality application to support urban agriculture practice

This position paper describes the work in progress towards the goal of building a technical prototype that enables users – those who have little or no knowledge and experience engaging in urban agriculture – to receive information personalised to their location and situation, and allow them to ask questions and share experiences with others. We describe the design process thus far, informed by a survey and a workshop with experts in the field, before concluding with the future direction of this work.

Intensity and seasonality of physical activity of children during school recess

This study aimed to quantify the intensity of physical activity (PA) of children during school recess (RE), compare the AF gender and seasonal influences. The sample consisted of 30 girls (11.2 ± 1.3 years) and 20 boys (11.3 ± 0.8 years). Heart rate was monitored for three consecutive REs in winter (INV) and spring (PRI) with intensity of the activity being classified as low, moderate and vigorous. Descriptive statistics were used for general data, t test for independent samples for differences between the sexes, paired t test for seasonality. Differences were found between INV and PRI temperatures. Girls had a significant reduction in the AF INV to PRI, which was not observed among boys. The RE represented a small contribution to daily recommendations of AF.

Exploration of diarrhoea seasonality and its drivers in China

This study investigated the diarrhoea seasonality and its potential drivers as well as potential opportunities for future diarrhoea control and prevention in China. Data on weekly infectious diarrhoea cases in 31 provinces of China from 2005 to 2012, and data on demographic and geographic characteristics, as well as climatic factors, were complied. A cosinor function combined with a Poisson regression was used to calculate the three seasonal parameters of diarrhoea in different provinces. Regression tree analysis was used to identify the predictors of diarrhoea seasonality. Diarrhoea cases in China showed a bimodal distribution. Diarrhoea in children <5 years was more likely to peak in fall-winter seasons, while diarrhoea in persons > = 5 years peaked in summer. Latitude was significantly associated with spatial pattern of diarrhoea seasonality, with peak and trough times occurring earlier at high latitudes (northern areas), and later at low latitudes (southern areas). The annual amplitudes of diarrhoea in persons > = 5 years increased with latitude (r = 0.62, P<0.001). Latitude 27.8° N and 38.65° N were the latitudinal thresholds for diarrhoea seasonality in China. Regional-specific diarrhoea control and prevention strategies may be optimal for China. More attention should be paid to diarrhoea in children <5 years during fall-winter seasons.

Understanding the effects of complex seasonality on suburban daily transit ridership

Fluctuations in transit ridership pattern over the year have always concerned transport planners, operators and researchers. Predominantly, metrological elements have been specified to explain variability in ridership volume. However, the outcome of this research points to new direction to explain ridership fluctuation in Brisbane. It explored the relationship between daily bus ridership, seasonality and weather variables for a one-year period, 2012. Rather than segregating the entire year’s ridership into the four calendar seasons (summer, autumn, spring, and winter), this analysis distributed the yearly ridership into nine complex seasonality blocks. These represent calendar season, school/university (academic) period and their corresponding holidays, as well as other observant holidays such as Christmas. The dominance of complex seasonality over typical calendar season was established through analysis and using Multiple Linear Regression (MLR). This research identified a very strong association between complex seasonality and bus ridership. Furthermore, an expectation that Brisbane’s subtropical summer is unfavourable to transit usage was not supported by the findings of this study. A nil association of precipitation and temperature was observed in this region. Finally, this research developed a ridership estimation model, capable of predicting daily ridership within very limited error range. Following the application of this developed model, the estimated annual time series data of each suburb was analysed using Fourier Transformation to appreciate whether any cyclical effects remained, compared with the original data.

Pheromone-trapping of Carpophilus spp. (Coleoptera: Nitidulidae) in stone fruit orchards near Gosford, New South Wales: Fauna, seasonality and effect of insecticides

Traps baited with synthetic aggregation pheromones of Carpophilus hemipterus (L.), Carpophilus mutilatus Erichson and Carpophilus davidsoni Dobson and fermenting bread dough were used to identify the fauna and monitor the seasonal abundance of Carpophilus spp. in insecticide treated peach and nectarine orchards in the Gosford area of coastal New South Wales. In four orchards 67 178 beetles were trapped during 1994–1995, with C. davidsoni (82%) and Carpophilus gaveni (Dobson) (12.2%) dominating catches. Five species (C. hemipterus, C. mutilatus, Carpophilus marginellus Motschulsky, Carpophilus humeralis (F.) and an unidentified species) each accounted for 0.2–3.2% of trapped beetles. Carpophilus davidsoni was most abundant during late September–early October but numbers declined rapidly during October, usually before insecticides were applied. Spring populations of Carpophilus spp. were very large in 1994–1995 (1843–2588 per trap per week). However, despite a preharvest population decline of approximately 95% and 2–11 applications of insecticide, 14–545 beetles per trap per week (above the arbitrary fruit damage threshold of 10 beetles per trap per week) were recorded during the harvest period and fruit damage occurred at three of the four orchards. Lower preharvest populations in 1995–1996 (< 600 per trap per week) and up to six applications of insecticide resulted in < 10 beetles per trap per week during most of the harvest period and minimal or no fruit damage. The implications of these results for the integrated management of Carpophilus spp. in coastal and inland areas of southeastern Australia are discussed.

Phenology and seasonality in the tropical deciduous forest of Bandipur, South India

A long term study on the phenology of tree species of tropical dry deciduous forest ecosystem of Bandipur, South India has revealed patterns of strong seasonality with respect to leaf and fruit initiation as well as their abscission. The distribution of the duration of the various phenological events was observed to be skewed and there was little interannual variation in events such as flowering and fruiting. This suggests that there are, perhaps, no mast flowering or fruiting species present in the deciduous forests. The phenological changes appear to influence the food, feeding, movement patterns and sociality of the major mammals of this dry deciduous ecosystem.

Modelling boreal forest CO2 exchange and seasonality

Man-induced climate change has raised the need to predict the future climate and its feedback to vegetation. These are studied with global climate models; to ensure the reliability of these predictions, it is important to have a biosphere description that is based upon the latest scientific knowledge. This work concentrates on the modelling of the CO2 exchange of the boreal coniferous forest, studying also the factors controlling its growing season and how these can be used in modelling. In addition, the modelling of CO2 gas exchange at several scales was studied. A canopy-level CO2 gas exchange model was developed based on the biochemical photosynthesis model. This model was first parameterized using CO2 exchange data obtained by eddy covariance (EC) measurements from a Scots pine forest at Sodankylä. The results were compared with a semi-empirical model that was also parameterized using EC measurements. Both of the models gave satisfactory results. The biochemical canopy-level model was further parameterized at three other coniferous forest sites located in Finland and Sweden. At all the sites, the two most important biochemical model parameters showed seasonal behaviour, i.e., their temperature responses changed according to the season. Modelling results were improved when these changeover dates were related to temperature indices. During summer-time the values of the biochemical model parameters were similar at all the four sites. Different control factors for CO2 gas exchange were studied at the four coniferous forests, including how well these factors can be used to predict the initiation and cessation of the CO2 uptake. Temperature indices, atmospheric CO2 concentration, surface albedo and chlorophyll fluorescence (CF) were all found to be useful and have predictive power. In addition, a detailed simulation study of leaf stomata in order to separate physical and biochemical processes was performed. The simulation study brought to light the relative contribution and importance of the physical transport processes. The results of this work can be used in improving CO2 gas exchange models in boreal coniferous forests. The meteorological and biological variables that represent the seasonal cycle were studied, and a method for incorporating this cycle into a biochemical canopy-level model was introduced.

A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

Nitrates in surface waters, inputs and seasonality: Progress report for the period April - December 1987

The objective of this short project progress report is to investigate, in a catchment on which earlier nitrate data are available for comparison, seasonality and budgets, in relation to land use, of nitrate inputs, concentrations and loads. Sampling was undertaken from 1984-87 in the River Frome catchment and data on nitrate concentrations analysed.

Nitrates in surface waters, inputs and seasonality: Phase 2

Changes in management practices and agricultural productivity over the past twenty years have lead to nitrate pollution and eutrophication of lakes and rivers. Information on nitrate concentrations and discharge has been collected on the River Frome at East Stoke since 1965, using the same analytical nitrate method so that the results are comparable. These records of weekly spot values of nitrate concentration and daily mean discharges have been analysed for trends and seasonal patterns in both concentration and nitrate loadings. In this extension of our nitrate contract, a new automated method of intensive sampling has been used to monitor short-term variability and to assess how well similar routine (weekly) sampling schemes can represent the true nitrate record.

Nitrates in surface water, inputs and seasonality

Because of the widespread concern over increasing nitrate concentrations in river water , the Freshwater Biological Association has undertaken a study to investigate seasonality, nitrate concentrations and loads in the River Frome catchment in relation to land use and compare the results for 1984/86 with data obtained in 1970/71. Information on land use changes and fertiliser applications were obtained both from MAFF and individual farmers. The study concludes that input of nitrogen from rainfall to the River Frome catchment had not significantly changed between 1970/71 and 1984/86.

Estimates of body sizes at maturation and at sex change, and the spawning seasonality and sex ratio of the endemic Hawaiian grouper (Hyporthodus quernus, F. Epinephelidae)

A case study of the reproductive biology of the endemic Hawaiian grouper or hapu’upu’u (Hyporthodus quernus) is presented as a model for comprehensive future studies of economically important epinephelid groupers. Specimens were collected throughout multiple years (1978–81, 1992–93, and 2005–08) from most reefs and banks of the Northwestern Hawaiian Islands. The absence of small males, presence of atretic oocytes and brown bodies in testes of mature males, and both developed ovarian and testicular tissues in the gonads of five transitional fish provided evidence of protogynous hermaphroditism. No small mature males were collected, indicating that Hawaiian grouper are monandrous (all males are sex-changed females). Complementary microscopic criteria also were used to assign reproductive stage and estimate median body sizes (L50) at female sexual maturity and at adult sex change from female to male. The L50 at maturation and at sex change was 580 ±8 (95% confidence interval [CI]) mm total length (TL) and 895 ±20 mm TL, respectively. The adult sex ratio was strongly female biased (6:1). Spawning seasonality was described by using gonadosomatic indices. Females began ripening in the fall and remained ripe through April. A February–June main spawning period that followed peak ripening was deduced from the proportion of females whose ovaries contained hydrated oocytes, postovulatory follicles, or both. Testes weights were not affected by season; average testes weight was only about 0.2% of body weight—an order of magnitude smaller than that for ovaries that peaked at 1–3% of body weight. The species’ reproductive life history is discussed in relation to its management.