Top PDF Are the global REIT markets efficient by a new approach?

Are the global REIT markets efficient by a new approach?

Are the global REIT markets efficient by a new approach?

when the null hypothesis is rejected. The sequential panel selection method (SPSM) proposed by Chortareas and Kapetanios (2009) can determine the mix of I(0) and I(1) series in a panel setting so as to group a whole panel into stationary and nonsta- tionary series. Moreover, Guochen Pan, Sen-Sung Chen, and Tsangyao Chang (2012) applied the SPSM to examine whether the growth rate of total insurance premium is independent from their size for 35 insurance companies in China. Pierre Perron (1989) proposed that when the stationary alternative is true and the structural break is ignored, the power to reject a unit root decreases if a structural break occurs, making it easier to accept the null hypothesis of a unit root. When using dummy variables to approximate breaks, some limitations arise. Among these limits, the exact number and location of the breaks must be known, the tests account only for one to two breaks, and use of dummies means sharp and sudden changes in the trend or level term. Stephen Leybourne, Paul Newbold, and Dimitrios Vougas (1998) deemed that breaks should be approximated as smooth and gradual processes. Philip H. Franses and Timothy J. Vogelsang (1998) and Charles Harvey (2001) use the HEGY sea- sonal unit root testing with an unknown breakpoint to be estimated from the data, and Ozlem Tasseven (2008) extends the HEGY testing procedure by allowing for sea- sonal mean shifts with double exogenous break points. Furthermore, Bong-Soo Lee (1998), Ralf Becker, Walter Enders, and Stan Hurn (2004) and Razvan Pascalau (2010) indicated that a Fourier approximation often captures the behavior of an un- known break, even if it is not periodic. Their testing framework requires only the specification of the proper frequency in the estimating equations, and the tests are confirmed to have good size and power regardless of the time or shape of the break since the number of estimated parameters is reduced. Moreover, although many stud- ies have shown nonlinear adjustment of REIT indexes empirically (John Okunev, Patrick Wilson, and Ralf Zurbruegg 2000; Kim H. Liow and Haishan Yang 2005; Yen-Hsien Lee and Chien-Liang Chiu 2010; Kuang-Liang Chang 2011), evidence of nonlinear adjustment need not imply a nonlinear random walk (nonstationarity). Perron (1989) proposed that conventional unit root tests, such as the augmented Dickey-Fuller (ADF) test, tend not to reject the null hypothesis of the unit root when examining nonlinear data. Hence, efficiency tests on a nonlinear framework with the panel unit root must be applied. Ucar and Omay (2009) combine the nonlinear framework in Kapetanios, Shin, and Andy Snell (2003) with the panel unit root test- ing procedure of Im, Pesaran, and Shin (2003) to produce a nonlinear panel unit root test.
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Toward an automaton Constraint for Local Search

Toward an automaton Constraint for Local Search

In this paper, we revisit the description of new constraints via automata, already successfully tried within the global search approach to CP [2, 11], and show that it can also be successfully used within the local search approach to CP. The significance of this endeavour can be assessed by noting that 108 of the currently 313 global constraints in the Global Constraint Catalogue [3] are described by DFAs that are possibly enriched with counters and conditional transitions [2] (note that DFA generators can easily be written for other constraints, such as the pattern [4] and stretch [10] constraints, taking the necessarily ground parameters as inputs), so that all these constraints will instantly become available in CBLS once we show how to implement fully the enriched DFAs that are necessary for some of the described global constraints.
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CAUSALITY AMONG NEW YORK, LONDON, TOKYO AND HONG KONG  STOCK MARKETS

CAUSALITY AMONG NEW YORK, LONDON, TOKYO AND HONG KONG STOCK MARKETS

Investors tend to look into the possibility of broadening their investment activities across countries in order to diversify portfolio risk. This requires an understanding of regional and global linkages of stock markets. In this study, I examine the co-movements in worlds' largest equity markets. I used the daily data of S&P 500, Nikkey 225, Hang Seng and FTSE100 for the period Jan-Nov 2009 in order to examine causality between the markets. Granger causality results show that eastern markets are affected by both S&P 500 and FTSE100, but do not affect western markets. Estimating the rate of change of each index as a function of its lags and of the lags of indexes that were found to granger-cause it, I find a very low predictability for S&P 500, Hang Seng and FTSE100 ,while the Nikkey 225 is pretty highly predictable.
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Efficient Approach for Security Information Retrieval by Using Grid

Efficient Approach for Security Information Retrieval by Using Grid

Many countries have introduced identity cards and passports with a fingerprint and facial biometric/ facial-recognition and fingerprint-biometric technologies to control immigration. Scientific discoveries and breakthroughs, especially in information technology, are redefining how to plan, mobilize and engage in battles. For instance, consider the Internet and other national communication infrastructures. Similarly, there is a budding collection of research in the computer and information sciences domains that addresses new algorithms, techniques, models and methods for engaging in the battlefield with insights on everything from sensor technology to complex information discovery models. Research on terrorism is housed in the legal domain, philosophical studies (especially in ethics and law), management (especially crisis management), health sciences and engineering sciences. There is, however, a dart of cross-disciplinary research that involves meshing of two disciplines, e.g., computer science and public policy [13-15] .
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IET Working Papers Series

IET Working Papers Series

The effects of globalisation are increasing, however the supply of labour is still embedded in national frameworks. Since 1980s there has been a continuing growth in the development of a global division of labour, with industries like clothing, electronics and auto manufacture dispersing their production away from developed economies to developing countries, with weaker labour protection and lower labour costs. Processes of internal and external restructuring have led to decentralisation, outsourcing and networking, but also to processes of concentration, consolidation and centralisation (Flecker and Kirschenhofer, 2002). One of the most important changes in work organisation in the last two decades has been the increased use of flexibility to respond to new challenges bring by globalisation, international competitiveness and new technologies. The way companies find to deal with new features of markets are various and sometimes opposites. One could stress two strategic orientations of restructuring: one called by some authors ‘low road’, where companies strive to achieve competiveness with cost-cutting, low salaries, weak regulation of labour market, staff reduction, using outsourcing and delocalisation of production; and another called ‘high road’ based in improvement of efficiency and innovation, investment on qualification and training of workers and new products or productive processes (Brodner and Latniak, 2002).
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Global S&AD Approach for New Information Systems Architectures Security

Global S&AD Approach for New Information Systems Architectures Security

needed knowledge contributing to ensure a normal continuity for the project. Three different pattern categories are identified. The first pattern category is the distributed information system design knowledge pattern. This pattern conceptualizes the diverse knowledge used to design the system and to produce it under the form of schema. As this schema is the result of a transformation of different information collected from end users, this transformation, as any other transformation, causes some data loss. Two domains are concerned by this data loss: the conceptual domain and the process domain. The first domain represents the different data that make up the system. They are represented under the form of a design schema. But, some of the collected data cannot be represented under this form due to their particularity. Nevertheless, these data can be important for developers for a better understanding of the given schema. For example, on a database table, designers can specify a user-address attribute under many fields, which are street-number, street, and town. This specification can result from a user need, such statistical use or for a further evolution. At the development step, as these needs are not clearly expressed in the design schema, developer for better performance and to decrease the answering time can unify the different fields in a unique one that represents the same data. In this case, the obtained information system will provide users with the same data then the wanted information system. But at the time when the end users will try to get the statistical information which concern only a part of the global address such as the street, this information will be unavailable and the information system will be unable to satisfy the users’ requirements. The second domain is the process domain that represents the different information system functionalities. These functionalities are represented under the form of functions and transactions. At the design step, designers usually do not specify the runtime manner and site needed for each transaction. However, this information can be vital for some critical functions. The term critical does not indicate their system aspect but the organizational one. In fact, if we suppose that the statistical functionalities mentioned in the example above will be used for each new data entry, and if we take the case of an international interim worker company, the location of this functionality runtime is crucial to determine the system answering time and its quality of services.
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How the major capital markets interact in the world: a VAR approach

How the major capital markets interact in the world: a VAR approach

The financial aid packages to banks and financial markets launched by the governments of imperialist countries and also by some others countries like China and Brazil are an important moment in this global crisis. The imperialist states, which had previously driven the speculative process, had now a role of "insurance companies" in the financial sector, with debenture loans to directly inject liquidity into banks, or committing themselves to external entities through these financial aid packages. Thus, the governments managed to save banks and prevent a general collapse of the global financial system. On the other hand, these packages could also curb the dynamics of "free fall" of world economy, starting a fragile recovery in the second half of 2009.
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Optimal Network Design for Consensus Formation: Wisdom of Networked Agents

Optimal Network Design for Consensus Formation: Wisdom of Networked Agents

Abstract —The wisdom of crowds refers to the phenomenon in which the collective knowledge of a community is greater than the knowledge of any individual. This paper proposes a network design for the fastest and slowest consensus formation under average node degree restrictions, which is one aspect of the wisdom of crowds concept. Consensus and synchronization problems are closely related to variety of issues such as collective behavior in nature, the interaction among agents as a matter of the robot control, and building efficient wireless sensor networks. However, designing networks with desirable properties is complex and it may pose a multi-constraint and multi-criterion optimization problem. For the purpose of realizing such efficient network topology, this paper presents an optimization approach to design networks for better consensus formation by focusing on the eigenvalue spectral of Laplacian matrix. In both the fastest and slowest networks presented, consensus is formed among local structures first, then on a global scale. This suggests that both local and global topology influence the networks dynamics. These findings are useful for those who seek to manage efficient consensus and synchronization in a setting that can be modeled as a multi-agent system.
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Wealth Management in Africa

Wealth Management in Africa

According to the Forbes Insights Wealth Panel 36 , the Openness about Wealth displayed by the African Wealth Creators is ranked at 3.8, on a 0-10 scale (10 being the most transparent), while for mature markets, this variable currently has on average a 7.3 score. In the report, Stephen Saad, CEO of Aspen Group in South Africa, argues that the reason for the less transparency displayed has everything to do with the fact that these fortunes are newly created, and more precisely, the way they were created is not yet forgotten. It is no wonder then, that African HNWIs have a comparatively greater need for privacy regarding their fortunes. Traditionally this need would be swiftly satisfied by the recruitment of the services of Private Banks located in Global Banking centers such as Luxembourg and Switzerland, where banking secrecy was a differentiating advantage. However, today’s reality is distinct. A regulatory and fiscal reform was brought on by the worldwide need to keep a straighter set of regulations restraining financial services actions after the financial crisis 37 . Initiatives such as the Final Withholding Tax Agreements between Switzerland, Austria and the UK, or the EU Saving Directive, are improving tax transparency amongst the involved countries and blowing away their tax haven and financial confidential status. New opportunities are thus opened for other players presently waiting to gain market share. These players
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Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies

Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies

Table no. 1 also reports the disclosure requirement index, liability standard index and the public enforcement index as defined and computed by La Porta et al. (2006). All these indices take values between zero and one, and higher values indicate that countries have relatively stronger shareholders' protection systems. The anti-self-dealing index measures the strength of minority shareholder protection against self-dealing by controlling shareholders (Djankov et al., 2008) and varies between 0.20 for Egypt and 0.81 for South Africa. It is plausible to assume that weaker corporate governance environment causes extra risk to international arbitrageurs which may result in having a lower degree of market efficiency. The variables “Institutional Quality” and “Trust in Others” were used by Gennaioli et al. (2013). “Institutional Quality” takes into account factors such as the prevalence of informal payments, government predictability and access to financial instruments. Higher values indicate better institutions. Finally, the cultural variable “Trust in Others” captures the percentage of respondents in the country who believe that most people can be trusted and “Individualism” reflects that trait associated to each country according to Hofstede (2001). Hofstede (2001)'s cultural dimensions score on a 0-100 point scale. It is to be expected that a higher level of trust among investors and a lower level of individualism will result in a more effective dissemination of information, which should cause prices to be more efficient (e.g., Chui et al., 2010). The available results regarding these variables show that Nigeria exhibits the higher level of trust among its citizens and that South Africa is the only country of the sample that may be considered individualistic with a relatively high score of 65.
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Efficient Market Hypothesis in European Stock Markets

Efficient Market Hypothesis in European Stock Markets

To test for serial independence in the returns we also employ a runs test, which determines whether successive price changes are independent of each other, as should happen under the null hypothesis of a random walk. By observing the number of runs, that is, the successive price changes (or returns) with the same sign, in a sequence of successive price changes (or returns), we can test that null hypothesis. We consider two approaches: in the first, we define as a positive return (+) any return greater than zero, and a negative return (-) if it is below zero; in the second approach, we classify each return according to its position with respect to the mean return of the period under analysis. In this last approach, we have a positive (+) each time the return is above the mean return and a negative (-) if it is below the mean return. This second approach has the advantage of allowing for and correcting the effect of an eventual time drift in the series of returns. Note that this is a non-parametric test, which does not require the returns to be normally distributed. The runs test is based on the premise that if price changes (returns) are random, the actual number of runs ( R ) should be close to the expected number of runs ( µ R ).
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Word equity markets: a new approach for segmentation

Word equity markets: a new approach for segmentation

The continuous process of economic integration among world economies has a positive effect on the relationships of the various financial markets which are characterized by a high degree of returns correlation. The main interest of this paper, given the increasing globalization of equity markets, is to empirically demonstrate that, using Principal Components Analysis (hereinafter referred to as “PCA”), the returns of some markets are parti- cularly associated with groups of nations and, simultaneously, try to ex- plain the returns of each one based on the returns of the associated groups. To the best of our knowledge, and despite the large number of PCA applica- tions in finance, no empirical studies exist where this multivariate statisti- cal technique is applied to segment world equity markets into related geo- graphic areas/integrated economies. We conclude that PCA is very useful for this purpose.
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FINANCIALIZATION OF THE COMMODITY FUTUTRE MARKETS: A SVAR MODEL APPROACH

FINANCIALIZATION OF THE COMMODITY FUTUTRE MARKETS: A SVAR MODEL APPROACH

The VAR models are widely used for the analysis of causality. In general, in the empirical analysis of economic data, the cause-effect relationships are very complex to establish. If two X and Y variables are highly correlated, we can say that they have a clear tendency to move together, but, in the absence of further information, we can not say more about the direction of causality. It means that one cannot say with certainty which are the underlying causal links; It could be a variable that causes the performance of the other or vice versa, or that there is a third variable Z, not observable,
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DELTA  vol.21 número especial

DELTA vol.21 número especial

Knight does not think that they have reached that point yet, but as futures orders outside America now exceed those within America for the first time (… a Nike moment …), he is apparently anticipating being able to announce that they are global before too long. There then follows a series of six examples of the ‘global’ nature of sports. These are apparently random, but they are linked by being markets for Nike products: a Chinese NBA (American league) basketball star (Nike sells Nike and Brand Jordan basketball apparel and footwear), a Japanese-American speed skater (Bauer Nike Hockey sells ice skates and ice hockey kit), an African-Asian American golfer (Nikes golf business grew by 22% in 2001-2), Japanese and Korean footballers (Nike sells team jerseys to fans). What we have here are not examples of a globalised sports culture, but of a non-American sportsman dominating American basketball, non-white Americans dominating speed skating and golf, and successes by Asian teams wearing Nike kit. ‘Globalised sport’ here means American sporting success with an international flavour. The significance of the final two example is more oblique; one refers to there being ‘more than 100 golf courses in the Shenzhen area of China’. Doubtless this is not connected to the fact that 38% of Nike foot-ware is made in China (Annual Report Section 10-K, page 6) but to alert us to a message included in the Presidents’ Letter: “With China now a member of the World Trade Organization, and Bejing the setting for the 2008 Olympics, the opportunities in that country are huge.” The last example of ‘global sports’ is
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Luminescent Electrochromic Devices for Smart Windows of Energy-Efficient Buildings

Luminescent Electrochromic Devices for Smart Windows of Energy-Efficient Buildings

Abstract: To address the challenges of the next generation of smart windows for energy-efficient buildings, new electrochromic devices (ECDs) are introduced. These include indium molybdenum oxide (IMO), a conducting oxide transparent in the near-infrared (NIR) region, and a NIR-emitting electrolyte. The novel electrolytes are based on a sol-gel-derived di-urethane cross-linked siloxane- based host structure, including short chains of poly (ε-caprolactone) (PCL(530) (where 530 represents the average molecular weight in g mol − 1

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Infrastructure: accelerating Brazil’s growth

Infrastructure: accelerating Brazil’s growth

SERGIO F. QUINTELLA: I am an engineer by profession and at heart. I graduated from Pontifical Catholic University of Rio de Janeiro (PUC-Rio) during the “developmentalist” phase, with a Target Plan focused on the construction of hydroelectric dams, highways, railways, airports and ports and finally, as a synthesis of the program, the construction of Brasília in Planalto Central. All of my work in engineering is associated with projects and works in this sector, from the construction of the water supply system of Guandú (an enormous project at the time), in Rio de Janeiro, to the central span of the Rio-Niterói bridge. I lead the company responsible for the project for the Hydroelectric Power Plant of Itaipú, for most of the system of electric energy transmission, for the railways for the transport of ore and for the Carajás system (mines, railway and port), in the North of Brazil. Furthermore, and here allow me to digress a little, when we speak about railways, highways, ports and airports, the correct term would be logistics, essential for the outflow of production, and often responsible for the international competition of commodities, such as soybean and ore, for example. The area of infrastructure, therefore, has always occupied a place of prominence in my professional career.
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Association Rule Mining for Both Frequent and Infrequent Items Using Particle Swarm Optimization Algorithm

Association Rule Mining for Both Frequent and Infrequent Items Using Particle Swarm Optimization Algorithm

The particle swarm optimization algorithm is an important heuristic technique in recent years and this study uses this technique to mine association rules effectively. If this technique considers user defined threshold values, interesting association rules can be generated more efficiently. Therefore this study proposes a novel approach which includes using particle swarm optimization algorithm to mine association rules from databases. Our implementation of the search strategy includes bitmap representation of nodes in a lexicographic tree and from superset-subset relationship of the nodes it classifies frequent items along with infrequent itemsets. In addition, this approach avoids extra calculation overhead for generating frequent pattern trees and handling large memory which store the support values of candidate item sets.
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YERGIN,Daniel 2006 EnsuringEnergySecurity   ForeignAffairs

YERGIN,Daniel 2006 EnsuringEnergySecurity ForeignAffairs

Contrast that to what happened immediately after Hurricane Katrina. A major disruption to the U.S. oil supply was compounded by reports of price gouging and of stations running out of gasoline, which together could have created new gas lines along the East Coast. Yet the markets were back in balance sooner and prices came down more quickly than almost anyone had expected. Emergency supplies from the U.S. Strategic Petroleum Reserve and other iea reserves were released, sending a “do not panic” message to the market. At the same time, two critical regulatory restrictions were eased. One was the Jones Act (which bars non-U.S.-flagged ships from carrying cargo between U.S. ports), which was waived to allow non-U.S. tankers to ship supplies bottlenecked on the Gulf Coast around Florida to the East Coast, where they were needed.The other was the set of “boutique gaso- line” regulations that require diªerent qualities of gasoline for diªerent cities, which were temporarily lifted to permit supplies from other parts of the country to move into the Southeast. The experience highlights the need to incorporate regulatory and environmental flexibility—and a clear understanding of the impediments to adjustment—into the energy security machinery in order to cope as eªectively as possible with disruptions and emergencies.
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Brazil, international trade opportunities among economic regional blocs

Brazil, international trade opportunities among economic regional blocs

The speed anel strength with which lhe various components of global markets are converging to consolidate regional economias, trading agreements anel pc-eferences , can be frig[r]

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Financialization of the commodity future markets: a SVAR model approach

Financialization of the commodity future markets: a SVAR model approach

Commodity price and forward curves are affected by many factors. This research does not pretend to analyze the interaction between external variables and the commodities future curves, but instead to see if the flows of passive/active investments affect the price level of the commodities in the different sectors and lead to a causality reaction between them. It is important to remember that causality simply implies chronological orders of movements of the series meanings that one variable appear to lead another on and not that a movement in one variable is considered a direct results of the other one. In addition, most traded assets tend to incorporate information into prices faster than others so they should lead, this consideration founds confirm on the Granger Causalities results of this study which show that over weighted assets like Energy Sectors tend to lead the others.
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