Do Islamic Stock Returns Hedge Against Inflation? A Wavelet Approach

This article makes an initial attempt to study the hedging effectiveness of Islamic stock returns against inflation for different investment horizons. We applied the wavelet analysis to measure the cross-correlations between the time series as a function of time-scales using data ranging from 2007 to early 2015. The main results tend to indicate the following: First, that for investment horizons not exceeding 3 years, the FTSE Bursa Malaysia Emas Shariah Index constituent returns may potentially hedge against inflation. Additionally, the hedging ability of stock returns was absent from 2008 to 2009 following the global financial crisis. Finally, a buy-and-hold strategy exceeding 3 years may erode investments. The results are plausible and have strong policy implications.     

区域耕地生态价值补偿量化研究——以新疆为例

[目的]在耕地保护形势日趋严峻的情形下,开展耕地生态价值补偿量化研究对了解耕地外部性价值的大小及深化耕地生态价值的量化方法和思路具有重要意义。[方法]文章以新疆为例,从14个地州市的耕地生态服务价值出发,将生态超载指数作为耕地生态服务价值与生态足迹在各地州市转移的测度,同时综合考虑各地州市的经济发展状况,通过构建市域生态价值补偿量化模型分别测算各地州市耕地生态价值补偿量。[结果](1)2015年新疆耕地生态服务价值整体上有盈余输出,全疆共可获得生态补偿费103.31亿元;(2)2015年新疆南北疆耕地生态服务价值比为1:1.7,生态足迹总量比为1:2.2,生态超载指数北亏南盈,表明南北疆耕地生态足迹和耕地生态服务价值间呈"空间异位"格局;(3)新疆北疆乌鲁木齐市、克拉玛依市、吐鲁番市及哈密市共需支付耕地生态补偿费55.67亿元,北疆(乌鲁木齐市、克拉玛依市、吐鲁番市及哈密市外)和南疆地区分别可获得生态补偿费为96.59亿元和62.39亿元。[结论]该文可为新疆各地州市构建耕地生态价值补偿路径提供新思路,也可为以耕地生态价值量确定耕地保护指标和构建耕地生态补偿机制提供参考。     

Positive Feedback Trading and Investor Sentiment

This article examines how investor sentiment affects positive feedback trading behavior. By analyzing the daily closing total return of CSI 300 index and its individual returns of stocks, we find that relatively high or low sentiment induces active positive feedback trading. With a specific indicator of sentiment, we explain the microstructure setting of the relationship between positive feedback trading and sentiment. We adopt the classical feedback model from Sentana and Wadhwani (1992) to measure positive feedback trading behavior. By adding sentiment factor to the model, we successfully explain how sentiment influences the behavior of both feedback traders and rational investors. The empirical findings suggest that positive feedback traders are more likely to trade when the prices of most securities move forward together. When the sentiment of feedback traders is at an intermediate level, the feedback trading behavior is insignificant.     

Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case

This article examines the relationship between the monetary policy implemented by the Central Bank of Brazil and the stock market. We implement event study analysis and analyze the effect of the anticipated and unanticipated components of monetary policy decisions on the returns of the IBOVESPA index and 53 stocks. We find that monetary policy has a significant effect on the stock market, but is only responsible for a small proportion of market variation. The analysis at the sector level with expected returns identifies that the financial sector is the most affected by this policy, whereas with excess returns only industrial goods are significantly affected. Moreover, individual assets respond in a rather heterogeneous fashion to monetary policy; however, when we look at excess returns, we identify a reduction in the intensity and in the number of companies impacted by monetary policy. Finally, the monetary shock is explained by unanticipated variations in the unemployment rate, in the Industrial Production Index, in the General Market Price Index, and in the Broad Consumer Price Index.     

STOCK‐BOND CO‐MOVEMENTS AND FLIGHT‐TO‐QUALITY IN G7 COUNTRIES: A TIME‐FREQUENCY ANALYSIS

This paper examines co‐movement between stock returns and changes in 10‐year government bond yields as well as flight‐to‐quality behaviour in G7 countries. We conduct the wavelet squared coherence analysis to explore the dynamics in both time and frequency domain. Our results provide evidence of positive co‐movements, which vary over time and across investment horizon. The higher co‐movement is found to be more concentrated in the lower frequency bands. We further analyse the dynamic nature of the scale‐dependent wavelet correlations and find that the correlations are highly volatile and significantly increase across different time scales during the episodes of equity market turbulence. The increase in correlations reflects flights from stocks to safer bond investments as a result of dramatic changes in investor sentiment and risk aversion at times of market stress.     

我国公民水素养评价指标体系的构建

为准确描述我国公民水素养水平,有针对性地加强水资源宣传教育,提高公民水素养,在科学素养、环境素养的研究基础上,设计包含有水知识、水态度、水行为3个一级指标、10个二级指标、29个三级指标的公民水素养多层级评价指标体系,运用层次分析法和李克特量表分别确立各级指标权重和设计调查问卷,并以北京市为例对公民水素养评价指标体系进行通用性分析。结果表明,水知识、水态度、水行为在水素养评价中各自的权重为9.14%、21.76%和69.10%;水知识、水态度得分相对较高,而水行为得分则相对较低,表明以水行为核心的水素养提升任务任重而道远。     

Counting the cost: the reserve price scheme for wool 1970‐2001

This paper provides a policy commentary on the collapse in 1991 of the Australian Reserve Price Scheme for wool. A key cause of the collapse in the Scheme was a change in the RPS's governance arrangements, which led to increased political pressures to raise prices to unsustainable levels. In addition, in this paper an estimation has been made of the direct, upfront costs of the operation of the scheme, drawing on the financial accounts of the various agencies operating the RPS and subsequent wool stockpile. This was undertaken to determine the scale of the policy failure.     

Optimal privatization policy with asymmetry among private firms

We revisit the relationship between the optimal privatization policy and market competition indexes such as the Hirschman–Herfindahl index. It is affected by the number of the firms and asymmetry among the sizes of the firms; the smaller the number of firms and the more asymmetry among firms, the higher the market concentration index. The literature on mixed oligopolies suggested that the optimal degree of privatization increases with the number of private firms, and thus, decreases with the market competition index, assuming that all private firms are homogeneous. We investigate how asymmetry among private firms affects the optimal degree of privatization. We propose the simplest and natural model formulation to discuss asymmetry among private firms. We find that the optimal degree of privatization is either nonmonotone or monotonically increasing, and thus never monotonically decreasing, in asymmetry among private firms.     

Option trading after the opening bell and intraday stock return predictability

Prior literature finds that information is reflected in option markets before stock markets, but no study has explored whether option volume soon after market open has predictive power for intraday stock returns. Using novel intraday signed option-to-stock volume data, we find that a composite option trading score (OTS) in the first 30 min of market open predicts stock returns during the rest of the trading day. Such return predictability is greater for smaller stocks, stocks with higher idiosyncratic volatility, and stocks with higher bid–ask spreads relative to their options’ bid–ask spreads. Moreover, OTS is a significantly stronger predictor of intraday stock returns after overnight earnings announcements. The evidence suggests that option trading in the 30 min after the opening bell has predictive power for intraday stock returns.     

Short-sale constraints and informational efficiency to private information: A natural experiment

Exploiting a regulatory change in short-sale constraints (Regulation SHO) as a natural experiment, this paper examines the effect of short-sale constraints on informational efficiency of stock prices to private information. I find that short-sellers act as informed traders prior to forthcoming analyst news and trade on negative private information. When short-sale constraints are relaxed for pilot stocks (treatment group), both trading volume and stock price sensitivity increase prior to the analyst announcement for bad news but not for good news, relative to that of nonpilot stocks (control group). The findings are consistent with the Diamond and Verrecchia model that predicts that short-selling increases the speed of adjustment of stock prices to private negative information. In the cross-section, the effect of Reg SHO is stronger in stocks of firms with weak and uncertain information environments (i.e., small firms and firms with high analyst forecast dispersion).