Co-movement in Stock Prices in Emerging Economies: The Case of the Caricom Region

The Grand Anse Declaration of 1989 recognised the need for financial integration within the emerging economies that comprise the CARICOM region, as a way of furthering the wider process of economic integration and, indeed, economic development in that region. Using co-movement as a measure of financial integration, this paper investigates the co-movement in stock prices among the Barbados, the Jamaica and the Trinidad and Tobago Stock Exchanges, the three major exchanges within the CARICOM region. It also examines how integrated these exchanges are with the New York Stock Exchange. The GARCH-Copula methodology and, to a lesser extent, estimated correlation coefficients, are used to attain this objective. There appears to be co-movement in stock prices and returns within the CARICOM stock markets and significant dependence structures between the returns of the three CARICOM stock markets. However, there is considerably less evidence of integration between the CARICOM markets and the New York Stock Exchange.     

Capital market integration in ASEAN: A non-stationary panel data analysis

Motivated by the establishment of ASEAN Economic Community (AEC) at the end of 2015, we examine saving-investment relationship in various subgroups of ASEAN to assess their capital market integration. The results from second generation panel unit-root and cointegration tests that account for cross-sectional dependence as well as estimates of long-run saving-retention rate provide some evidence of market integration in ASEAN. The analysis of short-run dynamics suggests that capital mobility in ASEAN during 1980–2014 appears similar to that in OECD countries during 1970–1999. More importantly, across different panel estimators and subgroups of membership, there is considerable heterogeneity among the member countries. The saving-investment association is very weak, thereby implying very high capital mobility, in more developed members such as Singapore, Malaysia, and Brunei; the association is very strong, implying very low capital mobility, for much less developed members such as Laos, Myanmar, and Cambodia. The results call for renewed effort to develop capital markets in less developed nations and integrate them with the rest of the membership in ASEAN. In this paper, we also address several major shortcomings of the original Feldstein-Horioka framework.     

A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures

This paper proposes a multivariate distance nonlinear causality test (MDNC) using the partial distance correlation in a time series framework. Partial distance correlation as an extension of the Brownian distance correlation calculates the distance correlation between random vectors X and Y controlling for a random vector Z. Our test can detect nonlinear lagged relationships between time series, and when integrated with machine learning methods it can improve the forecasting power. We apply our method as a feature selection procedure and combine it with the support vector machine and random forests algorithms to study the forecast of the main energy financial time series (oil, coal, and natural gas futures). It shows substantial improvement in forecasting the fuel energy time series in comparison to the classical Granger causality method in time series.     

基于效应的随机灰规划模型和应用

为了解决同时含有随机因素和灰色因素的不确定规划问题,通过结合区间灰数所属区间两个端点的随机性,给出随机区间灰数和随机区间灰函数的定义,提出了随机灰规划模型。通过综合效应函数理论用随机变量期望值和方差综合量化表示灰数所属区间的两个端点值。应用该理论对综合量化后的两个端点值继续进行综合量化,从而将随机灰规划转化为确定型规划问题。应用遗传算法进行求解。通过综合效应函数的理念,综合随机变量的期望和方差,同时综合区间灰数的区间因素,将随机灰规划数学模型转化为确定型规划模型即基于效应的随机灰规划模型。通过选取不同的综合效应函数,得到了关于不同决策意识下的随机灰规划的最优解。这个方法可为决策者进行不确定决策提供参考。     

The saving–investment correlation puzzle is still a puzzle

A number of simulation studies claim to have solved the Feldstein–Horioka puzzle by demonstrating that a high time-series correlation between saving and investment naturally arises from business cycle shocks. This paper uses panel data of saving and investment controlled for business cycle shocks to empirically test the significance of cyclical shocks — productivity, fiscal and the terms of trade shocks — in explaining a high saving–investment correlation. The estimation results reveal that conventional aggregate shocks only partially explain the high saving–investment correlation. Moreover, country differences in the size of the GNP and the non-traded sector do not significantly affect the saving–investment correlation. The saving–investment correlation puzzle remains a puzzle after all.     

蜜月游市场特征的相关与回归分析——针对北京常住居民蜜月游市场

在我国,蜜月游市场发展迅猛,潜力巨大,收益率颇高.特别值得注意的是,我们调研发现:高收入者与非高收入者共享蜜月游这一高端旅游产品.为此我们进行了相关的定量分析,以进一步研究其发展脉络,揭示其变动趋势,为政府主管部门及相关旅游企业提供决策依据.     

水泥土搅拌桩复合地基承载力的灰色预测

详细阐述灰色模型的建立及调整过程,利用复合地基沉降实测数据,根据灰色系统理论,建立(1,1)模型,可模拟复合地基的P~s曲线,预测地基沉降的发展趋势,分析水泥土搅拌桩复合地基的承载性能。     

我国股票市场的混沌探析

运用混沌理论对我国股票市场进行了实证研究 ,结果显示我国股票市场是一个低自由度的混沌系统 ,具有自相似的非线性结构 ,并且这种非线性结构可以用 GARCH( 1 ,1 )模型来拟合。     

中国纺织工业发展预测及安全度估算

针对纺织工业系统的复杂性和多样性，构建了一系列灰色预测模型，对我国纺织工业“十一五”期间的供求及进出口情况进行了预测。在此基础上，通过设置产业安全评价指标和产业指标安全度预警界限，对中国纺织工业的产业安全度进行了估算，并分析了其在“十一五”期间的动态变化趋势。     

旋转机械振动信号分析

综述了现代信号分析处理理论、方法如时域分析(包括时域参数识别、相关分析以及统计分析等)、频域分析(包括傅立叶变换、功率谱分解等),并结合转子实验台实测的振动数据,研究了它们在旋转机械振动信号分析处理中的应用,给出了具体的应用实例。