Can sustainable investments outperform traditional benchmarks? Evidence from global stock markets

To contribute to overcoming global sustainability challenges, investors have been increasingly interested in making sustainable investments and incorporating environmental, social and governance (ESG) criteria into their portfolio selection decisions and managerial activities. However, these investors and other agents interested in sustainable investment need updated and robust information to support their decision making. We analyzed the performance of several Dow Jones Sustainability Indices (DJSIs) and compared them with their respective market benchmarks from 2013 to 2018. The indices comprise the following regions and countries: the world, the Asia‐Pacific, Europe, emerging markets and the US. The analysis was conducted based on both classic and modern portfolio metrics. The results suggest that sustainable investment performance is still heterogeneous worldwide, but there is a promising opportunity for investors to obtain superior risk‐adjusted returns in certain regions while incorporating sustainable investment practices. The findings are of utmost importance to financial market practitioners, business managers, academics and other stakeholders interested in promoting investments, corporate practices and scientific knowledge to achieve the Sustainable Development Goals (SDGs).     

Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets

The major objectives of this study are twofold. The first objective is to examine the dynamic volatility and volatility transmission in a multivariate setting using the VAR(1)–GARCH(1,1) model for three major sectors, namely, Service, Banking and Industrial/or Insurance, in four Gulf Cooperation Council (GCC)’s economies (Kuwait, Qatar, Saudi Arabia and UAE). The second is to use the models’ results to compute and analyze the optimal weights and hedge ratios for two-sector portfolio holdings, comprised of the three sectors for each country. The results suggest that past own volatilities matter more than past shocks and there are moderate volatility spillovers between the sectors within the individual countries, with the exception of Qatar. Moreover, the values for ratios of hedging long positions with short positions in the GCC sectors are smaller than those for the US equity sectors. The optimal portfolio weights favor the Banking/financial sector for Qatar, Saudi Arabia and UAE and the Industrial sector for Kuwait.     

Chinese Lunar New Year effect in Asian stock markets, 1999–2012

This study investigates the Chinese Lunar New Year (CLNY) holiday effect in major Asian stock markets. These are China, Hong Kong, Japan, Malaysia, South Korea and Taiwan. For robustness test, India is also examined in this paper. Daily stock index returns for each market are analysed for the period of 01/09/1999 to 28/03/2012. Using an ARMA(1,1)-GARCH (1,1) model, we find that there is a significantly positive pre-CLNY holiday effect for all cases. The findings are robust for most cases with the exception of China. It is found that high pre-CLNY returns for China are rewards for high risk, whereas for the other markets, high returns are caused by unknown factors, other than the conditional risk.     

THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE

Abstract This paper provides a systematic review of the weak‐form market efficiency literature that examines return predictability from past price changes, with an exclusive focus on the stock markets. Our survey shows that the bulk of the empirical studies examine whether the stock market under study is or is not weak‐form efficient in the absolute sense, assuming that the level of market efficiency remains unchanged throughout the estimation period. However, the possibility of time‐varying weak‐form market efficiency has received increasing attention in recent years. We categorize these emerging studies based on the research framework adopted, namely non‐overlapping sub‐period analysis, time‐varying parameter model and rolling estimation window. An encouraging development is that the documented empirical evidence of evolving stock return predictability can be rationalized within the framework of the adaptive markets hypothesis.     

International spillovers in global asset markets

The paper empirically estimates the financial transmission within and across bond and equity markets in the four largest global financial markets – the United States, the Euro area, Japan, and the United Kingdom. We argue that international bond and equity markets are highly interconnected both within and across asset classes in a globalized world, where the complex transmission process across various financial assets is not restricted to just the domestic market. This paper employs identification through generalized forecast error variance decompositions to estimate spillovers across four systemic markets in a Vector Autoregression (VAR) framework. We find that asset prices react most strongly to international shocks within the same asset class, but that there are also substantial international spillovers across asset classes. Rolling estimations analysis provides evidence that global asset markets have become more integrated and that the bilateral relationships change over time. Our results are robust to specifications that take into account the monetary policy stance and include foreign exchange markets.     

聚苯乙烯(EPS)板墙体外保温在建筑工程中的应用

综合阐述了聚苯乙烯(EPS)板厚度尺寸的采用及主要技术性能,提出了现场聚苯乙烯(EPS)板施工中必须注意的一些问题,重点论述了聚苯乙烯(EPS)板施工的注意事项及施工技术措施。     

Improving the green public procurement performance of Chinese local governments: From the perspective of officials’ knowledge

Green public procurement (GPP) is one of the crucial environmental policy tools for sustainability. Although GPP has been implemented in many developing countries, its performance is in urgent need of improvement. This study focuses on the perspective of procurement officials’ knowledge and develops a new conceptual model with direct and moderating effects to explore factors that may affect Chinese procurement officials’ GPP performance. Using data collected from 139 Chinese local government officials and employing hierarchical regression analysis, this study finds that procurement officials’ awareness of GPP implementation policies exerts a positive, direct impact on their GPP performance. Procurement officials’ receiving GPP training and working in local governments included in a mature China national sustainable community (CNSC) program can positively moderate the relationships between their awareness of GPP implementation policies and GPP performance. However, awareness of GPP-related regulations does not have the same effect. Meanwhile, even the mature CNSC program cannot exert a positive, direct impact on GPP performance. This study deepens the research on influence factors of GPP performance, the policy implications can be useful for policymakers in China and other developing countries.     

豫西阳平河河滩矿渣污染研究

在对研究区内阳平河河道水质和河滩矿渣数量及现状调查基础上,研究了河道水质重金属超标状况,以及河道矿渣和沿岸矿渣的废物类型,并用潜在生态危害指数法(RI),分析了矿渣重金属的生态危害程度,结果表明,研究区内地表水铜、锰超标,超标率分别为11.11%和27.78%;研究区内矿渣均不属于危险废物,河道矿渣属于第Ⅰ类一般工业固体废物,污染程度为轻微生态危害;沿岸矿渣属于第Ⅱ类一般工业固体废物,污染程度为很强生态危害,其中重金属Cu、Mn、Pb对环境生态的影响较大。     

TOWARDS A SYNTHESIS OF ISLAM AND THE MARKET ECONOMY? THE JUSTICE AND DEVELOPMENT PARTY'S ECONOMIC REFORMS IN TURKEY

Turkey has some unique characteristics, one of which is that it is the only Muslim country seeking to join the European Union. Internally, it has been going through a new and challenging experience in recent years: implementing free-market economic policies under a 'Conservative Democrat' government, the leadership of which comes from moderate Islamism. Many observers think that Turkish experience shows how Islam and the market economy are compatible. This article critically evaluates these reformist economic policies implemented since late 2002 and highlights the major factors behind Turkey's success story.     

Evolving Market Efficiency with an Application to Some Bulgarian Shares

With new technically advanced methods and computers at our disposal, the efficient market hypothesis is once again being debated. At the same time, we are witnessing an unprecedented growth in both existing and new financial markets. These new markets are often in economies which have just recently embraced free market economics; we term these stock markets infant markets. Such stock markets are obviously not efficient in allocating the supply of savings to productive capital. We do not test whether or not these infant markets are informationally efficient, but instead examine whether and how they are becoming more efficient. We propose modelling the excess returns of individual securities using a multi-factor model with time-varying coefficients and generalised auto-regressive conditional heteroskedastic (GARCH) errors. If the markets are becoming more informationally efficient or the agents are learning, we would expect this to manifest itself as the time-varying coefficients becoming more stable as time increases. We test our model using data on four Bulgarian shares. First, we estimate an AR(2) model and a GARCH-M(1,1) model for the shares. Then, we estimated our AR(2) model with time varying coefficients and GARCH type errors. We find varying levels of efficiency and varying speeds of movement towards efficiency within our sample of four shares. This revised version was published online in July 2006 with corrections to the Cover Date.     

金融供应链关键绩效指标的建立与应用

在传统供应链关键绩效指标评价体系的基础上,提出了金融供应链关键绩效指标体系。通过增加供应链资金流管理的相关评价指标,能够全面评价和进一步提高供应链运作水平。