On the detection of extreme movements and persistent behaviour in Mediterranean stock markets: a wavelet-based approach

We combine the global Hurst exponent and Morlet wavelet multi-resolution analysis (MRA) to investigate the dynamic behaviour of six selected stock markets in the Mediterranean region. Specifically, we employ the resonance coefficients and their power spectra to identify potential extreme movements and long-term dependence in stock returns. Using weekly data for the period 2005 to 2010, our results reveal that the wavelet MRA is able to reconstruct the effects of major extreme shocks on stock returns of studied markets, such as the Asian financial crisis, the 9/11 terrorist attacks and the 2007–2009 financial crisis. Moreover, the wavelet-based global Hurst exponent indicates the presence of long-term dependencies in stock returns of all the considered markets, except for France where the anti-persistent behaviour is detected. Overall, our findings are useful to assess the stock market efficiency and provide new insights into stock market dynamics over different time scales.     

Trade liberalisation,poverty, and inequality in Vietnam: a quantile regression approach

This study examines the effects of trade liberalisation on rural household welfare, poverty, and inequality in Vietnam, with the use of multiple estimation strategies, including the panel quantile regression approach based on Canay's two-step estimator. Taking account of the multi-faceted nature of trade liberalisation, we consider a set of household-level trade-related variables, including employment in export, import-competing, and manufacturing sectors. A unique panel data set is constructed from the Vietnam Household Living Standards Surveys conducted in 2002, 2004 and 2006. We find that employment in trade-related sectors contributes significantly to rural household welfare. Moreover, the effects of trade-related employment on welfare are heterogeneous across the welfare/income distribution, in that trade-related employment sectors have different influences on different groups/quantiles of households.