A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices

This article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, Global, Japanese, UK, and United States. It investigates whether Islamic stock indices are more, less, or as efficient as their conventional counterparts. We test four sub-periods of bullish and bearish stock markets, together with the financial meltdown and its recovery, over the period 1997–2012. We use the Escanciano and Lobato’s (2009) automatic portmanteau test (AQ) and Deo’s (2000) test for the MDH. We also apply the automatic variance ratio test (AVR) developed by Choi (1999) and Kim (2009) for the RWH. Over the period from 1997 to 2012, we find that three conventional indices (Europe, Japan, and UK) are efficient, but that none of the Islamic indices are efficient in these markets. During the recent financial crisis, our results indicate slightly more efficiency for the Islamic indices than their conventional counterparts. Our study finds that overall the conventional indices are more efficient than their Islamic counterparts. Nevertheless, during periods of general downturns the Islamic indices have shown the same level of efficiency as their counterparts. Furthermore, it appears that during the last two sub-periods under study, the Islamic indices have moved toward efficiency, displaying the same level of efficiency as their counterparts.     

Technical analysis profitability when exchange rates are pegged: A note

Abstract

This note extends earlier results which concluded that generally technical analysis trading rules were profitable when applied to several US dollar exchange rates. These results were linked to the presence of long swings in the dollar series, and here, it is tested whether they still hold in a different setting, with a quasi-fixed exchange rate system. Applying non-parametric and parametric tests to the main European currencies does not allow to confirm, in this case, the profitability of these rules. These results strengthen the likelihood of the hypothesis of a causal link from the exchange rate DGP to the profitability of technical analysis trading rules, as already highlighted in several articles.     

Econometrical analysis of the sample efficient frontier

The efficient frontier is a parabola in the mean-variance space which is uniquely determined by three characteristics. Assuming that the portfolio asset returns are independent and multivariate normally distributed, we derive tests and confidence sets for all possible arrangements of these characteristics. Note that all of our results are based on the exact distributions for a finite sample size. Moreover, we determine a confidence region of the whole efficient frontier in the mean-variance space. It is shown that this set is bordered by five parabolas.     

新形势下煤炭行业转型升级的实践与探索

综合煤炭行业发展面临的现实、政策要求、技术条件和产业实践看,绿色开发和高效利用应成为行业转型升级两个重要方向。绿色开发在我国从学术理论到政策再到产业实践,都有较好的基础,目前应进入理论的再完善、政策的严格执行、技术的全面推广应用和企业积极自觉实施的阶段,发展高效转化的新型煤化工和解决工业锅炉的高效燃烧及低排放的问题,应是当前煤炭清洁高效利用重要方向。     

The Moving Average Ratio and Momentum

I show the ratio of the short‐term moving average to the long‐term moving average (moving average ratio, MAR) has significant predictive power for future returns. The MAR combined with nearness to the 52‐week high explains most of the intermediate‐term momentum profits. This suggests that an anchoring bias, in which investors use moving averages or the 52‐week high as reference points for estimating fundamental values, is the primary source of momentum effects. Momentum caused by the anchoring bias do not disappear in the long‐run even when there are return reversals, confirming that intermediate‐term momentum and long‐term reversals are separate phenomena.     

Twitter Mining for Discovery,Prediction and Causality: Applications and Methodologies

Twitter has found substantial use in a number of settings. For example, Twitter played a major role in the ‘Arab Spring’ and has been adopted by a large number of the Fortune 100. All of these and other events have led to a large database of Twitter tweets that has attracted the attention of a number of companies and researchers through what has become known as ‘Twitter mining’ (also known as ‘TwitterMining’). This paper analyses some of the approaches used to gather information and knowledge from Twitter for Twitter mining. In addition, this paper reviews a number of the applications that employ Twitter Mining, investigating Twitter information for prediction, discovery and as an informational basis of causation. Copyright © 2015 John Wiley & Sons, Ltd.     

货币需求弹性、有效货币供给与货币市场非均衡模型——解析"中国之谜"与长期流动性过剩

Chinese excessive liquidity problems are more serious than other main countries. The upgrading industrial structure and the increasing opening degree lead to the excessive money demand and higher money demand elasticity. Bad credits weaken money supply effectiveness and lead to illusive increasing money. We set up the money market disequilibrium model under the condition of the excessive liquidity. The imbalance between money demand and money supply is the key of Chinese excessive liquidity problems. __________ Translated from Jingji lilun yu jingji guanli 经济理论与经济管理(Economic Theory and Business Management), 2007, (11): 38–44     

对我国土地税费改革的国际借鉴与思考

我国的土地资源十分稀缺 ,税收做为政府调节土地市场的重要手段 ,在调节土地资源方面有较好的效果。通过对一些国家和地区税收体制的总结 ,结合我国土地税收体制现状 ,特别是不合理的地方 ,提出了对我国土地税收体制改革的建议 ,从而达到优化土地配置的目标。     

Multivariate Lagrange Multiplier Tests for Fractional Integration

We introduce a multivariate Lagrange multiplier (LM) test forfractional integration. We derive and analyze the LM statisticand show that it is asymptotically noncentral chi-squared distributedunder local alternatives, and that, under Gaussianity, the LMtest is asymptotically efficient against local alternatives.It is shown that the regression variant in Breitung and Hassler(2002, Journal of Econometrics 110, 167–185) is not equivalentto the LM test in the multivariate case, although it is in theunivariate case. A generalization of the LM test that explicitlyallows for different integration orders for each variable isalso introduced. The finite sample properties of the LM testare evaluated by Monte Carlo experiments which demonstrate thatit is superior to the Breitung and Hassler (2002) test. An applicationto multivariate time series of real interest rates for six countriesis offered, demonstrating that more clear-cut evidence can bedrawn from multivariate tests compared to conducting severalunivariate tests.     

Regulatory reform and market efficiency: The case of Indian agricultural commodity futures markets

We present the results of two efficiency measures that include intraday return predictability measure based on order imbalance and measures of several variance ratio tests on intraday subsamples of nine major Indian agricultural commodity futures (castor seed, cotton oil cake, rape mustard seed, soybean, refined soya oil, crude palm oil, jeera, chana, and turmeric) quoted in the National Commodity and Derivatives Exchange (NCDEX). We perform the efficiency measures on five subsamples with holding periods of 5, 10, 15, 30, and 60 min over two sample periods following the announcement of the merger between the Forward Market Commission (FMC) and Securities Exchange Board of India (SEBI). We compare results of tests of weak-form market efficiency of futures markets between two periods (pre-merger period and post-merger period). Our results confirm that Indian agricultural commodity futures markets continue to remain inefficient in the short-term during both pre-merger and post-merger periods. Based on these findings, it is likely that profitable trading strategies in the short intraday intervals will be available for traders and market participants during post-merger period. Thus, regulators must focus more on policy initiative so as to enhance market quality in order to address such inefficiencies in Indian commodity futures markets.