DIC in variable selection

Model comparison is discussed from an information theoretic point of view. In particular the posterior predictive entropy is related to the target yielding DIC and modifications thereof. The adequacy of criteria for posterior predictive model comparison is also investigated depending on the comparison to be made. In particular variable selection as a special problem of model choice is formalized in different ways according to whether the comparison is a comparison across models or within an encompassing model and whether a joint or conditional sampling scheme is applied. DIC has been devised for comparisons across models. Its use in variable selection and that of other criteria is illustrated for a simulated data set.     

The residual market factor,the APT,and mean-variance efficiency

The rapidly increasing volume of both published and unpublished work on the arbitrage pricing theory (APT) of Ross (1976) has given rise to a number of misunderstandings at the interface of theoretical and econometric work. In this article we extend the theoretical structure of our previous work (McElroy and Burmeister, 1985, 1988; Burmeister and McElroy, 1987, 1988) to provide a broad yet rigorous framework both for econometric estimation and for better economic interpretation of new empirical results. We begin with the case where allK factors are observed, and then present the second case ofK−1≡J observed APT factors and one unobserved factor, theresidual market factor introduced in McElroy and Burmeister (1985). The economic interpretations for equivalent specifications of this model are discussed, and we enumerate several immediate payoffs to these specifications. The main new results are concerned with the sometimes intricate relationships among APT models withK factors and APT models withK factors that are constrained to satisfy mean-variance efficiency restrictions. These results are not only of theoretical interest, but more importantly they provide the basis for econometric estimation and testing of nested hypotheses. These econometric issues are discussed in detail.     

论人本管理的本质与实现

文章指出人本管理作为一种不同于其他管理理论之处在于它对人的理解,对于“人”与“本”的内在逻辑的合理把握,在我国特有的管理语境中,对人本管理的本质与实现的理解有着自己的独特性。     

省级政府在农村公共品供给中的地位分析——以山东省为例

在当前“自上而下”的农村公共品供给体制中,文章提出了省级政府的“双角色主体”假说,即省级政府一方面要发挥“接力者”的角色,负责将中央政府有关农村公共品供给的决策与资金安排及时准确地传递给其他地方政府;另一方面,省级政府还要承担“供给者”的责任,不仅要对中央政府的公共品决策进行本地化的修正,还要及时应对本地居民有关农村公共品需求的变化调整。运用山东省的数据资料证明了“双角色主体”可以确保农村公共品充足供给以及在当前“接力者”要优于“供给者”,但未来后者会日渐重要的两个命题。     

The behaviour of betting and currency markets on the night of the EU referendum

We study the behaviours of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results by employing a Bayesian updating methodology to update prior opinion about the likelihood of the final outcome of the vote. We then relate the voting model to the real-time evolution of the market-determined prices as the results were announced. We find that, although both markets appear to be inefficient in absorbing the new information contained in the vote outcomes, the betting market seems less inefficient than the FX market. The different rates of convergence to the fundamental value between the two markets lead to highly profitable arbitrage opportunities.     

Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic

Since the level of markets’ information efficiency is key to profiteering by strategic players, Shocks; such as the COVID-19 pandemic, can play a role in the nature of markets’ information efficiency. The martingale difference and conditional heteroscedasticity tests are used to evaluate the Adaptive form of market efficiency for four (4) major stock market indexes in the top four affected economies during the COVID-19 pandemic (USA, Brazil, India, and Russia). Generally, based on the martingale difference spectral test, there is no evidence of a substantial change in the levels of market efficiency for the US and Brazilian stock markets in the short, medium, and long term. However, in the long term, the Indian stock markets became more information inefficient after the coronavirus outbreak while the Russian stock markets become more information efficient. Intuitively, these affect the forecastability and predictability of these markets’ prices and/or returns. Thereby, informing the strategic and trading actions of stock investors (including arbitrageurs) towards profit optimization, portfolio asset selection, portfolio asset adjustment, etc. Similar policy implications are further discussed.     

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.     

Celebrity endorsement in tourism: Attention,emotional arousal and familiarity

Celebrity endorsement in tourism is utilised by global marketing practitioners to attract tourists to visit destinations. Despite this, studies are yet to assess the efficacy of two specific types of celebrity endorsement, a celebrity from the host country (host celebrity) vs. a celebrity from the country-of-origin (origin celebrity). Utilising the match-up hypothesis, this research applied a quasi-experimental design, consisting of a mixed method approach, which combined eye-tracking and self-report data. Convergent results across three studies demonstrate that an origin celebrity elicits a higher intention to visit, mediated by the emotional arousal evoked from the endorsement. Eye-tracking analysis demonstrated that an origin celebrity elicits a higher degree of visual attention and emotional arousal when the advertised scenery is familiar. However, this promotion effect disappears in unfamiliar scenery. This research contributes to an evolving debate on celebrity endorsement in tourism, revealing the psychological and physiological mechanisms underpinning the effectiveness of destination marketing campaigns.     

Existence of long memory in crude oil and petroleum products: Generalised Hurst exponent approach

This study examines the presence of long-run dependence in a variety of crude and refined energy spot markets during the 1986–2018 period using the time-varying generalised Hurst exponent. Our results indicate that the weak-form efficiency in energy spot markets is clearly time-varying, with USGC(U.S. Gulf Coast Conventional Gasoline) Diesel Fuel the most efficient and Propane the least. An important finding is that after the subprime crisis, the persistence of energy spot market products has increased. Overall, our finding highlights that the time-varying model is preferable to the time-constant one since the former can capture time-varying efficiency, which heavily depends on a country’s predominant economic and political conditions.