Islamic equity market integration and volatility spillover between emerging and US stock markets

The purpose of this paper is to study the conditional correlations across the US market and a sample of five Islamic emerging markets, namely Turkey, Indonesia, Pakistan, Qatar, and Malaysia. The empirical design uses MSCI (Morgan Stanley Capital International) Islamic equity index since it applies stringent restrictions to include companies. Indeed, two main restrictions must be met: (i) the business activity must be compliant with Shari’ah (i.e., Islamic law) guidelines and (ii) interest-bearing investments and leverage ratios should not exceed upper limits. Three models are used: multivariate GARCH BEKK, CCC, and DCC. The estimation results of the three models show that the US and Islamic emerging equity markets are weakly correlated over time. No sheer evidence supports that the US market spills over into the Islamic emerging equity markets. Besides interpreting the results in terms of weak market integration, the peculiar specificities of the Islamic finance industry and the admittance conditions to the MSCI Islamic equity index contribute to explaining them. Indeed, Islamic finance bans interest-bearing investments and imposes some rules, such as asset-backing, which has sizeable impacts on volatility spillover and shocks transmissions, alongside with the close linkage between real and financial sectors. These findings suggest that investors should take caution when investing in the Islamic emerging equity markets and diversifying their portfolios in order to minimize risk.     

基于多维动态模型的中国股指相关性预测研究

运用时间序列的ADCC(Asymmetric Dynamic Conditional Correlation)多维GARCH模型和CCC(Constant Conditional Correlation)多维GARCH模型对中国主要股指之间的相关性进行预测,并对预测结果进行评价和比较,结果表明ADCC多维GARCH模型拟合和预测中国股指相关性较好,这为投资组合管理和风险管理提供了理论支持。     

珠海市“CCC”强制性产品认证的现状与思考

对珠海地区强制性产品认证情况进行了调查分析,珠海地区涉及"CCC"强制性产品认证目录内产品有12类(占全部19类的63.2%),产品种类264种(按HS编码统计,占全部325种的81.2%);其中进口型146种,生产型148种.通过调查统计分析,基本摸清了珠海地区涉及"CCC"认证的企业产品情况,为评估本地区涉及企业情况、制定查验方法、加强监管力度提供了实际的依据.     

MGARCH models: Trade-off between feasibility and flexibility

Multivariate GARCH (MGARCH) models need to be restricted so that their estimation is feasible in large systems and so that the covariance stationarity and positive definiteness of conditional covariance matrices are guaranteed. This paper analyzes the limitations of some of the popular restricted parametric MGARCH models that are often used to represent the dynamics observed in real systems of financial returns. These limitations are illustrated using simulated data generated by general VECH models of different dimensions in which volatilities and correlations are interrelated. We show that the restrictions imposed by the BEKK model are very unrealistic, generating potentially misleading forecasts of conditional correlations. On the other hand, models based on the DCC specification provide appropriate forecasts. Alternative estimators of the parameters are important in order to simplify the computations, and do not have implications for the estimates of conditional correlations. The implications of the restrictions imposed by the different specifications of MGARCH models considered are illustrated by forecasting the volatilities and correlations of a five-dimensional system of exchange rate returns.     

Price volatility in Niger millet markets

Price volatility of food staples is one of the most complex factors affecting food security. Recent food price crises have raised academic interest in improved volatility assessment. The widely held assumption in econometric volatility models that long‐run volatility is constant, has been recently questioned and partly blamed for these crises. A multiplicative MGARCH model recently proposed by Bauwens et al. is used in this article to model price volatility transmission along the Niger millet marketing chain. Results suggest important volatility links between consumer and producer prices, as well as noteworthy differences between short and long‐run price dynamics.     

CCC和B9两种植物生长延缓剂对牡丹生长抑制作用

比九（B9）和矮壮素（CCC）都对牡丹的高生长和粗生长起到一定的调节作用;就高生长而言,两种植物生长调节剂只有达到一定的浓度值,才会对植株有显著的抑制作用,浓度过低则不起作用;粗生长方面,在临界值范围内,随浓度的增加,药剂处理与清水对照所存在的差异显著性增大,药剂处理的浓度过高,反而减弱其作用效果。