A Composite Index for Measuring Stock Market Inefficiency

Market inefficiency is a latent concept, and it is difficult to be measured by means of a single indicator. In this paper, following both the adaptive market hypothesis (AMH) and the fractal market hypothesis (FMH), we develop a new time-varying measure of stock market inefficiency. The proposed measure, called composite efficiency index (CEI), is estimated as the synthesis of the most common efficiency measures such as the returns' autocorrelation, liquidity, volatility, and a new measure based on the Hurst exponent, called the Hurst efficiency index (HEI). To empirically validate the indicator, we compare different European stock markets in terms of efficiency over time

A new composite indicator to assess and monitor performance and drawbacks of the implementation of Aichi Biodiversity Targets

This paper proposes a new composite indicator for the assessment of the implementation of Aichi Targets (ATCI) following a benchmarking approach simultaneously considering performance and drawbacks. ATCI is based on 37 indicators related to the 5 Aichi Strategic Goals and its aggregated scores and ranks are calculated using three BoD-DEA models to integrate performance and drawback scores for Targets. ATCI was applied to 21 European countries and its scores were mapped and classified into four groups according to their location in performancedrawbacks space: S1) Caution, S2) Excellence, S3) Fragility and S4) Catching up. Countries in S1 and S3 are recommended to mitigate drawbacks to facilitate the implementation of the Aichi Targets. Results showed that 52% of the countries (Italy, Hungary, Greece, Czechia, Belgium, Poland, Portugal, Spain, Latvia, Slovenia and Slovakia) should pay urgent attention to the Aichi Targets since they show the highest limitations. Based on limitations, two country profiles were identified: countries with high economic development, high population density and corresponding impacts on biodiversity, and countries of medium/low economic development, weak governance and few drawbacks related to human impacts on the environment. These impacts, however, can be aggravated if their economic situation improves and institutional constraints are not addressed

A new composite indicator to assess and monitor performance and drawbacks of the implementation of Aichi biodiversity targets

This paper proposes a new composite indicator for the assessment of the implementation of Aichi Targets (ATCI) following a benchmarking approach simultaneously considering performance and drawbacks. ATCI is based on 37 indicators related to the 5 Aichi Strategic Goals and its aggregated scores and ranks are calculated using three BoD-DEA models to integrate performance and drawback scores for Targets. ATCI was applied to 21 European countries and its scores were mapped and classified into four groups according to their location in performance-drawbacks space: S1) Caution, S2) Excellence, S3) Fragility and S4) Catching up. Countries in S1 and S3 are recommended to mitigate drawbacks to facilitate the implementation of the Aichi Targets. Results showed that 52% of the countries (Italy, Hungary, Greece, Czechia, Belgium, Poland, Portugal, Spain, Latvia, Slovenia and Slovakia) should pay urgent attention to the Aichi Targets since they show the highest limitations. Based on limitations, two country profiles were identified: countries with high economic development, high population density and corresponding impacts on biodiversity, and countries of medium/low economic development, weak governance and few drawbacks related to human impacts on the environment. These impacts, however, can be aggravated if their economic situation improves and institutional constraints are not addressed.info:eu-repo/semantics/publishedVersio

σ-µ efficiency analysis: A new methodology for evaluating units through composite indices

We propose a new methodology to employ composite indicators for performance analysis of units of interest using Stochastic Multiattribute Acceptability Analysis. We start evaluating each unit by means of weighted sums of their elementary indicators in the whole set of admissible weights. For each unit, we compute the mean, µ, and the standard deviation, σ, of its evaluations. Clearly, the former has to be maximized, while the latter has to be minimized as it denotes instability in the evaluations with respect to the variability of weights. We consider a unit to be Pareto-Koopmans efficient with respect to µ and σ if there is no convex combination of µ and σ of the rest of the units with a value of µ that is not smaller, and a value of σ that is not greater, with at least one strict inequality. The set of all Pareto-Koopmans efficient units constitutes the first Pareto-Koopmans frontier. By removing this set and computing the efficiency frontier for the rest of the units, one could obtain the second Pareto-Koopmans frontier. Analogously, the third, fourth and so on Pareto-Koopmans frontiers can be defined. This permits to assign each unit to one of this sequence of Pareto-Koopmans frontiers. We measure the efficiency of each unit not only with respect to the first Pareto-Koopmans frontier, as in the classic Data Envelopment Analysis, but also with respect to the rest of the frontiers, thus enhancing the explicative power of the proposed approach. To illustrate its potential, we apply it to a case study of world happiness based on the data of the homonymous report, annually produced by the United Nations’ Sustainable Development Solutions Network

A new composite indicator to assess and monitor performance and drawbacks of the implementation of Aichi Biodiversity Targets

This paper proposes a new composite indicator for the assessment of the implementation of Aichi Targets (ATCI) following a benchmarking approach simultaneously considering performance and drawbacks. ATCI is based on 37 indicators related to the 5 Aichi Strategic Goals and its aggregated scores and ranks are calculated using three BoD-DEA models to integrate performance and drawback scores for Targets. ATCI was applied to 21 European countries and its scores were mapped and classified into four groups according to their location in performance-drawbacks space: S1) Caution, S2) Excellence, S3) Fragility and S4) Catching up. Countries in S1 and S3 are recommended to mitigate drawbacks to facilitate the implementation of the Aichi Targets. Results showed that 52% of the countries (Italy, Hungary, Greece, Czechia, Belgium, Poland, Portugal, Spain, Latvia, Slovenia and Slovakia) should pay urgent attention to the Aichi Targets since they show the highest limitations. Based on limitations, two country profiles were identified: countries with high economic development, high population density and corresponding impacts on biodiversity, and countries of medium/low economic development, weak governance and few drawbacks related to human impacts on the environment. These impacts, however, can be aggravated if their economic situation improves and institutional constraints are not addressed

σ-µ efficiency analysis: A new methodology for evaluating units through composite indices

We propose a new methodology to employ composite indicators for performance analysis of units of interest using Stochastic Multiattribute Acceptability Analysis. We start evaluating each unit by means of weighted sums of their elementary indicators in the whole set of admissible weights. For each unit, we compute the mean, µ, and the standard deviation, σ, of its evaluations. Clearly, the former has to be maximized, while the latter has to be minimized as it denotes instability in the evaluations with respect to the variability of weights. We consider a unit to be Pareto-Koopmans efficient with respect to µ and σ if there is no convex combination of µ and σ of the rest of the units with a value of µ that is not smaller, and a value of σ that is not greater, with at least one strict inequality. The set of all Pareto-Koopmans efficient units constitutes the first Pareto-Koopmans frontier. By removing this set and computing the efficiency frontier for the rest of the units, one could obtain the second Pareto-Koopmans frontier. Analogously, the third, fourth and so on Pareto-Koopmans frontiers can be defined. This permits to assign each unit to one of this sequence of Pareto-Koopmans frontiers. We measure the efficiency of each unit not only with respect to the first Pareto-Koopmans frontier, as in the classic Data Envelopment Analysis, but also with respect to the rest of the frontiers, thus enhancing the explicative power of the proposed approach. To illustrate its potential, we apply it to a case study of world happiness based on the data of the homonymous report, annually produced by the United Nations’ Sustainable Development Solutions Network

Sustainability assessment and education for sustainability in the Russian Federation on the example of Tambov region

Over the past few decades economic growth has come at the expenses of the environments and the topic of sustainable development is becoming more important. Sustainable development is development that meets the needs of the present without compromising the ability of future generations to meet their own needs. The main aim of this dissertation was to investigate the available methodologies of sustainability assessment and to test which of them could be suitable for Russian conditions. Russia is an interesting subject for research as, it has its own history of sustainability science, but quite often the commitment to sustainable development is only in rhetoric and there are some problems with the interpretation of the concept of sustainable development. For example, in Russian official documents the term sustainability is used as a synonym for stable economic growth. The focus of the research was a creation of an indicator system for a regional sustainability assessment on the example of Tambov region of the Russian Federation. At the first stage of the research a regional assessment was performed with the help of the United Nations set of sustainable development indicators, SWOT analysis was performed to identify the main strengths and problems in the region. Also, the availability of statistical data and relevancy for the research region of the indicators was checked. During the next stage of the research a composite indicator was created using different techniques for normalization of indicator and weighting. Then robustness and sensitivity analysis of created indicators was performed, the results were visualised, and composite indicators were decomposed to explain the drivers of the aggregated results. The result of this work has shown that composite indicators together with regional assessment on the base of sustainability indicators are the tools that could support policymakers in sustainability decision-making. There are some problems with the availability of the statistical data in Russia, and there is no monitoring mechanism at the federal district level and lack of coordination with work of statistical agencies. This research is confirming a necessity of further research, and a need to develop a monitoring and assessment system in Russian Federation. The second part of the research was devoted to education for sustainable development. UNESCO is stressing that the approach of Education for Sustainable Development empowers learners to take informed decisions and responsible actions for environmental integrity, economic viability, and a just society for present and future generations, and therefore education is playing a crucial role in reaching sustainability (UNESCO, 2017). The aim of this research was to see how the sustainability topics are integrated into the curriculum of the agricultural universities, to define the sources of integration and research possible problems and formulate the recommendations for strengthening the integration. To research the education for sustainable development in Russia first a literature review was conducted, followed by 16 semi-structured interviews with the representatives of 8 universities. The research confirmed the fact that sustainability is present as a topic in the official documents, for example educational standard, but this mention remains only rhetorical and does not provide the background for the establishment of a framework for integration of sustainability concept. As a result, the integration into education is mostly driven by the personal initiative of the teaching staff. There is a clear demand for an integration framework of sustainability topics in the federal state educational standard. The main problems are uncoordination and competition between departments and ministries, overload of teachers, lack of best-practices, absence of system in the education and limited financing. These problems could be mitigated with creation of interdepartmental centres, creation of interdisciplinary working groups, creation of a systematic concept of education for sustainability and involvement of different stakeholders into educational projects, but the success of these measures depends on the general approach and if the importance of sustainability will be present only in official documents, then there will be no shift in integration, and everything will depend only on individual initiative of teachers.In den letzten Jahrzehnten ging das Wirtschaftswachstum zu Lasten der Umwelt und das Thema der Nachhaltigkeit wird immer wichtiger. Nachhaltige Entwicklung ist eine Entwicklung, die die Bedürfnisse der Gegenwart befriedigt, ohne zu riskieren, dass künftige Generationen ihre Bedürfnisse nicht mehr befriedigen können. Das Hauptziel dieser Dissertation ist es, die verfügbaren Methoden der Nachhaltigkeitsbewertung zu erforschen und zu prüfen, welche davon für die russischen Verhältnisse geeignet sein könnten. Russland ist ein interessantes Forschungsthema. Es hat zwar eine eigene Geschichte der Nachhaltigkeitswissenschaft jedoch ist das Engagement für nachhaltige Entwicklung nur in der Rhetorik vorhanden und es gibt einige Probleme mit der Interpretation des Konzeptes der nachhaltigen Entwicklung. In offiziellen russischen Dokumenten wird der Begriff Nachhaltigkeit beispielsweise als Synonym für stabiles Wirtschaftswachstum verwendet. Im Zentrum der Forschung stand die Entwicklung eines Indikatorensystems für eine regionale Nachhaltigkeitsbewertung am Beispiel der Region Tambov der Russischen Föderation. In der ersten Phase der Forschung wurde eine regionale Bewertung mit Hilfe des Indikatorensatzes der Vereinten Nationen für nachhaltige Entwicklung durchgeführt. Darüber hinaus wurde eine SWOT-Analyse durchgeführt, um die Stärken und Probleme der Region zu identifizieren. Außerdem wurde die Verfügbarkeit von statistischen Daten und die Relevanz der Indikatoren für die Untersuchungsregion geprüft. In der nächsten Phase der Forschung wurde ein zusammengesetzter Indikator erstellt, wobei verschiedene Techniken zur Normalisierung der und zur Gewichtung verwendet wurden. Anschließend wurden Robustheits- und Sensitivitätsanalysen der erstellten Indikatoren durchgeführt, die Ergebnisse visualisiert und zusammengesetzte Indikatoren zerlegt, um die Treiber der aggregierten Ergebnisse zu erklären. Das Ergebnis dieser Arbeit zeigt, dass zusammengesetzte Indikatoren vereint mit einer regionalen Bewertung auf der Grundlage von Nachhaltigkeitsindikatoren die Instrumente sind, die politische Entscheidungsträger bei der Entscheidungsfindung im Bereich der Nachhaltigkeit unterstützen können. Es gibt einige Probleme mit der Verfügbarkeit der statistischen Daten in Russland, keinen Überwachungsmechanismus auf der Ebene der föderalen Bezirke und einen Mangel an Koordination mit der Arbeit der statistischen Ämter. Im Ergebnis bestätigt es die Notwendigkeit weiterer Forschung und das Erfordernis, ein Überwachungs- und Bewertungssystem in der Russischen Föderation zu entwickeln. Der zweite Teil der Forschung widmet sich der Bildung für nachhaltige Entwicklung. Die UNESCO betont, dass der Ansatz der Bildung für nachhaltige Entwicklung die Lernenden dazu befähigt, fundierte Entscheidungen zu treffen und verantwortungsbewusst zu handeln, um die Integrität der Umwelt, die wirtschaftliche Tragfähigkeit und eine gerechte Gesellschaft für heutige und künftige Generationen zu gewährleisten. Die Bildung spielt daher eine entscheidende Rolle bei der Verwirklichung der Nachhaltigkeit (UNESCO, 2017). Die Integration der Nachhaltigkeitsthemen in die Lehrpläne der landwirtschaftlichen Hochschulen, die Definition von Integrationsquellen, die Erforschung möglicher Probleme und die Formulierung von Empfehlungen zur Stärkung der Integration ist Ziel dieser Forschung. Zur Erforschung der Bildung für nachhaltige Entwicklung in Russland wurde zunächst eine Literaturrecherche durchgeführt, gefolgt von 16 halbstrukturierten Interviews mit Vertretern von 8 Universitäten. Die Analyse bestätigte die Tatsache, dass das Thema Nachhaltigkeit zwar in den offiziellen Dokumenten, z. B. den Bildungsstandards, enthalten ist, die Erwähnung jedoch keinen Rahmen für die Integration des Nachhaltigkeitskonzepts vorgibt und die Integration in die Bildung meist durch die Eigeninitiative der Lehrenden vorangetrieben wird. Es besteht daher ein klarer Bedarf an einem Integrationsrahmen von Nachhaltigkeitsthemen im Landesbildungsstandard. Die Hauptprobleme sind mangelnde Koordination und Konkurrenz zwischen Abteilungen und Ministerien, Überlastung der Lehrkräfte, Fehlen von Best-Practice-Beispielen, ein mangelhaftes Bildungssystem und begrenzte Finanzierung

Višekriterijumski pristup kreiranju kompozitnih indeksa poslovne uspešnosti banaka u Republici Srbiji

Impartial measurement and comparison of bank performance, as a set of relatively homogeneous and comparable entities operating in the same legal and economic framework, is possible only by applying appropriate mathematical and statistical methods, and recently the application of multicriteria analysis methods has become more important. The banking sector of the Republic of Serbia has experienced substantial changes in the previous period as a result of a comprehensive reform that regulated the banking system, enabled the entry of foreign capital and created a competitive environment. Bearing in mind that one of the determinants of the competitive position is the level of achieved business success, it is necessary to quantify the achieved business success along with the determination of the success factors so as to improve the banks’ operations. The research conducted in the dissertation aims to compensate for the shortcomings of existing indicators and systems for measuring bank performance by proposing a theoretical and methodological framework for creating a composite index of business performance of banks based on multicriteria analysis methods. Composite indices of business performance of banks, which continuously (with changes in ownership) operated in the Republic of Serbia, were created for the quarterly periods from 2005 to 2020 based on data from the balance sheet and income statement of banks. It was found that the results depend on the chosen weighting scheme and the chosen aggregation scheme, with statistically significant differences between the order of banks based on composite indices obtained by linear aggregation and the order of banks based on composite indices obtained by non-compensatory multicriteria method. objective methods for determining the weight coefficients of the criteria and order of composite indices obtained by applying the approach of equal weight determination. In addition, the determinants of the achieved level of business performance of banks were analysed and it was determined that the size of the bank, type of ownership, market share, bank stability, market concentration, crisis and inflation are significant determinants of overall business performance