Testing for convergence in stock markets: A non-linear factor approach

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the analysis on both sectors and individual industries within sectors. As a first step, we use the Stock and Watson (1998) procedure to filter the data in order to extract the long-run component of the series; then, following Phillips and Sul (2007), we estimate the relative transition parameters. In the case of sectoral indices we find convergence in the middle of the sample period, followed by divergence, and detect four (two large and two small) clusters. The analysis at a disaggregate, industry level again points to convergence in the middle of the sample, and subsequent divergence, but a much larger number of clusters is now found. Splitting the cross-section into two subgroups including Euro area countries, the UK and the US respectively, provides evidence of a global convergence/divergence process not obviously influenced by EU policies

Testing for persistence in mutual fund performance and the ex post verification problem: Evidence from the Greek market

The present study examines a series of performance measures as an attempt to resolve the ex post verification problem. These measures are employed to test the performance persistence hypothesis of domestic equity funds in Greece, during the period 1998-2004. Correctly adjusting for risk factors and documented portfolio strategies explains a significant part of the reported persistence. The intercept of the augmented Carhart regression is proposed as the most appro- priate performance measure. Using this measure, weak evidence for persistence, only before 2001, is documented. The growth of the fund industry, the direction of flows to past winners and the integration in the international nancial system are suggested to be the reasons for the absence of performance persistence

CysMap and CysJoin: Database and tools for protein disulphide localization

We have developed a computer program able to make user-customised databases derived from the public PIR non-redundant reference protein database. When the database of interest has been created, the user will generate the map of all the possible linear peptides containing one and two cysteines for each protein and combine them to calculate the mass of all the possible clusters of linear peptides linked by a disulphide bridge with a cysteine pair. It is also possible to create selected maps corresponding to peptides formed by the action of specific proteases. In this way, mass spectrometric data obtained from the hydrolysis of proteins of unknown sequence can be related to that contained in the database for quick disulphide assignment and protein identification. To confirm signal attribution, the program will also furnish the expected mass of cluster peptides after performing a cycle of Edman degradation. The utility of the program is discussed and examples of application are given. © 2005 Federation of European Biochemical Societies

MOBILITY AND BIOAVAILABILITY OF HEAVY METALS AND METALLOIDS IN SOIL ENVIRONMENTS

In soil environments, sorption/desorption reactions as well as chemical complexation with inorganic and organic ligands and redox reactions, both biotic and abiotic, are of great importance in controlling their bioavailability, leaching and toxicity. These reactions are affected by many factors such as pH, nature of the sorbents, presence and concentration of organic and inorganic ligands, including humic and fulvic acid, root exudates, microbial metabolites and nutrients. In this review, we highlight the impact of physical, chemical, and biological interfacial interactions on bioavailability and mobility of metals and metalloids in soil. Special attention is devoted to: i) the sorption/desorption processes of metals and metalloids on/from soil components and soils; ii) their precipitation and reduction-oxidation reactions in solution and onto surfaces of soil components; iii) their chemical speciation, fractionation and bioavailability

The next-to-leading order forward jet vertex in the small-cone approximation

We consider within QCD collinear factorization the process p+p to jet + jet +X, where two forward high-$p_T$ jets are produced with a large separation in rapidity $\Delta y$ (Mueller-Navelet jets). In this case the (calculable) hard part of the reaction receives large higher-order corrections $\sim \alpha^n_s (\Delta y)^n$, which can be accounted for in the BFKL approach. In particular, we calculate in the next-to-leading order the impact factor (vertex) for the production of a forward high-$p_T$ jet, in the approximation of small aperture of the jet cone in the pseudorapidity-azimuthal angle plane. The final expression for the vertex turns out to be simple and easy to implement in numerical calculations.Comment: 32 pages, 4 figures; a few comments and one reference added; a few inessential misprints removed; version to appear on JHE

Inclusive production of a pair of hadrons separated by a large interval of rapidity in proton collisions

We consider within QCD collinear factorization the inclusive process $p+p\to h_1+h_2+X$, where the pair of identified hadrons, $h_1,h_2$, having large transverse momenta is produced in high-energy proton-proton collisions. In particular, we concentrate on the kinematics where the two identified hadrons in the final state are separated by a large interval of rapidity $\Delta y$. In this case the (calculable) hard part of the reaction receives large higher order corrections $\sim \alpha^n_s \Delta y^n$. We provide a theoretical input for the resummation of such contributions with next-to-leading logarithmic accuracy (NLA) in the BFKL approach. Specifically, we calculate in NLA the vertex (impact-factor) for the inclusive production of the identified hadron. This process has much in common with the widely discussed Mueller-Navelet jets production and can be also used to access the BFKL dynamics at proton colliders. Another application of the obtained identified-hadron vertex could be the NLA BFKL description of inclusive forward hadron production in DIS.Comment: 29 pages, 9 figures; corrected few typos and added an acknowledgment; version to be published on JHEP. arXiv admin note: substantial text overlap with arXiv:1202.108

The frequency of one-day abnormal returns and price fluctuations in the Forex

This is an Accepted Manuscript of an article accepted for publication Taylor & Francis in Journal of Applied EconomicsThis paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses are tested: their frequency is a significant driver of price movements (H1); it does not exhibit seasonal patterns (H2); it is stable over time (H3). For our purposes a variety of statistical methods (both parametric and non-parametric) are applied including ADF tests, Granger causality tests, correlation analysis, (multiple) regression analysis, Probit and Logit regression models. No evidence is found of either seasonal patterns or instability. However, there appears to be a strong positive (negative) relationship between returns in the FOREX and the frequency of positive (negative) abnormal returns. On the whole, the results suggest that the latter is an important driver of price dynamics in the FOREX, is informative about crises and can be the basis of profitable trading strategies, which is inconsistent with market efficiency.Qatar National Research Fund (QNRF), National Priority Research Programmes (NPRP5 - 1134 - 3 - 240

Bitcoin returns and the frequency of daily abnormal returns

Copyright (c) 2021 The Author(s). This paper investigates the relationship between Bitcoin returns and the frequency of daily abnormal returns over the period from June 2013 to February 2020 using a number of regression techniques and model specifications including standard OLS, weighted least squares (WLS), ARMA and ARMAX models, quantile regressions, Logit and Probit regressions, piecewise linear regressions, and non-linear regressions. Both the in sample and out-of-sample performance of the various models are compared by means of appropriate selection criteria and statistical tests. These suggest that, on the whole, the piecewise linear models are the best, but in terms of forecasting accuracy they are outperformed by a model that combines the top five to produce “consensus” forecasts. The finding that there exist price patterns that can be exploited to predict future price movements and design profitable trading strategies is of interest both to academics (since it represents evidence against the EMH) and to practitioners (who can use this information for their investment decisions).Ministry of Education and Science of Ukraine (0121U100473)

Equity Fund Flows and Stock Market Returns in the US before and after the Global Financial Crisis: A VAR-GARCH-in-mean Analysis

© The Author(s) 2019. The 2008–2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper provides new insights by using US monthly data over the period 2000:1–2015:8 and estimating a VAR-GARCH(1, 1)-in-mean model with a BEKK representation, which also includes a switch dummy for the global financial crisis. We find causality-in-mean from stock market returns to equity fund flows (consistently with the feedback-trading hypothesis) only in the post-September 2008 period. There are also volatility spillovers from stock market returns to equity fund flows both before and after the crisis; however, this relationship is not stable, becoming weaker in the crisis period. As a robustness check, we augment the model with a set of macroeconomic control variables. Their inclusion does not affect the main results