Testing Weak Form Market Efficiency for Emerging Economies: A Nonlinear Approach

In this paper, we address weak form stock market efficiency of Emerging Economies, by testing whether the price series of these markets contain unit root. Nonlinear behavior of stock prices is well documented in the literature, and thus linear unit root tests may not be appropriate in this case. For this purpose, we employ the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) and nonlinear panel unit root test Ucar and Omay (2009) that has a better power than standard unit root tests when series under consideration are characterized by a slower speed of mean reversion. Large power gains are achieved through combining cross-sectional information and nonlinear estimation techniques in computing unit root tests. The results of ADF and PP indicate that Bulgarian, Greek, Hungarian, Polish, Romanian, Russian, Slovenian and Turkish stock markets are weak form efficient, while the results of nonlinear unit root test implies that Russian, Romanian and Polish stock markets are not weak form efficient. Moreover, the linear panel unit root test suggest that this group as all efficient where as nonlinear panel unit root test suggest as a group they are not efficient.Keywords: Linear and Nonlinear Unit root and Panel Unit Root, Emerging Markets, Market Efficiency

Summary

Overall statement of responsibility for the multi-volume set reads: Hayward R. Alker, Jr., Lincoln P. Bloomfield and Nazli Choucri"November 1974.""#1995"--handwritten on coverIncludes bibliographical referencesSupported by the Dept. of State 1722-32008

Testing Weak Form Market Efficiency for Emerging Economies: A Nonlinear Approach

In this paper, we address weak form stock market efficiency of Emerging Economies, by testing whether the price series of these markets contain unit root. Nonlinear behavior of stock prices is well documented in the literature, and thus linear unit root tests may not be appropriate in this case. For this purpose, we employ the nonlinear unit root test procedure recently developed by Kapetanios et al. (2003) and nonlinear panel unit root test Ucar and Omay (2009) that has a better power than standard unit root tests when series under consideration are characterized by a slower speed of mean reversion. Large power gains are achieved through combining cross-sectional information and nonlinear estimation techniques in computing unit root tests. The results of ADF and PP indicate that Bulgarian, Greek, Hungarian, Polish, Romanian, Russian, Slovenian and Turkish stock markets are weak form efficient, while the results of nonlinear unit root test implies that Russian, Romanian and Polish stock markets are not weak form efficient. Moreover, the linear panel unit root test suggest that this group as all efficient where as nonlinear panel unit root test suggest as a group they are not efficient

New Interventions by silicone grease in synthesis

In redox-transmetallation protolysis (RTP) reactions in tetrahydrofuran (thf) between excess scandium or cerium metal, Hg(C6F5)(2) and 3,5-dimethylpyrazole (Me(2)pzH) in silicone greased Schlenk flasks, formation of the 3,5-dimethyl-1-pyrazolyl(dimethyl)siloxide (Me(2)pzSiMe(2)O) ligand was observed. Thus the former reaction gave [Sc-2(Me(2)pz)(4)(Me(2)pzSiMe(2)O)(2)] 1 in good yield, whilst the latter gave a mixture of [Ce4O(Me(2)pz)(9)(Me(2)pzSiMe(2)O)(2)] 2 a, [Ce4O(Me(2)pz)(11)] 2 b, both mixed oxidation state species, and the Ce-IV complex [Ce(Me(2)pz)(4)(Me(2)pzH)] 2 c

Highly Variable Recurrence of Tsunamis In the 7,400 Years Before the 2004 Indian Ocean Tsunami

The devastating 2004 Indian Ocean tsunami caught millions of coastal residents and the scientific community off-guard. Subsequent research in the Indian Ocean basin has identified prehistoric tsunamis, but the timing and recurrence intervals of such events are uncertain. Here we present an extraordinary 7,400 year stratigraphic sequence of prehistoric tsunami deposits from a coastal cave in Aceh, Indonesia. This record demonstrates that at least 11 prehistoric tsunamis struck the Aceh coast between 7,400 and 2,900 years ago. The average time period between tsunamis is about 450 years with intervals ranging from a long, dormant period of over 2,000 years, to multiple tsunamis within the span of a century. Although there is evidence that the likelihood of another tsunamigenic earthquake in Aceh province is high, these variable recurrence intervals suggest that long dormant periods may follow Sunda megathrust ruptures as large as that of the 2004 Indian Ocean tsunami

A critique of the balanced harvesting approach to fishing

The approach to fisheries termed “balanced harvesting” (BH) calls for fishing across the widest possible range of species, stocks, and sizes in an ecosystem, in proportion to their natural productivity, so that the relative size and species composition is maintained. Such fishing is proposed to result in higher catches with less negative impact on exploited populations and ecosystems. This study examines the models and the empirical evidence put forward in support of BH. It finds that the models used unrealistic settings with regard to life history (peak of cohort biomass at small sizes), response to fishing (strong compensation of fishing mortality by reduced natural mortality), and economics (uniform high cost of fishing and same ex-vessel price for all species and sizes), and that empirical evidence of BH is scarce and questionable. It concludes that evolutionary theory, population dynamics theory, ecosystem models with realistic assumptions and settings, and widespread empirical evidence do not support the BH proposal. Rather, this body of evidence suggests that BH will not help but will hinder the policy changes needed for the rebuilding of ecosystems, healthy fish populations, and sustainable fisheries

Reply to Andersen et al.(2016) "Assumptions behind size-based ecosystem models are realistic"

In a recent publication (Froese et al., ICES Journal of Marine Science; doi:10.1093/icesjms/fsv122), we presented a critique of the balanced harvesting (BH) approach to fishing. A short section dealt with the size-spectrum models used to justify BH, wherein we pointed out the lack of realism of these models, which mostly represented ecosystems as consisting of a single cannibalistic species. Andersen et al. (ICES Journal of Marine Science; doi:10.1093/icesjms/fsv211) commented on our paper and suggested that we criticized size-spectrum models in general and that we supposedly made several erroneous statements. We stress that we only referred to the size-spectrum models that we cited, and we respond to each supposedly erroneous statement. We still believe that the size-spectrum models used to justify BH were highly unrealistic and not suitable for evaluating real-world fishing strategies. We agree with Andersen et al. that BH is unlikely to be a useful guiding principle for ecosystem-based fisheries management, for many reasons. The use of unrealistic models is one of them

Status and rebuilding of European fisheries

Since January 2014, the reformed Common Fisheries Policy (CFP) of the European Union is legally binding for all Member States. It prescribes the end of overfishing and the rebuilding of all stocks above levels that can produce maximum sustainable yields (MSY). This study examines the current status, exploitation pattern, required time for rebuilding, future catch, and future profitability for 397 European stocks. Fishing pressure and biomass were estimated from 2000 to the last year with available data in 10 European ecoregions and 2 wide ranging regions. In the last year with available data, 69% of the 397 stocks were subject to ongoing overfishing and 51% of the stocks were outside of safe biological limits. Only 12% of the stocks fulfilled the prescriptions of the CFP. Fishing pressure has decreased since 2000 in some ecoregions but not in others. Barents Sea and Norwegian Sea have the highest percentage (>60%) of sustainably exploited stocks that are capable of producing MSY. In contrast, in the Mediterranean Sea, fewer than 20% of the stocks are exploited sustainably. Overfishing is still widespread in European waters and current management, which aims at maximum sustainable exploitation, is unable to rebuild the depleted stocks and results in poor profitability. This study examines four future exploitation scenarios that are compatible with the CFP. It finds that exploitation levels of 50–80% of the maximum will rebuild stocks and lead to higher catches than currently obtained, with substantially higher profits for the fishers

On the pile-up effect and priors for L-inf and M/K: response to a comment by Hordyk et al. on "A new approach for estimating stock status from length frequency data" Reply

We thank Hordyk et al. (2019) for pointing out a typographical error in one of our equations, which has meanwhile been fixed in the online version of Froese et al. (2018) and addressed in a corrigendum for the printed version. We agree with Hordyk et al. (2019) that accounting for the pile-up effect in binned LF samples may be appropriate in, for example, tropical species with continuous reproduction, and we have provided for such correction as an option in the latest version of the LBB software. We note, however, that this correction as well as the LBSPR method of Hordyk et al. (2016) proposed by Hordyk et al. (2019) as an alternative to LBB leads to strong overestimation of exploitation and underestimation of stock status when compared with independent assessments of 34 real stocks from temperate and subtropical areas. As for the points raised by Hordyk et al. (2019) with regard to default priors for Linf and M/K, we maintain that these defaults are adequate for a wide range of exploited species. They can be easily replaced by users if better information is available. Warnings not to use LBB if LF samples do not show the typical asymmetric pattern were already provided in the original LBB paper and are repeated here.</p

The shape of things to come? Expanding the inequality and grievance model for civil war forecasts with event data

© The Author(s) 2017. We examine if dynamic information from event data can help improve on a model attempting to forecast civil war using measures reflecting plausible motivation and grievances. Buhaug, Cederman, and Gleditsch predict the risk of civil war using a horizontal inequality model with measures reflecting motivation and relevant group characteristics at the country level. The predictions from their model outperform in an out-of-sample forecast conventional countrylevel models of civil war, emphasizing vertical inequality and country characteristics. However, most grievance measures change little over time. We surmise that a model reflecting potential motivation for conflict can be improved with more dynamic information on mobilization and the behavior of actors. Our conjecture receives some support in the empirical analysis, where we consider both conflict onset and termination over territorial and governmental incompatibilities in the Uppsala/PRIO Armed Conflict Data, and find some evidence that event data can help improve forecasts. Moreover, models with the original grievance measures do better than purely event based models, supporting our claim that both structure and event based components can add value to conflict prediction models. However, the contribution of events to improving predictive power is modest and not entirely consistent, and some types of conflict events seem easier to forecast than others