Abnormal Domestic Information Disseminate on Cross-listed Nikkei 225 Index Futures from Abroad?

This study extends the GARCH with autoregressive conditional jump intensity in Generalized Error Distribution (GARJI-GED) model to identify the fundamental characteristics of Nikkei 225 index and futures. Furthermore, this study applied the Granger causality test to investigate whether an abnormal information lead and lag relationship existed for the Nikkei 225, SIMEX-Nikkei 225 and OSE-Nikkei 225. Empirical results demonstrate that Nikkei 225 index and futures show jump phenomena, implying a jump process is necessary to match statistical features in spot and futures markets. Finally, the empirical results indicated that the abnormal information of the OSE-Nikkei 225 futures contract significantly leads the one of the SIMEX- Nikkei 225 and Nikkei 225 index.

Existence of an Asymmetric Equilibrium Relationship between Equity and Mortgage REITs

[[notice]]補正完

Examining market efficiency for large- and small-capitalization of TOPIX and FTSE stock indices

This article uses parametric and nonparametric Variance Ratio (VR) tests of Lo and Mackinlay (1988) and Wright (2000) to re-examine the weak-form Efficient Market Hypothesis (EMH) for the large- and small-capitalization stock indices of TOPIX (Tokyo Stock Price Index) and FTSE (Financial Times Stock Exchange). Unlike the previous studies, the multiple VR test of Chow and Denning (1993) is the first extended to the nonparametric VR test of Wright (2000) as suggested by Luger (2003). The empirical results show that the weak-form EMH is supported for large-cap stock indices, but rejected for small-cap ones. This conclusion is further confirmed by using a rolling multiple VR tests.

Prediction of optimum reaction conditions for the thermo-tolerant acetylxylan esterase from Neocallimastix patriciarum using the response surface methodology

Abstract BACKGROUND: Xylan is the second most abundant renewable polysaccharide in nature and also represents an important industrial substrate. The complete degradation of xylan requires the combination of several types of xylanolytic enzymes, including endo-β-1,4-xylanases, β-xylosidases, and acetylxylan esterases. As a biocatalyst, xylanolytic enzymes with good thermal stability are of great interest, therefore, a thermo-tolerant acetylxylan esterase, AxeS20E, was investigated

The Research of the Relationship in the European REIT Market Returns

[[abstract]]本研究目的在於探討原油價格成長對歐洲不動產投資信託(REITs)報酬的影響。樣本國家選定法國與比利時之REITs指數作爲研究標的，實證模型採用雙變量GARCH進行樹則，以探究油價成長對REITs報酬的影響，此外，更進一步分析相近國家彼此間的關聯。於模型中也引入大盤股市報酬率和長短期公債預期利率加以探討。實證結果顯示兩國REIT報酬存在顯著共變異及波動叢聚之特性，且比利時REIT報酬受其法國所影響，反之則不存在。另一方面，兩國REIT報酬對長短期公債率敏感性存在不同的結果；在股市報酬方面，兩國REIT報酬皆與股市呈現正向短期公債預期利顯著影響，最後，在高油價成長期間，爲規避通貨膨脹的衝擊，納入REIT商品將有助於減輕負面的衝擊。[[abstract]]This study aims at examining the impact of oil price growth on the European REIT markets. Sample countries select the REIT indices of Belgium and France, and empirical model adopts the bivariables GARCH model. Additionally, we further analyze the association of neighboring country. To isolate other effects, this study also considers some important variables such as stock market returns and the expected interest rate of long-short term government bond. Our overall results show that REIT returns in two countries have significantly covariance and volatility clustering characteristic, and REIT returns in Belguim is affected by neighboring country, but not in Franch. On the other hand, the interest rate sensitivity of two countries present different results. En stock market return, two countries have a significantly positive effects. Finally, REITs provide hedged function to avoid the shocks in inflation during the period of highly oil price growth