Essays on value at risk and asset price bubbles

Ph.D. ThesisThis thesis describes a series of investigations into the reliability of different financial risk models for measuring downside risks during financial crises caused by the bursting of asset price bubbles. It also provides further insight into modelling asset price series with periodically collapsing asset price bubbles. We start by reviewing the volatility models that are commonly used for quantifying downside financial risks in Chapter 2. The characteristics of several important univariate and multivariate autoregressive conditional heteroscedasticity family volatility models are reviewed. In Chapter 3, we apply the volatility models to identify the direction of volatility spillover effects among stock markets. The financial markets considered in this study include Japan, China, Hong Kong, Germany, the United Kingdom, Spain, the United States, Canada, and Brazil. Findings from both the dynamic conditional correlation (DCC) and asymmetric DCC models show that the asymmetric volatility spillover effect is highly significant among financial markets, while the asymmetric correlation spillover effect is not. Financial contagion will be reflected in price volatility, but not in correlations. Subsequently we move to testing different Value-at-Risk (VaR) approaches using market data. We define 1 June 2008 to 1 June 2009 as the financial crisis period. We study nine hypothetical single-stock portfolios and nine hypothetical multiple-asset portfolios in the nine countries considered. Both the univariate and multivariate VaR approaches are tested and the results show that the long memory RiskMetrics2006 model outperforms all other univariate methods, while the Glosten-Jagannathan-Runkle DCC model performs well among the multivariate VaR models. Next, in Chapter 5 we use simulations to explore the characteristics of financial asset price bubbles. Evans (1991) proposed a model for investigating asset price movements with periodically collapsing explosive bubbles. We modify and extend this model to make it more realistic; as a result the modified model better controls the growth and collapse of bubbles, while exhibiting volatility clustering. In the simulation tests, the RiskMetrics VaR model performs well during financial turmoil. Finally, we discuss the sup-augmented Dickey-Fuller test (SADF) and the generalized SADF test for identifying and date-stamping asset price bubbles in financial time series. Unlike in Chapter 4 (where we use personal judgement to define financial bubble periods), pre- and post-burst periods are defined here based on the identification results of the asset price bubbles’ origination and termination dates from the backward SADF test. Our empirical results show that the criticism that VaR models fail in crisis periods is statistically invalid

Dietary divalent metal uptake and interactions in freshwater fish : implications for metal toxicity

The overall goal of the present research project was to investigate the physiology of dietary iron absorption and its interactions with the uptake and metabolism of other divalent metals, especially cadmium, in freshwater fish, using rainbow trout (Oncorhynchus mykiss) as a model species. Using intestinal sac preparations, iron absorption was found to occur along the entire intestinal tract of fish, with anterior intestine being the major site of absorption compared to either mid or posterior intestine. Ferrous iron was more bioavailable than ferric iron, and the uptake of ferrous iron was significantly reduced at alkaline pH (p < 0.05). These findings suggested that a homolog of the mammalian apical ferrous iron transporter, divalent metal transporter-1 (DMT1, a Fe2+/H+ symporter), is involved in the absorption of iron in the fish intestine. Ferric iron appeared to be absorbed through the same pathway as ferrous iron following reduction by an apical ferric reductase. Several divalent metals, both essential (nickel, copper and zinc) and non-essential (cadmium and lead), inhibited intestinal ferrous iron absorption in fish. Importantly, elevated luminal iron reciprocally reduced the accumulation of cadmium in the fish intestine, indicating the significance of the iron transport pathway in dietary cadmium absorption. Two different DMT1 isoforms, Nramp-â and -ã, were found to be expressed along the entire gastrointestinal tract of fish. My study showed that in isolated rainbow trout enterocytes, ferrous iron uptake occurred through a saturable and proton-dependent process, providing further evidence of DMT1-mediated ferrous iron transport. Both cadmium and lead inhibited ferrous iron uptake in the enterocytes in a concentration-dependent manner. Kinetic characterization revealed that the apparent affinity for ferrous iron uptake is significantly decreased (increased Km) in the presence of either cadmium or lead (p < 0.05), whereas the maximum uptake rate (Jmax) remains unchanged. These results indicated that the interaction between ferrous iron and cadmium or lead is competitive in nature, and the uptake of these metals occurs through a common transport pathway (likely DMT1). The uptake characteristics of cadmium were further examined in isolated rainbow trout enterocytes, and my findings indicated that in addition to DMT1, cadmium uptake can be mediated by zinc transport pathway (ZIP8, a Zn2+/HCO3- symporter). My study also showed that cysteine-conjugated cadmium was readily bioavailable to fish enterocytes, possibly via a cysteine-specific transport pathway. The efflux of cadmium from the enterocytes was found to occur via an ATPase-driven pathway. On the other hand, chronic exposure to dietary cadmium at an environmentally-relevant concentration significantly increased cadmium burden in target organs as well as in the whole-body of fish (p < 0.05). Exposure to dietary cadmium increased the mRNA expression level of key stress-inducible proteins such as metallothioneins (MT-A and MT-B) and heat shock proteins-70 (HSP-70a and HSP-70b). Interestingly, each MT and HSP-70 mRNA isoform responded differently in various target organs of fish following dietary cadmium exposure. Fish exposed to dietary cadmium also exhibited an increase in the hepatic transferrin mRNA level as well as the plasma transferrin protein level, indicating the role of transferrin in cadmium handling in fish. Importantly, an iron-supplemented diet reduced cadmium burden in the gut and the whole-body, and ameliorated the expression of MT and HSP-70 genes in fish. These results suggested the protective effects of elevated dietary iron against chronic dietary cadmium toxicity in fish. Overall, findings from the present research project provided novel and important physiological and molecular insights into the uptake, interactions and homeostasis of dietary divalent metals in freshwater fish. This information greatly enhances our current understanding of the toxicological implications for dietary metal exposure in metal contaminated wild fish populations, and may ultimately help the regulators to develop better strategies for ecological risk assessment of metals

Resilience as a Positive Youth Development Construct: A Conceptual Review

The concept of resilience is reviewed from a range of disciplinary perspectives in this paper. Both broad and narrow definitions of resilience are highlighted and a working definition of resilience is proposed to inform research, policy and practice. Different psychological, social and ecological protective factors, particularly competence, optimism, and bonding to family and cultural beliefs are highlighted. Theoretical relationships between resilience and positive youth development are examined with an attempt to erase misunderstandings. Finally, how schools can promote resilience among students is discussed

EDN1 Lys198Asn is Associated with Diabetic Retinopathy in Type 2 Diabetes

Purpose: We tested the hypothesis that genetic variants in vasoactive and angiogenic factors regulating the retina vasculature contribute to the development of diabetic retinopathy (DR). Methods: A case-control study was performed to study the genetic association between DR and polymorphic variants of EDN1 (Lys198Asn), LTA (IVS1–80C>A, IVS1–206G>C, IVS1–252>G), eNOS (Glu298Asp), and ITGA2 (BgI II) in a Chinese population with type 2 diabetes mellitus. A well defined population with type 2 diabetes, consisting of 127 controls and 216 DR patients, was recruited. Results: A higher frequency of the Asn/Asn genotype of EDN1 was found in individuals with at least 10 years of diabetes and no retinopathy (controls) compared with DR patients with any duration of diabetes (DR: 2.3%; control: 11.0%; p=0.0002). The Asn allele was also more frequent in controls than DR patients (DR: 16.4%; control: 29.5%; p=0.007). Multiple logistic regression analysis showed that the Asn/Asn genotype was the factor most significantly associated with reduced risk of DR (odds ratio=0.19; 95% CI: 0.07-0.53; p=0.002) and with late onset of diabetes (Asn/Asn: 59 years; Lys/Lys + Lys/Asn: 53 years; p=0.02). Moreover, the Lys/Lys genotype was more common among patients with nonproliferative (75.7%) than proliferative DR (56.9%; p=0.008). The distributions of Lys198Asn alleles in hypertension did not differ from normotensive subjects. No associations between DR and polymorphisms of LTA, eNOS, or ITGA2 were detected, and there were no detectable gene-gene or gene-environmental interactions among the polymorphisms.Conclusions The Asn/Asn genotype of EDN1 was associated with a reduced risk of DR and with delayed onset of type 2 diabetes

An Epstein-Barr virus–encoded microRNA targets PUMA to promote host cell survival

Epstein-Barr virus (EBV) is a herpesvirus associated with nasopharyngeal carcinoma (NPC), gastric carcinoma (GC), and other malignancies. EBV is the first human virus found to express microRNAs (miRNAs), the functions of which remain largely unknown. We report on the regulation of a cellular protein named p53 up-regulated modulator of apoptosis (PUMA) by an EBV miRNA known as miR-BART5, which is abundantly expressed in NPC and EBV-GC cells. Modulation of PUMA expression by miR-BART5 and anti–miR-BART5 oligonucleotide was demonstrated in EBV-positive cells. In addition, PUMA was found to be significantly underexpressed in ∼60% of human NPC tissues. Although expression of miR-BART5 rendered NPC and EBV-GC cells less sensitive to proapoptotic agents, apoptosis can be triggered by depleting miR-BART5 or inducing the expression of PUMA. Collectively, our findings suggest that EBV encodes an miRNA to facilitate the establishment of latent infection by promoting host cell survival

Brief advice and active referral for smoking cessation services among community smokers: a study protocol for randomized controlled trial

Abstract Background Most smokers do not use smoking cessation (SC) services although it increases successful quits. Passive referral providing SC information to smokers is commonly used in SC studies. Little was known about active referral in the community setting. This study aims to motivate community smokers to quit by brief SC advice using a validated AWARD model (Ask, Warn, Advise, Refer and Do-it-again) that adjunct with active referral of smokers to various SC services in Hong Kong. Methods/Design This is a single-blinded, parallel three-armed cluster randomized controlled trial (RCT) with two treatment groups of (1) brief SC advice using the AWARD model, active referral to SC services plus a referral card and a health warning leaflet (active referral group) and (2) brief SC advice using AWARD model and health warning leaflet (brief advice group) and a control group receives general very brief advice with a self-help booklet. A total of 1291 smokers will be recruited from 66 clusters (recruitment sessions) with 22 will be allocated to each of the two intervention and one control groups. SC ambassadors will be trained for delivering the interventions and conducting telephone follow-up. The primary outcomes are self-reported 7-days point prevalence (PP) abstinence at 3 and 6 months follow-up. Intention-to-treat principle and multi-level regressions will be used for data analysis. Discussion This is the first RCT on assessing a model combining brief advice and active referral to SC services among community smokers. The results will inform the practices of SC services and intervention studies. Trial registration NCT02539875 (ClinicalTrials.gov registry; registered retrospectively on 22 July 2015

Mindfulness-based cognitive therapy v. group psychoeducation for people with generalised anxiety disorder: randomised controlled trial

Background: Research suggests that an 8-week mindfulness-based cognitive therapy (MBCT) course may be effective for generalised anxiety disorder (GAD). Aims: To compare changes in anxiety levels among participants with GAD randomly assigned to MBCT, cognitive–behavioural therapy-based psychoeducation and usual care. Method: In total, 182 participants with GAD were recruited (trial registration number: CUHK_CCT00267) and assigned to the three groups and followed for 5 months after baseline assessment with the two intervention groups followed for an additional 6 months. Primary outcomes were anxiety and worry levels. Results: Linear mixed models demonstrated significant group × time interaction (F(4,148) = 5.10, P = 0.001) effects for decreased anxiety for both the intervention groups relative to usual care. Significant group × time interaction effects were observed for worry and depressive symptoms and mental health-related quality of life for the psychoeducation group only. Conclusions: These results suggest that both of the interventions appear to be superior to usual care for the reduction of anxiety symptoms

Genome-Wide Association Study of Hepatocellular Carcinoma in Southern Chinese Patients with Chronic Hepatitis B Virus Infection

One of the most relevant risk factors for hepatocellular carcinoma (HCC) development is chronic hepatitis B virus (HBV) infection, but only a fraction of chronic HBV carriers develop HCC, indicating that complex interactions among viral, environmental and genetic factors lead to HCC in HBV-infected patients. So far, host genetic factors have incompletely been characterized. Therefore, we performed a genome-wide association (GWA) study in a Southern Chinese cohort consisting of 95 HBV-infected HCC patients (cases) and 97 HBV-infected patients without HCC (controls) using the Illumina Human610-Quad BeadChips. The top single nucleotide polymorphisms (SNPs) were then validated in an independent cohort of 500 cases and 728 controls. 4 SNPs (rs12682266, rs7821974, rs2275959, rs1573266) at chromosome 8p12 showed consistent association in both the GWA and replication phases (ORcombined = 1.31–1.39; pcombined = 2.71×10−5–5.19×10−4; PARcombined = 26–31%). We found a 2.3-kb expressed sequence tag (EST) in the region using in-silico data mining and verified the existence of the full-length EST experimentally. The expression level of the EST was significantly reduced in human HCC tumors in comparison to the corresponding non-tumorous liver tissues (P<0.001). Results from sequence analysis and in-vitro protein translation study suggest that the transcript might function as a long non-coding RNA. In summary, our study suggests that variations at chromosome 8p12 may promote HCC in patients with HBV. Further functional studies of this region may help understand HBV-associated hepatocarcinogenesis